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Date/Time: Fri, 29 Nov 2024 03:48:02 +0000



Post From: imbalance messages at open / closing auctions in TotalView

[2023-02-24 21:32:43]
$tack - Posts: 87
If I want to see the total net value/bias of all the NSDQ imbalances as a sum, what is the best way to do this?
Essentially I want to filter on any symbol that has ImbalanceNoMatchQty > 0. And then sum the last * ImbalanceNoMatchQty for the diff between buys and sells.

I assume this can be done in a spreadsheet but then I think I would have to paste in all NSDQ symbols which would be thousands of symbols and possibly very taxing on the system to do. Are there symbol limits?

Would there be a lower impact way to achieve this, perhaps say programatically through ACSIL?

Also does subscribing to the SC data feed get the same data for NYSE/AMEX stocks?

Thanks