TRTH: Retrieving NYSE order imbalance data

vecera
vecera Newcomer
in TRTH

I am trying to retrieve NYSE order imbalance data - indicative auction prices/volumes in TRTH time and sales.

I have already tried to request TRTH time and sales data for F.N with all available fields and I don't see any indicative price/volume values - is this type of data available? Is it available in time and sales data or in raw transaction data?

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  • pimchaya.wongrukun01
    pimchaya.wongrukun01 LSEG
    Answer ✓

    The solution from the case the client open:

    RIC <F.N> has permission on TRTH , however RIC <F.NOI> would require extra permission to view imbalance data as it is fee liable.

    RICs with suffix ".NOI" will show more information on Imbalance Data Universe. Imbalance data has RIC structure "XXX.NOI" for NYSE

    The NYSE Order Imbalances data feed is a separate data feed which publishes Opening and Closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities.

    Hence requires permission from exchange to view this data.

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