TSX has a trading session called MOC Imbalance, while in this session I see the imbalance fields being populated (IMB_SH, IMB_SIDE, and IMB_PR_REF). When the MOC Imbalance session ends I would like to clear out the imbalance values in my trading system. How can I tell that the MOC Imbalance phase has started/ended?
On the native TSX feed I use the Market State Update message to tell me what trading session TSX is in.
It looks like to be a content question for me. Please contact the content team directly via Contact Us and ask for a field which can be used to indicate the MOC Imbalance phase.
Otherwise, you use the Thomson Reuters Data Model Discovery tool to list all available fields for TSX.