Imbalance data is available in some Request API services as well as the Streaming Datafeed API. The expected data results depend on whether the symbol is a US equity or a Canadian Equity.
At 3:40 pm ET the surplus/demand for Market On Close (MOC) orders on TSX MOC eligible stocks are calculated and published to the marketplace.
Market on Close (MOC) data is available at QM with the following values provided: Imbalance Reference Price, Imbalance Size, Imbalance Side, Paired Volume, Near Indicative Closing Price, Far Indicative Closing Price, Price Variation.
Closing balance window: 3:50 to 4:00 PM EST (updates every 10 seconds during this time)
Opening balance window: Not applicable
Only NASDAQ Imbalance data is currently supported. (NYSE Imbalance data is not currently supported)
NASDAQ publishes opening and closing imbalances (currently supported) and IPOImbalance, HaltImbalance (yet to be supported). Nasdaq disseminates Opening Cross Net Order Imbalance information every second between 9:28 and 9:30 a.m., Eastern Time (ET), and Closing Cross Net Order Imbalance information between 3:55 and 4:00 p.m
The Opening Cross Imbalance and the Closing Cross Imbalance (MOC) is available at QM with the following values provided: Imbalance Size, Imbalance Side. Imbalance Reference Price is currently not supported.
Closing balance window: 3:40 to 4:00 PM EST
Opening balance window: 9:28 to 9:30 AM EST