3 ms·
Does the exchange publish information about the number of TAS shares on each side prior to the close? Like the auction imbalance info published by NYSE, Arca an
by usefulcat 6y ago
Does the exchange publish information about the number of TAS shares on each side prior to the close? Like the auction imbalance info published by NYSE, Arca and Nasdaq (among others).
Edit: or even better, do they publish an estimate of the auction price? I think nasdaq calls it the 'near' imbalance price.
- dmurray 6y agoThe exchange publishes the details of TAS trades as they happen, but it's not right to think of it as an "auction". Those contracts have already changed hands, just at an undetermined price, so the number of contracts bought will always be the same as the number sold. Probably what you want to know is how many of the TAS contracts were bought/sold by market makers who intend to hedge the trade in the closing minutes of the day, as opposed to speculators who wanted to enter/exit/roll a position. You can also get a pretty good estimate of the closing price by watching the trade prints during the 2-minute settlement window, which the exchange publishes in real time.