We are excited to announce Order Imbalance data support for Nasdaq TotalView. The addition gives trading firms direct access to one of the few data types that reveals real demand and supply imbalances before an auction clears — a rare window into aggregate market intent at the most critical points of the trading day.
Opening and closing auctions concentrate a disproportionate share of daily volume and anchor the reference prices that flow across the market. Yet for most participants, the direction and magnitude of an auction only become clear after the cross. Order Imbalance data changes that: it shows the difference between buy and sell interest at a given reference price, the number of paired shares eligible to execute, and indicative auction prices — updated in real time as order entry progresses.
For High-Frequency Trading (HFT) firms, market makers, and execution algorithms, this translates directly into edge. Order Imbalance data enables traders to anticipate where a large institutional flow is positioned, identify short-term price pressure before it appears in the tape, gauge unmatched volume still seeking liquidity, and estimate where auction price is likely to clear. That means the ability to reprice quotes ahead of the cross, hedge exposure, participate intelligently in closing and opening flow, or extract alpha from a strong imbalance signal — rather than reacting after the fact.
Within dxFeed’s offering, Order Imbalance has been added as a native event type in the QD model of market events — the same framework clients use to consume quotes, trades, and other market data across feeds. There is no separate integration path: firms get auction insight directly alongside the data they already process.
„Order Imbalance data addresses a part of the trading day where timing and information matter most. Adding it as a native event type in our QD model lets clients integrate auction insight directly into their existing workflows — without any additional complexity,“ said Stepan Bolshakov, Managing Director at dxFeed.
