NYSE and nasdaq both have imbalance only order to offset published imbalance on the market close. IB order type has attribute "imbalance only" in old version, but it looks disappeared in newer api version, how can I place imbalance only orders on IB platform or via API?
Do you have historical data for imbalances? I asked in your other thread along with the helpful info I gave, but you didn't reply
A Limit-on-close (LOC) order will be submitted at the close and will execute if the closing price is at or better than the submitted limit price.All LOC orders must be received at NYSE markets by 15:45 ET. On expiration days, you cannot enter LOC orders after 15:45 ET to establish or liquidate positions related to a strategy
sorry I did not check back. I do not have historical imbalance data. I checked with NYSE about their taq imbalance. it is very expensive.
Hmm yeah that's too bad, I haven't been able to find it at a reasonable price either Even in real time it seems difficult, I mentioned that Polygon.io might be getting it but I don't think that's happening now. There was/is still some confusion about it.. To answer your original question, there is no way to place an explicit IO order via the API. When I asked IB they said I could contact sales to request it be added.. I have not done so. AFAIK, and I have never tried this, but I think it's possible to place an implicit IO order for NASDAQ stocks at the open by submitting a LOO between 9:28 and 9:30 am. from https://www.nasdaqtrader.com/content/ProductsServices/Trading/Crosses/openclose_faqs.pdf: (Unclear if this also works at the close submitting a LOC after 3:55pm.) Via TWS the checkbox is still there in misc options as long as you select the right order type (LMT/OPG or LOC)