Hey guys, I'm desperate to find a reasonably priced Imbalance data feed. I am interested in it on IPO symbols for price discovery pre-open. I can buy this from NASDAQ for $15/month but only in a web page. I would like API capability, andI can barely find any feeds, and what I can find is thousands a month. Does anybody brilliant here have any good ideas? Would like this for NYSE and NASDAQ. Thank you in advance for any help.
While ago I was looking for this data and even subscribed for that nasdaq feed mentioned above(useless in the way they provided) . Someone told me that imbalance data can be obtained via api in either( don't remember exactly which one ) sterling or lightspeed. But it won't be a 15 bucks Keep us posted about your findings Thank you!
I looked into it a while back as well, and for the Nasdaq the conclusion I came to was that you have to either get the full TotalView from your broker/data provider (such as Activ), or colocate with Nasdaq to get NASDAQ NOIView (which I don't think anyone resells -- correct me if I'm wrong). Those are both expensive and time-consuming options, unless you're there already. It's interesting that this information isn't more widely available in something like the NBBO system (the SIP's and all that), as the opening/closing crosses represent a significant portion of the volume of most publicly traded securities.