Does anyone have a source for decently priced historical imbalance data? Need 5 years of NYSE, NASD, and ARCA from 2012 to 2017.
Never seen this data for less than $500/mo/exchange. NASD is borderline worthless by the way, due to the way their auctions work, imbalances are only tradable by HFT.
Imbalance data by the second vs tick? You sure you are taking about same thing? https://www.nyse.com/market-data/real-time/imbalances