Does anyone know if Interactive Brokers provides order imbalance info and if so how to access it? I'm hoping the same place I find this imbalance information, I will also see Nasdaq's opening price field as it's part of Nasdaq's Net Order Imbalance Indicator product (see https://data.nasdaq.com/pdf/userguide_NOII.pdf). It seems like IB should have this data somewhere because on https://data.nasdaq.com/NOII.aspx, the Net Order Imbalance Indicator product is sold bundled with Nasdaq's BookViewer product ("powered by NASDAQ TotalView") for $15, which seems to match IB's "NASDAQ TotalView-OpenView" subscription for $15. If this information is not available through IB, does anyone know a good place to get it? I'd buy it again through NASDAQ's website but at least on data.nasdaq.com it seems they only provide a web interface and I want to be able to get the data programmatically.
if you can enter it into a QuoteMonitor page, TWS will bring up a SubscribeToData button, and get you to the right place cleanly. And you'd know you were paying for what you wanted. (But sometimes, finding the (IB) symbol to enter is.... "tough.") Otherwise, you'd be subscribing for at least a month without knowing for sure.
Thanks for the response, but I can enter a ticker on the QuoteMonitor page (assuming I understand correctly and a QuoteMonitor page is one of the main pages you create by hitting the + sign tab from the main window) and I'm already subscribed to level 2 data for NYSE and NASDAQ. I also know how to bring up the order book if perhaps that's what you were getting at, but what I really want to do is see the Imbalance for the opening cross as well as the NASDAQ Official Open Price (NOOP) that seems to come along with it once the cross has happened. If there's a way to do that from the QuoteMonitor page it's unclear to me.
Chad, If you find an answer to your question, please let me know. I would also like to know where i can find this info as i'm paying $1 a month for the imbalance data as well.
Looking at the time and sales data around the open you can check out the condition flags on the trades. The official opening trade should have the 'O' flag set. I have done this through TWS, but not tried via API though it also seems possible.