Hi, 10 and 20 minutes before the close of the stock market there is released a number for each stock: (sell market on close orders - buy market on close orders), the trade inbalance Where can I get this data? Thanks
You can get it through REDIPlus, Goldman's execution platform. I think you can also subscribe directly from NYSE. When I looked for this info a year or two ago I found a free news service which released this info daily. Unfortunately I can't remember the site, you can try googling. All the best.