Just thought it worth adding that different exchanges will employ different methods for calculating the auction price given the state of the order book. If you want to know the exact method you will need to look it up for each exchange individually on the exchanges website. Usually they publish the method somewhere.?
Also, some exchanges don¡¯t publish the auction price, volume, imbalance, or some combination, for general retail users (as near as I can tell). If they do publish for retail users then Level 1 data for the exchange should give you access.
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On 9 Jan 2023, at 3:33 am, cactus74@... wrote:
?IB does not calculate it, it is disseminated by the exchange. Yes, order imbalance will do it.
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