On the page with the list of tick types (), I see "Auction Price" which is the "The price at which the auction would occur if no new orders were received and the auction were held now- the indicative price for the auction. Typically received after Auction imbalance (tick type 36)".

1) How does IB calculate this?
2) What data feed do I need for this data? Order imbalance?

Thank you.

IB does not calculate it, it is disseminated by the exchange. Yes, order imbalance will do it.
?

开云体育

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.?

Thanks. For NYSE, what is the difference between "NYSE MKT Order Imbalances" and "NYSE Order Imbalances" IB data feeds??

开云体育

Not sure as I don’t typically trade US stocks but I’d be interested to hear the answer if someone else knows.