What is NYSE OpenBook?
NYSE OpenBook is a proprietary market data product that provides a real-time, in-depth view of the NYSE's limit order book for all its listed securities.
- Limit order book: This data shows the total volume of buy and sell orders at every price level away from the current best bid and offer.
- Real-time view: The availability of this data allows traders to see market depth and liquidity beyond just the best bid and offer.
Reporting timeline around the closing auction
The 3:50 p.m. reporting is part of a critical period in the trading day known as the "Closing Auction Imbalance Freeze Period".
The timing breakdown is as follows:
- 3:40 p.m.–3:50 p.m. ET: OpenBook disseminates closing order imbalances every 15 seconds. During this window, any Market-on-Close (MOC) and Limit-on-Close (LOC) orders are irrevocable, meaning they cannot be cancelled.
- 3:50 p.m.–4:00 p.m. ET: The reporting frequency increases significantly, with updates published every five seconds until the auction is completed.
- 3:50 p.m. ET "freeze": No new MOC or LOC orders are accepted after this time, except in specific situations like to offset a published imbalance following a regulatory trading halt.
