NYSE American Refines Auction Imbalance Math for Clarity
Published Date: 9/3/2025
Notice
Summary
NYSE American is changing how it calculates auction imbalance info by using the Auction Reference Price instead of the Indicative Match Price. This update affects traders and investors who rely on auction data to make decisions. The change is effective immediately and aims to make auction info clearer and more accurate, with no new fees involved.
Analyzed Economic Effects
4 provisions identified: 4 benefits, 0 costs, 0 mixed.
Auction imbalance data now uses Auction Reference Price
NYSE American will calculate Auction Imbalance Information (including Total Imbalance, Market Imbalance, and Matched Volume in the disseminated feed) using the Auction Reference Price instead of the Indicative Match Price. The change was filed on August 26, 2025, will be implemented no later than the fourth quarter of 2025, and the Exchange says there are no new fees; Auction Imbalance Information is updated at least every second via a proprietary data feed.
Indicative Match Price set to zero when no Matched Volume
For the Auction Imbalance Information that the Exchange publishes, if there is no Matched Volume and a BBO exists, the Indicative Match Price will be set to zero in the disseminated auction data. The Exchange says this change is intended to improve transparency because an auction would not take place when there is no Matched Volume.
Auction execution and extension rules unchanged
The Exchange states it is not changing how it determines the price at which auctions will take place or the auction extension logic: Indicative Match Price will continue to be used for auction processing and for extension decisions, while disseminated imbalance data will use the Auction Reference Price.
Aligns NYSE American imbalance reporting with NYSE
NYSE American is aligning its calculation of disseminated auction imbalance information with its affiliate NYSE by using a reference price approach (Auction Reference Price analogous to NYSE's Imbalance Reference Price). The Exchange states this promotes consistency across affiliated exchanges and may help multi-venue participants.
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