NYSE Arca Tweaks Auction Math for Clearer Trader Imbalance Info
Published Date: 9/10/2025
Notice
Summary
NYSE Arca is updating how it calculates auction imbalance info by switching from using the Indicative Match Price to the Auction Reference Price. This change affects traders and market participants who rely on auction data to make decisions. The new rule kicks in immediately, aiming to make auction info clearer and more accurate without changing any fees.
Analyzed Economic Effects
5 provisions identified: 5 benefits, 0 costs, 0 mixed.
Auction imbalance data uses new price
The Exchange will calculate Auction Imbalance Information using the Auction Reference Price instead of the Indicative Match Price. This means Total Imbalance, Market Imbalance (as published), and Matched Volume in the data feed will be based on the Auction Reference Price. The Exchange filed the change on August 27, 2025 and will implement it no later than the fourth quarter of 2025.
Indicative Match Price shown as zero if no match
For the Auction Imbalance Information feed, if there is no Matched Volume the Exchange will set the Indicative Match Price to zero. The change is intended to make it clear in the published data when an auction would not produce any matched volume.
Published vs. processing price difference clarified
The Exchange will publish Matched Volume and Market Imbalance using the Auction Reference Price, but will continue to use the Indicative Match Price for internal auction processing and certain auction logic (for example, determining extensions). This creates a deliberate distinction between the numbers you see in the data feed and the prices used to run the auction.
Order validations reference Total Imbalance
Validations of LOC, MOC, LOO, and MOO orders will reference the Total Imbalance (which will be calculated at the Auction Reference Price for published Auction Imbalance Information). The Exchange says this does not change the current validation process and will continue to use publicly disseminated imbalance data for those checks.
No change to fees from this change
The filing states the change to how Auction Imbalance Information is calculated is intended to make auction data clearer and more accurate without changing any fees. That means you should not expect new charges from this rule change.
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