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Quantitative Finance · Glossary

What is Order imbalance and indicative price?

Also known as: indicative price · order imbalance

Definition 13.6 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 13 — Auctions

During the call period the exchange publishes the indicative price, the price at which the auction would uncross if it ended now, the quantity paired at that price, and the order imbalance: the side and size of the quantity that could not be paired.

The closing ten minutes on the two US listing exchanges, from . The cut-offs exist so that the published imbalance means something: after an exchange’s cut-off, new closing orders there can only reduce it.
Figure 13.2. The closing ten minutes on the two US listing exchanges, from Box 13.1. The cut-offs exist so that the published imbalance means something: after an exchange’s cut-off, new closing orders there can only reduce it.
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