How to retrieve order imbalance data into close each day

Question

Hi team posting on behalf of client:

Query:

I would like to scan for Order Imbalances into the close each day..  If there was a way to do this in Workspace, that would be great -   but I have a feeling I will need to use the Workspace API and write a python script.    I prefer to use Workspace on Web, so may have to use  LSEG Data Platform (RDP) / Platform Session / in the cloud - not sure.

Something along the lines of Direct access to exchange imbalance feeds via LSEG API

So I can pull:

* Order imbalance size
* side (buy/sell)
* And maybe:

*paired quantity*auction match volume

*% of volume (expected)

ujjawal_khandelwal · Answer

Hi @Cayla_Soriano27,

Thank you for reaching out!

The RICs for the instruments would be in the following format depending on the exchange for imbalance feeds:

•  instrument.NOI (.NOI for NYSE) e.g., AAPL.NOI

•  instrument.ITC (.ITC for NASDAQ) e.g., IBM.ITC

You can ask the user to check the RICs on workspace for access and required details being displayed.

Please note that access may have to be checked for these RICs as it is fee-liable. The client can check with their LSEG Account Manager or LSEG Representative.

Hope this helps. Thank you : )

Jirapongse · Answer

@Cayla_Soriano27

Thank you for reaching out to us.

The question is quite broad. The client wants to retrieve data using multiple methods—Workspace, Workspace on Web, the LSEG Data Platform, and Python—so you will need to clarify their exact requirements with them.

Typically, users can use the LSEG Data Library for Python to retrieve the same data available through Workspace Excel. Please refer to the article “How to Convert the =@RDP.Data Excel Function into Code Using the LSEG Data Library for Python” for further guidance.

The examples are available on GitHub.

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