Monday, April 12, 2021

How to read the MrTopStep imbalance meter

Meter status

How to read the MrTopStep imbalance meter

At the top of the page, below the title, is the current status of the meter. The first part shows the meter type being displayed — either the NYSE morning meter, NYSE-AM, or the closing imbalance meter, NYSE-PM.

To the right of that is the status of the meter. If complete, the meter is no longer collecting data; if active, the meter will show active.

The last piece of information on the status bar is the update time. It is there to show you that the meter is updating.

Imbalance gauge

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Simple gauge that shows at a glance the relative weighting in percentages of the current imbalance dollars on both the buy and sell side (yellow hand) and the percentage number of all the symbols that have either a buy or a sell imbalance (blue hand).

Overall current imbalance

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This easy-to-read table shows the current imbalance for all the symbols active in the list. The total imbalance of $671 million in this example is a sell side imbalance — that is, there is 671 million more dollars worth of sell side imbalances than buy side imbalances.  The buy and sell dollar numbers are the value of stocks that are showing an imbalance.

The last 3 numbers are the percentages. For example, 81% of all the value of the imbalances for this particular day is on the sell side.  The # (hashtag) tells us only 69% of all the symbols are on the sell side, however, so those selling symbols are also being sold more aggressively.

The P number is the pressure number. Each imbalance is assigned a pressure number, which is an algorithm that looks at average volume of that stock and the current imbalance.  If the current imbalance on a particular stock is low relative to its average trading volume, the pressure number is low, i.e., it will not be difficult to find the liquidity to pair off the imbalance.  If the pressure number is large, one would expect a larger impact of the imbalance on that stock. The P number is a look at how much pressure is on the sell side vs. buy side.

Imbalances per index

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Below the summary are 3 boxes that break down the imbalances into a subset. The first box is for all symbols, the second box for the symbols that are on the S&P500 and the third for the Dow 30 industrial.

We are not able to get all the symbol imbalances. During the sneak peek access period between 2 pm ET and 3:45 pm we are fed data via our floor clerks on the NYSE. This sub-sampling of the indicative imbalances, we believe, if strong enough can give an early warning on directional movement into the close. From 3:45 pm ET until the close, the feed becomes live and our symbol availability increases.

Snapshots and Leaderboard

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Below the index breakout of the imbalances is a tab interface that allows you to track the progression of the closing imbalance. You can choose between 1, 5, 10, 15 or 20 minute captures of the imbalances.  A heat map shows how the imbalance is currently progressing.

Our leaderboard shows the top 5 symbols according to the dollar size on both the buy and sell imbalances.  Each symbol is assigned a pressure number according to its imbalance size vs. average daily volume. The third section of the leaderboard shows the top five symbols with the highest pressure going into the close.