Helious calculates the market imbalance itself. Going into the opening and closing auctions, the exchange publishes for every NYSE listing how many shares cannot be paired at the reference price, and which side they sit on. Helious multiplies each one by the stock's previous close and sums buys less sells. The result is the figure a trader hears at 3:50: how many dollars are left to buy or to sell into the auction.
NYSE MARKET sums every NYSE listed company, about 2,400 names, with ETFs and preferred shares left out. S&P 500 sums the S&P names listed on the NYSE, about 340 of the 500, and the read says how many reported, because the Nasdaq-listed members are not on this feed. Green is to buy and red is to sell, and the ring gets heavier as the figure gets larger against that basket's normal size.
Two reads for the open, at 9:28:05 and 9:29:40 ET, and three for the close, at 3:50:10, 3:55:10 and 3:58:30 PM ET. On a 1pm early close the close reads move three hours earlier, and on an exchange holiday there are none. The strip above the news feed appears two minutes before the first read of each auction with a countdown, stays through the reads, and goes away ten minutes after the last one. The rest of the day it is not on screen. Each auction also gets a card on the tape, updated at every read, and a line on the squawk.
A buy imbalance into the close means unmatched buy orders that need sellers to step in, so the last minutes tend to lean higher and the closing print tends to come in above the pre-auction price. A sell imbalance leans the other way. On the open, the imbalance sets the direction of the opening cross and of the first minutes of trade. Size matters against the paired volume: the read states the imbalance as a share of what is already matched, and calls it small, moderate or large against that basket's own scale.
Every read also carries the ten largest single names to buy and to sell across every print on the feed, NYSE-listed ETFs included (SPY and the other NYSE Arca ETFs are not on the feed). The terminal keeps them off the strip to stay compact; they are on the API at /v1/imbalance, the card on the tape names the top three each way, and the squawk the largest one. One large single-name print can carry most of a basket's figure on its own, so check the list before you trust the total.
Pro and Ultimate see every read the second it prints. On the Free plan each read opens the moment its auction prints, at 9:30 ET for the open and 4:00 PM ET for the close, and the strip counts down to it. The same data is on the API at /v1/imbalance and /v1/imbalance/{symbol}, with every read stored; the developers page has both.
Nasdaq-listed names publish their imbalance on a different feed that Helious does not carry yet. That leaves out the Nasdaq-listed mega caps, QQQ and the NASDAQ-100, so the S&P figure is the NYSE part of the index, and a Nasdaq symbol on the API answers on_feed false.
