Order imbalance

Order imbalance

Orders of one kind for a stock not offset by the opposite orders, which causes a wide spread between bid and offer prices.

Imbalance of Orders

The excess of buy orders or sell orders for a given security. That is, an imbalance of orders occurs when more brokers or investors have made more orders of one type such that they cannot be matched to orders of the opposite type. Order imbalance in either direction reduces the liquidity of a security and thus specialists and market makers attempt to keep imbalance at the lowest possible level. Extreme order imbalance may result in the temporary suspension of trade.

order imbalance

An excess of buy or sell orders such that it is impossible to match one type of order with its opposite. Order imbalances usually occur after unexpected news causes a rush to buy or sell a security. In extreme cases, an order imbalance may cause suspension of trading in a security for a limited time. Also called imbalance of orders.

Order imbalance.

An order imbalance occurs when there are substantially more buy orders in a particular security than there are sell orders, or the reverse. The result is a wide spread between bid and ask prices.

A specialist on an exchange floor might ease a minor imbalance by purchasing shares if there was not enough demand or selling shares if there was more demand than supply.

Major imbalances typically result in a suspension of trading until the situation that caused the imbalance is resolved. Either very good or very bad news about a company may trigger an imbalance.

References in periodicals archive ?
In addition, there is significant negative order imbalance (evidenced by the higher sell ratio) and negative returns for exposed firms.
There is going to be a gigantic order imbalance when they (markets) restart.
To examine the order imbalance, simple measures are created by subtracting the number or volumes of seller-initiated trades from buyer-initiated ones, expressed in percentage points.
Early 2013 will see the addition of Order Imbalance data for NYSE and NYSE MKT.
To measure short (long) sellers' demand for liquidity, we compute, similarly to Chordia and Subrahmanayam (2004), order imbalance metrics, SHIMB (LIMB), as the difference between the buyer- and the seller-initiated short (long) volume scaled by total short (long) volume.
They document three results: First, order imbalance based on buyer- and seller-initiated small trades from the TAQ/ISSM data correlates well with the order imbalance based on trades of individual investors from brokerage firm data.
For example, the order imbalance in Coca-Cola on Monday showed a net of 911,000 shares to be sold.
My regression results reveal that IPOs' open-to-close returns are positively related to small trade participation, small trade purchases, and small trade order imbalance in the hot IPO sample, but not in the cold and neutral IPO samples.
Rather than leaning against the wind, the specialist is likely to take advantage of the order imbalance by setting the opening price away from the previous close.
He characterizes a momentum-reversal intraday return pattern within which, during the reversal, a negative return can be associated with a positive order imbalance.
This version incorporates all the latest features of NASDAQ's flagship data product, including the Net Order Imbalance Indicator to facilitate trading around the Opening Cross and the Closing Cross.
The arrival of insider purchases also changes the order imbalance.