How to Read the Nasdaq’s Imbalance Data on the Montage Window

When a security is on a trading paused/halted status, the user will be displayed the securities’ Imbalance data on the Montage window. (Hint: the user can also right click on the VWAP field and then change it to the Imbalance Data.)

The display format for the Nasdaq’s Imbalance on Montage Window is seen as:

“Imb:<Imbalance Direction>+<Imbalance Shares>, <Paired Shares>@<Current Reference Price>”

  • Paired Shares: The total number of shares that are eligible to be matched at the Current Reference Price.
  • Imbalance Shares: The number of shares not paired at the Current Reference Price.
  • Imbalance Direction: The market side of the order imbalance. B=Buy, S=Sell, N=No, O=Insufficient
  • Current Reference Price: The price at which the paired shares are being calculated.

For example:

In “Imb:B+8, [email protected]”, the “B+8” means it is the Buy Imbalance with 8 shares not paired (8 more shares on the Bid side compared to the Ask side). The “[email protected]” means there are 196 matched shares at the current reference price.