Public Balanced Data

This dataset contains historic data for the daily ten minute closing auction on the NASDAQ stock exchange.

• stock_id:

  • A unique identifier for the stock.

• date_id:

  • A unique identifier for the date. Date IDs are sequential and consistent across all stocks.

• imbalance_size:

  • The amount unmatched at the current reference price (in USD).

• imbalance_buy_sell_flag:

  • An indicator reflecting the direction of auction imbalance.
    • Buy-side imbalance: 1
    • Sell-side imbalance: -1
    • No imbalance: 0

• reference_price:

  • The price at which paired shares are maximized, the imbalance is minimized, and the distance from the bid-ask midpoint is minimized, in that order. Can also be thought of as being equal to the near price bounded between the best bid and ask price.

• matched_size:

  • The amount that can be matched at the current reference price (in USD).

• far_price:

  • The crossing price that will maximize the number of shares matched based on auction interest only. This calculation excludes continuous market orders.

• near_price:

  • The crossing price that will maximize the number of shares matched based on auction and continuous market orders.

• [bid/ask]_price:

  • Price of the most competitive buy/sell level in the non-auction book.

• [bid/ask]_size:

  • The dollar notional amount on the most competitive buy/sell level in the non-auction book.

• wap:

  • The weighted average price in the non-auction book.

Certainly, here's the additional information organized into bullet points:

• seconds_in_bucket:

  • The number of seconds elapsed since the beginning of the day's closing auction, always starting from 0.

• target:

  • The 60-second future move in the weighted average price (wap) of the stock, less the 60-second future move of the synthetic index.
  • Only provided for the train set.
  • The unit of the target is basis points, which is a common unit of measurement in financial markets.
    • 1 basis point price move is equivalent to a 0.01% price move.

• Synthetic Index:

  • A custom weighted index of Nasdaq-listed stocks constructed by Optiver for this competition.