{"slug":"nyse-imbalance-messages-explained","qid":"late_drift","label":"Gap between the 3:50 p.m. price and the official close, July 2026 sessions","post_title":"NYSE Imbalance Messages: How to Read Them","post_url":"/blog/nyse-imbalance-messages-explained#q-late_drift","columns":["ticker","median_move_bps","largest_move_bps"],"rows":[{"ticker":"XOM","median_move_bps":23,"largest_move_bps":42.7},{"ticker":"PG","median_move_bps":18.5,"largest_move_bps":75.9},{"ticker":"JPM","median_move_bps":14.3,"largest_move_bps":36.8},{"ticker":"KO","median_move_bps":13.2,"largest_move_bps":41.9},{"ticker":"JNJ","median_move_bps":13,"largest_move_bps":36.1},{"ticker":"WMT","median_move_bps":11.9,"largest_move_bps":29.7}],"shape":"ranking","sql":"SELECT\n    d.sym AS ticker,\n    round(quantileDeterministic(0.5)(abs(d.official_close / m.px_1550 - 1) * 10000,\n                                     toUInt64(toUnixTimestamp(d.session_date))), 1) AS median_move_bps,\n    round(max(abs(d.official_close / m.px_1550 - 1) * 10000), 1)                    AS largest_move_bps\nFROM\n(\n    SELECT\n        ticker                AS sym,\n        date                  AS session_date,\n        max(toFloat64(close)) AS official_close\n    FROM global_markets.stocks_daily_aggs\n    WHERE ticker IN ('JNJ', 'JPM', 'KO', 'PG', 'WMT', 'XOM')\n      AND date >= '2026-07-01'\n      AND date <  '2026-08-01'\n    GROUP BY sym, session_date\n) AS d\nINNER JOIN\n(\n    SELECT\n        ticker                                               AS sym,\n        toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,\n        max(toFloat64(close))                                AS px_1550\n    FROM global_markets.delayed_stocks_minute_aggs\n    WHERE ticker IN ('JNJ', 'JPM', 'KO', 'PG', 'WMT', 'XOM')\n      AND window_start >= '2026-07-01'\n      AND window_start <  '2026-08-01'\n      AND toHour(toTimeZone(window_start, 'America/New_York'))   = 15\n      AND toMinute(toTimeZone(window_start, 'America/New_York')) = 50\n    GROUP BY sym, session_date\n) AS m ON m.sym = d.sym AND m.session_date = d.session_date\nGROUP BY d.sym\nORDER BY median_move_bps DESC","computed_at":"2026-08-19T15:13:16.164309+00:00","elapsed":0.00334416}