I remember reading somewhere that before the market opens, exchanges publish order imbalance and even information about what the opening price would be, given the current orders? How well does this hold in practice, and where could I access this data? The information would help placing limit orders at the open. Also, is a similar procedure in place for the closing auction? Apparently order imbalance is published, but what about a predicted price at close? How long in advance (before the close) do they publish this information?
The data you seek.was useful many years ago and today is readily available through many trading platforms. Don't hold your breath.waiting to figure out how to make a profit with it siting at home. The algos are all over this. Will keep on eye on this thread to see what others have to say.
Many years ago I paired looking at opening and closing imbalances with manual and automated entries. I am open to evidence that eyeballing these imbalance figures is still helpful but I am skeptical.
Could you explain this in a bit more detailed way to a novice such as myself? I'm mainly interested in the imbalances and predicted prices so that I can more accurately place limit orders at open or close (this matters mostly for smaller stocks).