What the opening auction data actually contains

Following up on my automation post, here's what I've worked out about the data itself, since I'd never used it. Before the open, the auction publishes an indicative price — where it would match if it closed right now — and information about the imbalance between buy and sell interest. Both update as orders arrive, so you get a sequence, not a single number. The sequence is the interesting part. An indicative price that drifts steadily in one direction as size accumulates is a different story from one that whipsaws while size stays flat. The first suggests directional interest arriving; the second suggests people probing. What I've learned not to do: treat the early indicative price as meaningful. Early in the auction it moves on small size and tells you very little. It becomes informative as the matched quantity grows. Still early days for me on this. Posting what I've verified rather than what I suspect.