What is a Market On Close Imbalance?
Each trading day the major exchanges have to close and set a closing price. The NYSE uses the market on close orders to do that, the Nasdaq uses a crossing mechanism. These orders need to be entered before 15:50 ET after which they cannot be canceled. A market on close imbalance occurs a larger number of market on close orders on the buy or sell side. If a trader wants to execute a MOC past the 15:50 deadline they must enter an order opposite the imbalance. For instance, if stock A has a buy imbalance then only a sell MOC will be accepted.
For traders closing around the close, the Market Imbalance Meter (MiM) blends both the Nasdaq cross and NYSE market on close imbalance data. The MiM aggregates and produces a unique view for traders. Closing price action begins at 14:00 until the 16:00 cash close. Traders should keep the Final-2 hours in mind while trading.
January 7, 2021
Imbalance
a Small buy imbalance on the MiM with no real lean on Friday’s close. The 15:55 D’s flipped the imbalance which sent closing prices lower looking for buyers.
The first program trade into the Final-2 hours was a buy program and we had an inkling there was going to be a positive MOC at 15:50. The price was not enough to push higher and prices fell as the closing MOC became increasingly negative through the final ten minutes of the cash trading hours.
Top Buy and Sell Symbols
Mastercard, AMD, and United Health all had healthy buy imbalances with tech giant Microsoft, Home Depot, and Walmart on the other end of the measuring stick.
Sectors
No selling sectors again but Financial Services were being bought along with Basic Materials, Energy, and Consumer Cyclical.
If you are interested in joining our trading community and gaining access to our opening and closing data as well as our developing tape sniffing products, head here: https://mrtopstep.com/l/mim
Don’t trade the market cash Open and Close without some type of insight. At least understand what is mechanically happening at 8:00 to 9:30 am ET and 14:00 to 16:15. These are very volatile trading windows. See you in the room.
Marlin
