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 cancelled. 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. Trades should keep the Final-2 hours in mind while trading.
April 20th, 2021 Data:
The arrows show the time and price of buy and sell program trades going into the closing hours of the market on close trades. To understand more about them, read the daily SpyGate post.
The tape moved about 10 points low to high on Tuesday during the Final-2 hours.. The market on close imbalance release at 15:50 was a small $493 to sell with a weak 51.5% of symbols with sell imbalances. Buyers could feel a weak sell as they bought from the low just before 15:50 when the MOC was public and the markets sold off small into the close. Not a significant market on close.
War drums a-sounding, get some Raytheon, $RTX led the buy-side with $45.7M. Without any real theme in the symbol list, it looks like the close was mostly stock picking.
Consumer Defensive stocks like TGT sold with some lean yesterday. The rest of the list looks more like symbol rotation than any real pattern.
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.