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.
June 15, 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 Dquotes again were not in alignment with the initial MOC as a large 1.3B buy at the 15:50 MOC release/lock was reversed with a sell at 15:55. The closing match was quite negative according to the SpyGate detectors. Our early MiM was spot-on to the reveal and price action was a bit wild into the close.
Visa (V) led the buy-side until 15:55 when it was totally wiped away shaving $253M off the imbalance board. Home Depot was legit with a decent buy imbalance and the Google (GOOGL) sell was also there until the end.
Consumer services lead the downside becoming even more negative after the D’s and Consumer Cyclical took over the top spot after 15:55 with the absence of Visa.
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.