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 21, 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 early MiM was not much to talk about with a small sell that waned as we moved closer to the 15:50 lock and release. A flip at 15:30 showed a progressively positive MOC building and the 15:50 release was around 1.3B to buy with about 60% of all symbols having a buy imbalance. A bullish close.
Visa (V) led the buy-side with an almost 250M buy imbalance. The sells were anchored with the Google twins (GOOGL) and (GOOG) with 106M to sell.
Communications led the 15:50 MOC lock but the D’s sent it to the bottom of the list so no real vote of confidence through the closing process. Tech and Energy led the way past the 15:55 dquotes.
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.