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 cancelled. An imbalance in a stock can occur when there are too many market on close shares to trade on the buy-side or the sell-side. If a trader wants to participate in the closing auction after the 15:50 deadline, they can enter a market on close order on the deficit side of the imbalance.
The Market Imbalance Meter (MiM) blends both the Nasdaq data and NYSE market on close imbalance data to produce unique view for traders trading around the close. Closing price action begins at 14:00 until the 16:00 cash close.
April 6th, 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 third trading day of April and 2nd trading day of the week and we see another decent sell on the MOC 14:40 ET reveal. The markets are a bit toppy and some exiting is happening during the close making for weak price action during the Final-2 hours of trading. On the SpyGate there was light bot action with a buy program firing and failing to take the market higher just before 15:00. At 15:01:35, a sell program fired and the direction into the close was set with about a 12-point move from top to bottom. The early MiM had the direction correct, but with a smallish lean. This MOC was not as bearish as yesterday’s.
The 15:50 MOC was negative and there were a couple of points there with the 15:50 candle doing the reversal as it often does into the close.
Visa leads the financial services as a recovering economy play. Technology continues to be sold.
There were more positive sectors on this close than on Monday. Real Estate continues to be in vogue, again a recovering economy play.
Our 15:49:59 SpyGate detected a sell program which was correctly predicting the pending MOC data. Both that early program and the on-time program had decent size in the trade.
Check out our daily SpyGate post on other trades during the day.
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
