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.
July 20, 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 on a sell, but small. the rally into the close started around 15:30 with about 500M to sell on the MiM. A decent MOC sell imbalance was expected so there was no surprise at the 15:50 release. There was a relief and the rally continued into the close.
There was some buying on the close. Zoom Communications (ZM) and Starbucks (SBUX) both found themselves leading the buy-side. The downside would be the ETF heavies list Microsoft (MSFT) and FaceBook (FB).
No buying sectors. Utilities took the lead on the sell-side with almost 90% of the 29 symbols being sold. Real Estate was the relative strength.
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.