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 16, 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 Fed set a volatile battle on the tape for the Final-2 hours of trading. The early MiM was on the sell-side with a decent symbol sentiment lean. The 15:50 reveal was about $1B to sell but that was mostly on the NAZ symbols, in fact the NYSE was a positive imbalance.
Visa (V) led the buy-side until 15:55 when it was totally wiped away shaving $253M off the imbalance board (2nd day in a row). Amazon (AMZN) led the down side with 200M to sell. That did not disappear after the dQuotes.
The only sector with a sentiment lean was real-estate with a 74% bias to the sell-side on 74 symbols.
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.