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 5th, 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.
We expected a buying MiM as new accumulations are added to portfolios for a traditionally bullish month of April. The traders decided to do a sell instead. The MiM had selling numbers up early but the trade into the close was quite balanced with selling exhausted by 15:30 and we watched the 15:50 reveal candle actually pop higher. It was technology again that led the imbalance.
Tech had a 565M sell with 102 symbols represented and 60% of them with sell imbalances.
Our 15:49:59 SpyGate detected program trade showed up and guessed short which was an early clue on the direction of the MOC. We had five programs trade around the MOC release, four sell programs and one buy. The two early sells were of reasonable size.
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.