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.
March 30th, 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.
Literally, I could leave up yesterday’s post and comments as the market trades the final 2 hours have been almost identical the last couple of days. Our early MiM indicated a building sell with symbol breadth toward the sell-side. The market began reacting to the pending MOC imbalance at 15:50 which produced a decent six-point bearish candle that was bullishly chased back up on the final 5-minute candle of the day. While we did see some selling into the close there was no broad base selling as NYSE ticks never went below 500. This tape is still strongly bullish.
Our 15:49:59 program showed up and guessed long. The program that fired right at 15:50:00 was quite aggressive with 82% of the trades executing at lower prices than the start of the program. The program executed 25,000 trades across 495 symbols for $266M worth of stock.
Check out our daily SpyGate post on other trades during the day.
The Nasdaq only stocks had big size on AAPL and AMZN on the close with a 226M sell imbalance just on AAPL itself.
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.