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 14, 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.
On the NYSE closing auction, there are two times to watch. The 15:50 MOC release when the NYSE MOC orders are locked and the imbalances are distributed on the tape and then at 15:55 when discretionary quotes are published. When the direction of the imbalance lines up, we have an agreed sentiment into the close. Yesterday we had a neutral MOC release and a very bullish buy from the Dquotes that took the imbalance from neutral to over a billion. That squeezed the life out of any bear party and the closing computers at 15:59:59 had to find limit-on-close orders that lived at higher prices to match the trades. Overall from the 15:25 Final-2 low to the close was a whopping 22 ES point rise. Quite bullish.
These are the symbol imbalances as they stood at 15:50 but everything changed in a flash at 15:54. The total imbalance shifted when all the big sellers paired off.
Real estate had the strongest buy sentiment with almost all the symbols showing a buy imbalance. Energy was a downer with 71% of the symbols having sell imbalances.
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.