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.
April 15th, 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.
Thursday was dulls-day on the MiM. Our early MiM data was around $900M to sell with a decent symbol lean above 75% to the sell-side. That did bring the market down to lows at 15:25 ET. Buy programs took over the tape into the close indicating that the final market-on-close imbalance was not going to be as negative as indicated. The 15:50 reveal with was a measly 256M to sell. That sell imbalance quickly turned to a buy imbalance as buy programs took the markets higher into the close.
MSFT topped our buyers list along with other “techy” type stocks.
While Technology led the sector leader-board, there was no strong lean in any sector to buy or sell. Tech had the strongest breadth with about 65 of the 102 symbols showing buy 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.