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 25, 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 Wednesday we dove into the close, yesterday we ascended. Our SpyGate detected two large buy programs firing around 14:35 and that added upside momentum to the tape as buy programs fired off 2:1 into the 15:50 reveal. The MiM did not show a hint of buying until a flip at 15:15 and then decent build to 1.7B at 15:45. The final MOC reveal was a solid 3.6B to buy.
On Wednesday the sectors were all sells except for Energy and Financial Services. Yesterday everything was a buy, all with solid symbol leans of over 66%. A very bullish close for the day.
Our 15:49:59 program didn’t show up yesterday. Buys program trades outweighed sells at 15:50 and the market shot up from 3905.00 (ES) topping at 3909.50 just before 15:55 when the dQuotes came in and sold off most of the imbalance sending the ES down into its eventual 3903 close.
Check out our daily SpyGate post on other trades during the day.
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.
Marlin
