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 shares to trade on the buy-side or the sell-side. If a trader wants to participate in the closing auction, they can enter a MOC order on the deficit side of the imbalance.
The MiM, or market imbalance meter, combines both the Nasdaq data and NYSE data to produce an overall look at the imbalances providing traders with a unique view of the closing auction.
March 23, 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.
Closing program trades took off starting around 14:40 as the MIM showed a nice 1.1B to sell with a nice lean of #83.3%. An alignment of early data and a growing size called the descent into the 15:30 time as a barrage of buy programs attempted to defend the 3900 area. The actual 15:50 MOC was 3.6B to sell which had an instant reaction but the buy programs (not charted above) and the 15:55 pair off gave some relief to the downside pressures and and the ES found is spot a few points above 3900.
Our 15:49:59 program trade again traded the right direction for the imbalance. Trading around the reveal had to be a quick scalp with nimble fingers in order to make the trade, but there were a couple of points there. 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
