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 12th, 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.
Monday’s close was very light volume with an upside break. Only 436M on the actual MOC. That MOC was paired off quickly and turned into that 674M deficit during the 15:55 Dqoute session as the market closed. That ended the upside party into the close putting in a 4-point dunk on that last 5-minute candle of the day.
Familiar technology headlined the leader board with AAPL and MSFT on the leader board for the buys. Sell-side was led by BABA and TGT.
The close had a bit of a rotational feel to it as there was really no lean except in Real Estate that had 80% of the 74 symbols with 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.