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 29, 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.
A large sell-side imbalance of $2B on the early MiM took a bite out of the tape from 14:00 until about 14:30. That evaporated going into the 15:50 lock and reveal where we were showing about 500M to sell with the reveal number being 487M so not much difference. The market and bots bought into that. The NASDAQ imbalance was just -80M so basically neutral.
Tech headline stocks like Google/with voting rights (GOOGL), Intel (INTC), and Nvidia (NVDA) dominated the buy-side of the leader board. On the flip-side, Google/without voting rights (GOOG) dominated the sell-side. A swap there.
Real-Estate continues to be in accumulation mode. Looking through the list there are no real strong sentiment indications in any of the sectors.
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.