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.
September 10, 2021 :
TThe early MIM was on a buy with a flip around 15:45 that led us to believe that the tape action was accurate.
The only positive move on the close came in the last five minutes after the Dquotes halved the MOC and buyers closed out shorts or picked up perceived bargains.
Nothing greater than $100M on the buy-side as Visa led the pack with $65M followed by Kansas City Southern which is a Railroad. The buy-side had plenty of large sellers with Microsoft, Apple, Facebook, and Amazon topping the sellers’ list.
While tech led the sector side in value with its own $1B to sell imbalance, the symbol lean was not totally bearish with only 63% of the tech symbols having selling imbalances. Energy was the strongest with only 51% of symbols to the sell-side. Real Estate was the most negative.
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.