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 8th, 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.
Wednesday was a buy for the MOC, yesterday a sell. While the number is big, the symbol percentage number #% was only just under 60%. The MiM as a trading tool is more effective when the symbol lean is in one direction. Early selling into the negative MOC started at 15:10. There was a three-point drop into the 15:50 reveal. That 15:50 candle traded counter to the direction of the MOC. Interesting to note that the Dquotes at 15:55 paired off all the buy imbalances but not so much for the sells. There is liquidation happening.
Technology ended back on the sell-side with MSFT and APPL and TSLA leading in the sell imbalances.
Notice in the #% column that there was no consensus on any sector. Although Utilities led the way notationally, there were still more symbols on the list for sale than to buy. The markets are just hanging out at the top.
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.