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 27, 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.
Early trouble on the MiM4 after a mid-day update. Always a bad idea. Data was back up and running by 15:10 and the early indication was a decent buy and the 15:50 reveal confirmed with an $825M buy. That early indication was over $2B at the 14:00 release, hence the directional change on the chart at that time.
Analog Devices (ADI) led the buy-side with $84M, part of the chip shortage narrative. AMZN led the losers’ side for the 2nd day in a row.
Tech was the leader in the sectors and had a decent 75% lean to the buy-side. Basic Materials also had a decent buy with 78% of the 40 symbols having buy imbalances. Communication services with Facebook’s (FB) sell of $51M led the bottom, but there was no widespread selling as the symbol lean was only 56%.
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.