What is a Market On Close Imbalance?
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 21, 2021 :
Imbalance
The early MiM was a small buy with no real lean. The 15:50 MOC lock and reveal was a decent 1.7B, but divergent with more symbols on the board with sell imbalances than buys while 70% of the imbalance value was on the buy-side. The 15:55 Dquotes paired off almost $1B of the surplus. The S&P filter was not divergent and was stronger than the overall market.
The volatility on the 15:50 candle has gone away in recent weeks as price action is dwarfed by program trades. The afternoon high around 15:30 was sold down into the last 30 minutes of trading. The buying action was quite positive in relation to the price action suggesting the weak close was oversold.
Symbols
Visa, Apple, and Comcast led the up parade while Tesla, Amazon, and more Berkshire. B were the banner carriers for the sell-side.
Sectors
Look, mom, no lean. While the MOC was positive and several sectors reflected that, there was no sector that had a strong lean to the sell or buy-side. A neutral close.
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.
Marlin
