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.
April 21th, 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.
The tape moved about 12 points low to high on Wednesday during the Final-2 hours. The early MiM showed a sizable buy building. That was confirmed with a SpyGate detected buy-program that fired at 15:30. That 5-minute candle was a solid 9 points bottom to top. The surprise on the market on close imbalance release at 15:50 spiked the high of the day. At 15:50 the Dquotes paired off about half of the imbalance and the bots took their profits into the close.
Tesla ($TSLA) led the sell-side. Technology did well with $AAPL, $MSFT, and $INTC all on the buy-side.
Utilities and Healthcare were the most popular sectors each with a symbol lean of greater than 70%.
Check out our daily SpyGate post on other trades during the day.
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
