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 canceled. 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. Traders should keep the Final-2 hours in mind while trading.
January 13, 2021
When your chart goes from the upper left to the lower right, that is a trend down day. When you take the last two hours of the day like the chart below and it looks the same, that is a strong trend down day. Stand back and let it fall. The early MiM had us on a buy, but there was no price action confirming. The 15:50 release was actually a $777M sell and the D’s agreed and made it even larger. There was some rally into the close. The good news for the bulls is that the MOC was not large, that will come.
Price action was a continuation of the earlier part of the day with the day closing on or near the lows.
Top Buy and Sell Symbols
Only two stocks had triple sells, Nvidia and Microsoft with AMD rounding out the red list. On the green side, we had buys in Coca-Cola, Proctor and Gamble, and Danaher.
For a negative day, there was only one sector with a sell lean and that was Communication Services. Basic Material had a nice buy lean along with Energy and Consumer Defensive. Despite the day’s price trend, the MOC was a bit bullish.
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.