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.
June 4, 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 indication on the MiM was over a billion and that number held all the way through. The actual reveal at 15:50 was 1.7B with a decent symbol lean. Enthusiasm over the lower than expected jobs number fueled the markets all day long including MOC orders that were forced to buy in. The 15:55 Dquotes took most of the shares reducing the imbalance in an opposite move. Front running the 15:50 reveal took the market to its highs of the day, once all was revealed and the D’s joined the party a selloff ensued.
Microsoft had been a solid buy the past few days, but not on Friday as MSFT was the leading seller with $80M to sell. Alibaba was the lead buy with $87M.
All sectors were green on the close with Basic Material having the strongest buy imbalance with 78% of the symbols having a buy imbalance.
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.