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 22, 2021 :
The early MiM was a sell with some lean but the MOC was lost in the algo trading from the Fed notes which created a 30-point ES chop from 14:00 until the close where price pretty much settled at what it was at 14:00.
Top Buy and Sell Symbols
Some different names on the top buy symbols with Bill.com and Bank of America along with 4 other Reits on the list.
Reits took the center stage on the top symbol board above and 92% of all Real Estate symbols had buy imbalances on them. Basic Materials (79.5%) and Communication Services (82%) had the strongest sell leans.
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.