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.
May 3, 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 market rose for the first hour of the Final-2 and then fell to the day’s low just before the close. Our early MiM displayed a small buy with no lean up to 3:25 ET where it swapped to the sell-side. At that point the market was already reacting to a possible sell. The 15:50 reveal was $1B to the sell-side, no real lean. Price action was negative on the reveal and the 15:55 dQoutes spiked the lows and then retraced the 15:50 candle as it often does.
Leading the symbols on the buy-side was Amazon (AMZN) with $103M to buy, while Fiserv (FISV) sold off $162M, most likely a result of their second offering.
Sector-wise the only sector with a decent lean was Consumer Defensive with a 72% lean to the sell-side.
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.