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 6, 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.
Not much to say here. A small imbalance showing early that was flipped at the reveal with the Nasdaq reveal coming in to the sell-side. The Dquotes again added to the sell-side. All the MOC trading was pretty much over before the reveal picking up steam at 15:00. The afternoon low was put in at 15:25 with a drift higher into the 15:50 reveal. Volume on that candle was not as high as usual.
Leading the symbols on the buy-side was $BABA with $348M to buy, while $AAPL lead the sell-side with $166M to sell.
Defensive Utilities lead the buy-side of sectors with a decent lean of almost 80% on 33 symbols. Tech was the losing sector although it was franchise names, $MSFT and $NVDA, that were the selling contributors and not the sector as a whole.
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.