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.
October 11, 2021 :
Not much was moving on the early MiM. There was some indication between 14:45 and 15:15 that there was a little bit of lean to the sell-side, but that disappeared. The 15:50 MOC was just -570M with no lean. The 15:55 d’s sold into that paring off most of the imbalance before the computer match game set up.
Shortly after the closing two hours began the market went into a lower move putting the low of the day in at the close. There was decent selling and buying on the decline but the sell-side dominated and the tape moved lower.
Top Buy and Sell Symbols
JP Morgan, Disney, and Citi Services led the buy-side (two banks). The downside was represented by Microsoft, Google, and Apple (tech).
Real Estate again was the bullish sector with 78% of symbols having buy imbalances. The only strongish sell sentiment was Financial Services which had a notational buy imbalance but underneath that 67% of symbols selling.
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.