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 7, 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 for a neutral imbalance with 900M on the buy-side and 900M on the sell-side. The bot action prior to the 15:50 MOC release was quite bullish with price action following. The last-minute release of the buy orders jumped our MIM to 1.3B buy-side. Unlike Friday, the symbol lean was not as strong. The 15:55 Dquotes paired about $400M of the imbalance.
The market was electrified by Tesla (TSLA) sending it to the top of the buy column with a buy imbalance of $91M. On the downside was Duke Energy (DUK) with a $66M sale.
All sectors were green except consumer defensive which was lead by selling in Proctor and Gamble, Walmart, and Kroger. Basic material had the strongest sentiment with 75% of the 40 symbols on our list having buy imbalances.
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.