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 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.
A small $247M market on close imbalance on a Friday jobs number day. A fairly tight 8-point range had the market bounded. Only sell programs were firing up until around 15:30 when buy programs began to dominate the tape. Our early MiM was showing a small sell imbalance with no lean. Last call at 15:50 when MOC orders are booked brought in more sellers and buyers and the small sell imbalance swapped to a small buy.
Leading the symbols on the buy-side was Amazon with $86M to buy, while CSCO on the sell-side had $66M to sell.
Real Estate, which funds could not get enough of just two weeks ago, are now being sold off and led the sell-side with 257M. Thy buy-side lean-wise leader was Energy with a $30M to buy lean and a symbol lean of 74%.
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.