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. Traders should keep the Final-2 hours in mind while trading.
November 19, 2021
The early MIM was a buy that did not grow going into the 15:50 lock-down. By the time we arrived at the reveal, the MiM had dropped to 200M with no lean. The reveal was a weak 80M to the sell-side. Nothing. Noise. The Dquotes continue to be more negative, continuing to sell more into the buy-side imbalance than buy on the sell-side, and hence the net total imbalance grew to over 600M to the sell-side.
Price action recovered from the lows in the early closing hours. There was not much volume and the closing session high was established early. Sell programs began hitting the tape after 15:00. The lack of any MOC gave the 15:50 five-minute candle about a 5-point negative move. The 15:55 closing candle retraced most of that.
Top Buy and Sell Symbols
On the buy-side just one triple with Google holding the top spot followed by Cisco and Square. Sellers also only had one triple in Apple with United Healthcare and Merck rounding out the sellers’ list.
Not much enthusiasm on the sectors excepting Healthcare which had 72% of all 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.