What is a Market On Close Imbalance?
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 canceled. 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.
December 31, 2021
Early data indicated a sell and we were signed up for that as prices chopped. The 15:50 reveal was $2B to sell and flushed the market down around 15 points into the close. The Dquotes at 15:55 sold $1B into the buyers and bought about $600M from the sellers.
The $2B MOC pulled the rug out from under the market and prices jumped and then went lower after the 15:55 Dquotes joined the sellers in the end.
Top Buy and Sell Symbols
Costco, P&G, and Pepsi all saw buys as the consumer defensive sector was a strong buy at the end of the year. For the sell-side, tech sold off with Microsoft, Apple, and Facebook led the way with a total of 7 triple-digit sellers.
Selling sectors with leans greater than 66% were Communication Service, Health Care, Real Estate, and Technology. On the buy-side we only had Consumer Defensive and Utilities having leans.
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.