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.
January 12, 2021
Imbalance
Another small MOC, again our early symbol count was low and some of our indicator stocks were to the buy side, so both size and direction was not a real surprise at 15:50. The D’s at 15:55 took about 2/3 of the imbalance away as the MOC slide into the close just slightly negative.
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A closing rally started around 15:45 and then paused for the release. The 15:50 candle produced more upside and the 15:55 pairing had those gains awash by the time the bell range.
Top Buy and Sell Symbols
Only one triple on the small MOC and that was Microsoft to the sell side with Google an honorable mention and Philip Morris rounding up the sellers. For the buy side we had T-Mobile, Visa and Boeing in the win,place,show spots.
Sectors
No selling sectors. Industries, Real Estate, Consumer Cyclical and Financial services all having symbol leans with buys greater than 2:1. If this market is ready to sell off there is no real signs here.
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.
Marlin
