Understanding Market on Close Order Imbalances

Source: Excerpts from "Market On Close Order Imbalance Trading" by Dmitry of marketchameleon.com

I. Introduction to Market on Close (MOC) Orders

• Definition and Purpose: Explains what MOC orders are and their primary use by institutions like mutual funds for end-of-day trading at Net Asset Value (NAV).
• Mutual Fund Example: Illustrates how mutual funds utilize MOC buy orders to create new shares based on daily buy/sell order imbalances.

II. MOC Order Imbalances and Their Significance

• Imbalance Threshold and Indicator: Details the 50,000 share threshold triggering a buy/sell imbalance indicator, signaling potential institutional buying or selling pressure.
• Insight into Institutional Flow: Explains how MOC imbalances provide a glimpse into the flow of money into or out of specific sectors, mutual funds, and ETFs.

III. Interpreting MOC Imbalance Data

• Data Presentation: Describes the 3:50 p.m. print time for imbalance data and the 10-minute window for order matching.
• Specific Example (BBV): Analyzes a buy order imbalance example, highlighting the number of shares, notional value, and closing price.
• Aggregate Daily Data: Shows how daily buy and sell imbalances are presented and can be compared over time.

IV. Utilizing MarketChameleon for MOC Analysis

• Order Imbalance Screen: Demonstrates the platform's visual representation of buy/sell imbalances using a 20-day moving average.
• Filtering and Customization: Explains how users can filter imbalance data by specific indices (S&P 500, Dow Jones), sectors, or custom watchlists.
• Data Download: Highlights the ability to download the imbalance data table for further analysis.

V. Conclusion

• Recap: Briefly summarizes the significance of MOC order imbalances as an indicator of institutional activity. Understanding Market on Close Order Imbalances

  Source: Excerpts from "Market On Close Order Imbalance Trading" by Dmitry of marketchameleon.com

  I. Introduction to Market on Close (MOC) Orders

  • Definition and Purpose: Explains what MOC orders are and their primary use by institutions like mutual funds for end-of-day trading at Net Asset Value (NAV).
  • Mutual Fund Example: Illustrates how mutual funds utilize MOC buy orders to create new shares based on daily buy/sell order imbalances.

  II. MOC Order Imbalances and Their Significance

  • Imbalance Threshold and Indicator: Details the 50,000 share threshold triggering a buy/sell imbalance indicator, signaling potential institutional buying or selling pressure.
  • Insight into Institutional Flow: Explains how MOC imbalances provide a glimpse into the flow of money into or out of specific sectors, mutual funds, and ETFs.

  III. Interpreting MOC Imbalance Data

  • Data Presentation: Describes the 3:50 p.m. print time for imbalance data and the 10-minute window for order matching.
  • Specific Example (BBV): Analyzes a buy order imbalance example, highlighting the number of shares, notional value, and closing price.
  • Aggregate Daily Data: Shows how daily buy and sell imbalances are presented and can be compared over time.

  IV. Utilizing MarketChameleon for MOC Analysis

  • Order Imbalance Screen: Demonstrates the platform's visual representation of buy/sell imbalances using a 20-day moving average.
  • Filtering and Customization: Explains how users can filter imbalance data by specific indices (S&P 500, Dow Jones), sectors, or custom watchlists.
  • Data Download: Highlights the ability to download the imbalance data table for further analysis.

  V. Conclusion

  • Recap: Briefly summarizes the significance of MOC order imbalances as an indicator of institutional activity.
  • Video

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