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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