How are Imbalances Calculated?

brobiche · Nov 9, 2006

Anyone know how the imbalances are determined or where I can find more information about it?

Szeven · Nov 10, 2006

What kind of imbalances?

eastside · Nov 10, 2006

Here is some info from the NYSE for the MOC imbalances:

http://www.nyse.com/Frameset.html?d...8FB3EDA0A177D844852568200072BECC?OpenDocument

Basically they net out the buy & sell orders for the MOC print & if the difference is greater than I think 50,000 they must publish the amount & direction.
So for instance if there is 500,000 shares to buy MOC & 300,000 to sell MOC then it would be an imbalance of 200,000 shares to buy on the close.

brobiche · Nov 11, 2006

Could someone manipulate the MOC imbalance by posting a large buy/sell order hoping to push the market in one direction then cancel and take the other side? Is this common?

Surdo · Nov 11, 2006

M.O.C. orders have to be entered before 3:40 PM and may not be canceled.

If you have to get out of the order, the only way is to enter an opposite MARKET order as close to the bell as possible and you are in no way guaranteed the prices pair off.

eastside · Nov 11, 2006

Quote from brobiche:

Could someone manipulate the MOC imbalance by posting a large buy/sell order hoping to push the market in one direction then cancel and take the other side? Is this common?

Surdo is right that the MOC orders can not be canceled (the rules are a bit more complicated, but basically that is it). They can be entered at any time up till the close (except I think on quad witch Fridays...you have to check the rules), but after 3:40, they can only be entered to OFFSET any imbalance, otherwise the order gets rejected. So if at 3:40 he shows a buy imbalance, you could only enter a MOC to sell.
Sometimes what happens is the imbalance might flip from a buy to a sell or vice versa, between the first publication at 3:40, the second at 3:50 & the close, depending on how many MOC orders he gets after 3:40 to offset. He could get none, some, all, or more of the imbalance amount than he needs in that 20 minutes.
You can search on nyse.com for "moc imbalance" if you want to read the memos for the exact rules. They give some examples in there too.
So to answer your question, no they can not do that.

Artie21 · Nov 12, 2006

Does the specialist take the other side of the trade if an imbalance exists at 4:00 pm? In other words, are all orders filled despite an imbalance?

Don, an answer.

Surdo · Nov 12, 2006

1. A NYSE specialist will often take the other side but will try to attract natural buyer's/seller's first.

2.Yes, they are filled because they are "Market Order's".

Artie21 · Nov 12, 2006

Quote from Surdo:

1. A NYSE specialist will often take the other side but will try to attract natural buyer's/seller's first.

2.Yes, they are filled because they are "Market Order's".

Any studies out there or anecdotal evidence regarding next day openings after imbalances?

eastside · Nov 12, 2006

Quote from Artie21:

Any studies out there or anecdotal evidence regarding next day openings after imbalances?

Only if the imbalance is unusually large, like on s&p rebalance days or expirations, etc. This thread talks about Russell rebalance day imbalances...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=72659&perpage=6&pagenumber=3