NYSE closing prints/ reg. imbalances

E

efctrade

I've noticed over that last few months that the NYSE closing prints are increasingly in the oppsite direction of the last posted regulatory imbalance. To put it simply, stocks with buy imbalances are closing on minus ticks and stocks with sell imbalances are closing on plus ticks. Take AEP, 377,000 to buy, closes down 7 cents on 890,000, or WYE, 749,000 for sale, closes up 13 cents on 1.4 mil. I can cite hundreds of examples from just the last few days. Have the DMM's changed their closing procedures? I haven't read anything about it on the NYSE site. Do any of you guys know what's going on?

thanks!
 
no, nothing's changed on the dmm side. broker's, though, aren't as dumb as they once were.

for a long time, hedge funds/traders were trading ahead of agency brokers that showed their hand early. so now, simply, a lot of times they don't show their hand until the last second, literally. there's a lot of mutual gaming going on now.

because there's no time to post or offset these last second orders, and because a lot of times they can flip the imbalance, the dmm's end up having to clear it in the opposite direction. that's about it. it's very very close to random now and because of that, ends up being pretty efficient on average.
 
Quote from propseeker:

no, nothing's changed on the dmm side. broker's, though, aren't as dumb as they once were.

for a long time, hedge funds/traders were trading ahead of agency brokers that showed their hand early. so now, simply, a lot of times they don't show their hand until the last second, literally. there's a lot of mutual gaming going on now.

because there's no time to post or offset these last second orders, and because a lot of times they can flip the imbalance, the dmm's end up having to clear it in the opposite direction. that's about it. it's very very close to random now and because of that, ends up being pretty efficient on average.
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Hmm... according to NYSE rules, closing imbalances cannot be flipped. As orders that add to an imbalance are not allowed after 3:45...
not that the boys at the NYSE are known for playing by the rules...
 
Quote from eusdaiki:

Hmm... according to NYSE rules, closing imbalances cannot be flipped. As orders that add to an imbalance are not allowed after 3:45...
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that only applies to electronic orders... those rules don't apply to brokers/traders on the floor.
 
Quote from propseeker:

that only applies to electronic orders... those rules don't apply to brokers/traders on the floor.
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Do you know if there's any rules that the brokers at the floor have to comply with regarding the imbalances?
 
Quote from propseeker:

no, nothing's changed on the dmm side. broker's, though, aren't as dumb as they once were.

for a long time, hedge funds/traders were trading ahead of agency brokers that showed their hand early. so now, simply, a lot of times they don't show their hand until the last second, literally. there's a lot of mutual gaming going on now.

because there's no time to post or offset these last second orders, and because a lot of times they can flip the imbalance, the dmm's end up having to clear it in the opposite direction. that's about it. it's very very close to random now and because of that, ends up being pretty efficient on average.
More...

I noticed that at 3:55 most the NYSE imbalances are all switching in the opposite direction of the Reg. Imbalance. It's like someone is flipping a switch at 3:55. Is this time significant?
Is this as you say, the agency brokers showing their hands as late as possible?
 
Commencing at 3:55 p.m., the Order Imbalance Information disseminated by the Exchange data feed will also include d-Quotes and all other e-Quotes containing pegging instructions eligible to participate in the closing transaction.

This may be why the imbalances are switching.

Anyone know where I can get an explanation on the difference between a regular imbalance and a regulatory imbalance?

Thanks!
 
Quote from djclif:

Commencing at 3:55 p.m., the Order Imbalance Information disseminated by the Exchange data feed will also include d-Quotes and all other e-Quotes containing pegging instructions eligible to participate in the closing transaction.

This may be why the imbalances are switching.
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no, then the flip would be visible in the data (@ 3:55), which it's not.

i know traders and brokers on the floor. i'm not guessing about my answers.

do a search for rule 123c orders for reg imb's.
 
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