Trading the Market on Close strategy ?
- Thread starter wercurna
- Start date
I don't know where you can get it for free, but the Bloomberg Terminal news dispenses the information, and AT Financial News also has the info.
Redi has market indications for opening and closing.
You don't need to put in MOC orders as previously stated, I usually wait for the bell to ring on CNBC and will wait about 2 seconds before sending a MARKET order in. It is usually a decent fill, of course there are the times when you're filled and then seconds later the spec spreads it up .30 or .40 higher w/o you.
You don't need to put in MOC orders as previously stated, I usually wait for the bell to ring on CNBC and will wait about 2 seconds before sending a MARKET order in. It is usually a decent fill, of course there are the times when you're filled and then seconds later the spec spreads it up .30 or .40 higher w/o you.
The point of this thread is to discuss how to play imbalances at the close of the day. In order to get the final price, you have to do an MOC order by 3:53. On every other stock, that doesn't have an imbalance, I agree, you'll get pretty much the same price if you go market at the bell. Plus, there's no reason to do an MOC order unless you're leaving early on a stock that has no inbalance. Why give up control when you have no reason to.
If I follow what has been said...
a) MOC imbalances cannot be fully gamed except by placing a MOC order. A sell at market order placed at the end of the day will not necessarily be near the actual closing price -- which can only be nailed with a MOC order.
It would be interesting to see what the historical avg. range is between the actual MOC price and the last few ticks. Regardless, after 3:53 if the imbalance reverses you are hosed pure and simple if you placed an MOC order.
b) Since MM's probably do this daily it seems likely that they have worked out how not to get hurt in this situation -- and dare I say it make a quick buck or two.
c) One obvious point is that they already know what both the 3:40 and 3:50 imbalance numbers are before we do. So, they can accumlate/distribute stock and try to move the price prior to releasing this info. I guess I now understand the comment that the imbalance should be 10% or more of daily vol. -- i.e. something larger than the MM is able to deal with on his own in a small timeframe. This would make it a "real" cry for help as opposed to a "come into my parlor" kind of game.
d) So, where is the edge for the retail trader in this situation? Basically, he is trying to stay on the same side as the MM -- good advice in any situation I'd think -- but doesn't really seem to have enough info to do so properly. He is also locked in to the closing trade so he can't bail if the trade goes bad.
e) Has anyone actually tried to backtest this strategy? I guess you would need access to the historical MOC alerts. Is there a historical source for this info?
Thanks to everyone who responded to my questions.
Sam
a) MOC imbalances cannot be fully gamed except by placing a MOC order. A sell at market order placed at the end of the day will not necessarily be near the actual closing price -- which can only be nailed with a MOC order.
It would be interesting to see what the historical avg. range is between the actual MOC price and the last few ticks. Regardless, after 3:53 if the imbalance reverses you are hosed pure and simple if you placed an MOC order.
b) Since MM's probably do this daily it seems likely that they have worked out how not to get hurt in this situation -- and dare I say it make a quick buck or two.
c) One obvious point is that they already know what both the 3:40 and 3:50 imbalance numbers are before we do. So, they can accumlate/distribute stock and try to move the price prior to releasing this info. I guess I now understand the comment that the imbalance should be 10% or more of daily vol. -- i.e. something larger than the MM is able to deal with on his own in a small timeframe. This would make it a "real" cry for help as opposed to a "come into my parlor" kind of game.
d) So, where is the edge for the retail trader in this situation? Basically, he is trying to stay on the same side as the MM -- good advice in any situation I'd think -- but doesn't really seem to have enough info to do so properly. He is also locked in to the closing trade so he can't bail if the trade goes bad.
e) Has anyone actually tried to backtest this strategy? I guess you would need access to the historical MOC alerts. Is there a historical source for this info?
Thanks to everyone who responded to my questions.
Sam
Quote from ssternlight:
If I follow what has been said...
a) MOC imbalances cannot be fully gamed except by placing a MOC order. A sell at market order placed at the end of the day will not necessarily be near the actual closing price -- which can only be nailed with a MOC order.
It would be interesting to see what the historical avg. range is between the actual MOC price and the last few ticks. Regardless, after 3:53 if the imbalance reverses you are hosed pure and simple if you placed an MOC order.
b) Since MM's probably do this daily it seems likely that they have worked out how not to get hurt in this situation -- and dare I say it make a quick buck or two.
c) One obvious point is that they already know what both the 3:40 and 3:50 imbalance numbers are before we do. So, they can accumlate/distribute stock and try to move the price prior to releasing this info. I guess I now understand the comment that the imbalance should be 10% or more of daily vol. -- i.e. something larger than the MM is able to deal with on his own in a small timeframe. This would make it a "real" cry for help as opposed to a "come into my parlor" kind of game.
d) So, where is the edge for the retail trader in this situation? Basically, he is trying to stay on the same side as the MM -- good advice in any situation I'd think -- but doesn't really seem to have enough info to do so properly. He is also locked in to the closing trade so he can't bail if the trade goes bad.
e) Has anyone actually tried to backtest this strategy? I guess you would need access to the historical MOC alerts. Is there a historical source for this info?
Thanks to everyone who responded to my questions.
Sam
The summary is well written and accurate. I know people, including myself who have have done MOC's. Just like any other trading strategy, alot of research goes into the process, before attempting to do MOC's due to the increased risk of these trades.
In order to be successful with them, you need to know the imbalance size for each stcok that is needed to make it work. In some cases any imbalances will do, in other it could be over 10% avg volume. You have to figure out whether or not to hit the bids and offers as soon as the imbalance comes out, or does the stock tend to gap in the direction of the imbalance on the announcement, and then pull back in providing a better entry point. Remember, even with research, if too many traders chase to capitalize on the imbalance, they could potentially flip to the other side. The one's that work the best, are the one's where there were not enough traders putting in MOC order to offset the imbalance, the specialist is on the wrong side or has to take the stock into his account. That's when you get the biggest pop on the MOC's.
DNA was a good example of an imbalance on Friday, but by 3:50 the imbalance had been satisfied, and some people who chased the stock to get in, got hurt.