I know floor brokers get their first MOC imbalance data 2 hours before the close, however for retail traders it's mostly available much later in the day, often only 10 minutes before the close. Does anyone know where retailers might be able to get their hands on MOC imbalance data as early as 2 pm ET, 2 hours before the close?
MOC orders need to be submitted by 3:50pm so any trades planned in advance of that would be based on incomplete information.
Are you automated and need to consume it through an API or just in a window on your platform? I can check tomorrow and see what time the Imbalance window in Lightspeed starts. But it is just for display and not feed though the API.
The imbalance is continuously updated from 2pm right until the close so it's far from incomplete if you have the right data. Only looking at the MOC data at 3:50 pm is incomplete since one doesn't know how the imbalance started, became bigger or smaller and how it developed throughout the day.
I don’t know if that’s true. Do you have any sources? If the client sends MOC orders directly to a particular floor broker, I assume the broker would not distribute this information until regulatory time and may be not at all. NYSE probably has rules for floor brokers published somewhere.
It's the NYSE that provides the MOC data to the floor brokers. https://www.nyse.com/article/nyse-closing-auction-insiders-guide
Hi all. I just turned on my Lightspeed Trader at about 5:30am est. I see Buy and Sell imbalances feeding into the Order Imbalance window. I will check again this afternoon after 2pm.