The NYSE specialist must open and close his stock on a balanced print based on how many orders he has to buy and sell. The imbalance of these orders is posted in the premarket and 20 minutes before the close. The closing imbalances are also updated at 3:50 EST. Orders placed to offset the closing imbalances cannot be canceled after 3:40. There are traders following these numbers so it creates increased volatility/volume when the numbers are posted and updated. I think you need to subscribe to the NY Open Book to see these numbers. There is a thread called "Opening Orders - 2009" that has more info on the subject.
I would add to this that NYSE balances come out first at 3:40p, but are now updated continuously until the close (every couple of seconds), at 3:50p it is the Nasdaq closing cross imbalances that are published for the first time.
tschm71448, Are the continuously updated imbalances available to everyone including retail traders? I was under the impression that most traders did not have access to the rolling imbalance data. Thanks for the update either way.
Interactive Brokers will publish NYSE imbalances in TWS continuously, but they are available in TWS only (you need to enter the ticker as NYSE directed, not SMART), not in the API. Also, last time I checked IB will not let you enter imbalance-offsetting orders after 3:40pm, which the NYSE will accept. For Nasdaq imbalances you can get a cheap webbased product at data.nasdaq.com (NOII, Net Order Imbalance Indicator). If you come across a better imbalance datafeed for NYSE stocks and/or a broker that allows imbalance-offsetting orders I would appreciate if you could let me know.
Interesting that IB will not let you post against the imbalance after 3:40. Isn't that the whole point? I don't have any experience trading imbalances at IB, and I'm not really familiar with any third party services that have the imbalance data. I'm going to check out the NOII that you mentioned... could be useful. I don't really want to hijack this thread and turn it into a big imbalance discussion. So fire me a PM if you have any other questions.
Sorry but this kind of answer just makes me uncomfortable. It's not so easy pal. By the time the trend is obvious it's getting ready to reverse and strong trending days are the exception not the rule. The trend is your friend yes, but they do end, and price is volatile enough to make lower lows in uptrends and high highs in downtrends all the time. Again, not so easy, years of chart time required.