This trade seems to wrork very well. Everyday the NYSE lists all its market on close imbalances at 3:40 PM. The trade is to run in and get on the side of this imbalance as soon as they come out. A computer program will make this easier. Lets say a stock has a buy imbalance of 200,000 shares. The trader has to quickly buy this stock and immmediately put out a market on close sell of these shares and hope that the imbalance causes the stock to spread up. As you do not kno wwhich imbalances will work, a computer program to capture all the stocks or all the stocks with big imbalances will increase your odds. This strategy is particularly useful during options expiration and the quarterly index rebalancing.