Stock Order Imbalance
An order imbalance is the gap between the buy and sell orders waiting for an auction, most often the closing auction at 4:00 PM ET. Our free Stock Order Imbalance report lists the closing imbalances for the stocks we track - the side, the shares and the dollar value, each stock once a day by its last closing imbalance - for the latest five trading days; its History, for members of any Premium plan, adds up each day's buy and sell imbalances.
What is a stock order imbalance?
US stocks open and close the regular session with an auction: the orders sent in for the open, or for the 4:00 PM ET close, are matched at a single price. Before an auction the exchange publishes how many shares are waiting on each side. When there are more shares to buy than to sell, or the reverse, the gap is an order imbalance. Publishing it invites other traders to send orders on the other side, so the auction can match at a fair price.
Most attention goes to the close. Market-on-close (MOC) orders - orders to trade at the official closing price - come from index funds, ETFs, mutual funds and other investors who value or rebalance their holdings at the close, so closing imbalances can be large, especially on days when indexes rebalance. A big imbalance can push the closing price, but it often shrinks or flips as offsetting orders come in.
How we build the report and its History
- From our market data feed. We save each order imbalance message our real-time feed delivers for the stocks we track, every few seconds as they come in.
- One row per message. An imbalance is updated again and again until the auction, so a stock can have several rows in a day; Time shows when each message was published.
- Type. Buy On Close and Sell On Close are imbalances in the orders waiting for the closing auction. Buy Side and Sell Side are imbalance messages not marked for the close, and Clear or Clear Closing means the exchange reported no imbalance.
- Dollar value. The stock's last trade price when the message came in, times the imbalance shares: Buy Notional or Sell Notional.
- Five trading days. A date strip shows the day you picked and the four trading days before it, each with how many Buy On Close and Sell On Close imbalances it had and the total shares and dollars on each side. The report opens on the latest day with a closing buy or sell imbalance; View Another Date goes further back.
- Refresh. In the minutes around the 4:00 PM ET close the report reloads about once a minute; at other times of day, about once an hour.
- History. The Order Imbalance History adds up each day's messages: on the buy side and on the sell side, how many, the shares and the dollar value, and the net - buy dollars minus sell dollars - with a 20-day or 50-day moving average.
An imbalance shows orders waiting for an auction, not where the price will end up. It is not a buy or sell signal.
What you can find out
Where can I see today's MOC imbalances?
On the Stock Order Imbalance report: rows of type Buy On Close and Sell On Close are the market-on-close imbalances, with the shares and dollars on each side and the time of each update. The date strip totals the day. Open the Stock Order Imbalance report
Which stocks have the largest buy or sell imbalances?
Sort the table by Buy Notional or Sell Notional to rank by dollars, or by Buy Volume or Sell Volume to rank by shares. Dollars compare better across stocks with very different prices. What each column means
When are closing auction imbalances published?
Exchanges publish closing imbalance information in the last minutes before the 4:00 PM ET close and update it until the auction. We save each update as our feed delivers it, and the report reloads about once a minute around the close. How the auction itself went - its price and the shares that crossed - is on the Closing Auction report. How the auction reports work
Has a stock had closing imbalances before?
Type the symbol in Historical Imbalances for Symbol, above the report, for the imbalances we have saved for that stock: the date, the type, the price, the shares and the dollar value. This view is for members of any Premium plan. Who can see what
Is money flowing into or out of stocks at the close?
The Order Imbalance History charts each day's net closing imbalance in dollars - buy minus sell - with its 20-day or 50-day moving average, over the last 20 trading days, one year, or all the dates we have. Filters narrow it to your watchlist, an ETF's holdings, a stock type or a market cap. It measures orders waiting for the close, not fund flows.
Where to find it
Menu: Stocks › Features › Stock Order Imbalance, or go straight to /Reports/StockOrderImbalanceReport. The History is under Stocks › For Premium Users › Reports › Order Imbalance History. The auctions themselves are under Stocks › Non-Regular Hours: the Opening Auction and Closing Auction reports.
The Stock Order Imbalance report is free: everyone sees each day's imbalances, symbols included, and can pick other dates. Members of any Premium plan can also download the table, look up a stock's imbalance history, and use the Order Imbalance History; everyone else sees a sample of the History chart.
What each column means
| Report | Column | What it shows |
|---|---|---|
| Imbalance | Time | When the imbalance message was published |
| Imbalance | Type | Buy On Close, Sell On Close, Buy Side, Sell Side, Clear or Clear Closing |
| Imbalance | Stock Price (at Time of Imbalance) | The last trade price when the message came in |
| Imbalance | Buy Volume, Sell Volume | The imbalance in shares, on the buy or the sell side |
| Imbalance | Buy Notional, Sell Notional | The imbalance in dollars: shares times the stock price |
| History | Buy Side, Sell Side: Count, Volume, Notional Amount | For each day, how many stocks had a closing imbalance on that side - each stock counts once, by its last closing imbalance - and their shares and dollars |
| History | Net Notional Amount: Daily, 20-Day Moving Avg | Buy dollars minus sell dollars for the day, and its average over the last 20 days in the history |
FAQ
- What is a market-on-close (MOC) order?
- An order to buy or sell at the official closing price, filled in the closing auction. A limit-on-close order does the same, but only at its limit price or better.
- Does a buy imbalance mean the stock will close higher?
- Not necessarily. Imbalances are published so other traders can offset them, and they often shrink or flip before the auction. They show orders waiting for the close, not where the price will end up.
- Why are some closing imbalances so large?
- Index funds, ETFs and other investors who track the closing price trade at the close, and their orders bunch up on days when indexes rebalance.
- Why does a stock appear several times on one day?
- Each row is one imbalance message. The exchange updates the imbalance as orders come in, and we keep each update with its time.
- How can I limit price risk around the close?
- A limit or limit-on-close order caps the price you trade at; a market or market-on-close order fills at whatever price the auction sets.
- Who can use the report?
- Everyone can use the Stock Order Imbalance report. Members of any Premium plan can also download it, look up a stock's imbalance history and use the Order Imbalance History.
Related
Opening and Closing Auctions Premarket Trading Report Unusual Stock Volume Market MoversTerms on this page
Market-on-close order Closing auction Limit-on-close order Notional Moving averageMarket Chameleon provides data, not investment advice.