Any speculation as to why ES at 3:50PM US_Eastern every session makes a decent move in the first 5 seconds or so past 3:50?

deacoes 

Any speculation as to why ES at 3:50PM US_Eastern every session makes a decent move in the first 5 seconds or so past 3:50?

my guess would be either an algo playing the close or large traders having to close position. Maybe one of the ex pit guys will see this and chyme in if this is something related.

I looked at the past 10 days and it all shows a decent spike that in almost every case is trade able, you could almost take this trade at 350.

good find, curious how did you notice this?


-P

I am not sure but some possible ideas would be (1) index fund rebalancing (i.e. for 2x leveraged funds) or funds programmed to rebalance periodically, (2) algorithmic traders programmed to trade on the close and operating on a 10 minute bar chart, or (3) leveraged day traders required to close positions. In addition, some large funds may treat the close as more representative of the fair value because the liquidity is higher. So, they may wait to make their move during this period.

deacoes 

Any speculation as to why ES at 3:50PM US_Eastern every session makes a decent move in the first 5 seconds or so past 3:50?

MiniP 

my guess would be either an algo playing the close or large traders having to close position. Maybe one of the ex pit guys will see this and chyme in if this is something related. I looked at the past 10 days and it all shows a decent spike that in almost every case is trade able, you could almost take this trade at 350. good find, curious how did you notice this? -P

It's not necessarily huge volume but just a LOT of trades, as in page upon page of 1-ies and 2-ies mixed in with some decent size. Every session like clock work. I don't think it is trade-able. What you are seeing is the candle being repainted. Take a look at time and sales, it pops, gaps, retraces with the first 5 secs. Some days a few mins past it looks like just any candle. It's a huge trap for any serious scalper. There is another at 3:55 but it is tamer since the orders flying by are larger size. The 3:55 is end of day business for sure.

Most recent data compiled by my trading partner:

Date Direction Ticks(first 5secs)
06/12/18 Up 7
06/13/18 Down 5
06/14/18 Down 7
06/15/18 Sideways 8
06/18/18 Down 7
06/19/18 Up 8
06/20/18 Sideways/Down 11
06/21/18 Down 6

3:50 is when NASDAQ releases closing imbalance figures for the closing auction. Take a look at the NQ during this time, the moves are far more exaggerated. Beware, if you're going to attempt to trade or hold across this event, the book is often swept so orders are likely to experience severe slippage.

deacoes 

Any speculation as to why ES at 3:50PM US_Eastern every session makes a decent move in the first 5 seconds or so past 3:50?

Didn't know that, but Ill take a look, Id imagine many are closing out there positions and not holding overnight

TDRscalper 

Didn't know that, but Ill take a look, Id imagine many are closing out there positions and not holding overnight

It's the daily rebalancing before the market closes.

It's when Big Boys rebalancing and hedging at MOC=Market On CLose.
I learned about it from [email protected]

"Accumulation of the MOCs.
At 3:45 pm ET, the NYSE broadcast the stock imbalances for the pending MOC order. For us MiM traders, we refer to this time as the Reveal. For the previous hour and a half, we have been predicting how this number will look by adding up early imbalance indications which only become real orders and announced at that time. "

However, I started tracking at 3pmEST when Bond Market Closed to see which direction Bond traders push last hour of trading in ES Market...


Enjoy!
TraderTS

hello, it seems this 3:50 trade volume increase and price action disappeared. Has anyone an idea why?