Something Interesting Revealed by BookMap

[RussWilliamL 21]

I found that some stocks have an interesting pattern of orders being placed just after the open, and then just before the close.

On the open, it appears that orders are hitting the books from the "inside out".  This would seem logical from a data standpoint.  The book would show the closest-to-the-price orders first (from any "day" orders placed prior to the open).

However...

On the close (just a couple of minutes before the close) orders hit the books from the outside in... and then just after the bell, the orders all cancel from the inside out.  From a data standpoint, orders canceling from the inside out makes sense.  The books need to be cleared of the day-only orders closest to the price first.  But what about those orders jumping in there at about 15:57:30?

Not all stocks have these patterns.  And I haven't found any correlation between which will have the pattern and which won't.  I've checked Volume, Price, ATR, etc.  It does seem that it is always the same stocks that show this pattern.

Anyone have any ideas what is going on? 

I suspect it is Institutional Traders or a few "big players" with an algorithm.  In the 15:57:30 - 16:00:00 range I can see this happening four separate times on the heatmap below.  On the close, the difference before and during the pattern on the ask side is 164k shares, with 94k shares difference on the bid side.

Screenshots of NVDA from today enclosed as an example.

 

Best, 

Russell Landwehr 

[Paul aka Aurbano 83]

Have a look at this interesting read about the imbalance reports before the close... Some experienced traders use them to predict (or at least try) the move of the price towards the close bell and earn a few bucks 🙂 

https://finance.zacks.com/definition-close-buy-imbalance-stocks-10879.html