The stock market is a platform that connects buyers and sellers of shares, allowing them to trade at fluctuating prices. However, at the end of each trading day, a closing price is determined for each stock. One way traders can participate in this process is by submitting "on close" orders, which are only filled at the close of the trading day. These orders can lead to an imbalance on the buy or sell side, known as a Market on Close (MOC) Imbalance.
When a trader wants to buy shares at the last price of the day, they can enter a buy, sell or limit on close order. A buy-on-close order will be filled at the last price of the day, as long as there is a matching sell-on-close order in the system. Limit buy or sell orders can only be filled if the closing price is at or better than the set limit price and there is an opposing "on close" order that can be paired to the limit order. On-close orders can be withdrawn up until 15 minutes before the stock exchange closes.
To address this, one hour before the stock market closes, the New York Stock Exchange releases a closing imbalance report, which shows if there are more sell-on-close orders than buy-on-close orders for a particular stock. This report is released to attract orders on the opposite side of any imbalance, so as many "on-close" orders as possible can be filled when the exchange closes for the day.
If an imbalance exists on a stock, the stock exchange will only accept the opposite type of on-close orders during the final minute of the market day. For example, if there is a close sell imbalance, only buy-on-close orders will be accepted up to the number of shares counted in the sell imbalance. The stock exchange aims to minimize or eliminate imbalances when the market closes by matching as many on-close orders as possible.
A MOC sell imbalance can indicate an oversupply of sellers, which can put downward pressure on share prices. As the end of the trading day approaches, a MOC sell imbalance may signal that the stock price will end the day at a lower price than the current trading value. However, It is important to note that MOC imbalances are not a guarantee of a price move and should be considered in context with other market indicators.
I tend to use $2B+ as a large imbalance indication.