2003issue C111
Market-at-close orders, leftover imbalance size, and the ex-dividend pairs open
A market-at-close-order receives the last print with no price limit. An order-book-imbalance print publishes leftover share size, not a price. Editorial reading: a pairs-trading ex-dividend open restates the spread as a cash transfer, so the fill path comes before any signal.
- A market-at-close-order can be sent through the session as a buy or sell with no price limit and receives the last print.
- Close order-book-imbalance figures publish leftover share-count surplus about 20 minutes and about 10 minutes before the close; a preopen-indication reports a price, not a size.
- Open-book air-pockets and brick-walls are brief, live support or resistance; away liquidity-quote size was judged more useful for one institutional clip near 25000 shares than for enveloping.
- A pairs-trading open on an ex-dividend date does not create a free edge: the short-dividend-obligation offsets the expected cash markdown.
Three late prints, not one late scalp
The close can look like a single late window. Editorial reading: treat the last half-hour as three execution filters, not one late scalp. A market-at-close-order locks a last-print fill. An order-book-imbalance print only publishes leftover size. A pairs-trading ex-dividend open restates the spread as a cash transfer.
The first job is to decide which print is fillable. Only then does any of this become a candidate signal.
A last-print fill is not a priced scalp
A market-at-close-order can be sent to the listed specialist through the session. It has only a buy or sell side and no price limit. The instruction receives the last print.
Editorial reading: that last print is the fill. It is not a priced limit working through the final minutes.
Leftover size is not a price
Close order-book-imbalance figures are published about 20 minutes before the bell and again about 10 minutes before the close. They are shown as a share-count buy or sell surplus.
A published close imbalance reports leftover share size after opposite close orders net out. A preopen-indication reports a price, not a size. The two notices are not interchangeable.
A leftover long inventory about 30 minutes before the close can be held until the imbalance print if a large buy surplus is expected to produce a small upward response. The same imbalance data can support other late-session plays.
A single order-book-imbalance print is not treated as decisive. Action waits for a repeated price response to that surplus.
Nearby size is live
On one contemporaneous GE snapshot, the liquidity-quote showed 29.88 bid and 29.98 offer with 11900 bid and 31500 offered. The open-book showed 29.92 bid and 29.93 offer with about 1500 bid and 2200 offered.
Away liquidity-quote size is revised as orders are added or canceled. It was judged more useful for a single institutional clip near 25000 shares than as a stable day-trading or enveloping input.
An air-pocket is a thin stretch of the book with little resting size. A brick-wall is a large resting size at a price. Thin stretches and large stacked size on the open-book are read as brief support or resistance. They were expected to appear similarly on the liquidity-quote, while remaining live and constantly revised.
An ex-dividend open restates the cash
In the AU/NEM pairs-trading example, a 0.51 cash dividend on AU with an August 20 ex-date does not create a free opening edge by buying AU and shorting NEM. The short side pays the dividend. That short-dividend-obligation offsets the expected opening markdown of the same cash amount. The name is expected to open lower by that cash amount.
A dividend-timed pairs-trading open was described as relying only on subsequent market movement. Any trial was limited to small size rather than treated as residual profit.