From what i understand about Athena's strategy, they always wanted to execute on the imbalance. They would drive the continuous price in one direction and cover in the cross at an in-/de-flated price.
Setting the sell price of an imbalance only order would basically be like sending a market order and give them the best chance of executed on the imbalance at close.
That's how i understood it, but a few things still don't make sense to me. It sounds like time shifting arbitrage, even if it wasn't pursued with the noblest of intentions.
I've run strategies that participated in the cross but don't know profitable this could have been. They did lose big on this too, which sounds definitely likely if the imbalance moves the other way on you.