SpyGate Example Dec 23, 2021

SpyGate detected 113 programs on the tape Thursday, which was 6 fewer than Wednesday. Total trade volume was below average at $20B. There were more sells (67) than buys (57), but the imbalance for the whole day was positive, with $4.7B to the buy side. Excluding the open and the close, the inside day was slightly positive at about $165M. The open was a sell of $880M, and the close was a decent buy of $5.4B. The AM session was light, with only 2 programs detected, both sells, leaving a $74M sell imbalance for the session. The mid-day session had 2 buys and 1 sell program, resulting in a net $13M to the buy side. The final-2 had an equal number of buy and sell programs (4) and ended the session positively at $90M. The strong close was bullish for the next session.

Daily Action

Despite a negative open indication from SpyGate, prices shot higher out of the gate, with the mid-day session mostly choppy. The 15:50 reveal put in new market highs on the ES contract on a positive MOC imbalance. That spike high led to an exit in the closing minutes that saw 15+ points erode off of the ES. The close itself, under the skins, was quite positive, though, with plenty of takers.

SpyGate is free to members of our trading community. Join Us: MiM

Check out how the market on close looks on our Market Imbalance Meter (MiM).

What is an STTProgram trade?

SpyGate detects several different types of program trades. An STT program is a simultaneous triggered trade. The detector looks for a basket of symbols trading at the same time. The price action around these detected trades helps us deduce if the program was a buy or a sell. Our detector reports the number of symbols in the trade, the number of individual trades executed, and the dollar amount of those trades.

What is SpyGate?

SpyGate is a proprietary tape reader that analyzes price action on all the exchanges and sniffs out unusual trades. The detector follows price action and accumulates adaptive knowledge using Machine Learning (ML) and Artificial Intelligence (AI) to recognize algorithms and program trades as they execute. The first implementation detects STT Programs (Simultaneously Triggered Trades). These basket trades execute thousands of transactions in milliseconds. The transactions are in millions of dollars. This product is under heavy development and is currently available free for our traders in our Trade Chat trading room along with the MiM and live breaking news. You can join us by purchasing a subscription to the MiM.

What are the Intraday Trading Sessions?

To fully understand how the bots are trading, we have broken down each trading day into sessions. These sessions overlap sometimes, but they feed into our ever-increasing datasets for our AI and ML training. These sessions are defined as::