SpyGate detected 113 programs on the tape Thursday which was 6 less than Wednesday. Total trade was below average at $20B. There were more sells (67) than buys (57) but the imbalance on 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, and left a $74M sell imbalance on the session. The mid-day session had 2 buys and 1 sell program for 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 into the next session.
Despite a negative open indication from SpyGate, prices shot higher out of the gate with the mid-day session mostly chop. 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 on 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
SpyGate detects several different types of programs 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:
Time Of Day
09:30 => 16:00
09:31 => 15:59
ALL (Excludes the open and the close)
Open (only the opening minute)
09:31 => 12:00
AM Trading session
12:00 => 14:00
14:00 => 15:49
Final 2 hours (excludes the last ten minutes)
MOC Reveal (trading around the MOC release)
Dquotes (trading around Dquotes release)
15:50 => 15:59
Final 10 minutes (actually 9, does not include the close)