SpyGate Detection Table: December 31, 2021
SpyGate detected 122 programs on the tape New Year’s Eve Friday which was exactly the same number as Thursday. Total trade was larger with $34B traded which was around average size. There were slightly more sells (62) than buys (60) and the imbalance on the whole day was $3.3B to the sell-side. Excluding the open and the close (All), the inside day was slightly positive at about $511M. The open was a light sell of $312M and the close was a decent sell of $3.5B. The AM session was light with only 1 buy and 1 sell program detected and left a $4.3M buy-imbalance on the session. There were no mid-day program trades detected. The final-2 was a bit more bullish with seven buy programs and no sell programs and left an imbalance of $403M. The negative close was bearish looking forward.
Prices jumped at the open and then chopped around with a slight negative downside trend. The early low was put in around 10:00 and then retested around 12:20. From the retest the market shifted its chop higher giving up price at the close.
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What is an STTProgram trade?
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||Session|
|09:30 => 16:00||Total|
|09:31 => 15:59||ALL (Excludes the open and the close)|
|09:30||Open (only the opening minute)|
|09:31 => 12:00||AM Trading session|
|12:00 => 14:00||Mid-day session|
|14:00 => 15:49||Final 2 hours (excludes the last ten minutes)|
|15:50||MOC Reveal (trading around the MOC release)|
|15:55||Dquotes (trading around Dquotes release)|
|15:50 => 15:59||Final 10 minutes (actually 9, does not include the close)|