SpyGate Detection Table: January 6, 2022
SpyGate detected 295 programs on the tape Thursday which was 77 less than Wednesday. Total trade was above average at $48B. There were slightly fewer buys (143) than sells (150) and the imbalance on the whole day was $5B to the sell-side. Excluding the open and the close (All), the inside day was bearish with a sell-imbalance of around $331M. The open was a sell of $655M and the close was a sell of nearly $3.8B. The AM had decent action with 19 sells and 13 buys and left a $438M sell-imbalance on the session. Mid-day was lighter four buys and six sells and ended with a small sell imbalance. The Final-2 was again active with 25 buys and 27 sells and left $200M to sell on the books. The sell on the close of $3.7B left a short-term bearish note on the day.
Markets tried to rally out of the open buy a sell program on a spike high put it prices into a tailspin and the low of the day was put in around 10:10. Buy programs were all over the lows and prices came back up over the open. The markets moved up and down in a decent 20 point chop until the close which lacked any real MOC. The bot action all day was mostly bearish.
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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 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)|