SpyGate on Monday detected 166 STT program trades, that is 500 less than the day before. This is a normal day of trading. Sells were larger than buys resulting in a small deficit of $431M to the sell-side.
Sell Programs dominated the morning trades, although the activity was quite light. After hitting the AM low around 10:20 the markets climbed to the day’s high right at high noon. On the way up at 11:32 opposing program trades fired around the 4174 ES level. The AM high drifted down into 13:00 where it turned around and drift back up into sporadic sell programs around that 4174 area again. The closing MOC trade looks to have started around 15:00 as activity picked up. Sell programs just before 15:00 send the tape lower hitting an afternoon low around 15:20, thirty minutes before the 15:50 MOC reveal. The tape drifted higher an one minute before the reveal sell programs fired at 15:49 and set the tape lower. The close was a drift up into 4160 area.
Keep that 4174 on the radar.
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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.