SpyGate Detection Table: January 3, 2022
SpyGate detected 182 programs on the tape Monday which was 60 more than Friday. Total trade was slightly above average at $37B. There were slightly more buys (98) than sells (84) and the imbalance on the whole day was $7B to the buy-side. Excluding the open and the close (All), the inside day was neutral around $50M. The open was a light sell of $190M and the close was a decent buy of $7B. The AM session was active with 4 buys and 12 sells and left a $376M sell-imbalance on the session. Mid-day was light with 2 sells to one buy and ended with a small sell imbalance. The Final-2 was even at 9 buys and sells and an imbalance of $76M to the buy-side. The decent buy on the close of $7.2B was a good indication of higher prices.
Daily Action
Prices jumped at the open, but the weak SpyGate open (~200M sell) and the small buy on the MOO were good indications that the gap would not hold long and the market ran out of steam in about 10 minutes and dropped to the low of the day. Sell programs tried to sell the rising tape from the lows of the day and before 10:30 the markets turned back lower. A decent buy program around 11:40 started prices back up and the day ended on the highs of the day.
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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) | |
| 16:00 | Closing minute |
