We ended the day with 245 program trades detected, which is a good amount, but they all came in the afternoon. While the number of buy programs and sell programs was pretty much even, the sell programs were much larger in size with $16B more to sell than buy.
Price Action During Program Trades
The first detected program trade past the open executed at 9:50:02 ET, trading 322 symbols in 6.5K different trades for $98M. No sell programs were detected all morning and between 12:00 and 14:00, no programs at all were detected. For the “Final-2” hours starting at 14:00, the bots became active with the 14:00:08 trade foreshadowing a possible selling closing imbalance. Into 15:50 when the MOC is released we had only 23 programs all day, which means we had over 200 programs fire on the close.
A barrage of programs fired off starting at 15:00 ET and continued into the close. For more details around the Market On Close, you can see our MiM daily report.
What is an STTProgram trade?
SpyGate detects several different types of programs trades. The STT progam is a simultaneous triggered trade where a broad number of symbols trade at the same time with considerable dollar volume. As the trades are detected, the price action around the trade 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. This detector follows price action and accumulates adaptive knowledge using Machine Learning (ML) and Deep Learning Artificial Intelligence (AI) to deduce algorithms and program trades as they are executing. The first implementation detects STT Programs ( Simulatanousely Triggered Trades). These trades are in the many thousands and millions of dollars and are executed all at once on many different symbols. This product is under heavy development and is currently available free for our traders in our TradeChat trading room along with the MiM and live breaking news. You can join us by purchasing a subscription to the MiM.