SpyGate ended the day Monday with 84 program trades detected but we had an outage of about 30 minutes around 15:00 so can’t read too much about size and buy/sell lean in today’s data.
A medium-sized buy program was our first bot trade at 9:48:10 ET. This program had 305 symbols of the S&P 500 trade in about 5.1K trades for a notation value of $98M. The ES futures had a nice 6-point ride up from there. All was quiet in bot land in the morning and the market wake up was a massive buy program at 13:01, trading $235M worth of stock. The ES rose another 6 points from there into the first small sell program which was followed by all buy programs in the last 10 minutes of the day.
Price Action During Program Trades
Starting during the Final-2 hours, two buy programs fired, one at 14:00 and one at 14:13, and continued the upward momentum of the large program that fired at 13:00. At 15:00 one last buy program fired before we lost our detector through the crucial closing hour. A very bullish close with a decent market on close imbalance.
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 ( Simulatanousely Triggered Trades). These basket trades execute thousands of transactions in miliseconds. The transactions are in millions of dollars. 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.