SpyGate detected 587 programs on the tape Wednesday which was 68 less than Tuesday. Total trade was well above average at $91B. There were more sells (349) than buys (239) and the imbalance on the whole day was around $8B to the buy-side. Excluding the open and the close, the inside day was negative at about $3.2B. The open was a small sell of around $12.4M and the close was a very large buy of around $11B. The AM session was active with buy and sell programs trading off in a balanced way. The mid-day session was still active but with sells out numbering buys 2:1. The final 2 hours were also negative and left a 1.5B imbalance going into the closing 10 minutes.
The tape in the morning was a bit bullish until the high was stuck at 11:15. The buy programs stopped at that point and sells dominated the tape. The closing two hours extended the loss and sell programs dominated 2:1 against the buys.
SpyGate is free to members of our trading community. Join Us: MiM
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
09:30 => 16:00
09:31 => 15:59
ALL (Excludes the open and the close)
Open (only the opening minute)
09:31 => 12:00
AM Trading session
12:00 => 14:00
14:00 => 15:49
Final 2 hours (excludes the last ten minutes)
MOC Reveal (trading around the MOC release)
Dquotes (trading around Dquotes release)
15:50 => 15:59
Final 10 minutes (actually 9, does not include the close)