SpyGate detected 243 programs on the tape Friday which was 52 less than Thursday. Total trade was a bit above average at $38B. There were slightly fewer buys (114) than sells (129) and the imbalance on the whole day was around $2B to the sell-side. Excluding the open and the close (All), the inside day was more bullish with a buy-imbalance of around $700M. The open was a sell of $1B and the close was a sell of nearly $1.4B. The AM had decent action with 7 sells and 12 buys and left a $300M buy-imbalance on the session. Mid-day was lighter zero buys and just two sells and ended with a small sell imbalance. The Final-2 was again active with 22 buys and 12 sells and left $300M to buy on the books. The sell on the close of $1.4B left a short-term bearish note on the day.
Just before 10:00 the sell programs began nipping at the tape and sent the markets lower. After nearly an hour of the bearish action, the buy programs began defending price from going lower and the market rose back up to near the open and then chopped into a 10-point range. The closing action was dominated by buy programs until the actual close which was mildly bearish.
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)