SpyGate Detection Table: January 5, 2022
SpyGate detected 382 programs on the tape Wednesday which was 148 more than Tuesday. Total trade was over 2x average at $88B. There were slightly fewer buys (183) than sells (199) and the imbalance on the whole day was $3.6B to the sell-side. Excluding the open and the close (All), the inside day was bearish with a sell-imbalance of around $1B. The open was a buy of $121M and the close was a sell of nearly $2.7B. The AM had decent action with 10 sells and 3 buys and left a $415M sell-imbalance on the session. Mid-day was light with one buy and one sell and ended with a small buy imbalance. The Final-2 was ignited by the FED notes release with an even number of buys and sells, 52 vs 51. The buys outmuscled the sells and left a $440M sell imbalance. The sell on the close of $2.7B left a short-term bearish note on the day.
Daily Action
The bots took advantage of intraday volatility on the release of the Fed minutes indicating rate increases sooner rather than later and that put prices into a downward spiral.
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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 |
