SpyGate Detection Table: December 22, 2021
SpyGate detected 119 programs on the tape Wednesday which was 71 less than Tuesday. Total trade was below average at $27B. There were slightly more buys (62) than sells (57) and the imbalance on the whole day was small around $44M to the buy-side. Excluding the open and the close, the inside day was slightly positive at about $44M. The open was a small sell of $219M and the close was a small buy of $110M. The AM session was negative with only 2 buy programs compared to 7 sells and left a $300M sell imbalance on the session. The mid-day session had only 1 sell program for 100M. The final-2 had 7 sells to 4 buys buy ended the session positively. The takeaway on the day was light action all around.
Daily Action
The early tape wanted to go higher despite the efforts of some decently sized sell programs. The afternoon went sideways to slightly down, but after 14:30 the fate of the shorts was cast and trapped as we had a decent buy imbalance for the market-on-close orders and like yesterday prices ended on the high of the day.
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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 |
