SpyGate Detection Table: November 29, 2021
SpyGate detected 322 programs on the tape Tuesday which was 8 more than last Tuesday’s. Total trade was well above average at $86B. There were more sells (178) than buys (144) and the imbalance on the whole day was around $24B to the buy-side. Excluding the open and the close, the inside day was negative at about $750M to sell. The open was a sell of around $900M and the close a decent buy of around $25B. The AM session was active with sell programs hammering the buys. The bots quieted down in the mid-day session but were still 3:1 negative. The final 2 hours turned more balanced with buys slightly outnumbering the sell programs.
Daily Action
The sell programs hammered down the tape into morning lows. The mid-day session found buyers pushing into the high of the day. The final-2 hours of closing was mostly chop until the MOC of around $2B was discovered and the market deteriorated into the close to end up near the open for the day.
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Check out how the market on close looks on our Market Imbalance Meter (MiM).
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 |
