SpyGate Detection Table: January 13, 2022
SpyGate detected 349 programs on the tape Thursday which was 133 more than Wednesday. Total trade was above average at $55B, slightly above Wednesday, and well over the $32B average. There were about the same number of buy and sell programs, 174 vs 175, but the imbalance for the whole day was $11B to the sell-side. Excluding the open and the close (All), the inside day was slightly bullish with a buy-imbalance of $400M. The open was a sell of $342M sell and the close was a sell of $11B. The AM had some action with 8 buys and sells and left a small $26M sell-imbalance on the session. The mid-day was active with 20 buys and 8 sells. That session left a $550M to the buy-side. The Final-2 was about selling again as there were 30 sells to 24 buys and an imbalance of $280M to the sell-side. The bearish sell on the close was a decent $11B.
Daily Action
Trend down day and the mid-day buyers got smoked. The close was not good but the MOC was surprisingly a bit bullish. We would expect this to turn higher in a couple of trading days. Monday is a holiday so no SpyGate or MiM.
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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 |
