SpyGate Detection Table: September 21, 2021
Tuesday’s SpyGate found a total of 206 program trades on the tape which was 123 less than Monday. There were slightly more sell programs than buys. The buys overpowered the sells leaving a $2.5B surplus at the end of the day, most of which came in at the close. Most of the intraday sessions, excepting the mid-day, were positive. Total trade on the day was an average $31B.
Daily Action
It was back and forth action with about even trade on both sides.
Bots pounded the sell-side between 10:00 and 11:00 to drive the tape down to the 11:00 low.
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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 |
