SpyGate Detection Table: January 10, 2022
SpyGate detected 349 programs on the tape Monday which was 106 more than Friday. Total trade was a way above average at $87B. There were slightly fewer buys (160) than sells (189) and the imbalance on the whole day was around $4B to the sell-side. Excluding the open and the close (All), the inside day was less bearish with a sell-imbalance of around $300M. The open was a sell of $90M and the close was a sell of nearly $3.8B. The AM had decent action with 23 sells and 9 buys and left a $88M sell-imbalance on the session. Mid-day active also with buys coming in (21) vs just six sells and ended up the session just shy of $1B to buy. The Final-2 returned to bearish with almost 60 sell programs to 30 buys and left $1B to sell. The sell on the close of $3.8B left a short-term bearish note on the day.
Daily Action
Early selling took the markets down to the 11:00 lows. Once the buy programs began firing the tape recovered all the loss. The final-2 hours attempted to sink the tape again but trapped shorts took prices higher all the way into the close.
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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 |
