SpyGate detected 344 programs on the tape Friday which was 185 more than Friday. Total trade was well above average at $43B. There were more sells (195) than buys (149) and the imbalance on the whole day was around $6B to the sell-side. Excluding the open and the close, the inside day was negative at $1.4B to sell. The open was a strong sell of around $3B and the close was a weaker sell of around $1B. The AM session was very active and balanced. In the mid-day session, the bots quieted down but were also balanced.
The high came in early from a stampede open and was established around 10:00 where prices began to weaken. A large sell program fired off around 11:47 and took all the morning gains away and closed the gap. Price rose without much help from programs to the 15:00 highs where the closing rumor of a large sell coming sent the tape to the day’s lows on the close.
SpyGate is free to members of our trading community. Join Us: MiM
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
09:30 => 16:00
09:31 => 15:59
ALL (Excludes the open and the close)
Open (only the opening minute)
09:31 => 12:00
AM Trading session
12:00 => 14:00
14:00 => 15:49
Final 2 hours (excludes the last ten minutes)
MOC Reveal (trading around the MOC release)
Dquotes (trading around Dquotes release)
15:50 => 15:59
Final 10 minutes (actually 9, does not include the close)