SpyGate Detection Table: January 11, 2022
SpyGate detected 349 programs on the tape Tuesday which was 136 less than Monday. Total trade was above average at $44B (half of Monday’s). There were slightly more buys (114) than sells (109) and the imbalance on the whole day was around $8B to the sell-side. Excluding the open and the close (All), the inside day was less bearish with a sell-imbalance of around $221M. The open was a sell of $582M and the close was a sell of nearly $7.6B. The AM had decent action with 25 sells and 12 buys and left a $600M sell-imbalance on the session. The mid-day was light only with two sells and no buys. That session left just 55M to the sell-side. The Final-2 was more balanced with 15 buys and 11 sells and an imbalance of just $99M to the sell-side. The sell on the close was a decent $7.5B and left a short-term bearish note on the day.
Daily Action
The open was bearish following and Monday’s closing sell. A buy program kicked in toward 11:00 and off we rode on the road of recovery. All those early shorts were trapped and the narrow exit door lead to a short squeeze on the close.
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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 |
