SpyGate Detection Table: December 29, 2021
SpyGate detected 113 programs on the tape Wednesday which was 5 less than Tuesday. Total trade was below average at $25B. There were more sells (57) than buys (46) but the imbalance on the whole day was positive due to a strong close leaving a daily imbalance of $4B to the buy-side. Excluding the open and the close (All), the inside day was slightly positive at about $135M. The open was a light buy of $101M and the close was a large buy of $3.9B. The AM session was light with only 3 programs detected, two buys and one sell, and left a $23M sell-imbalance on the session. The mid-day session had just 1 sell program for a net of $24M to the sell-side. The final-2 had three of each but came out positive at $150M. The positive close was good for the bulls for follow-through.
Prices were hit with a sell program after 10:00 that put the low of the day in. Not much bot action intraday as the tape rose to new highs but sold off into the close as some selling came in at 15:55.
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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)|