The NYSE says “Program trading encompasses a wide range of portfolio-trading strategies involving the purchase or sale of a basket of at least 15 stocks with a total value of $1 million or more.” Obviously, the “or more” language is an understatement. Click on this link to the NYSE statistics and you’ll see that program trading represents about 30% of NYSE volume “or more” and the total for all the exchanges is roughly 60%. For something that is such a huge impact on the market, Program Trading is largely a mystery. Sure, you can hear rumors about big buy or sell orders when everyone is scrambling to explain why the market surged higher or took an unexpected dive. But all that is after the fact and functionally useless for traders and investors. The only research on this topic that I value is from HL Camp and you can find it at www.programtrading.com. Note that this data is not meant for every investor and yet, the impact of program trading affects all of us.  Make sure you read their disclaimer and realize that like all investing, relying on program trade data is not a risk free endeavor.