Recreating third party indicator which is available only on Bloomberg

[eusdaiki]

I couldn't find the reference to IOI's (indications of interest) on the pdf...

I did find this, which gives hints of the formula...

Volume Delta™ Display
Buyers Represents buyers / buying volume in relation to price (GREEN)
Sellers Represents sellers / selling volume in relation to price (RED)

Buyers and Sellers are probably refering to the depth of market field which indicates the number of orders sitting in the queue.
Volume could be either the executed volume, or the volume from the order book.

You take this 2 to form a ratio...

Who knows how they relate this ratio to price.


it should be easy to reverse engineer this if you have a bloomberg terminal with the indicator so that you're able to compare it to your results from raw data.

 

[eusdaiki]

Thanks again eusdaiki. It states "commitment of capital" so i don't think it is volume of executed contracts. This is the order book or depth of the market. My only confusion is how do they calculate or arrive at this? I know that the exchange provides only 5 best bids and 5 best offers. However DTN IQ can give me 10 best bids and 10 best offers. Now here is the question: These bids and offers are changing every second. Say I am looking at a 4 hour bar and default is 5 bars back. So does that mean, I must average the bids of every second going back to 20 hours i.e. 5X4? ??? So my application like Ninjatrader or Tradestation should have the capability to store that much tick bids and asks which no one does. If this is not the average, then what is that line? It has to be some variation of a moving average.

Commitment of capital, may be contracts * face value of the contract? (e.g. taking the globex price?)

 

[Agassi]

Thanks again for your response!

I am convinced that this is the depth of the order book and not the executions. Yes, the next step is to look at the raw data and try to figure out. Good thing about bloomberg is that they have a vast datawarehouse and they save bids and ask sizes going back to 240 days!! That is they save each second the bids or asks change.

It is not the face value of the contracts. This indicator is all about buyers and sellers from the depth of the market also known as order book. How they calculate this is what i am trying to figure out. I am pretty sure it has to be a moving average. I was interested in finding out what other people thougt of it after reading this user manaul.