Here’s a riddle: Suppose you want to measure the impact of OI on price movement, but unlike intraday trading you have no insight whether a trade was initially bought or sold by a dealer. How would you gauge the bot/sold distribution?
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I discussed this approach in another subthread, and it becomes correct eventually**, but isn't really an efficient approach (and also relies of course on correct intraday assignment).
I don’t know how you expect to get an idea of dealer positioning *without* going to trade data.
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You have so many unknowns here that any answer you get out will be more a function of your assumptions than of the data. So if you happen to have the right assumptions, great - but if not, the answer you get will be junk.
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