so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research project we have underway.
Ideally, I am trying to map the volume weighted bid-ask spread through time on the market, however, to my knowledge, Bloomberg doesn't currently compile such fields that would make this easy. To construct it manually is pretty straight forward, grab the bid, ask, and volume tick data for the securities in question, and calculate the volume weighted bid and ask spread. Given the number of data points however, you can understand how data caps would be quickly hit.
Is there some way to write a formula that would run this daily, weekly, whatever calculation on the Bloomberg side before being sent the data as a single cell representing my calculation? Something like an SQL query or something? Or is this not possible?
Thanks for any help!