I've been looking for various ways to get more information about institutional trade action. Although weekly COT report is available, it's already outdated by 1 week at the time the report come out every Friday. As a beginner in QF, I am interested in knowing what variables (and other factors) are available for trying to better understand the current (near real-time) market, from the institutional perspective.
Then I came across some proprietary thing called the Institutional Activity Index (IAI), from here. Where they present a graph like this:
Now, this is finally interesting, but I fail to see what kind of ingredients are needed to do such a thing, and if, perhaps, there are already indicators or other openly available tools for getting the data needed to re-create this? As I see it, if it is not reproducible, it's probably just a sales scam.
Question:
(a) What data/information would be needed to get institutional buy/sell order data?
(b) Where would I have to look to get such data?
PS. I am currently focusing on the currency markets.
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