In "Steidlmayer On Markets" 2nd edition (2003),
Steidlmayer talks about
OFI (On-Floor Information) as an indicator for trading the first three time
periods for the following day. If OFI for the previous day is <1.0, then we
should consider going short the next morning, and if OFI > 1.0, long.
The formula for calculating OFI was simply:
OFI = AVG SIZE OF FILLED BUY ORDERS/AVG SIZE OF FILLED SELL ORDERS
However, in an interview with Active Trader Magazine in the September 2005
issue, the formula for On-Floor Information was a bit different:
OFI= (Bought contracts/buy orders) / (Sold Contracts/Sell Orders)
The resulting OFI figures can be quite different when we factor in the number
of contracts entered in the limit order book
(the divisor in the second formula above).
In my casual empirical observation of OFI figures and the next morning's move
in KOSPI200 futures, OFI doesn't seem to be a good predictor in this
market.
My question is- does anyone else use OFI in their trading, and which method
do you use to calculate the OFI figure?
Cheers from South Korea,
Jun
(I apologize for starting a new thread as a newbie...)