I've thought of this strategy a whiel ago but never really had the chance to implement. For forex, obviosuly we can't use volume as noone has the total volume being shifted globally. You can look to the volume on the futures exchange but that again will not always be representive of what is happening in spot. The best way of achieveing an indicator like this would be if you have bloomberg. Via the aPI wou can set up a link with real time quotes for any number of securities. So if you subscribe to EURUSD, you will receive a price from bloomberg for every tick from any of their pricesources (of which there are loads). A good example of this (which is unlikely to be tradeable) would have been a few weeks ago when the white house was evacuated. IBFX prices were trundling along with the usual 1 tick per second then suddenly bloomberg prices started going wild as all the price sources are pushing through new quotes. You woudl have had a split second to get a trade in on ibfx before they caught up.