The deeper we dig, the more we find.
In regards to this tool we are going to be digging into the order flow.
Therefore we extend our research of the underlying market from simply (x,y) (Price,Volume) to (x,y,z) (Price,Volume, Δ price/ Δ volume) .
Thought :
If we learn to statistically compare Price/volume with previous price/volume executions; we will have great insight on the magnitude of momentum of order flow.
The only obstacle we face is each insturment has various degrees of depths (volume) that will ensue any impact of price action. For instance the TF Russell Small cap 2000 mini futures conclude 10,000 orders as a significant stance of position size. (as of 3/3/2014 on the hourly timeframe), whereas the ES E-mini S&P 500 futures conclude 200,000 as a significant size (hourly timeframe).
Note: The frame of reference (time) is an important factor. We are going to keep this fixed at 1 day intervals and view intra-day APEX diagnostic bars for our study. & then continue to expand on viewing different time periods.
By analysing the level II order flow footprint data we have precise insight on orders in the markets. We have contract volume at a specific price point. Bid & Ask. Orders move the market. We can observe the movement of tics as the energy that is within the markets.
Idea: Our studies would be much more difficult if it were not for this one basic realtionship on all markets. The tic. Each intrument moves in tics. However each tic is weighted differently as per market. Therefore we will first observe the statistical data within each individual market to previous historical moves within this instrument. Once completed we may then move on to compare this data to other instruments and record any similaires and/or patterns that may materialize. Thus, this study will allow us to delve further into the energy within the markets.
If we look at the order flow data in UpDowntic mode, we can now see the relation of contract size (as per market) to the price action tic.
Taking this information into account helps us conclude a new indication that can be further developed upon and lead to great market energy relation insight.
By viewing APEX “high-velocity, velocity, and bar timer” bars we have insight as speed of order flow. By comparing the change in UpDowntic data divided by the change in price action we now have a statistical output of the magnitude of momentum within the desired bar size.
Magnitude of momentum = Δ Cumulative Volumeexpressed in UpDownTic [indent][indent][indent][indent][indent]Δ Price[/indent][/indent][/indent][/indent][/indent]
M = [u](Cum. UpTic – Cum. DownTic)[/u]
[indent] (Price High – Price Low) [/indent]
Please view the attached jpeg showing an example using APEX diagnostic bars (6 tick) of the magnitude of momentum on TF dated 3/24/2014.
Going one step further - if we add the total price movement and average the magnitude of momentum of consecutive bars within the confines of the APEX pattern; we may obtain a deeper perspective of the energy within the full trend.
All comments welcome 
! I hope this study can be utilized in itself as a tool or (more likely) used in contribution with constructive minds to develop a more prominent tool.
