I think you have a very interesting model. But I do not think that you have “confirmed it may be real volume”. I don’t want to sound critical and i have come in kind of late but here is how i see it. at least how my though process is working inside of the frame work of your model. The generalized assumption I am gleening from your method is you are determining the minimum notional amount to move the market. Example the amount of USD to make EUR/USD Close higher than yesterday using the price difference * contract value * multiplier, for a single trader/trade to have made such a move. Again correct me if I am wrong but I am going to continue to take that as how it works for the rest of the post.
You have not found as much “real volume” as you have found a ratio to the order flow required, in notional currency(USD,EUR etc.). Why because we truly do not know how many participants were required to make such a move. However by using your formula we can figure out the MINIMUM required if we assume the market as a SINGLE PARTICIPANT. So your result and the actualized market participation results should be highly correlated and proportional.
Also given the tick volume and data from the spot FX. I recall from my previous research that the data shown there was highly correlated to the futures volume (which is actually executed and determined by an exchange). The score was >.8 which is considered strong. i don’t remember exactly but in the ballpark of .9ish.
So lets put this together. You have determined the minimum notional value to move the currency pair that distance, and calculating the strength and weakness of a given move using that information. Consider what it is your truly measuring? You are measuring the amount of dollars bet on the market going in a specific direction, through actualized trades and market movement. What is that really? ORDER FLOW.
Hypothetical Example: Imagine a market, there are only 2 traders. Trader 1 who buys all day long and Trader 2 who sells all day long. And they Trade until they run out of money to continue. Thus giving us a very simplistic 2 sided market. Now everyday, Trader 1 and Trader 2 receive a random amount of money. So on Day 1 Trader 1 receives 1000 USD and Trader 2 receives 750 USD. They trade and the day comes to a close. Where do you think that market closed for the day?
It closed Up because there was 250$ extra notional dollars on the long side vs the short side. So the short side ends up getting squeezed out. Why? Because Trader 1 could put $250 worth of contracts or trades into the market that Trader 2 could not. Vice Versa for a down day.
This is exactly what you are measuring, the difference in notional value between the buy side and the sell side. It really doesn’t matter if your measuring for 2 traders, 1 on each side. or 10 million traders on each side. Figuring out who has more money, and more ammo is finding the stronger party to place your own bet on.
I hope that made some kind of sense. I know the example is simplistic and not exactly realistic but I hope it illustrates the point.