Interesting Stanford paper: http://cs229.stanford.edu/proj2011/BrownMundkowskyShiu -PredictingIntradayPriceMovementsInTheForeignExchangeMarket.pdf Basically, the authors backtested a forex strategy using only the bid and ask sizes at 1 second intervals and achieved a very high predictive ability. They claim a profit of $2800 per day over the 45 period of the test after transaction costs and slippage. I'm wondering, however, where a trader would get forex market depth, since it's a decentralized market. Do any brokers offer this by API? I don't know about forex, but this probably won't work on stocks since "level 2" is no longer accurate given HFT, dark pools and all the tricks MMs use to hide orders.