I do not think this is right. A better way to see order flow and the various competitions between market participants is with IB 5 second charts because the volume bars show the peeling and adding as Globex trades occur. My problem is that I am a philosophical type that needs a theory. Here is my probably wrong and delusional theory. The various market particpants in say ES are not algorithms because no data analysis program can adjust to suble pattern similarities well and fast enough (in the 1970s James Lighthill called this combinatorial explosion). The various seemingly random trades are either just fast human key pressers or semi automatic trade entry where a trader flips a switch and maybe is attempting to emulate a random number generator. My evidence for the existence of this is this Chat with Traders interview: Will anyone admit their job is HFT program switch flipper?
I started out scalping Bond futures. There is so much “spoofing”, flipping, order-crossing and gamesmanship going on with electronic order books that only a fool would try to interpret anything from depth-of-market. All you need to scalp ZN is to understand how highly correlated markets (both positive and negative) drive fixed income order flows. Have up an ES book, Gold, Dollar Index, and the on-the-run cash ten year. If you are trading during European business hours - pull up a Bund order book. You’re welcome.