Disliked{quote} Good points katrooo. I was going to post something on this but decided not to bother, then I saw your post. HFT is more and more moving bid ask prices on micro timeframes without any order flow. This can be seen by studying the book on a futures contract such as the grains or gasoline on the overnight session. The flash crash in stocks happened with very few orders getting filled. HFT firms continued to cancel orders all the way down ahead of customer orders. The news example in FX is probably the best recurring example of how low order...Ignored
PS... I better be careful here as it appears you are getting your large sample sizes over a far shorter timeframe that is more relevant to current price which would be a better confirmation tool of immediate price action. I am assuming that the duration between trades carries with it important information such as available liquidity on which HFT sampling could be used to great effect. Furthermore important information such as whether the trade was buyer initiated or seller initiated probably could be deduced from HFT sampling.
Even when I was trading stocks and had access to market depth available through central exchanges, the art of forecasting future price movement by determining where liquidity was most likely to move was a nebulous one and a moving feast as off-market and market transactions would continuously interrupt the logic being applied even with access to depth. I had to give up and look for more statistical methods to gauge likely future direction.