Here is a little tool I wrote.
The idea behind it is to identify icebergs, but it is still very experimental. I guess it will probably be most useful in markets like ES or blue chips (if it is useful at all that is...).
It looks at the initial volume on the book when a price level gets hit. Then it collects the volume traded at this price as long as price does not jump away more than one tick. These two numbers (if above the filter size) are then printed to the window. if the price jumps away, everything is reset.
So if price X gets traded first, there is eg 500 on the book, then the prints come through 500 then again 500 another 500...500..500. Someone is refreshing the book there, this will be printed as: 13:28:45(time) (500)(initial book vol) 2500(traded vol) X(price)
84087
If you have any suggestions on how to improve it, please post!