Definition
#Measures the average notional value per individual execution in the current rolling window.
Formula & calculation
#(Accumulated Total Volume + Live Tick Volume) / (Accumulated Total Trades + Live Tick Trades)Units & range
$.
Interpretation
#Higher values indicate executions are arriving in larger average notional size.
Practical usage
#Useful for filtering out windows dominated by very small execution sizes.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Applying one universal threshold across markets with very different size distributions.
Timeframe note
#This metric applies to rolling windows such as 5m, 15m, and 60m. The underlying definition stays the same; what changes is the time horizon used to measure it. Shorter windows react faster, while longer windows smooth noise and emphasize broader structure.
5m
Faster response to fresh changes in activity and short-horizon structure.
15m
Balanced view between responsiveness and persistence.
60m
Broader context that is slower but more stable.