Definition
#Measures the rarity of current buy-side execution count in the active rolling window relative to the historical buy-count baseline.
Formula & calculation
#(Live Mean Buy Trades - Historical Mean Buy Trades) / Historical StdDev Buy TradesUnits & range
Z.
Interpretation
#Higher values indicate the number of buy-side executions is unusually elevated.
Practical usage
#Useful for detecting abnormal buy-side execution frequency.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Ignoring whether those additional trades are actually meaningful in size.
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.