Definition
#Measures the rarity of the current average buy trade size in the active rolling window relative to its historical buy-side baseline.
Formula & calculation
#(Live Mean Buy Trade Size - Historical Mean Buy Trade Size) / Historical StdDev Buy Trade SizeUnits & range
Z.
Interpretation
#Higher values indicate buy-side average execution size is unusually elevated.
Practical usage
#Useful for isolating abnormal buy-side execution sizing.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Assuming it is meaningful without checking whether buy-side volume is also elevated.
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.