Definition
#Derived signal computed as buy volume z-score minus buy trade count z-score. It highlights cases where buy-side notional flow is becoming unusual faster than the number of buy executions, which suggests concentration in larger buy trades rather than a broad increase in small trades.
Formula & calculation
#Buy Volume Z-Score - Buy Trade Count Z-ScoreUnits & range
Z-difference.
Interpretation
#Positive values mean buy-side volume abnormality exceeds buy-side count abnormality. Higher values suggest buy-side flow is concentrated in fewer, larger executions rather than many small ones.
Practical usage
#Useful for distinguishing broad buy-side participation from more size-concentrated buy-side flow. Best interpreted together with buy volume ratio, buy volume z-score, and current buy volume ratio.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating it as a canonical z-score when it is actually a derived difference between two z-score signals.
- Ignoring whether buy-side volume itself is meaningfully 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.