Definition
#Measures the rarity of current buy-side notional volume in the active rolling window relative to the historical buy-volume mean and standard deviation.
Formula & calculation
#(Live Mean Buy Volume - Historical Mean Buy Volume) / Historical StdDev Buy VolumeUnits & range
Z.
Interpretation
#Higher values indicate unusually strong buy-side volume relative to its historical norm.
Practical usage
#Useful for isolating unusual buy-side activity relative to history.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Ignoring whether total market conditions are sufficiently liquid.
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.