Definition
#Measures how the current average buy trade size compares with the current average total trade size in the same rolling window.
Formula & calculation
#(Avg Buy Trade Size / Avg Total Trade Size) × 100Units & range
%.
Interpretation
#Higher values indicate buy trades are arriving in larger average size relative to the overall current window average.
Practical usage
#Useful when checking whether buy-side executions are carrying heavier size than the overall current mix.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating this as a direct buy-vs-sell quotient when it is measured relative to the total average 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.