Definition
#Measures the percentage of total notional volume in the current rolling window that comes from aggressive buy executions.
Formula & calculation
#(Buy Window Volume / Total Window Volume) × 100Units & range
% (0–100).
Interpretation
#Values above 50% mean buy-side volume dominates the current window. Higher values imply stronger one-sided buy participation.
Practical usage
#Useful when confirming whether the active window is being driven primarily by buy-side flow.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Confusing this with a historical ratio metric rather than a current-window share metric.
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.