Definition
#Measures how the current average trade size compares with the historical average trade size for the same market and window.
Formula & calculation
#(Current Average Trade Size / Historical Average Trade Size) × 100Units & range
%.
Interpretation
#Higher values indicate executions are arriving in larger average size than usual.
Practical usage
#Useful for finding windows where execution size is elevated relative to the normal baseline.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating execution-size intensity as a directional signal.
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.