Definition
#Derived signal computed as total volume z-score minus total trade count z-score. It highlights windows where notional flow is expanding faster than the number of executions.
Formula & calculation
#Total Volume Z-Score - Total Trade Count Z-ScoreUnits & range
Z-difference.
Interpretation
#Positive values mean volume abnormality exceeds count abnormality. Negative values mean count is rising faster than volume.
Practical usage
#Useful for distinguishing between heavier execution-size activity and purely count-driven bursts.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating it as a canonical z-score rather than a derived difference between two z-score signals.
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.