Definition
#Measures price efficiency by dividing the absolute percentage move in the current rolling window by the window's total volume ratio. It helps show whether price is moving efficiently relative to participation, or whether large volume is being absorbed with relatively limited movement.
Formula & calculation
#Total Volume Ratio:
(Current Total Volume / Historical Avg Total Volume) × 100Volume Multiplier:
Total Volume Ratio / 100Relative Price Impact:
|Current Window Return| / Volume MultiplierUnits & range
Unitless ratio.
Interpretation
#Higher values mean price moved a lot relative to the amount of abnormal volume processed. Lower values mean large participation produced relatively limited movement, which can suggest stronger absorption or more available opposing liquidity.
Practical usage
#Useful for separating efficient directional moves from high-volume windows where price progress is muted. Best used together with total volume ratio, current return, and net taker imbalance.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Reading low values as automatically bearish or bullish when they simply indicate weaker price response per unit of abnormal volume.
- Ignoring that very low volume ratio can make the metric unstable or less useful.
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.