Definition
#Measures the rarity of current sell-side execution count in the active rolling window relative to the historical sell-count baseline.
Formula & calculation
#(Live Mean Sell Trades - Historical Mean Sell Trades) / Historical StdDev Sell TradesUnits & range
Z.
Interpretation
#Higher values indicate the number of sell-side executions is unusually elevated.
Practical usage
#Useful for detecting abnormal sell-side execution frequency.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Ignoring whether the move is also reflected in notional flow and price.
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.