Definition
#Measures how the average aggressive sell execution size in the current rolling window compares with the historical average sell execution size.
Formula & calculation
#(Current Avg Sell Trade Size / Historical Avg Sell Trade Size) × 100Units & range
%.
Interpretation
#Higher values indicate sell-side executions are arriving in larger sizes than usual.
Practical usage
#Useful when evaluating whether sell-side participation is heavier than normal for that market.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating larger sell-side execution size as sufficient evidence of a durable move without checking broader context.
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.