Definition
#Measures the rarity of the current average sell trade size in the active rolling window relative to its historical sell-side baseline.
Formula & calculation
#(Live Mean Sell Trade Size - Historical Mean Sell Trade Size) / Historical StdDev Sell Trade SizeUnits & range
Z.
Interpretation
#Higher values indicate sell-side average execution size is unusually elevated.
Practical usage
#Useful for isolating abnormal sell-side execution sizing.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Ignoring whether total activity is sufficient for the metric to matter.
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.