Definition
#Derived signal computed as sell volume z-score minus sell trade count z-score. It highlights cases where sell-side notional flow is becoming unusual faster than the number of sell executions, which suggests concentration in larger sell trades rather than a broad increase in small trades.
Formula & calculation
#Sell Volume Z-Score - Sell Trade Count Z-ScoreUnits & range
Z-difference.
Interpretation
#Positive values mean sell-side volume abnormality exceeds sell-side count abnormality. Higher values suggest sell-side flow is concentrated in fewer, larger executions rather than many small ones.
Practical usage
#Useful for distinguishing broad sell-side participation from more size-concentrated sell-side flow. Best interpreted together with sell volume ratio, sell volume z-score, and current sell volume ratio.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Reading it in isolation without checking whether sell-side flow is actually elevated.
- Treating larger sell-side concentration as sufficient proof of a durable move.
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.