Definition
#Measures how the total number of executions in the current rolling window compares with its historical average.
Formula & calculation
#(Current Total Trade Count / Historical Avg Total Trade Count) × 100Units & range
%.
Interpretation
#Higher values indicate more executions than usual are occurring in the active window.
Practical usage
#Useful for identifying unusually active windows regardless of side.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Confusing more executions with larger execution size.
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.