Definition
#Measures how the average execution size in the current rolling window compares with the historical average execution size for all trades.
Formula & calculation
#(Current Avg Total Trade Size / Historical Avg Total Trade Size) × 100Units & range
%. 100% means current total average size matches its historical norm.
Interpretation
#Higher values indicate current executions are larger than usual on an all-trades basis.
Practical usage
#Useful when you want to know whether the market is trading in larger clips overall, regardless of side.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating it as directional when it only reflects execution size.
- Using it on markets with highly unstable baseline trade-size distributions.
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.