Definition
#Measures the rarity of the current average total trade size in the active rolling window relative to its historical baseline.
Formula & calculation
#(Live Mean Total Trade Size - Historical Mean Total Trade Size) / Historical StdDev Total Trade SizeUnits & range
Z.
Interpretation
#Higher values indicate average execution size is unusually elevated across all trades.
Practical usage
#Useful for spotting unusually large average execution size without assigning direction.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Confusing higher average size with one-sided dominance.
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.