Definition
#Measures how total notional volume in the active rolling window compares with the historical average total volume for that window.
Formula & calculation
#(Current Total Window Volume / Historical Avg Total Window Volume) × 100Units & range
%.
Interpretation
#Higher values indicate the current window is processing more total volume than usual.
Practical usage
#Useful as a broad anomaly filter for unusually active windows.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Assuming volume ratio alone tells you which side is dominant.
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.