Definition
#Measures the rarity of current total notional volume in the active rolling window relative to the historical mean and standard deviation for that same window.
Formula & calculation
#(Live Mean Total Volume - Historical Mean Total Volume) / Historical StdDev Total VolumeIf historical standard deviation is zero and current value exceeds the mean, the system forces a high anomaly score.
Units & range
Z (standard deviations).
Interpretation
#Higher values indicate that total volume is statistically unusual relative to normal behavior.
Practical usage
#Useful as a broad anomaly detector for participation spikes.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Using total anomaly without checking whether one side is driving it.
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.