Definition
#Measures the rarity of current buy-side execution count in the active rolling window relative to the historical buy-count baseline.
Formula & calculation
#(Live Mean Buy Trades - Historical Mean Buy Trades) / Historical StdDev Buy TradesUnits & range
Z.
Interpretation
#The number of buy-side executions is statistically elevated: more buy orders than this instrument normally sees at this timeframe. The directional read is only complete when paired with buy volume: elevated count alone means more orders, not necessarily more capital.
Practical usage
#Flags windows where buy-side execution frequency is statistically elevated. Pair with Buy Volume Z-Score: count z up with volume z flat means small fragmented orders; both elevated means genuine buy participation broadening.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Ignoring whether those additional trades are actually meaningful in 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.