Definition
#Measures how the average aggressive buy execution size in the current rolling window compares with the historical average buy execution size.
Formula & calculation
#(Current Avg Buy Trade Size / Historical Avg Buy Trade Size) × 100Units & range
%.
Interpretation
#When buy-side average execution size is elevated, buy orders are arriving in larger clips than normal for this market. Whether that's a signal depends on context: large buy clips in a rising market suggest conviction; large buy clips into flat price or against selling may indicate absorption.
Practical usage
#Check whether buy-side trades are physically larger than usual. A reading of 200% means average buy execution is twice its historical size. Pair with buy volume z-score: elevated size without a statistically significant volume reading is often a sampling artifact, not a signal.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Assuming larger buy trade size alone guarantees directional continuation.
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.