Definition
#Measures the rarity of the current average buy trade size in the active rolling window relative to its historical buy-side baseline.
Formula & calculation
#(Live Mean Buy Trade Size - Historical Mean Buy Trade Size) / Historical StdDev Buy Trade SizeUnits & range
Z.
Interpretation
#Buy-side average execution size is statistically elevated: buy orders are arriving in larger clips than this instrument's normal. This is the size dimension of buy-side activity, separate from how many orders or how much total notional. Elevated size z alongside elevated volume z is the concentrated buy pattern.
Practical usage
#Isolates buy-side execution size from other signals. An elevated reading means buy orders are arriving in statistically unusual clip sizes, the starting point for identifying concentrated, potentially institutional buy flow. Confirm with buy volume z-score.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Assuming it is meaningful without checking whether buy-side volume is also elevated.
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.