Definition
#Measures how aggressive buy notional volume in the active rolling window compares with the historical average buy volume for that same window.
Formula & calculation
#(Current Buy Window Volume / Historical Avg Buy Window Volume) × 100Units & range
%.
Interpretation
#Buy-side notional flow is running above its historical pace for this window. The ratio version of buy volume z-score. Same directional signal, less statistical precision. Elevated here with an elevated z-score confirms the pattern is genuine, not a baseline artifact.
Practical usage
#Confirms that buy-side notional is actually elevated, not just that individual trades are larger or more frequent. Cross-check with buy volume z-score: both elevated together is a genuine participation signal; one without the other warrants skepticism.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Reading it without checking whether overall market liquidity is sufficient.
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.