Definition
#Measures how the current average buy trade size compares with the current average total trade size in the same rolling window.
Formula & calculation
#(Avg Buy Trade Size / Avg Total Trade Size) × 100Units & range
%.
Interpretation
#Buy trades are arriving heavier than the current session average. When this is above 100%, the buy side is responsible for the larger executions in this window. Useful for identifying concentrated buy flow within an otherwise mixed session.
Practical usage
#Tells you whether buy executions are heavier than the current session average. Values above 100% mean buy trades are arriving in larger clips than the overall window average: a marker of concentrated buy flow rather than broad participation.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating this as a direct buy-vs-sell quotient when it is measured relative to the total average 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.