Definition
#Measures the percentage of total notional volume in the current rolling window that comes from aggressive buy executions.
Formula & calculation
#(Buy Window Volume / Total Window Volume) × 100Units & range
% (0–100).
Interpretation
#Values above 50% mean buy-side volume is the larger share of the current window's notional. At 70%+, the imbalance is pronounced: the window is being driven by aggressive buying. This is the current-session read; for how that compares to history, use Net Taker Imbalance.
Practical usage
#Use as a directional confirmation filter. Values above 65% mean the current window is buy-dominated. Pair with an elevated volume z-score to confirm that dominance is on meaningful notional, not thin air.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Confusing this with a historical ratio metric rather than a current-window share metric.
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.