Definition
#Derived signal computed as total volume z-score minus total trade count z-score. It highlights windows where notional flow is expanding faster than the number of executions.
Formula & calculation
#Total Volume Z-Score - Total Trade Count Z-ScoreUnits & range
Z-difference. Positive = volume deviating faster than count. Negative = count rising faster than volume.
Interpretation
#When volume z-score significantly exceeds trade count z-score, the extra volume is coming from larger individual executions, not a flood of small orders. That pattern is associated with institutional or block-sized flow. The inverse (high count z, low volume z) suggests fragmented retail activity or algorithmic order-splitting. Neither is inherently directional, but the composition matters when you're trying to assess conviction behind a move.
Practical usage
#Add as a quality filter on top of buy volume z-score. A high buy volume z with positive intensity z means the buy surge is concentrated in larger trades. That's a cleaner, higher-conviction setup than the same buy volume z driven by a burst of small retail orders. Works on both buy and sell sides via the buy/sell volume concentration signals.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating it as a canonical z-score: it's a difference of two z-scores, so its scale is not directly comparable to individual z-score thresholds.
- Ignoring the sign. Negative intensity z on a high-volume event is meaningful information, not just a weak signal.
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.