Definition
#Measures the rarity of current sell-side execution count in the active rolling window relative to the historical sell-count baseline.
Formula & calculation
#(Live Mean Sell Trades - Historical Mean Sell Trades) / Historical StdDev Sell TradesUnits & range
Z.
Interpretation
#The number of sell-side executions is statistically elevated. Like the buy counterpart, frequency and size are separate signals. When sell count z is high but sell volume z is not, the selling is atomized, more consistent with algorithmic order-splitting or retail activity than with intentional distribution.
Practical usage
#Flags statistically elevated sell execution frequency. When sell count z spikes without a corresponding sell volume z move, the selling is fragmented, not the distribution signal it might appear to be.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Ignoring whether the move is also reflected in notional flow and price.
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.