Definition
#Total traded notional accumulated since 00:00 UTC for the current day.
Formula & calculation
#Sum of executed trade notional since 00:00 UTC:
Σ(price × size)Units & range
$ (quote currency notionals). Non-negative, unbounded.
Interpretation
#Higher daily notional means more capital has flowed through the instrument. Liquidity is better, spreads are tighter, and anomaly signals are more reliable. Low daily notional means any z-score spike can be driven by a handful of executions.
Practical usage
#Set a floor of
> $500,000 as a minimum condition before applying any other signal. Below that threshold, z-scores and imbalance metrics are unreliable on thin participation.Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Forgetting this is UTC-based rather than local-time based.
- Using it alone as a directional signal when it only measures participation.