Definition
#Measures how the total number of executions in the current rolling window compares with its historical average.
Formula & calculation
#(Current Total Trade Count / Historical Avg Total Trade Count) × 100Units & range
%.
Interpretation
#More executions than usual are happening in the active window. Execution count without execution size is incomplete information. This measures activity frequency, not capital weight. It matters most when it diverges from volume: count elevated but volume flat points to a burst of small orders rather than genuine flow.
Practical usage
#Points to windows where execution frequency is elevated across both sides. High count without high volume usually means fragmented small-order activity. Compare with Total Volume Ratio to tell the difference.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Confusing more executions with larger execution 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.