Definition
#Measures how the average execution size in the current rolling window compares with the historical average execution size for all trades.
Formula & calculation
#(Current Avg Total Trade Size / Historical Avg Total Trade Size) × 100Units & range
%. 100% means current total average size matches its historical norm.
Interpretation
#When the overall average trade size is elevated, something is different from normal sessions: the question is which side. Use this as the entry-level alert, then check buy and sell size ratios to identify the driver.
Practical usage
#Use when you need an undifferentiated view of execution size: are trades getting bigger regardless of direction? Pair with buy and sell size ratios to find which side is driving the expansion.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating it as directional when it only reflects execution size.
- Using it on markets with highly unstable baseline trade-size distributions.
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.