Definition
#Measures the rarity of the current average total trade size in the active rolling window relative to its historical baseline.
Formula & calculation
#(Live Mean Total Trade Size - Historical Mean Total Trade Size) / Historical StdDev Total Trade SizeUnits & range
Z.
Interpretation
#Average execution size is statistically elevated across all trades: orders are arriving in larger clips than normal for this instrument. The undifferentiated read. When this is elevated, check whether buy or sell size z-score is driving it, or both.
Practical usage
#Points to windows where average execution size is statistically larger than usual regardless of side. The undifferentiated version of buy/sell size z-scores. Use as a quick filter; check the buy and sell splits to find which side is driving the size increase.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Confusing higher average size with one-sided dominance.
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.