Definition
#Measures how total notional volume in the active rolling window compares with the historical average total volume for that window.
Formula & calculation
#(Current Total Window Volume / Historical Avg Total Window Volume) × 100Units & range
%.
Interpretation
#More total notional is flowing through the instrument than usual in the active window. This is the undifferentiated view: it tells you something is happening, not what. Use it as the first-pass filter before checking the buy/sell split.
Practical usage
#The simplest anomaly gate: is more volume flowing than usual? Set a floor of 150% as a minimum condition for other signals to carry weight. Below that, most z-scores are picking up ordinary variation.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Assuming volume ratio alone tells you which side is dominant.
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.