Trade size

From one print to an average

Each line of the tape carries a size. Bar by bar, the sum of those sizes is the volume and the count of the lines is the trade count. Average trade size is the first divided by the second. A bar with 2,000 contracts across 200 trades averages 10 per trade; the same 2,000 contracts across 1,000 trades averages 2. Volume alone cannot tell those two bars apart, yet they were built by very different participants.

When the trade count of a bar is zero there is no average. The correct output is an empty value, not zero: a zero would read as a bar full of empty trades, when there was simply nothing to measure.

What the average says

• A rising average with steady volume means fewer, larger orders: the flow is becoming more concentrated.
• A falling average with rising volume means many small orders; often a retail-heavy or algorithmic phase where size is being sliced.
• The baseline differs by instrument and by session. MNQ and NQ trade very different sizes by design, and the cash open runs higher averages than the overnight session on most index futures.
• The average hides the shape: two bars with the same mean can be one 500-lot plus noise, or a hundred 5-lots. The distribution indicators handle that.

Distribution rather than mean

Trade Size Distribution looks at a bar as a set of price levels and measures how much of the volume sits above a chosen percentile of level volume. Large Trade Ratio uses a fixed reference instead of a percentile: the share of volume held by the N most active levels, N being 3 by default. The two are meant to be read together, the percentile describing the shape of the distribution and the top-N describing the load on the few prices that mattered. Because several individual prints can contribute to one price level, neither one is a histogram of individual print sizes.

In Senzoukria

Average Trade Size (indicator id avg-trade-size, group Volume) is a pane indicator that divides bar volume by bar trade count and leaves a gap when the count is zero. It has a colour parameter and a Smoothing parameter (1 by default, meaning unsmoothed). The indicators panel labels it Average trade size. Trade Size Distribution and Large Trade Ratio sit in the Tape & flow group, and the Big Trades overlay marks individual large prints on the candles.

All four depend on per-trade data from the connected feed; a source that only delivers aggregated bars cannot supply a trade count.

Common mistakes

• Comparing average trade size across instruments with different contract multipliers.
• Reading a high average as institutional buying. Size says who is active, delta says which side they took.
• Applying smoothing so heavy that the single bar that mattered disappears into the line.
• Treating a bar with no trades as an average of zero.