Average Trade Size Indicator: Formula, Settings and How to Read It
Average Trade Size divides a bar's total volume by its number of trades, giving the mean size of a single execution inside that bar. It separates bars worked by a few large orders from bars made of many small ones, regardless of how much total volume they printed.
Senzoukria · Indicators · Updated September 2026
Average Trade Size ships with the Senzoukria desktop app, in the Volume group of the indicator catalogue. It is drawn in its own panel below the chart.
What Average Trade Size measures
The value is total volume divided by trade count for that bar and nothing else — no smoothing of the inputs, no session weighting. When the trade count is zero the bar produces a gap rather than a zero, because no trades means there is no average to state. Two bars carrying identical volume can sit far apart on this pane: the same thousand contracts can arrive in twenty executions or in four hundred, which is the same volume and a very different kind of participation.
The formula, as implemented
This is not a description of how the indicator is usually defined elsewhere — it is what the shipped code computes, documented next to the implementation:
Taille moyenne d'un trade = totalVolume / tradeCount. tradeCount = 0 → trou (null) : pas de trade, pas de taille moyenne. Détecte les barres travaillées par des gros lots (moyenne haute) vs du bruit retail.
How to read it
- A spike well above the recent range of the pane means a handful of large executions carried the bar; check the footprint to see at which prices they landed.
- A sustained low reading alongside high volume describes fragmented activity — many small executions, often around a level being worked rather than taken.
- Compare the reading at a breakout with the readings during the range that preceded it. A breakout printed at the same average size as the range tells you less about who moved it.
- Treat gaps in the pane as literal: those bars had no trades at all, which is common outside regular trading hours.
- Averages hide their tails. A single very large print inside an otherwise quiet bar lifts the value on its own.
Parameters and defaults
Smoothing defaults to 1, meaning the raw ratio is plotted bar by bar; values up to 200 average the result over that many bars, turning the pane into a slower participation baseline instead of a per-bar reading. The line is yellow (#fdd835) unless you change it.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Smoothing | number | 1 | 1 – 200 |
What it does not show
The indicator is a mean, so it says nothing about the distribution behind it — the same value can come from uniform sizes or from one block among many odd lots. It depends on the feed reporting a trade count; aggregated or resampled data that merges prints inflates the average mechanically. Contract sizes differ between instruments, so values are not comparable across symbols without context. Large size is also not direction: a high average trade size says nothing about which side was the aggressor.
Using it in Senzoukria
Add it from the Indicators panel of any footprint chart or candle chart. It runs on futures data from Rithmic or Databento and on crypto pairs from Binance and Bybit, on the same engine — the calculation does not change with the venue, only the data feeding it does. Market data subscriptions are billed by the provider, separately from the app.
Related indicators
- Volume — Volume
- Buy/Sell Volume — Volume
- Volume ROC % — Volume
- Relative Volume — Volume
- Trade Count — Volume
- Level Count — Volume
See the full indicator library, or start with the order flow guide if you are new to reading aggression, delta and absorption.
Frequently asked questions
- What does a high average trade size mean on a futures chart?
- It means the bar's volume was concentrated in fewer, larger executions than the bars around it. That describes the shape of the participation, not its direction or its outcome — a large average size can accompany an advance, a decline or a bar that closed unchanged.
- Why does the Average Trade Size pane have gaps?
- A gap marks a bar whose trade count was zero. Dividing volume by zero trades has no answer, so the indicator emits no point instead of plotting a misleading zero. Gaps are normal on thin instruments and outside regular trading hours.
- Can average trade size identify institutional orders?
- No. The indicator reports the mean size of executions in a bar and nothing about who placed them. Large participants routinely split orders into small child executions, which lowers the average, while a single retail block raises it. Treat the value as a description of execution granularity only.