Overview
Average Order Size calculates the mean volume per trade for each bar:
Average Order Size = Total Volume / Number of Trades
How It Works
Every trade on the exchange has a size. By computing the average across all trades in a bar, this indicator reveals the character of the current market activity:
- Large average — Institutional or whale activity. Fewer, bigger orders.
- Small average — Retail activity. Many small orders.
- Spike from low to high — Sudden entry of a large participant.
- Gradual decline — Institutional interest fading, retail taking over.
This is one of the most direct ways to detect when “smart money” enters or exits a market.
A sudden increase in average order size at a key support or resistance level often signals institutional interest. These levels are more likely to hold when backed by large orders.
Interpretation
| Pattern | Meaning |
|---|
| Rising average + rising price | Institutions buying — strong trend |
| Rising average + falling price | Institutions selling — strong downtrend |
| Falling average + rising price | Retail FOMO — weakening rally |
| Falling average + falling price | Retail panic — capitulation may be near |
| Spike at support | Institutional bid — level likely to hold |
| Spike at resistance | Institutional offer — level likely to hold |
Settings
| Parameter | Description | Default |
|---|
color | Primary indicator color | #eab308 |
displayMode | Visualization style: line, columns, or candles | columns |
highlightAnomalies | Highlight unusually large average orders | true |
anomalyThreshold | Standard deviations for anomaly detection | 2.5 |
anomalyPeriod | Lookback period for anomaly calculation | 30 |
gradientIntensity | Scale bar opacity by magnitude | true |
Display Modes
- Columns — Default histogram in yellow. Bar height represents the average order size.
- Line — Continuous line. Effective for spotting trends in order size over time.
- Candles — OHLC rendering showing the range of average sizes within each bar.
Anomaly Detection
When highlightAnomalies is enabled, bars where average order size exceeds anomalyThreshold standard deviations above the rolling mean are highlighted. These events indicate:
- Large block trades hitting the market
- Institutional algorithms executing large orders
- Market maker inventory adjustments
- OTC desk hedging activity
Gradient Intensity
With gradientIntensity enabled, bars with smaller-than-average order sizes appear faded while above-average bars appear at full opacity. This naturally draws attention to institutional activity.
Average Order Size varies significantly between assets. BTCUSDT will have very different baseline values than a small-cap altcoin. The anomaly detection normalizes for this, but absolute values should be compared within the same symbol only.
Practical Examples
Accumulation Phase: Price trades sideways in a narrow range. Average Order Size gradually increases over several hours — an institution is accumulating without tipping off the market.
Retail Blow-Off Top: Price accelerates upward sharply. Average Order Size collapses to very low levels — the move is entirely driven by small retail orders. This is a classic blow-off top signal.
Institutional Defense of Level: Price drops to a key support level. Average Order Size spikes dramatically on the bounce — a large buyer stepped in. The support is more credible.
Fading Institutional Interest: After a strong trend move, Average Order Size declines bar after bar. The large players who initiated the move are stepping back — the trend may be exhausting.