Market Order Count Ratio

Definition

The Market Order Count Ratio measures the relative dominance of buy market orders versus sell market orders by comparing the difference in their counts against their combined total. It highlights the imbalance in the frequency of market buy and sell orders.

$$\textbf{Market Order Count Ratio} = \frac{\textbf{Market Order Buy Count} - \textbf{Market Order Sell Count}}{\textbf{Market Order Buy Count} + \textbf{Market Order Sell Count}}$$

Key Components:

• Market Order Buy Count: The total number of market buy orders executed during a specific timeframe.

• Market Order Sell Count: The total number of market sell orders executed during a specific timeframe.

• Ratio Range: The ratio is typically bounded between -1 and +1, where:

  • +1: 100% buy order dominance (only buy orders).

  • -1: 100% sell order dominance (only sell orders).

  • 0: Equal buy and sell order counts, indicating balance.