Trade Aggressiveness Index

Quick Reference

Property	Value
Dimension	signal
Category	order_flow
Version	v1.0
Output Column	aggressiveness_index

Trade aggressiveness: fraction of volume executed at ask vs bid — measures directional pressure

Formula

rolling_sum((size * trade_direction), 60000) / rolling_sum(size, 60000)

CDM Inputs

Column	CDM Table	Description
size	cdm_*	CDM source table
trade_direction	cdm_*	CDM source table

Parameters

This FeatureType has no configurable parameters.

Output

Column: aggressiveness_index

Net direction-weighted volume ratio (-1 to 1)

Market Intuition & Trading Rationale

Trade aggressiveness measures net directional volume as a fraction of total volume: rolling_sum(size × direction) / rolling_sum(size). Ranges from -1 (all aggressive selling) to +1 (all aggressive buying). Zero means balanced buying and selling. This is the volume-weighted version of trade_sign — larger trades have proportionally more impact on the index.

Usage Cases

• Directional pressure gauge: index > 0.3 → aggressive buying dominates (bullish). index < -0.3 → aggressive selling dominates (bearish). Between ±0.3 → balanced, no clear directional pressure.
• Trend confirmation: Rising index + rising price = strong bullish trend (more aggressive buyers supporting the move). Rising price + falling index = weakening trend (fewer aggressive buyers).
• Counter-trend reversal signal: Extreme index values (> 0.7 or < -0.7) often precede reversals as the aggressive side exhausts.

YAML Definition

name: trade_aggressiveness_index
description: 'Trade aggressiveness: fraction of volume executed at ask vs bid — measures
  directional pressure'
category: order_flow
dimension: signal
version: v0.9.0 (Beta)
required_inputs:
  - size
  - trade_direction
output_column: aggressiveness_index
output_description: Net direction-weighted volume ratio (-1 to 1)
tags:
  - signal
  - flow
  - aggressiveness
parameters: {}
formula: rolling_sum((size * trade_direction), 60000) / rolling_sum(size, 60000)