Overview

The Average Transaction Size (AvTS) metric calculates the mean volume per trade over a timeframe. It provides insights into typical trading activity and liquidity. Higher average sizes often indicate larger institutional traders, while lower averages suggest more retail participation.

Mathematical Background

The Average Transaction Size is calculated using the following formula:

Metric in the API Response

{
    "timestamp": "2024-01-15T18:10:00.000Z",
    "marketvenue": "binance",
    "pairid": "btc-usdt",
    "avgtransactionsize": 0.0218
}

Applications in Market Surveillance

• Detecting Wash Trades: Unusually uniform transaction sizes could indicate potential wash trading.

• Identifying Participant Changes: Shifting average sizes may signal transitions between retail and institutional dominance.

• Uncovering Coordinated Tactics: If sudden size changes appear concurrently across exchanges, it may suggest coordinated manipulation.

• Establishing Expected Ranges: Calculate historical size ranges to detect outliers potentially tied to manipulation efforts.

• Impact Analysis: Analyze how average sizes influence other metrics like volatility to assess manipulation risks.

• Combining With Order Data: Inspecting average sizes alongside order counts can help uncover tactics like spoofing and artificial transactions.

Considerations for Cryptocurrencies

• Prevalence of small retail traders in fragmented markets
• Emergence of larger institutional traders and funds
• High frequency trading with small, algorithmic orders

Usage Example

The analysis of the average transaction size for the BTC-USDT pair on the Binance exchange over a 10-minute period on January 15, 2024, has been conducted following these steps:

1. Data Extraction: The average transaction size per minute has been extracted from the API.
2. Visualization: A line chart has been created to represent the average transaction size for each minute over the 10-minute period.

Here are the observations and interpretations from the visualized data:

• Variation in Transaction Size: The chart shows variations in the average transaction size from minute to minute. This indicates fluctuations in the trading behavior over the short period.

• Trends and Patterns: Specific patterns or trends in the average transaction size can be observed. Some minutes show a higher average transaction size, while others show a relatively lower size.

• Interpretation of Fluctuations: The fluctuations could be indicative of several market dynamics, such as the entry of large traders at certain points, changes in market sentiment, or reactions to real-time events or news.

• Market Implications: High average transaction sizes at specific moments might suggest the presence of large-scale trades or institutional activity, while lower average sizes could indicate a dominance of retail traders or less aggressive trading strategies.

Key Takeaways

• AvTS measures typical trade sizes over a period.
• Changes may signal shifting participant profiles.
• Unusual uniformity can indicate wash trades.
• AvTS should be analyzed with other metrics.
• Cryptocurrency trade sizes are diversifying.