Pick a minute of the session and a volume, and compare the two ways of answering: against the trailing 20 bars, or against what that clock minute normally does. The curve below is real — median volume per minute across 500 SPY sessions.
10:59
regular session, 5-minute blocks
shares in the minute
your instrument's typical minute
Naive — vs the last 20 bars
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Correct — vs this minute's own history
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Method. The curve is the median volume of each clock minute over 500 regular SPY sessions (Sep 2024 – Aug 2026, 195,000 one-minute bars), expressed relative to the median minute of the day. The naive figure is modelled from the same data: it is what a trailing-20-bar average typically reads at that time of day, which drifts from 0.76× in the quiet middle to 2.18× approaching the close — purely because volume is ramping, not because anything happened. A correct baseline holds near 1.00 all day.