Trade Facilitation Index (TFI)

TFI for a given half-hour period is defined as the ratio (tick volume for that period + 1) / (total price range for that period). For multiple periods, the TFI is taken to be the average of the individual TFI's for each half-hour period. A high value of TFI means a great deal of price fluctuation in a narrow range, indicating that trading is being facilitated to a high degree, and vice versa. The basic unit of TFI is termed one turnover.