Use matching volume and time boundaries
Participation rate equals own executed volume ÷ market volume × 100. Average own execution per minute equals own volume ÷ window minutes; average market volume per minute uses the same denominator. Market volume must include your trades and must be positive. Window minutes must also be positive. Own volume cannot exceed market volume under this definition. Use one base asset and identical venue coverage, start time, and end time for both amounts.
Calculate a hypothetical execution window
Suppose 120 units of an asset were executed during a 30-minute window with total market volume of 2,400 units. Participation is 5%. Average execution is 4 units per minute, compared with average market volume of 80 units per minute. These averages do not show whether the trades were evenly distributed. A concentrated burst and a steady schedule can produce identical window totals while having different intrawindow patterns.
Check aggregation before interpreting the percentage
Count each market trade once in the volume total; adding both its buyer and seller quantities would double-count activity. Do not combine your executed base units with market quote-currency turnover. Unfilled orders are excluded from own executed volume. Different venue coverage or missing prints can create an apparent own-volume excess, which should be rejected instead of reported above 100%. Participation describes observed quantity share and is not by itself a measure of execution quality or price impact.