An economic surprise index aggregates how far released data have differed from consensus forecasts over a rolling window into a single series. Each release contributes the standardised gap between the published figure and the expected one, weighted by how market-relevant the compiler judges that release to be; positive readings mean data have been coming in above forecast on balance, negative readings below.
What it measures is forecasting error, not the economy. An index can fall while activity is still expanding, because forecasters have caught up and are no longer being surprised; it can rise in a downturn if expectations had fallen further than the outturn. Different compilers use different release sets, weights and windows, so two surprise indices for the same region need not agree, and it is the methodology document that makes a given series interpretable.
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Guide
How to Read an Economic Calendar
Actual versus forecast, impact ratings, revisions and time zones — how an economic calendar is structured, and what it can and cannot tell you.