VPIN in the terminal

The terminal’s VPIN gauge summarizes volume imbalance. Use it alongside the tape, with the selected market and time visible.

What to inspect

Pause a replay around a change in the gauge. Look at the trade sizes and aggressor sides before and after it. Then inspect a quieter interval from the same market. A gauge summarizes a window; the latest few prints need not resemble that whole window.

High absolute imbalance can come from alternating buy-heavy and sell-heavy buckets. It does not establish persistent net pressure, informed trading, wider spreads or an imminent price move. Check the book and spread separately rather than treating them as consequences of the gauge.

Research has its own definition

The canonical VPIN reading owns the Research calculation, bucket admission rules, warmup and constructed arithmetic example. The live terminal and the frozen Research feature have different execution contexts; do not assume identical values simply because both are labelled VPIN.

For a market-wide study, open the Research Workbench, inspect the proposed VPIN condition, and choose your scope before running it. Use net taker flow when the question concerns signed flow across an hour.

Study beyond the memorable example

A dramatic replay helps you understand the sequence. It does not tell you how often the same measurement preceded an uneventful market. Read base rates, then examine the full result and contrasting replay cases.