Understanding VPIN

Use bucket imbalance to form a research question, without inferring trader intent.

VPIN summarizes absolute buy/sell volume imbalance within volume buckets. A high value does not identify informed traders, establish a direction, or show that liquidity providers have withdrawn.

Start with the measurement

Read the VPIN reference for the frozen Research calculation, warmup rules and a constructed diagram. Opposite one-sided buckets can both have high imbalance while their combined net flow is zero. High VPIN therefore does not establish persistent buying or selling across the whole window.

Turn an observation into a question

Specify the market set and dates before inspecting outcomes.
Choose a VPIN condition in the Research Workbench, checking its exact field and threshold.
Compare the outcome distribution and its count with the eligible baseline.
Inspect both supportive and contradictory examples in replay.

If direction matters to your question, consider the separate net taker flow reading. Do not infer direction from VPIN itself.

Keep the scopes separate

The terminal guide explains how to inspect the live gauge. Research uses a versioned calculation with explicit missing-data rules. Similar display names do not guarantee that a live gauge and a Research value have identical parameters or state.

A high reading is a condition to investigate. Whether it preceded different outcomes needs a counted result, not a story about who knew what.