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Research Readings Trade flow

Informed-trading pressure

Also shown as Toxic flow (VPIN)

Measures how one-sided executed buying and selling were within volume buckets. EdgeDepth uses the exchange aggressor flag, not an inference about which traders were informed.

Live monitoring: Binance Futures only; depends on the full setup
Observed: read at the minute itself
Unit: Ratio
Valid range: 0 to 1

How to read it, with examples

How to read it

Sum the absolute buy-minus-sell USD imbalance in each included bucket, then divide by their combined actual volume. A value of 0.6 means those absolute imbalances total 60% of included volume. Low values mean more balanced buckets; high values mean more one-sided buckets, which may alternate direction. Targets use prior-day USD volume / 240, clamped to $10,000-$10 million. After 50 completed buckets, the calculation uses up to 50 qualifying buckets from retained history, skipping buckets with fewer than five trades. It is absent until a value can be calculated, then holds between completions; this is not a fixed-hour window.

Constructed example · not historical data

One-sided buckets can cancel in net flow

Bucket A: $90k taker buys + $10k sells90% buy share
Bucket B: $10k taker buys + $90k sells10% buy share

Repeat this pair 25 times, with at least five trades per bucket and a $100k target: 50 qualifying buckets. VPIN = (80 + 80) / (100 + 100) = 0.8; net flow across the same trades = 0. Filled portions show taker buys. This volume-bucket span need not equal an hour.

Compare more and less one-sided volume-bucket flow, using signed net taker flow to distinguish the overall direction.

What it does not prove

Despite the name, 0.6 is not a calibrated 60% probability of informed trading. It identifies neither informed traders nor a future price direction.

More limits

Bucket overshoot is retained, so actual bucket volumes can differ.

Use in Research

Technical details

Registry definition

Volume-synchronized probability of informed trading proxy.

Field ID

feature.vpin

Valid query operators

at least, at most, between

Window operators: lowest, highest, average, latest or change in, over a trailing window.

Editable query preset

Starting point only. Review and edit before running.

{
  "schema_version": "research_query.v2",
  "normalization_version": "archive_normalization.v1",
  "feature_version": "feature_defs.v1",
  "target": "record_occurrences",
  "where": {
    "all": [
      [
        "feature.vpin",
        "gte",
        0.5
      ],
      [
        "times.anchor_time",
        "gte",
        "2025-07-15T00:00:00.000Z"
      ]
    ]
  },
  "sort": [
    "times.anchor_time",
    "desc"
  ],
  "page": {
    "limit": 5,
    "cursor": null
  }
}

The search reports how often the record held this condition and what followed. It does not decide whether an idea works.