Flow toxicity against this market's own history

Percentile rank of VPIN against this symbol's own recent history: Phi of the rolling z-score, updated once per one-minute cell (about 8.3 hours in the window) and read at the cell boundary so a bucket completing on the crossing trade cannot leak in. Comparable across symbols and dates, which vpin_regime is not (its critical band is measured at 0.000 percent of buckets on BTC and ETH). Absent until 100 cells.

Observed: read at the minute itself
Unit: percentile
Valid range: 0 to 1

Example: A recorded value of 0.9 percentile can be used in the editable condition below.

Use in Research

Technical details

Field ID

feature.vpin_pctrank

Valid query operators

at least, at most, between

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

Editable query preset

This preset is a starting point, not a recommendation. Edit it before running the search.

{
  "schema_version": "research_query.v2",
  "normalization_version": "archive_normalization.v1",
  "feature_version": "feature_defs.v1",
  "target": "record_occurrences",
  "where": {
    "all": [
      [
        "feature.vpin_pctrank",
        "gte",
        0.9
      ],
      [
        "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.

Read alongside

Dollar volume over 15 minutes feature.volume_usd_15m
Illiquidity against this market's own history feature.amihud_illiq_pctrank
Informed-trading pressure feature.vpin
Net taker flow over the trailing four hours feature.taker_net_ratio_4h
Net taker flow over the trailing hour feature.taker_net_ratio_1h
Price impact per dollar traded feature.amihud_illiq_1h