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VPIN in the critical regime

Toxic order flow (VPIN) has entered its critical regime, the highest of the four normalized bands.

Firing now (provisional, current bucket)

The live read is not yet enabled. This surface reports the historical base rates below; the firing-now list turns on when the live evaluator is connected.

What has happened when it held

Historically, when VPIN in the critical regime held (113 occurrences in the scanned window, 111 with a computable 24h horizon), the market reached +5% within 24h in 27 of 111 (24.3) and drew down 10%+ in 11 of 111 (9.9). Maximum favorable (MFE) and maximum adverse (MAE) excursions, both computed forward.

Outcome distribution

WHAT FOLLOWED - ALL 113 MATCHES, FROM THE PER-SCAN SUMMARY

3 OF 113 (2.7%) REACHED ≥ +5% WITHIN 1H

METRIC MFE_1H · CHIPS RE-READ THE SUMMARY, NEVER RE-QUERY

🔒 COMPUTED FORWARD, NEVER A FILTER · DENOMINATOR 113 = MATCHES WITH A COMPLETE 1H HORIZON

OCCURRENCES PER DAY · UTC · SUM 113 - ALL 113, NOT THE PAGE

About 3.6 a day, on 24 of 31 days: spread through the record rather than one event.

FWD_RET_30M DISTRIBUTION · 110 PRESENT · 3 ABSENT

Forward 30-minute returns across 110 matches: close to an even split, which is what a coin flip looks like.

Versus baseline

Historically, when any eligible minute in the window (baseline) held (27,369,078 occurrences in the scanned window, 24,306,242 with a computable 24h horizon), the market reached +5% within 24h in 5,652,728 of 24,306,242 (23.3) and drew down 10%+ in 1,349,062 of 24,306,242 (5.6). Maximum favorable (MFE) and maximum adverse (MAE) excursions, both computed forward.

Reproducibility key (q#d90ef771)

grammar: research_query.v2
normalization: archive_normalization.v1
feature library: feature_defs.v1
dataset revision: 52a43a418a97fbe3a324f7c372fa4d53967163acaa0ed33c56b78ddd897331a4
query hash: d90ef771263c0c1679113fbb7c1f1fe3efdbdfe933f4719825e991a66395e35d
scanned window: 2026-07-01T00:00:00.000Z to 2026-07-31T00:00:00.000Z (UTC)

Same key, same bytes. This receipt reruns; it does not retell. When the record grows, the dataset revision changes and says so.

Re-run this over the API or MCP

This is the exact research_query.v2 definition behind the receipt. Send it to the key-authed research API (or the MCP research tool) and diff the bytes: a cached rerun is free.

{
  "schema_version": "research_query.v2",
  "normalization_version": "archive_normalization.v1",
  "feature_version": "feature_defs.v1",
  "target": "record_occurrences",
  "where": {
    "all": [
      [
        "feature.vpin_regime",
        "eq",
        "critical"
      ],
      [
        "times.anchor_time",
        "between",
        [
          "2026-07-01T00:00:00.000Z",
          "2026-07-31T00:00:00.000Z"
        ]
      ]
    ]
  },
  "sort": [
    "times.anchor_time",
    "desc"
  ],
  "page": {
    "limit": 50,
    "cursor": null
  }
}

curl -s https://app.edgedepth.com/api/v1/research/query \
  -H 'authorization: Bearer $EDGEDEPTH_API_KEY' \
  -H 'content-type: application/json' \
  -d '{"schema_version":"research_query.v2","normalization_version":"archive_normalization.v1","feature_version":"feature_defs.v1","target":"record_occurrences","where":{"all":[["feature.vpin_regime","eq","critical"],["times.anchor_time","between",["2026-07-01T00:00:00.000Z","2026-07-31T00:00:00.000Z"]]]},"sort":["times.anchor_time","desc"],"page":{"limit":50,"cursor":null}}'

How to read this

Counts ship with denominators: occurrences across the eligible symbol-buckets scanned. A rate is over the occurrences with a computable horizon (present), never the total.
Absent is absent. When a feature was not warm at a minute, that bucket leaves the denominator and is reported; it is never coerced to zero.
This selects a setup, never its outcome. The grammar forbids filtering on what followed (OUTCOME_IN_PREDICATE), so the distribution below is over every occurrence, not a survivorship-picked subset.

Occurrences are observed examples in a selected archive, not a guarantee. Outcomes are computed forward from each anchor and are descriptive, never a filter and never a prediction. Nothing here is trading advice.