Live condition · historical base rate

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 (42 occurrences in the scanned window, 42 with a computable 24h horizon), the market reached +5% within 24h in 10 of 42 (23.8) and drew down 10%+ in 1 of 42 (2.4). Maximum favorable (MFE) and maximum adverse (MAE) excursions, both computed forward.

Outcome distribution

WHAT FOLLOWED · ALL 42 MATCHES

36 of 42 (85.7%) reached +0% or more within 1 hour · smallest move size with matches, picked for you

Pick a window and a move size: how often did a move at least that big follow?

WINDOWMOVE SIZE

🔒 Measured after every match, never by keeping winners. 42 of the matches have a complete 1 hour forward.

What are MFE and MAE?

Why 7 days can show fewer than 1 hour: a match too recent for a complete 7 days is left out of that count entirely, even if it already reached the level within 1 hour. The two counts cover different sets of matches.

When they happened - one bar per UTC day, all 42 matches

About 1.4 a day, on 16 of 31 days: spread through the record rather than one event.

Where the next 30 minutes landed - 39 measured, 3 too recent

Forward 30-minute returns across 39 matches: 56% of them finished up.

How to read a distribution

Upside reached · 24hThe most price moved up within 24h of each occurrence: a high-water mark, never a close. 42 with a complete 24h.

Drawdown · 24hThe worst price moved against within 24h of each occurrence: the deepest point, never the close. 42 with a complete 24h.

Versus baseline

Historically, when any eligible minute in the window (baseline) held (30,410,984 occurrences in the scanned window, 26,609,490 with a computable 24h horizon), the market reached +5% within 24h in 7,731,439 of 26,609,490 (29.1) and drew down 10%+ in 1,633,744 of 26,609,490 (6.1). Maximum favorable (MFE) and maximum adverse (MAE) excursions, both computed forward.

Check our work: the key that re-runs this exact count (q#ed113ee1)

grammar: research_query.v2
normalization: archive_normalization.v1
feature library: feature_defs.v1
dataset revision: 8904ef0442c6f623ec772df2b59d7baf1e49aaa808b5b11ac31546605549e3bb
query hash: ed113ee1425326d18151a2d10bfdc1b9f6d5836575965670fe138187e421aaa2
scanned window: 2026-08-19T00:00:00.000Z to 2026-09-18T00:00:00.000Z (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 yourself, over the API or from an AI agent

This is the exact search definition behind the receipt. Send it to the key-authed research API (or the MCP research tool) and compare 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",
        [
          "2026-08-19T00:00:00.000Z",
          "2026-09-18T00:00:00.000Z"
        ]
      ]
    ]
  },
  "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",["2026-08-19T00:00:00.000Z","2026-09-18T00:00:00.000Z"]]]},"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.