Order Flow Toxicity
How one-sided the aggressive trading is, used as a read on whether informed money is pushing.
Order flow is called toxic when the aggressive side is persistently one-directional, so market makers keep filling trades that immediately go against them. It is a description of imbalance, not of intent or of anyone being wrong. The standard measure is VPIN, computed from taker-signed volume grouped into equal-volume buckets rather than equal-time ones, which keeps the reading comparable between a quiet hour and a violent one. The number matters only against its own history: an absolute VPIN value means nothing without knowing what this symbol usually prints. Elevated readings have historically clustered near volatility expansions and liquidation cascades, which is a statement about what tends to accompany them, not a prediction.