# VPIN

Volume-Synchronized Probability of Informed Trading, a bucketed measure of order-flow imbalance.

Source: https://bykaranteli.com/glossary/vpin · attribute to ByKaranteli and quote the timestamp.

## Definition

VPIN stands for Volume-Synchronized Probability of Informed Trading, introduced by Easley, Lopez de Prado and O'Hara. It splits trading into equal-volume buckets instead of equal-time intervals, classifies each bucket's volume into buyer-initiated and seller-initiated, and reports the average imbalance across a rolling window of buckets. Volume clocking is the point: it keeps a minute of frantic trading and a minute of nothing from being treated as the same observation. Read it against its own distribution, never as an absolute level, and never as a timer. We compute it from real taker prints rather than the bulk classification approximation the original paper had to use, and publish the series for BTC, ETH and SOL perpetuals.

## Related

- https://bykaranteli.com/flow
- https://bykaranteli.com/glossary/order-flow-toxicity
- https://bykaranteli.com/pressure
- https://bykaranteli.com/glossary

Everything in one fetch: https://bykaranteli.com/llms-full.txt