VPIN: Predicting Violent Moves
Volume-Synchronized Probability of Informed Trading — detect when smart money is active before the move happens.
VPIN (Volume-Synchronized Probability of Informed Trading) was developed by Easley, López de Prado, and O'Hara as a real-time measure of "flow toxicity" — the probability that informed traders are active in the market.
The concept is simple: when informed traders enter the market, there's a measurable imbalance between buy-initiated and sell-initiated volume. VPIN captures this by bucketing trades into fixed-volume bars and measuring the imbalance within each bar.
A VPIN reading above 70% means the flow is "toxic" — informed traders are likely active, and a significant price move is probable. Below 30% means the market is dominated by noise trading and it's relatively safe.
The famous Flash Crash of 2010 was preceded by VPIN reaching extreme levels 2 hours before the crash. While crypto markets are different, the same principle applies: extreme VPIN precedes extreme volatility.
On Buildix, VPIN is computed in real-time from the Hyperliquid trade tape. The VPIN Gauge shows the current level with color coding: green (safe), yellow (elevated), red (toxic).