VPIN

VPIN samples the market on a volume clock rather than a wall clock: it groups trades into equal-volume buckets, estimates the buy/sell imbalance in each, and averages the absolute imbalance over a rolling window. High VPIN means flow is one-sided and persistent — the signature of informed trading.

It gained attention as an early-warning indicator around the 2010 Flash Crash: VPIN spiked before liquidity evaporated. The intuition is simple — when informed flow dominates, makers face rising adverse selection and rationally pull back, which thins the book and raises fragility.

For an agent, VPIN is a regime and risk gate. A market-making agent can throttle size or stop quoting when VPIN crosses a threshold; a directional agent can treat rising VPIN as confirmation that a move has informed backing. As a policy signal, “halt new maker orders when VPIN > X” is a clean, testable guardrail an autonomous strategy can enforce without a human in the loop.