OPEN-SOURCE SCRIPT
VPIN Flow Regime [OutOfSampleLab]
VPIN Flow Regime visualises order-flow toxicity and buy/sell pressure directly on your chart, with non-repainting flow-price divergence. It describes the current state of the tape. It does not give buy or sell signals.
How it works
- Each bar's volume is split into buy and sell parts using Bulk Volume Classification: the buy fraction is the CDF of the standardised close-to-close change. Two paper-faithful variants are selectable: the standard-normal CDF (Easley, Lopez de Prado & O'Hara, 2012) or the fat-tailed Student-t CDF with 0.25 degrees of freedom (their 2016 paper). To our knowledge no other public script offers both.
- VPIN toxicity = sum |buy - sell| / sum volume over N bars. An unsigned measure of how one-sided flow has been. It is coloured by its own rolling percentile into a regime light: Quiet, Normal, Elevated, Burst.
- Buy pressure = net flow rescaled to 0-100 (50 = balanced).
- Divergence: when price makes a higher high (or lower low) that net flow does not confirm. Confirmed on pivots a few bars later, so it never repaints. By default the divergence lines and labels are drawn directly on the price chart.
Alerts
- Toxicity crossing into Elevated / Burst / back to calm.
- Bullish / bearish flow-price divergence.
All alerts are state-change events, not trade instructions.
Honest limitations (please read)
- This is a bar-based approximation of VPIN, not tick-level VPIN on a true volume clock. Read relative levels and percentiles, not absolute values.
- TradingView volume is feed-dependent; on many FX/index/CFD symbols it is tick count, not traded volume, and the reading is weak there. Prefer symbols with real volume.
- Aggressor classification is imperfect and depends on the window settings.
This is an impersonal educational tool that runs the same for everyone. Not financial advice, no performance claims.
References: Easley, Lopez de Prado & O'Hara (2012), Review of Financial Studies 25(5); (2016), Journal of Financial Economics 120(2); Lee & Ready (1991), Journal of Finance 46(2).
How it works
- Each bar's volume is split into buy and sell parts using Bulk Volume Classification: the buy fraction is the CDF of the standardised close-to-close change. Two paper-faithful variants are selectable: the standard-normal CDF (Easley, Lopez de Prado & O'Hara, 2012) or the fat-tailed Student-t CDF with 0.25 degrees of freedom (their 2016 paper). To our knowledge no other public script offers both.
- VPIN toxicity = sum |buy - sell| / sum volume over N bars. An unsigned measure of how one-sided flow has been. It is coloured by its own rolling percentile into a regime light: Quiet, Normal, Elevated, Burst.
- Buy pressure = net flow rescaled to 0-100 (50 = balanced).
- Divergence: when price makes a higher high (or lower low) that net flow does not confirm. Confirmed on pivots a few bars later, so it never repaints. By default the divergence lines and labels are drawn directly on the price chart.
Alerts
- Toxicity crossing into Elevated / Burst / back to calm.
- Bullish / bearish flow-price divergence.
All alerts are state-change events, not trade instructions.
Honest limitations (please read)
- This is a bar-based approximation of VPIN, not tick-level VPIN on a true volume clock. Read relative levels and percentiles, not absolute values.
- TradingView volume is feed-dependent; on many FX/index/CFD symbols it is tick count, not traded volume, and the reading is weak there. Prefer symbols with real volume.
- Aggressor classification is imperfect and depends on the window settings.
This is an impersonal educational tool that runs the same for everyone. Not financial advice, no performance claims.
References: Easley, Lopez de Prado & O'Hara (2012), Review of Financial Studies 25(5); (2016), Journal of Financial Economics 120(2); Lee & Ready (1991), Journal of Finance 46(2).
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.