.. DO NOT EDIT.
.. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY.
.. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE:
.. "api/gallery/market_microstructure/information/plot_05_vpin.py"
.. LINE NUMBERS ARE GIVEN BELOW.

.. only:: html

    .. note::
        :class: sphx-glr-download-link-note

        :ref:`Go to the end <sphx_glr_download_api_gallery_market_microstructure_information_plot_05_vpin.py>`
        to download the full example code or to run this example in your browser via JupyterLite.

.. rst-class:: sphx-glr-example-title

.. _sphx_glr_api_gallery_market_microstructure_information_plot_05_vpin.py:


VPIN: flow toxicity in volume time
==================================

High-frequency markets have too many trades and too few days for the
PIN likelihood. Easley, López de Prado and O'Hara (2012) measured order
imbalance in *volume time* instead: cut the trading record into buckets
of equal volume, split each one-minute bar's volume into buys and sells
by *bulk volume classification*, :math:`V^B = V\Phi(\Delta P/\sigma_{\Delta P})`,
and average :math:`|V^B - V^S|/V` over the last 50 buckets. Their VPIN
rose for hours before the flash crash of 6 May 2010.

.. GENERATED FROM PYTHON SOURCE LINES 15-23

.. code-block:: Python

    import matplotlib.pyplot as plt
    import numpy as np

    from financialkit.market_microstructure import vpin
    from financialkit.market_microstructure.visualizers import plot_vpin

    rng = np.random.default_rng(12)








.. GENERATED FROM PYTHON SOURCE LINES 24-29

A day with a toxic episode
--------------------------

Five days of one-minute bars. On the last afternoon informed sellers
arrive: volume triples and prices drift down.

.. GENERATED FROM PYTHON SOURCE LINES 29-44

.. code-block:: Python


    n = 5 * 390
    toxic = np.zeros(n, dtype=bool)
    toxic[-150:] = True
    volume = rng.gamma(4.0, 250.0, n) * np.where(toxic, 3.0, 1.0)
    dp = 0.02 * rng.standard_normal(n) - np.where(toxic, 0.03, 0.0)
    bucket = volume.sum() / 250  # about fifty buckets a day
    res = vpin(dp, volume, bucket_volume=bucket, window=50, sigma=0.02)

    ax = plot_vpin(res)
    start = np.searchsorted(res.bucket_end, np.argmax(toxic))
    ax.axvspan(start, res.vpin.size, color="C3", alpha=0.1, label="toxic flow")
    ax.legend(loc="upper left", fontsize="small")
    print(f"VPIN before the episode {np.nanmean(res.vpin[50:start]):.3f}, at the end {res.vpin[-1]:.3f}")




.. image-sg:: /api/gallery/market_microstructure/information/images/sphx_glr_plot_05_vpin_001.png
   :alt: plot 05 vpin
   :srcset: /api/gallery/market_microstructure/information/images/sphx_glr_plot_05_vpin_001.png
   :class: sphx-glr-single-img


.. rst-class:: sphx-glr-script-out

 .. code-block:: none

    VPIN before the episode 0.181, at the end 0.696




.. GENERATED FROM PYTHON SOURCE LINES 45-47

Price and VPIN in clock time
----------------------------

.. GENERATED FROM PYTHON SOURCE LINES 47-58

.. code-block:: Python


    fig, ax = plt.subplots(figsize=(7, 3.5))
    ax.plot(np.cumsum(dp), color="k", lw=1)
    ax.set_xlabel("minute")
    ax.set_ylabel("price change")
    ax2 = ax.twinx()
    ax2.plot(res.bucket_end, res.vpin, color="C3")
    ax2.set_ylabel("VPIN", color="C3")
    fig.tight_layout()

    plt.show()



.. image-sg:: /api/gallery/market_microstructure/information/images/sphx_glr_plot_05_vpin_002.png
   :alt: plot 05 vpin
   :srcset: /api/gallery/market_microstructure/information/images/sphx_glr_plot_05_vpin_002.png
   :class: sphx-glr-single-img






.. rst-class:: sphx-glr-timing

   **Total running time of the script:** (0 minutes 0.099 seconds)


.. _sphx_glr_download_api_gallery_market_microstructure_information_plot_05_vpin.py:

.. only:: html

  .. container:: sphx-glr-footer sphx-glr-footer-example

    .. container:: lite-badge

      .. image:: images/jupyterlite_badge_logo.svg
        :target: ../../../../lite/lab/index.html?path=api/gallery/market_microstructure/information/plot_05_vpin.ipynb
        :alt: Launch JupyterLite
        :width: 150 px

    .. container:: sphx-glr-download sphx-glr-download-jupyter

      :download:`Download Jupyter notebook: plot_05_vpin.ipynb <plot_05_vpin.ipynb>`

    .. container:: sphx-glr-download sphx-glr-download-python

      :download:`Download Python source code: plot_05_vpin.py <plot_05_vpin.py>`

    .. container:: sphx-glr-download sphx-glr-download-zip

      :download:`Download zipped: plot_05_vpin.zip <plot_05_vpin.zip>`


.. only:: html

 .. rst-class:: sphx-glr-signature

    `Gallery generated by Sphinx-Gallery <https://sphinx-gallery.github.io>`_