Family swept: order-flow toxicity & informed-trading (PIN family ยท spread-decomposition ยท trade-sign crowding) ยท campaign regime-invariant-orthogonality ยท append-only
What this iteration deepened. The kickoff seeded VPIN / OFI / CVD / Hawkes for order flow. This firing exhausts the informed-trading & toxicity lineage around them: the full PIN family (PIN โ MPIN โ AdjPIN โ iVPIN), two structural spread-decomposition models that isolate an adverse-selection (toxicity) component from trades only (MRR, GlostenโHarris), the trade-signing primitives that feed every imbalance measure (BVC, Lee-Ready, tick rule), and the trade-sign crowding line (LilloโFarmer long-memory, Bouchaud propagator, and the 2023 SatoโKanazawa order-splitting inference).
Spot-legality. Binance spot aggTrades carry the exact aggressor side (is_buyer_maker), so trade signs are known โ Lee-Ready (H07) is the only needs-L2 item and is redundant here, catalogued only because BVC/tick benchmarks cite it. Everything else is spot-legal per principle #8. Derivatives-only toxic-flow ML papers (funding/quote/proprietary features) were reviewed and left out-of-scope.
| # | Name | Family | Measures | Cascade / liquidity mapping | Spot? | Param | Stable-ID | FOSS |
|---|---|---|---|---|---|---|---|---|
| H01 | PIN (EKOP) | informed-trading | Poisson buy/sell mixture MLE โ fraction of information-motivated trades | adverse-selection/toxicity; high PIN โ wider spread, higher exit cost | spot | PP | Easley, Kiefer, O'Hara, Paperman 1996, J. Finance โ DOI 10.1111/j.1540-6261.1996.tb04074.x | VER monty-se/PINstimation (R, GPLโฅ3); mgao6767/frds (Py, MIT) |
| H02 | MPIN | informed-trading | multilayer PIN โ detects N info-event layers | toxicity flag robust on multi-news days where PIN biases | spot | PP | Ersan 2016 โ SSRN 2874420 / DOI 10.2139/ssrn.2874420 ยท parent H01 | VER PINstimation (R, GPLโฅ3) |
| H03 | AdjPIN | informed-trading / spread-decomp | adds symmetric order-flow shocks (PSOS) โ splits info-asymmetry from illiquidity | separates toxic adverse-selection from benign symmetric liquidity shocks | spot | PP | Duarte & Young 2009, JFE โ DOI 10.1016/j.jfineco.2007.10.008 ยท parent H01 | VER PINstimation (R, GPLโฅ3) |
| H04 | iVPIN | order-flow toxicity | MLE-based VPIN, stable on small volume buckets / rare informed trades | flow-toxicity โ fragility / flash-crash early warning | spot | PP | Ke & Lin 2017, Critical Finance Review โ DOI 10.1561/104.00000046 ยท parent S11 VPIN | VER PINstimation (R) ivpin() |
| H05 | MRR | spread-decomposition | structural GMM: ฮprice โ adverse-selection ฮธ + transitory ฯ + order-flow persistence ฯ | ฮธ = toxicity cost; ฯ = order-flow crowding/persistence | spot | PP | Madhavan, Richardson, Roomans 1997, RFS โ DOI 10.1093/rfs/10.4.1035 | UNV short GMM; no canonical repo |
| H06 | Bulk Volume Classification | trade-sign / toxicity feed | buy-fraction per bar via t-CDF of standardized price change (no per-trade signing) | feeds VPIN-style imbalance; info-linked trade flow | spot | PP | Easley, Lรณpez de Prado, O'Hara 2016, JFE โ DOI 10.1016/j.jfineco.2016.01.018 | VER jktis/Trade-Classification-Algorithms (Py) |
| H07 | LeeโReady | trade-sign classification | quote-midpoint + tick-rule trade signing | signing primitive; redundant on Binance (aggressor exact) | L2 | MN | Lee & Ready 1991, J. Finance โ DOI 10.1111/j.1540-6261.1991.tb02683.x | VER jktis/Trade-Classification-Algorithms (Py); PINstimation (R) |
| H08 | Tick rule / tick test | trade-sign classification | sign trade by price move vs prior trade (uptick=buy) | trade-only signing primitive; underpins BVC benchmarks | spot | PF | defined/evaluated in Easley-Lรณpez de Prado-O'Hara 2016 JFE โ DOI 10.1016/j.jfineco.2016.01.018 | VER jktis/Trade-Classification-Algorithms (Py) |
| H09 | Order-flow long memory | trade-sign crowding | signed-flow ACF decays ฯโฮณ (Hโ0.7): persistent signed order flow | metaorder / order-splitting crowding; directional-crowding & capacity signal | spot | DIM | Lillo & Farmer 2004, SNDE 8(3) โ DOI 10.2202/1558-3708.1226 | UNV nolds (Py, MIT โ generic Hurst/DFA); no flow-specific repo |
| H10 | Propagator / response fn | trade-sign crowding / impact | R(โ)=โจsignยทฮpโฉ response + propagator G(โ): permanent vs transient signed-flow impact | how signed flow moves price (impact/fragility); offsets long-memory to keep price diffusive | spot | PF | Bouchaud, Gefen, Potters, Wyart 2004, Quant. Finance 4(2) โ arXiv:cond-mat/0307332; DOI 10.1080/14697680400000022 | UNV |
| H11 | LMF order-splitting inference | trade-sign crowding (SOTA 2023) | infers metaorder-length dist P(L)โLโ(ฮฑ+1) & #splitting traders from sign-ACF exponent | quantifies metaorder crowding / splitting-trader count โ capacity + crowding read | spot | DIM | Sato & Kanazawa 2023, PRL 131 197401 โ arXiv:2301.13505; DOI 10.1103/PhysRevLett.131.197401 ยท parent H09 | UNV macro leg spot-legal; full validation needs trader IDs |
| H12 | GlostenโHarris | spread-decomposition | regress ฮp on signed volume โ adverse-selection (volume-scaled) vs transitory spread | adverse-selection component = toxicity; transactions-only (no quotes) | spot | PP | Glosten & Harris 1988, JFE 21(1) โ DOI 10.1016/0304-405X(88)90034-7 | UNV short OLS; frds has related spread measures |
classify_trades() (Tick / Quote / Lee-Ready / EMO). github.com/monty-se/PINstimationaxis-2-cascade-free/CANDIDATE-CATALOG.md ยท back to loop hub