Live dashboard / BTC order flow
BTC Order-Flow Toxicity Index
A live research dashboard for tracking downside order-flow toxicity across BTC futures venues. The main line is the sell-side OTI percentile, updated from the database every minute and labeled as a price-flow proxy rather than true equal-volume VPIN.
Sell-side OTI vs price
Last 24 hours
Methodology
What VPIN dispersion is
VPIN dispersion measures how differently order-flow toxicity is behaving across futures venues. For each venue v, VPIN is calculated from equal-volume buckets as
where Vbuy and Vsell are aggressive buy and sell volume and VB is the fixed bucket volume. A cross-venue dispersion metric then measures how far each venue's VPIN lies from the market-wide average:
Low dispersion means major futures venues are showing similar levels of order-flow imbalance, making the signal more likely to represent a market-wide condition. High dispersion means toxicity is concentrated on one venue, which may indicate a temporary liquidity problem, venue-specific liquidation activity, or the beginning of price discovery that has not yet spread elsewhere.
In futures markets this matters because leverage, margin constraints, and forced liquidations can transmit stress rapidly between exchanges. Fragility is most credible when VPIN is elevated across venues, while high dispersion can act as an early-warning signal that stress is emerging on one exchange before becoming systemic.
Reading the proxy
Sell-side OTI is the public downside order-flow toxicity proxy.
Below 50 reads as normal. From 50 to 75 the market is elevated, 75 to 90 is toxic, 90 to 97.5 is severe, and anything above 97.5 is extreme. The buy-side percentile is the upside analogue, while the JRI sell proxy combines tail fragility and sell-side order-flow stress into one stress read. This dashboard remains labeled proxy because it is price-flow based, not true equal-volume VPIN yet.