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Order Flow Toxicity Field
Admin's Choice NewFreeVPIN on twelve volume-bucket horizons as a toxicity heatmap with price impact
Favourites and Admin's Choice analyses are listed in the terminal's indicators window under Analysis Marketplace.
- Language
- QuaScript
- Engine
- Native C++, incremental on live ticks
- Rendering
- WebGPU + Canvas
- Placement
- Own pane
- Settings
- 4
- Plots
- 29
- Lines of code
- 57
- Source
- presets/analysis/hft/toxicity_field.qs
About
VPIN (volume-synchronised probability of informed trading) on twelve horizons, from 10 to 120 volume buckets, as a heatmap. Each row is colored by its own percentile, so the field shows where order flow is unusually one-sided right now and how far up the horizons that toxicity has spread: a short-horizon flare is a burst of aggressive flow, a field that lights up all the way to the top is sustained informed trading, the classic precursor of liquidity withdrawal and gap moves. The line is Kyle's lambda (price impact per unit of signed volume) as a percentile: impact rising together with toxicity is the dangerous combination and is marked.
What it draws
Own pane · counted from the engine's plot table and the script's draw calls
Series
- Line1 visible · 28 helperPrice impact
- Band fills (render.band calls)2
Signal marks
Drawings and chart effects
- Dashboard tables1 created
How it runs
From source to the live chart, for this script
- 1Compile
The QuaScript compiler checks the 57-line script (45 lines of code) and lowers it for the native C++ engine. Compile errors point at the exact line and column.
- 2Place
The header sets
pane = hpanewithheight = 0.28(28% of the chart), so the output gets its own pane under the price with its own scale. - 3Compute
The script runs once per bar, oldest to newest. Each bar also runs one loop (1 for). 1
persistvariable keeps state (objects, counters) across bars. Helper function:heat(). - 4Stay live
On the terminal the script keeps one live engine session: a tick rolls the forming bar back to its checkpoint and re-executes only that bar, and new bars are appended, so history is never rerun while the market moves. The live result is identical to a full run.
- 5Render
The results are handed to the chart: series on WebGPU, drawings on the Canvas 2D QuaScript layer.
- 6Tune
4 settings in 3 groups appear in the chart's settings dialog. Changing one reruns the engine with the new value.
Rendering
Hybrid: this script draws on 2 surfaces at once
The browser's modern GPU API. The chart uploads every line, band and mark of the script as GPU buffers and draws them in one pass, so dense heatmaps and dozens of series stay smooth while you pan and zoom. Without WebGPU support the chart's GPU layer falls back to WebGL 2, then Canvas 2D.
- • 29 plotted series
- • 2 band fill calls
- • 3 signal mark types
Chosen by render = webgpu in the header.
GPU drawing through WebGL 2, available in every current browser. Used for chart-native profiles and for series that ask for it with backend = "webgl". Fast for large numbers of bars and wide fills.
The browser's 2D drawing API. Text-heavy and object-style output (dashboard tables, zones, tags, segments), candle colors and backgrounds are painted by the QuaScript layer, a Canvas 2D surface over the chart. Series use Canvas when the script's header does not ask for a GPU.
- • 1 dashboard tables (QuaScript layer)
Alerts
1 alert rule declared with alert.rule
VPIN is extreme on most horizons while price impact is in its top quintile
Settings
4 settings, grouped as in the chart's settings dialog
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Bucket volume (0 = auto) | Number | 0 | 0 – ∞ | bucket_volume_0_auto |
| Warm-up bars | Integer | 50 | 5 – 2000 | warm_up_bars |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Percentile history | Integer | 200 | 50 – 5000 | percentile_history |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Kyle lambda window | Integer | 50 | 10 – 1000 | kyle_lambda_window |
Script
packages/quascript/presets/analysis/hft/toxicity_field.qs
Header
analysis "Order Flow Toxicity Field" {
pane = hpane
height = 0.28
render = webgpu
}- Total lines
- 57
- Code lines
- 45
- Comment lines
- 8
- Helper functions
- 1
- Loops
- 1
- Persistent variables
- 1
- Higher-interval feeds
- 0
- Engine plots
- 29
Built with
stat.percent_rankhft.kyle_lambdahft.vpinmath.is_na
Discussion