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Tag: LOB imbalance

VPIN and Real-Time Order Toxicity: What Your Execution Stack Cannot See Before the Fill
Electronic TradinghftinfrastructureMarket microstructure

VPIN and Real-Time Order Toxicity: What Your Execution Stack Cannot See Before the Fill

Ariel SilahianMarch 1, 2026March 1, 2026

Table of Contents What VPIN Actually Measures — And What the Academic Debate Gets Wrong for Practitioners The LOB Imbalance…

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