Order flow inside the candle: VPIN toxicity, Cumulative Volume Delta (CVD) and Short Squeeze mechanics

Price alone tells you where a candle closed, not how much effort it took to get there. A 1% rise on thin volume with positive funding is fragile; a 1% rise with surging Cumulative Volume Delta (CVD), high Volume-to-Open-Interest turnover and negative funding is the start of a short squeeze.

Short answer: combining **Cumulative Volume Delta (cvd), Chaikin Money Flow (cmf), VPIN order-flow toxicity (vpin) and perpetual Vol/OI velocity** lets you separate genuine institutional absorption from retail exhaustion.

Three microstructure signals in Evident

**Cumulative Volume Delta (cvd(n)) & Klinger Force (klinger(34, 55)):** estimates net buyer vs. seller aggression from intrabar high-low-close geometry weighted by volume. Rising CVD while price moves sideways signals limit-order absorption.
**VPIN (vpin(20) — Volume-Synchronized Probability of Informed Trading):** measures absolute volume imbalance divided by total volume over rolling buckets. When vpin > 0.68, order flow is one-sided and toxic — liquidity providers widen spreads, and fading the move is dangerous. Requiring vpin(20) < 0.68 acts as a liquidity safety shield.
**Perpetual Vol/OI Velocity & Funding Extremes:** in the Market Tracking Terminal, every perpetual contract's 24-hour turnover is divided by its Open Interest. When Vol/OI > 2.0x while funding is negative ($<-0.015\%$) and price pushes into the top decile of its 24h range, crowded shorts are being forced to cover.

Check live anomalies and test the formula

Open Markets & News → Market Pulse to inspect live Volume & OI Anomalies and Funding & Squeeze Extremes, or load the CVD + VPIN Institutional Flow blueprint directly in the Indicator Lab.

This is research, not investment advice.