Hi Group
Is there a database for VPIN to download? or do you need to compute it by yourself?
Look forward to hear from this group.
Best
Maitreyi
Hi Maitreyi,
I do not know of a database for VPIN data. I was actually doing some reading on the subject recently, seems like it's an important topic in the HFT world, but it would be interesting to see a Quantopian implementation. To answer your question, you will have to do the calculations yourself, that's where I hit a roadblock on this. It seemed like a lot to learn but I'd be willing to collaborate on it with you if you have a fundamental understanding of the concept/mathematics already.
David
Simon is correct that you can't do vipin without tick data, you could maybe implement a bulk classification algorithm (heres a relevant paper). Since we only get that absolute value of the volume traded, the idea would be to use changes in price as an indication of who was on the aggressor side of the trade. Basically, the approximate probability of buys is the ratio of upward price moves to the number of observations.
That piece alone is simple enough to code, but that paper is looong, I'm not ready for all that.
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