VPIN in Cryptocurrency

Application of VPIN in cyrptocurrency market:

• Based on Python3.
• Implements two kinds of VPIN using different trade classification methods:
  • Tick rule
  • Bulk Volume Classification

See also:

• https://www.jianshu.com/p/dab0a7c1097e
• https://zhiwei.hu/post/hft-1-pin/

References:

[1] LOPEZ DE PRADO M. Advances in High Frequency Strategies[R]. 2012.

[2] https://github.com/yt-feng/VPIN