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Hard · Market Microstructure · Quant Trader interview question · market-microstructure, toxicity, order-flow, vpin, adverse-selection
VPIN is a widely used metric for identifying toxic order flow. However, it has limitations. Consider a scenario where you're analyzing high-frequency trading data and need alternative methods to detect informed or aggressive trading beyond simply observing volume imbalances. Which of the following options lists two alternative metrics, beyond VPIN, commonly used to measure order flow toxicity or adverse selection?