Pin

The Probability of Informed Trading (EKOP) — estimated from the buy/sell imbalance over a rolling window of trades.

Quick reference

Field	Value
Family	Microstructure
Input type	Trade (price / size / side)
Output type	f64
Output range	[0, 1]
Default parameters	(window = 20) (Python)
Warmup period	window
Interpretation	High = one-sided/informed flow; low = balanced/uninformed.

Formula

over the last `window` trades: B = buys, S = sells   (B + S = window)
PIN ≈ |B − S| / (B + S)        ∈ [0, 1]

The EKOP model splits flow into uninformed (balanced) and informed (one-directional on private information) components; PIN = αμ / (αμ + 2ε) is the probability a trade is information-motivated. Over a single window the informed flow appears as the net imbalance |B − S| and the uninformed flow as the balanced remainder, giving this moment estimator. Source: crates/wickra-core/src/indicators/pin.rs.

Parameters

Name	Type	Default	Valid range	Source	Description
window	usize	20 (Python)	>= 1	pin.rs:58	Rolling window of trades. 0 errors with Error::PeriodZero.

The window getter returns the window; value returns the current output if ready.

Inputs / Outputs

From crates/wickra-core/src/indicators/pin.rs:

use wickra::{Indicator, Pin};
use wickra::Trade;
// Pin: Input = Trade, Output = f64
const _: fn(&mut Pin, Trade) -> Option<f64> = <Pin as Indicator>::update;

A Trade in, an Option<f64> out. The Python binding takes update(price, size, is_buy) and batch(price[], size[], is_buy[]); Node mirrors update(price, size, isBuy) / batch(...). Only the side is used.

Warmup

warmup_period() == window. The first value lands once the window holds window trades (first_emission_at_warmup_period pins this).

Edge cases

• One-sided flow → 1. All trades the same side gives PIN = 1 (one_sided_flow_is_one pins this).
• Balanced flow → 0. Equal buys and sells gives PIN = 0 (balanced_flow_is_zero pins this).
• Bounded. The reading stays in [0, 1] (output_in_range pins this).
• Reset. p.reset() clears the side window, the buy count and the last value (reset_clears_state).

Examples

Rust

use wickra::{BatchExt, Indicator, Pin};
use wickra::{Side, Trade};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut p = Pin::new(10)?;
    let trades: Vec<Trade> = (0..20).map(|_| Trade::new(100.0, 1.0, Side::Buy, 0).unwrap()).collect();
    println!("{:?}", p.batch(&trades).last().unwrap()); // Some(1.0)
    Ok(())
}

Output:

Some(1.0)

Python

import numpy as np
import wickra as ta

p = ta.Pin(20)
price = np.full(40, 100.0); size = np.ones(40)
is_buy = np.array([i % 2 == 0 for i in range(40)])
print(p.batch(price, size, is_buy)[-1])  # 0.0 (balanced)

Node

const ta = require('wickra');
const p = new ta.Pin(20);
console.log('warmupPeriod:', p.warmupPeriod()); // 20

Streaming

use wickra::{Indicator, Pin};
use wickra::Trade;

let mut p = Pin::new(20).unwrap();
let trade_feed: Vec<Trade> = Vec::new(); // your live stream
for trade in trade_feed {
    if let Some(pin) = p.update(trade) {
        // pin high -> elevated probability of informed trading
    }
}

Streaming update and batch are equivalent tick-for-tick (batch_equals_streaming pins this).

Interpretation

1. Adverse-selection gauge. A rising PIN warns liquidity providers of higher adverse-selection risk — widen quotes or pull size.
2. Pre-event detection. PIN tends to rise ahead of information events as informed traders position.
3. Cross-section. Compare PIN across instruments to rank information asymmetry.

Common pitfalls

• Single-window estimate. This is the moment approximation, not the multi-period MLE of the full EKOP model.
• Not VPIN. Vpin buckets by volume and uses bulk classification; PIN here counts tagged trades in event time.
• Sign quality. Mis-tagged aggressor sides bias the estimate.

References

Easley, D., Kiefer, N. M., O'Hara, M., & Paperman, J. B. (1996), "Liquidity, Information, and Infrequently Traded Stocks", Journal of Finance.

See also

• Indicator-Vpin — the volume-synchronised variant.
• Indicator-TradeSignAutocorrelation — flow persistence.
• Indicator-OrderFlowImbalance — signed flow.
• Indicators-Overview — the full taxonomy.