ToxFlow

P&L distribution across 100 simulated markets.
Full engine replay: P&L, risk, and model lift.
Toxicity streaming tick-by-tick over WebSocket.
Informed wallets vs. the crowd, with divergence alerts.
Signal heatmap + ranked trade opportunities.
Toxicity and directional flow on price, plus the P&L curve.
Real Polymarket markets ranked live by orderflow toxicity.
Real-tape VPIN + decision brief — pure orderflow, no forecast.

Inspiration

For over a decade, institutional desks have used orderflow toxicity to spot informed traders in equities — the same VPIN metric that flagged the 2010 Flash Crash. Meanwhile, prediction markets — the fastest-growing corner of finance — are flooded with copy-trading bots and sentiment scrapers that all react after the move. We asked one question: what if you could see the smart money the instant it arrives, the way a Wall Street desk does? Nobody had ever brought market-microstructure analysis to prediction markets. So we built it.

How we built it

VPIN engine — Volume-Synchronized Probability of Informed Trading, adapted from Easley, López de Prado & O'Hara (2012) for binary outcome markets.
Directional VPIN — our extension that reveals not just that informed flow is present, but which side (YES/NO) it favors.
Smart-money flow analyzer — classifies informed wallets from observable tape behavior and detects informed-vs-retail divergence.
Real data pipeline — live Polymarket trades, prices, and orderbooks via the Synthesis API, normalized into one coherent price series.
Real-time layer — a WebSocket bridge streams executions into the engine for tick-by-tick live VPIN.
The product — a FastAPI backend and a React + TypeScript dashboard: radar, charts, smart-money panels, and live alerts.

Challenges we ran into

The raw trade feed interleaves a market's two outcome tokens, so prices flip between (say) 18¢ and 82¢ — silently corrupting every downstream metric. Solving that — normalizing the whole tape into a single YES-frame series — was the difference between a demo and a real product. We also made a deliberate call to keep ToxFlow honest: the live engine never peeks at outcomes, so what you see is pure signal.

Accomplishments that we're proud of

The first application of VPIN / orderflow-toxicity analysis to prediction markets.
A genuinely live product on real data — not a backtest dressed up as one.
Directional VPIN + smart-money divergence that surface real, non-obvious setups.
An honest, no-hindsight design that judges (and traders) can trust.

What we learned

Prediction markets are more efficient than they look — which is exactly why detection beats prediction. The edge isn't a magic forecast; it's seeing informed flow first. That insight reshaped the entire product around the radar.

What's next for ToxFlow

Alerts everywhere — push / Telegram / Discord the moment toxicity spikes on markets you follow.
Wallet reputation — persistent smart-money scores across resolved markets.
Multi-venue — Kalshi, sportsbooks, and on-chain perps.
Signal → execution — one-click and automated trade routing.
ToxFlow API & hosted dashboard — orderflow intelligence as a service for funds, market makers, and serious traders.