Price Impact Spike — Signal Playbook

What it detects

Kyle’s lambda — how many bps the mid moves per $1M of net aggressive flow — has printed a fresh 30-candle high for this pair. Each unit of flow is moving price more than at any point in the window: effective liquidity is thinner than the displayed book suggests.

How Price Impact Spike paints across a heatmap row — the colour language it speaks on the live map.

How VYX surfaces it

VYX evaluates Price Impact Spike live on every candle across 300+ Hyperliquid markets and paints it onto the heatmap, so an unusual impact reading stands out at a glance instead of hiding in a watchlist. That is the job it does in the workflow: it is a scan filter and a piece of context, not an automatic entry. Scan the map for where Price Impact Spike is firing, focus that market to read the signal against price and the confirmation cues below, and let the next candle or two resolve before acting on it.

How to play it

Use it as scanner context, not an automatic entry:

• Read it as an execution and fragility flag, not a direction — impact is high for buyers and sellers alike.
• Expect exaggerated moves: any burst of aggressive flow travels further than usual.
• Size down and prefer passive fills — crossing the spread here is at its most expensive.
• Pair with flow reads: a sweep landing on a high-impact book is the volatile combination.

Confirmation

What strengthens the read:

• Realized range expands on modest volume.
• Displayed depth thins or the spread widens at the same time.
• The reading repeats across consecutive candles rather than one print.

Invalidation

What kills it:

• Lambda mean-reverts as depth refills — impact normalizes.
• Heavy volume passes through without outsized price movement.

Risk & honest evidence

Respect the limits:

• A per-candle regression estimate — noisy when the candle carried little flow.
• High impact amplifies moves against you exactly as much as moves with you.
• Evidence: grounded in market-microstructure research; on Kyle-style price impact (Kyle 1985; Cont–Kukanov–Stoikov). VYX's own live backtest is still accruing — treat this as scanner context, not a proven edge.