What is Microprice?

The microprice is a fair-value estimate that weights the best bid and ask by their sizes, rather than taking the simple midpoint. It leads the mid-price and hints at near-term direction.

How to read it

When the microprice drifts above the mid, buyers dominate the top of book and price tends to follow up; below the mid, sellers dominate.

FAQ

Why use microprice over mid-price?

The mid ignores size. The microprice accounts for which side has more resting volume, so it predicts the next tick better.

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