Questions / Quant trading, Markets & quotes
Midpoint versus microprice
Best bid is 100 with size 300, and best ask is 102 with size 100. Define microprice as (ask × bid-size + bid × ask-size)/(total size). What is it?
Answer it in the app It's free. You get hints, a second try if you miss, and a follow-up question.
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Answer: 101.5 price
- The stated formula gives (102 × 300 + 100 × 100) / 400 = 101.5. Larger bid-side size shifts this indicator toward the ask.
Interview shortcut. The weights cross over: the bigger bid size pulls the microprice toward the ask.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.