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Microstructure guide

The Microprice, Explained

The microprice is a better estimate of an asset’s fair value than the mid-price: it weights the bid and ask by order-book size, so it leans toward the side that is more likely to get hit next.

The intuition

The mid-price — halfway between bid and ask — ignores how much size sits on each side. But if there are 10× more bids than asks, the next move is more likely up, so true value sits closer to the ask. The microprice (Sasha Stoikov) builds that in: it nudges fair value toward the thinner side, and it predicts the next mid-price move better than the mid itself.

bid size500
ask size60
bid 100.00 mid 100.05 ask 100.10
100.0893 microprice · leans up +3.9 bps vs mid
● auto

Shift the resting sizes — the microprice slides toward the thinner side, away from the mid, pricing where the next move is more likely to go.

Microprice (imbalance-weighted)
microprice = bid · (askSize / total) + ask · (bidSize / total)

Each price is weighted by the opposite side’s size (total = bidSize + askSize). Heavy bids give the ask more weight, pulling fair value upward — toward where price is likely to go.

How vyx uses it
live
variable micropriceBps
micropriceBps >= 1 && imb >= 15

Live as the microprice variable, with micropriceBps measuring its lean versus the mid in basis points. A positive lean alongside same-side book pressure is the built-in *Microprice Lean* signal — the book pricing a near-term move before the mid catches up.

See it on the live map
Worked example
  1. 1 Bid 100.00 with 500 resting; ask 100.10 with only 50 resting.
  2. 2 Mid-price says 100.05 — but the bids dwarf the asks.
  3. 3 Microprice lands near 100.09, leaning to the ask → an upward bias the mid-price misses.

The microprice is a fair-value estimate, not a signal by itself. Its power is as a cleaner input — e.g. measuring how far price has dislocated from microprice, or combining a microprice lean with order flow.

Further reading

  • Stoikov — “The Micro-Price: A High-Frequency Estimator of Future Prices” (2018)
  • Cartea, Jaimungal & Penalva — Algorithmic and High-Frequency Trading

Related

order flow imbalancekyles lambda price impactorder book imbalance

FAQ

Why not just use the mid-price?

The mid-price ignores order-book size, so it treats a wall of bids the same as a thin one. The microprice weights by size and is a better short-horizon predictor of the next mid-price move.

Is the microprice a trading signal?

It is a fair-value estimate, not a standalone signal. It is most useful as a refined input — measuring dislocation from it, or pairing a microprice lean with confirming order flow.

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