Microprice Lean — Signal Playbook

What it detects

The microprice — a size-weighted fair value that leans toward the side more likely to get hit next (Stoikov) — has pulled away from the mid, with the book agreeing. The book is quietly pricing a near-term drift before the last trade catches up.

How Microprice Lean paints across a heatmap row — the colour language it speaks on the live map.

How VYX surfaces it

VYX evaluates Microprice Lean live on every candle across 300+ Hyperliquid markets and paints it onto the heatmap, so an unusual microstructure 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 Microprice Lean 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:

• A positive lean is an upward fair-value bias; negative is downward.
• Use it as a tie-breaker or confirmation on a setup, not a trigger by itself.
• Highest quality when the microprice lean and OFI point the same way.
• It is a near-term estimate — keep the horizon short.

Confirmation

What strengthens the read:

• Last price drifts toward the microprice (the gap closes the predicted way).
• OFI or aggressive flow agrees.
• Tight spread.

Invalidation

What kills it:

• The mid snaps back and the lean disappears.
• Book imbalance flips.
• Spread widens — the estimate gets noisy.

Risk & honest evidence

Respect the limits:

• A fair-value estimate, not a directional signal on its own.
• The smallest and most fleeting of the edges here.
• Evidence: grounded in market-microstructure research; on Stoikov’s microprice. VYX's own live backtest is still accruing — treat this as scanner context, not a proven edge.