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 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.