Microprice

A size-weighted fair value that tilts the mid toward the side more likely to be hit. The standard high-frequency "true price" estimate.

Quick reference

Item	Value
Family	Microstructure
Input type	OrderBook — sorted bid/ask depth snapshot
Output type	f64 (price)
Output range	between best bid and best ask
Default parameters	none
Warmup period	1
Interpretation	Imbalance-adjusted fair value

Formula

microprice = (bidPrice₁ · askSize₁ + askPrice₁ · bidSize₁) / (bidSize₁ + askSize₁)

The opposite-size weighting pulls the price toward the side with less size (the side more likely to be consumed). Total top size zero → the plain mid. Stateless, O(1). See crates/wickra-core/src/indicators/microprice.rs.

Parameters

None. Construct with Microprice::new().

Inputs / Outputs

Indicator<Input = OrderBook, Output = f64>. Bindings: update(bid_px, bid_sz, ask_px, ask_sz); Python / Node batch over a list of snapshots → 1-D array. WASM streaming-only.

Warmup

warmup_period() == 1.

Edge cases

• Zero top size. Falls back to the mid (bid + ask) / 2.
• Always lies within the bid-ask spread.

Examples

Rust

use wickra::{Indicator, Level, Microprice, OrderBook};

let book = OrderBook::new(
    vec![Level::new(100.0, 1.0).unwrap()],
    vec![Level::new(101.0, 3.0).unwrap()],
).unwrap();
// (100·3 + 101·1) / (1 + 3) = 100.25 — heavy ask pulls toward the bid.
assert_eq!(Microprice::new().update(book).unwrap(), 100.25);

Python

import wickra as ta
print(ta.Microprice().update([100.0], [1.0], [101.0], [3.0]))  # 100.25

Node

const { Microprice } = require('wickra');
console.log(new Microprice().update([100], [1], [101], [3])); // 100.25

Interpretation

The microprice is the market's size-weighted fair value — the mid pulled toward the side more likely to be consumed next.

• Above the mid. The ask is thin relative to the bid; the book leans to lift, so fair value sits above the midpoint and an up-tick is more likely than a down-tick.
• Below the mid. The bid is thin relative to the ask; downward pressure, fair value below the mid.
• At the mid. Top sizes are balanced — no directional tilt.

It is the standard reference price for high-frequency PnL marking and a better short-horizon predictor of the next trade price than the plain mid, because it already encodes top-of-book imbalance.

Common pitfalls

• Top-level only. The estimator uses just the best bid/ask; a deep but lopsided book beyond the touch is invisible. Pair it with OrderBookImbalanceFull or DepthSlope when depth matters.
• Spoofable inputs. Quoted top size can be posted and pulled in milliseconds; a microprice driven by flickering quotes is noisy. Confirm with executed flow (TradeImbalance).
• Not a tradable price. It is a fair-value estimate between the quotes, not a level you can transact at — you still cross the spread to execute.

References

• Sasha Stoikov, The Micro-Price: A High-Frequency Estimator of Future Prices, Quantitative Finance, 2018 — the size-weighted fair-value estimator this implements.
• Álvaro Cartea, Sebastian Jaimungal, José Penalva, Algorithmic and High-Frequency Trading, 2015 — the microprice in optimal-execution context.

See also

• QuotedSpread — the cost of crossing the touch this fair value sits inside.
• OrderBookImbalanceTop1 — the raw top-of-book imbalance the microprice turns into a price.
• DepthSlope — fair-value context from the shape of the resting book.
• Indicators-Overview — the full taxonomy.