Subscribe to June
Subscribe to June
Share Dialog
Share Dialog
<100 subscribers
<100 subscribers
micro price
a limit of expected future mid-prices, conditional on the current mid-price and imbalance
以当前的中间价格,价差和订单簿不平衡为条件,对未来预期的中间价格进行限制。
1s mid-price change 和 order book imbalance 成正比
daily consistent, hourly consistent,但是adjustment 和当阶段的波动性相关
spread seems not a good driving factor for mid-price change
Very important to select the right K
样本内和样本外表现很好,consistency
2个改变
symmetry the micro price adjustment ==> v[0] = - v[-1]
v[middle] = 0
核心逻辑:不同区间的 order book imbalance,对应不同区间的 mid-price adjustment.
比如 计算出 ETHUSDT order book imbalance = 0.1 属于 (0.06-0.3),mid-price adjustment = -0.06025 [看下面excel链接], micro price = mid-price adjustment
只需要把excel 表格带进去,写简单判断区间的语句,就行
计算 order book imbalance

Q_b_t ==> 在时间点t,最优买价上的数量
Q_a_t ==> 在时间点t,最优卖价上的数量
计算 mid price

P_b_t ==> 在时间点t,最优买价
P_a_t ==> 在时间点t,最优卖价
计算 micro price

M ==> mid price
g(I,S) ==> micro price adjustment, 见下图
https://docs.google.com/spreadsheets/d/18dmRsHIiPc_bN0OoWAkpptsk7i53Bx9YfoU5q40-ERg/edit?usp=sharing
















micro price
a limit of expected future mid-prices, conditional on the current mid-price and imbalance
以当前的中间价格,价差和订单簿不平衡为条件,对未来预期的中间价格进行限制。
1s mid-price change 和 order book imbalance 成正比
daily consistent, hourly consistent,但是adjustment 和当阶段的波动性相关
spread seems not a good driving factor for mid-price change
Very important to select the right K
样本内和样本外表现很好,consistency
2个改变
symmetry the micro price adjustment ==> v[0] = - v[-1]
v[middle] = 0
核心逻辑:不同区间的 order book imbalance,对应不同区间的 mid-price adjustment.
比如 计算出 ETHUSDT order book imbalance = 0.1 属于 (0.06-0.3),mid-price adjustment = -0.06025 [看下面excel链接], micro price = mid-price adjustment
只需要把excel 表格带进去,写简单判断区间的语句,就行
计算 order book imbalance

Q_b_t ==> 在时间点t,最优买价上的数量
Q_a_t ==> 在时间点t,最优卖价上的数量
计算 mid price

P_b_t ==> 在时间点t,最优买价
P_a_t ==> 在时间点t,最优卖价
计算 micro price

M ==> mid price
g(I,S) ==> micro price adjustment, 见下图
https://docs.google.com/spreadsheets/d/18dmRsHIiPc_bN0OoWAkpptsk7i53Bx9YfoU5q40-ERg/edit?usp=sharing
















No activity yet