• 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

1. 核心逻辑：不同区间的 order book imbalance，对应不同区间的 mid-price adjustment.

2. 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

3. 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