# Micro Price 

**Published by:** [June](https://paragraph.com/@june-3/)
**Published on:** 2022-02-27
**URL:** https://paragraph.com/@june-3/micro-price

## Content

定义micro pricea 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。结论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 changeVery important to select the right K样本内和样本外表现很好，consistency2个改变symmetry the micro price adjustment ==> v[0] = - v[-1]v[middle] = 0实现核心逻辑：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 imbalanceDefinition - Orderbook imbalanceQ_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 pricemid-priceP_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 pricemicro 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结果Plot ETHUSDT BinanceETHUSDT - 2022/02/18 - 2022/02/24, 1smid-price change vs. spreadmid-price change vs. order book imbalanceETH - order book imbalance cutETH - micro-price adjustmentPlot BTCUSDT Binanceup: BTCUSDT- order book imbalance cut; down: BTCUSDT micro-price adjustment

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