Micro-price
The micro-price is an estimate of fair value inside the bid-ask spread that weights the mid-price by the sizes resting at the best bid and best ask. It sits closer to the side with the thinner queue, because that side is the more likely to be consumed next.
Senzoukria · Glossary · Updated September 2026
Why the mid-price is not enough
The mid-price is halfway between best bid and best ask, and most platforms treat it as the price. It ignores the sizes. With 40 contracts bid and 10 offered, the two queues are 4-to-1: the thin ask is far more likely to be consumed than the thick bid, so the next move is more likely up than down. Fair value is not in the centre of the spread but near the ask. The micro-price makes that correction.
The formula
- Compute the imbalance I = bid size / (bid size + ask size). In the example, I = 40 / 50 = 0.8.
- Slide fair value that fraction of the way across the spread: micro = bid + I × spread. With a bid at 29150.00 and a spread of one tick of 0.25, the micro-price is 29150.20.
- This is the imbalance-weighted mid, the first-order form of the estimator studied by Stoikov. The full estimator adds further terms; the weighted mid is the practical version drawn on charts.
- It always lives inside the spread, so it is finer-grained than the last traded price, and it moves before a trade prints, because queues shift first.
Reading the line
- Line hugging the ask side of the spread: a persistently bid-heavy book, upward lean.
- Line hugging the bid side: the mirror.
- Line crossing the mid repeatedly: a balanced, two-sided book where queue information is weak at that moment.
- Line drifting while the last trade is flat: the book is repositioning before the tape confirms. This is a one-tick-scale refinement of timing at a level, not a directional call on the next ten points.
In Senzoukria
The micro-price is the line drawn by the Microstructure (quant) indicator, group Quant models. The Micro-price line toggle turns it on, Trail length sets how many seconds of history stay on screen (30 to 600, default 180), and Trail width and Line color handle appearance. The same indicator computes the queue imbalance and OFI shown in the QI / OFI gauge, which can be enabled independently of the line. It needs a feed that streams best bid and ask sizes; with trades only, there is no queue to weight.
Common mistakes
- Trading the micro-price as a target. It resolves at the scale of one tick, inside the spread.
- Reading it on a wide-spread instrument as if the weighting had the same meaning as on a one-tick market.
- Forgetting that displayed queue sizes include orders that may be cancelled; the estimate is only as good as the book at that instant.
- Comparing the line with a last-traded-price series as if both were prices of the same kind.
Related
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Frequently asked questions
- Is the micro-price a prediction of the next trade price?
- It is an estimate of where fair value sits inside the current spread given the queue sizes, which correlates with the direction of the next mid-price change at the one-tick scale. That is a mechanical consequence of thin queues being consumed first, not a forecast of where price will be in a minute.
- What is the difference between the micro-price and the queue imbalance?
- They carry the same information in two forms. The queue imbalance is a signed number from −1 to +1 built from the same two sizes; the micro-price applies that number to the spread to produce a price. One is a gauge, the other a level on the chart.