Order-book mid & micro-price

mediumTradingacceptance —~20 min

Implement micro_price(bid, ask, bid_size, ask_size) — the size-weighted fair value from the top of the book: (ask·bid_size + bid·ask_size) / (bid_size + ask_size). A heavy bid pushes the fair value TOWARDS the ask, because the bid is the side less likely to give way.

The mid is where the quotes are; the micro-price is where the next trade probably is. Return it rounded to 4 decimal places.

example 1

input

bid=100.0, ask=100.1, bid_size=500.0, ask_size=500.0

output

100.05

example 2

input

bid=100.0, ask=100.1, bid_size=900.0, ask_size=100.0

output

100.09

note

Nine lots bid, one offered — fair value leans towards the ask.

constraints

0 < bid < ask
bid_size, ask_size > 0

teacher · 2 hints · the first is free

●solution.py· utf-8 · spaces:4

def micro_price(bid: float, ask: float, bid_size: float, ask_size: float) -> float:
    """Size-weighted fair value at the top of the book, rounded to 4 dp."""
    # TODO: weight by the opposite side's size — this is just the mid
    return round((bid + ask) / 2, 4)

ln 1, col 1tab indent · esc leave editor

python 3.13 · pyodide

+ 6 hidden on submit

input · keyword arguments to micro_price()

bid=100.0, ask=100.1, bid_size=500.0, ask_size=500.0

expected

100.05

the judge calls micro_price() with exactly these inputs · outputs are compared to 6 decimal places

● standing bypython 3.13 in your browser · pyodide 0.28.3 · judged on the server to 6 dp⌘↵ run · ⌘⇧↵ submit

paper only · educational · not advice