D11-F04-A03 · Order-Book Dynamics

Microprice guided playground

How does top-of-book queue imbalance shift a quote-based reference price inside the spread? Choose a synthetic scenario, step through the evidence, observe the state, and compare the boundary.

Synthetic teaching data · not live market data
Microprice scenario progression The complete deterministic 61-state output series with the current recalculated value highlighted. state 0 state 60
What to notice now

StepActive ruleValueState