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Size-weighted mid

Market makingEasy

The best bid is $100$ with a size of $30$ units, and the best ask is $101$ with a size of $10$ units. The weighted mid price is the bid times the ask size, plus the ask times the bid size, all divided by the sum of the sizes. What is the weighted mid price?

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Hint

The side with the larger size pulls the price toward the opposite quote.

Solution

The numerator is $100 \times 10 + 101 \times 30 = 1000 + 3030 = 4030$ .
The denominator is the total size $30 + 10 = 40$ .
The weighted mid price is $4030 \div 40 = 100.75$ .

Answer: $100.75$

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