Volume Weighted Mid Price

Quick Reference

Property	Value
Dimension	signal
Category	order_flow
Version	v1.0
Output Column	vw_mid_price

Volume-weighted mid price: (bid_size * ask_price + ask_size * bid_price) / (bid_size + ask_size) — fair price estimate

Formula

((best_bid_size * best_ask_price) + (best_ask_size * best_bid_price)) / (best_bid_size + best_ask_size)

CDM Inputs

Column	CDM Table	Description
best_bid_price	cdm_*	CDM source table
best_ask_price	cdm_*	CDM source table
best_bid_size	cdm_*	CDM source table
best_ask_size	cdm_*	CDM source table

Parameters

This FeatureType has no configurable parameters.

Output

Column: vw_mid_price

Volume-weighted fair mid price

Market Intuition & Trading Rationale

Volume-weighted mid price is a superior fair value estimate: (bid_size × ask_price + ask_size × bid_price) / (bid_size + ask_size). Unlike the simple mid-price which always sits at the center, the VW mid-price tilts toward the side with more depth — if bid depth exceeds ask depth, the fair price shifts up (bullish tilt). This captures the market's "center of gravity" more accurately than the arithmetic midpoint.

Usage Cases

• Fair value for execution: Use vw_mid_price instead of mid_price as the reference for trade classification and execution decisions. The VW mid-price better reflects where the next trade is likely to occur.
• Micro-price comparison: Compare with micro_price_deviation — together they provide two independent estimates of the deviation between simple mid and true fair value.
• Trade sign refinement: Classify trades relative to vw_mid_price for more accurate buy/sell classification, especially in imbalanced books.

YAML Definition

name: volume_weighted_mid_price
description: 'Volume-weighted mid price: (bid_size * ask_price + ask_size * bid_price)
  / (bid_size + ask_size) — fair price estimate'
category: order_flow
dimension: signal
version: v0.9.0 (Beta)
required_inputs:
  - best_bid_price
  - best_ask_price
  - best_bid_size
  - best_ask_size
output_column: vw_mid_price
output_description: Volume-weighted fair mid price
tags:
  - signal
  - microstructure
  - fair_price
parameters: {}
formula: ((best_bid_size * best_ask_price) + (best_ask_size * best_bid_price)) / (best_bid_size
  + best_ask_size)