--- title: "Weighted Midprice: Formula, Meaning" description: "A weighted midprice is a size-weighted average of order-book prices rather than a plain midpoint. It is commonly defined as the sum of price times size over..." canonical: https://www.getswoopr.com/indicators/market-microstructure/weighted-midprice/ source: "Swoopr Investment: https://www.getswoopr.com" --- ## Direct Answer > A weighted midprice is a size-weighted average of order-book prices rather than a plain midpoint. It is commonly defined as the sum of price times size over the best N levels of both sides divided by total size; definitions vary. It shifts toward the side with more resting size, so it shows where displayed liquidity is concentrated. # Weighted Midprice: Formula, Meaning, Signals, Examples and How to Use It ## How Is Weighted Midprice Calculated? A weighted midprice is a size-weighted average of order-book prices rather than a plain midpoint. It is commonly defined as the sum of price times size over the best N levels of both sides divided by total size; definitions vary. **Formula:** `Weighted Midprice = sum(p_i x q_i) / sum(q_i), over the best N bid and ask levels` **Inputs:** - Prices at the best N bid and ask levels - Resting size at each level - Number of levels N **Worked example.** Two levels per side, bids 500 at 100.00 and 300 at 99.99, asks 200 at 100.02 and 400 at 100.03, give a weighted midprice of 100.009. The inputs are illustrative numbers, not market data. **Reading it.** It shifts toward the side with more resting size, so it shows where displayed liquidity is concentrated. It differs from the microprice, which uses the opposite weighting at the top of the book only. **Limits.** Naming is not consistent: some sources call the inverse-weighted top-of-book formula a weighted midprice, so check the definition. It relies on displayed size that may be cancelled, and the number of levels chosen changes the value. ## What is Weighted Midprice? A weighted midprice is a size-weighted average of order-book prices rather than a plain midpoint. It is commonly defined as the sum of price times size over the best N levels of both sides divided by total size; definitions vary. ## How to use Weighted Midprice It shifts toward the side with more resting size, so it shows where displayed liquidity is concentrated. It differs from the microprice, which uses the opposite weighting at the top of the book only. A reading alone is never a buy or sell signal; it needs context from price structure, volume, volatility and the broader market regime. ## Strengths - Averaging price by size across several levels uses more of the book than a midpoint of the best quotes. - A larger N makes the value less sensitive to a single queue's size change at the touch. - Reproducible when the formula and data convention are fixed. ## Weaknesses and limitations - Summing prices across both sides blends bid and ask prices, so the result is pulled toward whichever side has more total size. - Levels far from the touch have little chance of trading soon, yet they get the same treatment as near levels unless distance is used as a weight. - Correlated indicators can create false confidence by repeating the same underlying information. ## Editorial and risk note This page is educational content, not individualized investment advice. It should not imply guaranteed prediction, accuracy or outperformance. ## Frequently Asked Questions Is Weighted Midprice a buy or sell signal? No. It shifts toward the side with more resting size, so it shows where displayed liquidity is concentrated. Naming is not consistent: some sources call the inverse-weighted top-of-book formula a weighted midprice, so check the definition. A trade built on it still needs a trigger, an invalidation rule, a position size and realistic execution assumptions. What is the best setting for Weighted Midprice? Weighted Midprice is computed from prices at the best N bid and ask levels; resting size at each level; number of levels N, so the choices that matter are the data convention and the window it is read over. Test those across instruments, regimes and out-of-sample periods instead of fitting one historical winner. Can Weighted Midprice be used by itself? Naming is not consistent: some sources call the inverse-weighted top-of-book formula a weighted midprice, so check the definition. It relies on displayed size that may be cancelled, and the number of levels chosen changes the value. For that reason it is read next to measures of direction, participation, valuation, liquidity and risk, not alone. Does Weighted Midprice work on every timeframe? The calculation (Weighted Midprice = sum(p_i x q_i) / sum(q_i), over the best N bid and ask levels) can be run on any bar size, but behavior is not portable: a reading on a five-minute chart describes a very different market window from the same reading on a daily chart. Validate the exact timeframe before relying on it. Why does Weighted Midprice give false signals? Summing prices across both sides blends bid and ask prices, so the result is pulled toward whichever side has more total size. Levels far from the touch have little chance of trading soon, yet they get the same treatment as near levels unless distance is used as a weight. Lag, noise and regime changes add to this, because market participants react to new information after the reading is calculated. How should Weighted Midprice be backtested? Rebuild Weighted Midprice from prices at the best N bid and ask levels using point-in-time data, write the rules before testing, include delisted securities where relevant, model realistic fills and costs, reserve a validation sample and compare with a simpler baseline. S Swoopr Editorial Team The Swoopr Editorial Team produces independent investment education, research, and tools for understanding markets, evaluating opportunities, and managing risk. All content is educational only and does not constitute personalized investment advice. 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