Model
── Spread (AS) ──
σ = max(vol_5m, vol_1m, γ·vol_1h) = —
σ/s = (σ / √31557600) · mid = —
γ = —
spread = 2 · γ · σ/s · √T = —
floor = 2 · (ASbps + feebps) = —
── Inventory ──
q = pos_usd / max_inv = —
skew = q · ½spread · γ = —
── Directional Signal ──
dir = wl5·ltrOB5 + wb2·binOB2 + wb5·binOB5 = —
lOB5=— bOB2=— bOB5=—
── Final Quotes ──
binance mid = —
binance L1 microprice = —
binance 3bp microprice = —
binance blend microprice = —
binance synth-3bp microprice = —
model mid = — (quote_mid: binance/lighter/blend/basis_mid)
── Microprice Shift ──
µprice variant = — (off)
selected µprice = —
microprice_offset = (µprice − binance_mid) / binance_mid · 10000 = — bps
micro_shift = αmicro (—) · offset = — bps
── Trade-Flow Shift (lead-lag) ──
flow variant = — · vol denom = —
trade_flow_z = — · vol = — = — bps
flow_shift = αflow (—) · signal = — bps
── Total Shift ──
total shift = micro_shift + flow_shift = — bps
fair_value = mid · (1 + total_shift/10000) = — · — = —
fair_value − model mid = — (— bps)
inv_skew = — (— bps)
reservation = fair_value − inv_skew = —
bid_half = ½spread = — (symmetric — direction now flows in via fair_value shift)
= max(bid_half, floor) = —
bid = reservation − bid_half = —
ask_half = ½spread = —
= max(ask_half, floor) = —
ask = reservation + ask_half = —