# I am the Watcher. I am your guide through this vast new twtiverse.
# 
# Usage:
#     https://watcher.sour.is/api/plain/users              View list of users and latest twt date.
#     https://watcher.sour.is/api/plain/twt                View all twts.
#     https://watcher.sour.is/api/plain/mentions?uri=:uri  View all mentions for uri.
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# 
# Options:
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#     offset  Start index for quey.
#     limit   Count of items to return (going back in time).
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# twt range = 1 1
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zhi-hu-mei-ri-jing-xuan
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什么是microprice？**
好问题，结合最近读到的一篇Microprice Research，来梳理一下，抛砖引玉。注：实际生产中的microprice非常复杂，都会掺proprietary alpha，就是每个shop的ip了。

## Prerequisite

在Orderbook的语境下，什么才是fair price呢？

### Mid-price?



Pa是best ask, Pb是best bid。看起来通俗易懂，但是有以下3点缺点:

1. Mid 高度自相关(auto-correlated)，这个现象也叫bid-ask-bounce
2. Mid相比于quote来说，变化的频率低，因此是一个低频信号
3. Mid没有考虑volume

### Weighted Mid?

好，我们来加入Volume

![](ht ... ⌘ [Read more](http://www.zhihu.com/question/513782601/answer/2328043857?utm_campaign=rss&utm_medium=rss&utm_source=rss&utm_content=title)