Mercer — Market Microstructure Laboratory

Skip to market

Microprice: $100.0000
Midpoint: $100.00
Spread: 2 ticks
Imbalance: +0.000

Market readBuy and sell queues are balanced at the best prices, so microprice is staying close to midpoint.

Experiment

Symmetric arrivalsA stable control market with balanced buying, selling, replenishment, and cancellation.

Watch for

Queues refill as they deplete and microprice oscillates around midpoint.

Status: Starting
Clock: 0.00s
Events: 0
Latest event: Waiting for first event

Speed

Tune the marketSeed mercer-01 · Symmetric arrivals

Live microprice history with midpoint as a reference. Current microprice is $100.0000.

Market

Price formation

Microprice$100.0000

Every event reshapes the queues. Microprice follows their imbalance; the reference line is midpoint.

Move the marketConsume the best quote

Central limit order book

Exact ladder

BackgroundMaker

Up to five levels of exact ask and bid depth. Orders at each price are shown from oldest to newest.
Price	FIFO queue	Size
$100.05		29
$100.04		21
$100.03		14
$100.02		7
$100.01		30
Spread	2 ticks	$100.00
$99.99		30
$99.98		7
$99.97		14
$99.96		21
$99.95		29

Sell offers sit above the spread; buy bids sit below. Queue blocks run oldest to newest, and market orders consume the best price first.

Current model

Inventory-aware quoting

Risk

r = S − qγσ²τ

δ = γσ²τ + 2/γ ln(1 + γ/κ)

Inventory: 0 shares
Cash: $0.00
Marked P&L: $0.00
Quotes: $99.99 / $100.01

Inventory shifts reservation price. A long position lowers both quotes to encourage selling; a short position raises them to encourage buying.

Execution tape

Latest fills

Waiting

No executions yet.

Send a market order to consume the oldest best quote.

How Mercer works

Liquidity becomes price, one queue at a time.

Mercer is an interactive representation of the market-making ideas developed by Marco Avellaneda and Sasha Stoikov in High-frequency trading in a limit order book.

The paper studies how a dealer sets bid and ask quotes while managing inventory risk. Mercer places that policy inside a synthetic limit-order book so queue formation, order imbalance, price impact, and changing quotes can be observed directly.

01
Orders wait
Buyers queue below the market and sellers queue above it. Within one price, the oldest order is always first.
02
Liquidity is consumed
Market orders take the best available quote. Trades and cancellations drain queues; limit orders replenish them.
03
Price emerges
When a best queue disappears, the market moves to the next price. Queue imbalance can signal that pressure before the move.

Try the math

Move the queues. Watch the price lean.

Midpoint only uses the two prices. Microprice also uses the quantity waiting at each best quote, shifting toward the side more likely to be reached next.

μ = (aQ_b + bQ_a) / (Q_b + Q_a)

($100.01 × 70 + $99.99 × 30) ÷ 100

Best bid$99.99Midpoint$100.00Best ask$100.01

Microprice: $100.0040
Imbalance: +0.400
Pressure: Toward the ask

The market maker

Inventory changes the price a maker is willing to quote.

r = S − qγσ²τ

δ = γσ²τ + 2/γ ln(1 + γ/κ)

The reservation price r moves the center of the maker's quotes as inventory q changes. The spread δ balances execution probability against risk. Change Risk in the model panel above to watch that policy act inside the same order book.

Read Avellaneda–StoikovHigh-frequency trading in a limit order book

Synthetic by design. Mercer is an explanatory model, not historical market data, investment advice, or a trading venue.

The seeded stochastic market is starting.