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Midpoint

The price exactly halfway between the best bid and best offer, used as the fair reference for dark crosses, mark-to-market and transaction cost measurement.

The midpoint is the cleanest single estimate of an asset's current value, because it is not contaminated by which side happened to trade last. Nearly all execution measurement uses it: slippage, effective-spread and implementation-shortfall are all quoted against a mid.

It is also the natural meeting point for two counterparties who each want a better price than the quote offers, which is why midpoint-peg orders and dark crossing exist.

Example: 19.98 bid, 20.02 offered gives a midpoint of 20.00. A buyer who crosses at the mid pays 20.00 instead of 20.02, saving 2 cents, and the seller receives 20.00 instead of 19.98, gaining 2 cents. On 50,000 shares each side keeps $1,000 that would otherwise have been spread.

Related: midpoint-peg, bid-ask-spread, effective-spread, price-improvement

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Bid-ask spread in an order bookSell orders stacked above buy orders with a gap between the best of each.SELLERS (asks)50.0690050.051,40050.0460050.011,10050.002,30049.99800spread = 0.03BUYERS (bids)
The bid-ask spread. Buy orders sit below, sell orders above, and the gap between the best bid (50.01) and best ask (50.04) is the spread you pay to cross. Bar length shows the size resting at each price.

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