What is Smart Mid?
Smart Mid is a real-time pricing signal that provides a single derived value per U.S. stock symbol. It is designed as an alternative to the traditional midpoint (the average of the best bid and best ask prices). While the standard midpoint offers a simple approximation of fair value, it does not account for real-time trade activity, liquidity imbalance, or the directional flow of the market. Smart Mid improves on this by introducing a dynamic adjustment mechanism that shifts the midpoint toward the bid or ask depending on recent trade behavior and quote updates.
Smart Mid uses raw quote and trade data from the IEX TOPS feed as its primary input source. It calculates a proprietary weighting factor based on a combination of factors including top-of-book liquidity imbalance, trade direction, trade size, and update frequency. This weighting factor then determines how much Smart Mid should lean toward the bid or ask side of the spread.
Unlike simple averages, Smart Mid continuously adapts to the market as new quotes and trades are received. The result is a fair value estimate that reflects the most recent market sentiment and liquidity, making it more suitable for decision-making than a static midpoint.
Why Use Smart Mid?
The standard midpoint price often fails to capture important microstructure signals. It can remain unchanged during periods of high trading activity, providing a misleading sense of stability. In contrast, Smart Mid responds in real-time to directional order flow and changes in liquidity conditions, offering a more timely and informative view of the market.
Because Smart Mid incorporates trade size, quote updates, and imbalance signals, it delivers a richer, more dynamic representation of market sentiment. This makes it especially valuable for applications that rely on short-term price fairness.
Smart Mid also helps mitigate the impact of stale trades or wide bid-ask spreads. By adjusting the fair value estimate based on recent activity and top-of-book dynamics, it avoids anchoring to outdated or unrepresentative values. As a result, users gain a clearer picture of true market interest at any given moment—without relying on data that may be lagging or distorted.
How It Works
Smart Mid begins with the midpoint (M), calculated as the average of the best bid (B) and best ask (A): M = (B + A) / 2
It then applies a proprietary weighting adjustment to shift this midpoint based on multiple real-time signals. These signals are derived from IEX TOPS inputs and include:
- Order book imbalance: The relative size of the best bid quantity (BQ) versus the best ask quantity (AQ). A larger bid size biases the adjustment toward the bid, and vice versa.
- Trade direction: The location of the last sale price (L) within the bid-ask spread. If L is closer to A, the adjustment shifts upward; if closer to B, it shifts downward.
- Trade size significance: The last sale size (LS) is used to determine the impact of the trade. Larger trades have more influence on the adjustment.
- Quote and trade recency: The relative freshness of the last sale timestamp (LT) compared to bid and ask timestamps (BT, AT). More recent trades and quotes result in a stronger influence on the final adjustment.
These components are fed into a weighting function that produces a scalar factor between 0 and 1. This factor determines the adjusted value:
SmartMid = (1 - w) * B + w * AWhere w is the calculated weighting factor based on the components above. When w = 0.5, the result is the traditional midpoint. When w shifts closer to 0 or 1, the value moves toward the bid or ask, respectively. This formula enables Smart Mid to continuously reflect real-time changes in market structure and pressure.
Who Is It For?
Smart Mid is built to support external redistribution. It can be shown directly to end users in applications, mobile apps, spreadsheets, and options platforms. Unlike many market data sources that are restricted to internal use or subject to costly display licensing, Smart Mid is approved for external display as long as the customer is properly licensed through Market Data.
Financial Advisors: Reference Smart Mid to estimate the current market value of a stock when advising clients—without needing a professional user data subscription.
Spreadsheet Users: Use Smart Mid in Google Sheets or Excel to power watchlists, dashboards, and alerts with a real-time price signal that can legally be shared or presented externally.
Options Use: Display Smart Mid as the underlying price for options chains, improving the perceived fairness of strike proximity and execution benchmarks.
Stock Data Widgets: Use Smart Mid to display a real-time price in contexts where users cannot be individually entitled, ensuring compliance while still delivering a responsive price display.
Compliance and Data Use
Smart Mid is built primarly on inputs from the IEX TOPS feed and qualifies as derived data under IEX policy. It does not display or redistribute raw or disaggregated IEX Market Data. Instead, it transforms the input data into a single synthesized output value per symbol, updated in real time.
Our use of IEX data for this product has been reviewed and formally approved by IEX for external redistribution. This approval confirms that Smart Mid meets the criteria for derived data and is permitted for both internal and external commercial use, including redistribution to end users.
This ensures that Smart Mid is fully compliant with IEX’s data licensing terms, offering peace of mind for users who wish to incorporate the signal into their workflows.