I’ve heard that a lot of HFT use so called micro price for making predictions for futures and other product. Basically it convert the LOB and order message to a single number.
I know it is kind of secret for each trader and might not be easy to get start on my own, but I wonder if there is any publication that could give me a head start, especially on pricing a contract with its own books and some related contracts books.
I am aware someone in the academic use micro price as a term for a very simple model, which only consider the top of book price and quantity. I am looking for something that would incorporate multi level of book, and execution momentum as well.