The answers from these two replies seem to contradict each other. The first numerator is bidSizebidPrice + askSizeaskPrice but the second is bidSizeaskPrice + askSizebidPrice.
Does anyone know what I'm missing here?
Edit: I think the 2nd link above is correct formula but I'm likely misreading first link. This because this paper seems to agree with 2nd link: http://home.uchicago.edu/~shim/Papers/HFT-FrequentBatchAuctions.pdf