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Inventory Skew
See how an inventory imbalance shifts bid and ask quotes.
Inputs
Bid and ask vs. inventory
Linear inventory controlCalculation details & data source
This is an explicitly linear quote-skew control, not a calibrated optimal-spread model. Let w be current base inventory weight, w* its target (both fractions), S the full spread in bps, and K the center shift in bps for a 10-percentage-point inventory deviation. Raw shift in bps = −(w − w*) × 10 × K; this is capped at the entered maximum absolute shift. Quote center = mid × (1 + capped shift / 10,000). Raw bid = center − mid × S/20,000 and raw ask = center + mid × S/20,000. Bid is rounded down and ask up to the tick size; zero tick size disables rounding. Effective spread is measured after rounding. Excess base inventory shifts both quotes down; a deficit shifts them up. At target, quotes are symmetric around the mid. Quotes can cross the mid under strong skew; this tool does not enforce a live order book's post-only constraints, balances, volatility calibration or execution policy.