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Inventory Skew

See how an inventory imbalance shifts bid and ask quotes.

Inputs

More options

Quotes move away from excess inventory. Bid rounds down and ask rounds up to your tick size.

Bid quote$99.90Buy below reservation price
Ask quote$100.02Sell above reservation price
Quote-center shift-4.00 bpsReduce base inventory

Bid and ask vs. inventory

Linear inventory control
BidAskMarket mid
$99.80$99.90$100.00$100.10$100.200%33.3%66.7%100%Target inventoryCurrent bidCurrent askBase inventory (% of portfolio)Quote price ($)
Base inventory is % of portfolio value · Quotes rounded outward to tick size
Quote center $99.96Inventory deviation +20.00 ppEffective spread 12.00 bpsTick size 0.01
Calculation 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.

Hummingbot: inventory exposure and quote skew