longbridge-execution-model

Trade execution modelling framework for backtesting — slippage, VWAP/TWAP, market impact, and volume participation.

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

When to use

Trigger on prompts asking for:

• Slippage or market impact modelling — "帮我建一个滑点模型", "square root market impact model"
• VWAP / TWAP execution strategy — "VWAP执行逻辑", "TWAP slice timing"
• Volume participation rate (POV) — "成交量参与率策略", "POV strategy"
• Kyle lambda or price impact estimation — "Kyle lambda 估算", "execution cost analysis"

This skill is for backtesting / analysis only — no live order placement.

Workflow

1. Identify the symbol and fetch intraday volume profile and tick data.
2. Compute average daily volume (ADV) and intraday volume curve.
3. Apply the requested execution model:
   • Linear slippage: impact = k × (order_size / ADV)
   • Square-root impact: impact = σ × √(order_size / ADV)
   • Kyle lambda (λ): estimate from tick data as ΔP / ΔQ
   • VWAP slice: distribute order proportionally to historical volume curve
   • TWAP slice: divide order into equal time-weighted tranches
   • POV: cap participation at p% of each interval's volume
4. Output estimated cost in bps and recommended execution schedule.
5. Generate Python code skeleton if the user wants a local implementation.

If unsure of exact flag names, run longbridge <subcommand> --help before proceeding.

CLI

# 1-minute OHLCV — intraday volume distribution reference
longbridge kline <SYMBOL> --period 1m --count 200 --format json

# Tick-by-tick trades — for Kyle lambda estimation
longbridge trades <SYMBOL> --count 100 --format json

Output structure

EXECUTION MODEL REPORT — <SYMBOL>  <Date>

VOLUME PROFILE
ADV (20d):    xx.xM shares
Intraday:     09:30–10:00  xx%  ██████
              10:00–11:00  xx%  ████
              ...

MODEL PARAMETERS
Model:        Square-Root Impact
Order Size:   xx,000 shares (xx% of ADV)
Volatility σ: x.xx% (daily)

COST ESTIMATES
Market Impact: xx bps
Spread Cost:   x bps
Total Cost:    xx bps  (~$xx,xxx on $x.xM order)

EXECUTION SCHEDULE (VWAP)
09:30–10:00   x,xxx shares
10:00–11:00   x,xxx shares
...

KYLE LAMBDA
Estimated λ:  x.xxe-6  ($/share per share traded)

Error handling

MCP fallback

When the CLI is unavailable, fall back to the MCP server. Discover available tools from the MCP server's tool list at runtime.

Related skills

• longbridge-kline — candlestick and OHLCV data
• longbridge-depth — orderbook depth and tick trades
• longbridge-strategy-optimizer — strategy backtesting and optimisation
• longbridge-anomaly — unusual volume and price movements

File layout

skills/longbridge-execution-model/
└── SKILL.md