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longbridge-execution-model

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Original

English
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Translation

Chinese

longbridge-execution-model

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.
用于回测的交易执行建模框架——包含滑点、VWAP/TWAP、市场冲击及成交量参与率模型。
响应语言：匹配用户输入语言——简体中文 / 繁体中文 / 英文。

When to use

适用场景

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.
当用户提出以下需求时触发：
  • 滑点或市场冲击建模——"帮我建一个滑点模型", "square root market impact model"
  • VWAP / TWAP执行策略——"VWAP执行逻辑", "TWAP slice timing"
  • 成交量参与率（POV）——"成交量参与率策略", "POV strategy"
  • Kyle lambda或价格冲击估算——"Kyle lambda 估算", "execution cost analysis"
本技能仅用于回测/分析——不支持实时下单。

Workflow

工作流程

  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.
  1. 识别标的代码，获取日内成交量分布和逐笔交易数据。
  2. 计算日均成交量（ADV）和日内成交量曲线。
  3. 应用请求的执行模型：
    • 线性滑点：
      impact = k × (order_size / ADV)
    • 平方根冲击：
      impact = σ × √(order_size / ADV)
    • Kyle lambda (λ)：从逐笔数据中估算为
      ΔP / ΔQ
    • VWAP拆分：根据历史成交量曲线按比例分配订单
    • TWAP拆分：将订单拆分为等时间权重的批次
    • POV：将参与率限制在每个时间段成交量的
      p%
      以内
  4. 输出以基点（bps）为单位的估算成本及推荐执行时间表。
  5. 如果用户需要本地实现，生成Python代码框架。
若不确定确切的参数名称，请先运行
longbridge <subcommand> --help
再操作。

CLI

命令行界面（CLI）

bash
undefined
bash
undefined

1-minute OHLCV — intraday volume distribution reference

1分钟K线数据——日内成交量分布参考

longbridge kline <SYMBOL> --period 1m --count 200 --format json
longbridge kline <SYMBOL> --period 1m --count 200 --format json

Tick-by-tick trades — for Kyle lambda estimation

逐笔交易数据——用于Kyle lambda估算

longbridge trades <SYMBOL> --count 100 --format json
undefined
longbridge trades <SYMBOL> --count 100 --format json
undefined

Output structure

输出结构

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)
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

错误处理

Situation简体回复繁體回復English reply
Symbol not found未找到该代码，请确认市场和格式。找不到該代碼，請確認市場和格式。Symbol not found — verify exchange and ticker.
Insufficient tick data逐笔数据不足，结果仅供参考。逐筆數據不足，結果僅供參考。Insufficient tick data — estimates are approximate.
command not found: longbridge
请安装 longbridge-terminal 或通过 MCP 连接。請安裝 longbridge-terminal 或透過 MCP 連線。Install longbridge-terminal or connect via MCP.
not logged in
请运行 
longbridge auth login
。		請執行 
longbridge auth login
。		Run 
longbridge auth login
.
场景简体回复繁体回复English reply
标的代码未找到未找到该代码，请确认市场和格式。找不到該代碼，請確認市場和格式。Symbol not found — verify exchange and ticker.
逐笔数据不足逐笔数据不足，结果仅供参考。逐筆數據不足，結果僅供參考。Insufficient tick data — estimates are approximate.
command not found: longbridge
请安装 longbridge-terminal 或通过 MCP 连接。請安裝 longbridge-terminal 或透過 MCP 連線。Install longbridge-terminal or connect via MCP.
not logged in
请运行 
longbridge auth login
。		請執行 
longbridge auth login
。		Run 
longbridge auth login
.

MCP fallback

MCP备用方案

If 
longbridge
binary is not found, fall back to 
mcp__longbridge__kline
and 
mcp__longbridge__trades
.
若未找到
longbridge
二进制文件，可改用
mcp__longbridge__kline
和
mcp__longbridge__trades
。

Related skills

相关技能

  • 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
  • longbridge-kline
    — K线及OHLCV数据
  • longbridge-depth
    — 订单簿深度及逐笔交易
  • longbridge-strategy-optimizer
    — 策略回测与优化
  • longbridge-anomaly
    — 异常成交量与价格波动

File layout

文件结构

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