execution-model

Name: execution-model
Availability: InStock
Author: liangwei-zhang

Model slippage, market impact, and execution delay for backtests.

Updated Apr 14, 2026

Search Tags:#execution #VWAP #TWAP #backtest #slippage #market-impact #transaction-costs

Ready to run

npx skills add https://github.com/Liangwei-zhang/six-stock --skill execution-model-liangwei-zhang

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: execution-model
Source: https://github.com/Liangwei-zhang/six-stock/tree/main/Vibe-Trading/agent/src/skills/execution-model
Command: npx skills add https://github.com/Liangwei-zhang/six-stock --skill execution-model-liangwei-zhang

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill requires pandas, numpy, and includes scripts (resource) components.

What problem does it solve?

Backtests often misprice execution costs; this skill models slippage, market impact, and execution delay to improve realism.

Core Features & Use Cases

Slippage models (fixed, linear, square-root) with configurable market references.
VWAP/TWAP-like execution slicing and delay simulation to reflect intraday dynamics.
Integrated transaction-cost framework covering explicit costs and implicit costs across major markets.

Quick Start

Run a backtest and apply the fixed 5bp slippage model to simulate realistic fills.

Frequently Asked Questions about execution-model

High-intent search queries and answers about installing and using this skill.

FAQPage Schema

How do I model slippage and market impact for realistic backtest execution costs?▼

To model realistic backtest execution costs, apply fixed, linear, or square-root slippage models to simulate market impact and execution delay. This quantifies both explicit transaction costs and implicit costs across equities and crypto instruments.

What is the best way to simulate VWAP and TWAP execution slicing in a backtest?▼

To simulate VWAP and TWAP execution slicing in a backtest, configure the execution model to slice orders intraday. This reflects intraday dynamics and simulates realistic order fills under volume-weighted and time-weighted average price strategies.

Does this execution model work for crypto backtests and equities transaction costs?▼

Yes, the execution model works for crypto backtests and equities transaction costs. It applies to backtested strategies across equities, crypto, and other liquid instruments, simulating order fills while accounting for market-specific spreads and impacts.

Why does my backtest overestimate strategy performance without transaction cost modeling?▼

Your backtest overestimates strategy performance without transaction cost modeling because it misprices execution costs. Applying an integrated transaction-cost framework captures explicit costs like commissions alongside implicit costs like spread and opportunity cost.

Can I use pandas and numpy to configure backtest slippage parameters and safety rails?▼

Yes, you can use pandas and numpy to configure backtest slippage parameters and safety rails. The execution model provides configurable parameters for slippage models and execution delay to ensure realistic order fill simulation.