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execution-model

Apply backtest-focused execution models to simulate slippage and market impact.

Updated May 15, 2026
Search Tags:#risk-management#VWAP#TWAP#backtest#slippage#market-impact#execution-model
One-click install
npx skills add https://github.com/philipcoller-777/Vibe-Trading-TV2 --skill execution-model-philipcoller-777
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: execution-model
Source: https://github.com/philipcoller-777/Vibe-Trading-TV2/tree/main/agent/src/skills/execution-model
Command: npx skills add https://github.com/philipcoller-777/Vibe-Trading-TV2 --skill execution-model-philipcoller-777

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Provides a backtest-focused execution model that injects realistic slippage, market impact, and execution delays into simulated trades, improving the fidelity of strategy evaluation.

Core Features & Use Cases

  • Fixed/slippage models to mimic bid-ask spreads in controlled backtests
  • Linear and square-root market impact models based on size and liquidity
  • VWAP and TWAP execution concepts with delay mechanics
  • Clear cost decomposition (explicit vs implicit) and configurable assumptions
  • Use case: evaluate how transaction costs and execution timings affect gross and net returns under different liquidity scenarios

Quick Start

Use this skill to configure and apply backtest execution assumptions in your trading simulations.

Frequently Asked Questions about execution-model

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

FAQPage Schema
How do I simulate slippage and market impact in a backtest?▼

To simulate slippage and market impact in a backtest, apply fixed, linear, or square-root execution models that adjust trade prices based on order size and liquidity profiles.

What is the square-root market impact model for trading simulations?▼

The square-root market impact model estimates price slippage proportionally to the square root of order size relative to liquidity, capturing non-linear execution costs in trading simulations.

How do I configure VWAP and TWAP execution delays in a backtest?▼

Configure VWAP and TWAP execution delays in a backtest by setting deterministic delay mechanics and participation rates, simulating realistic order slicing across diverse liquidity profiles.

Does backtesting execution realism affect gross and net returns?▼

Backtesting execution realism directly affects gross and net returns by injecting explicit and implicit transaction costs, slippage, and execution delays into simulated trading strategies.

When should I use fixed slippage models instead of linear impact models?▼

Use fixed slippage models to mimic bid-ask spreads in controlled backtests, whereas linear impact models simulate price movements based on varying order size and liquidity.

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