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execution-model

Simulate realistic trade execution in backtests with slippage, impact, and delay models.

Updated May 5, 2026
Search Tags:#backtesting#liquidity#VWAP#slippage#market impact#transaction costs#execution modeling
One-click install
npx skills add https://github.com/wudye/traderAssistHK --skill execution-model-wudye
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: execution-model
Source: https://github.com/wudye/traderAssistHK/tree/main/backend/src/skills/execution-model
Command: npx skills add https://github.com/wudye/traderAssistHK --skill execution-model-wudye

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

It eliminates overly optimistic backtests by simulating more realistic trade execution, including slippage, market impact, and execution delays rather than assuming perfect fills.

Core Features & Use Cases

  • Slippage & Market-Impact Models: Apply fixed slippage, linear impact (volume/ADV participation), or square-root (Almgren-Chriss style) impact to compute fill price degradation.
  • Execution Logic for Backtesting: Use VWAP/TWAP execution assumptions and incorporate T+1 (signal-to-fill delay) constraints, plus liquidity and price-limit considerations.
  • Transaction-Cost Breakdown & Analysis: Estimate explicit and implicit costs (commission, spreads, impact) and quantify cost drag effects with scenario/sensitivity comparisons.

Use case: When comparing strategy variants, you can adjust execution assumptions to ensure performance conclusions remain valid under higher slippage and lower liquidity conditions, reducing the risk of losses in live trading.

Quick Start

Use the execution-model skill to generate backtest fill prices using fixed/linear/square-root slippage and VWAP/TWAP execution assumptions with configurable delay, commissions, and liquidity constraints.

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 in backtesting?▼

Model slippage and market impact in backtesting by applying fixed, linear volume/ADV participation, or square-root impact models to compute realistic fill price degradation. This prevents overly optimistic backtest results by simulating non-ideal fills.

Why does my backtest assume perfect fills and overestimate strategy performance?▼

Backtests assume perfect fills by ignoring transaction costs. Simulating execution delay, market impact, and slippage using VWAP/TWAP slicing generates realistic execution-assumption-driven fill prices to quantify cost drag effects accurately.

Can I use VWAP and TWAP execution assumptions for intraday crypto backtests?▼

Yes, you can use VWAP and TWAP execution assumptions for intraday crypto backtests. The simulation supports market-specific cost assumptions across equities and crypto while incorporating liquidity participation limits and T+1 signal-to-fill delays.

What is the best way to estimate transaction costs for sensitivity analysis?▼

Estimate transaction costs for sensitivity analysis by computing explicit and implicit costs like commissions, spreads, and market impact. Adjusting execution assumptions allows scenario comparisons to validate performance under higher slippage and lower liquidity.

Does Almgren-Chriss square-root impact work for daily backtesting scenarios?▼

Yes, the square-root Almgren-Chriss style impact model works for daily backtesting scenarios. It calculates fill price degradation based on volume participation, complementing fixed and linear slippage models for comprehensive transaction-cost analysis.

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