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market-impact-model

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Estimate market impact for large trades.

Finance & Accounting#execution#trading#twap#vwap#market-impact#almgren-chriss
Authormahmoud20138
Version1.0.0
Installs0

System Documentation

What problem does it solve?

Estimate and manage the market impact of large orders to reduce execution costs and slippage in real-time.

Core Features & Use Cases

  • Almgren-Chriss based impact estimation combining temporary and permanent components
  • Schedule-aware execution planning (TWAP/VWAP) with recommended participation
  • Post-trade analysis hooks (TCA) to compare actual vs expected costs

Quick Start

Provide order size and market parameters to obtain an impact estimate and recommended execution strategy.

Dependency Matrix

Required Modules

None required

Components

Standard package

💻 Claude Code Installation

Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.

Please help me install this Skill:
Name: market-impact-model
Download link: https://github.com/mahmoud20138/Tradecraft/archive/main.zip#market-impact-model

Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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