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market-microstructure

Analyze tick-level and Level-2 data for trading costs, liquidity, and price impact.

1|Updated Jun 23, 2026
Search Tags:#market microstructure#spread analysis#order flow toxicity#liquidity metrics#price impact models#limit order book analysis#China A-share
One-click install
npx skills add https://github.com/644408071-design/Kokpop --skill market-microstructure-644408071-design
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: market-microstructure
Source: https://github.com/644408071-design/Kokpop/tree/main/agent/src/skills/market-microstructure
Command: npx skills add https://github.com/644408071-design/Kokpop --skill market-microstructure-644408071-design

SYSTEM DOCUMENTATION & REQUIREMENTS

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

What problem does it solve?

This Skill enables in-depth analysis of market microstructure, providing detailed insights into trading costs, liquidity, and price impact for informed decision-making.

Core Features & Use Cases

  • Spread Analysis: Calculate bid-ask spreads, effective spreads, and realized spreads to assess market conditions.
  • Order-Flow Toxicity: Evaluate order-flow toxicity using metrics like VPIN and Kyle's Lambda to identify informed trading.
  • Liquidity Measures: Calculate liquidity measures like Amihud and Roll to understand market depth and liquidity risk.
  • Price-Impact Models: Assess price impact using linear and nonlinear models for strategic order execution.
  • Limit Order Book Analysis: Analyze the depth, resilience, and order-book imbalances for trading strategy refinement.
  • Flash-Crash Analysis: Detect and understand the causes and characteristics of flash-crashes.
  • China A-Share Specific: Include China A-share-specific features such as call-auction analysis and block trade discount signals.

Quick Start

Use the market-microstructure skill to generate a microstructure analysis report for the instrument '000858.SZ' on the date '2026-03-28'.

Frequently Asked Questions about market-microstructure

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

FAQPage Schema
How do I analyze market microstructure using tick-level and Level-2 data?▼

Market microstructure analysis processes tick-level and Level-2 data to evaluate trading costs, liquidity, and price impact. It calculates bid-ask spreads, order-flow toxicity, and limit order book depth to interpret complex market patterns for informed decision-making.

What metrics are used to measure order-flow toxicity and informed trading?▼

Order-flow toxicity is measured using VPIN and Kyle's Lambda to identify informed trading. These metrics evaluate the probability of informed trading and price impact, helping professional traders assess market conditions and potential adverse selection risk.

How do I calculate bid-ask spreads and liquidity measures like Amihud and Roll?▼

Bid-ask spreads, effective spreads, and realized spreads are calculated alongside liquidity measures like Amihud and Roll. These metrics assess market depth, liquidity risk, and trading costs to understand market conditions using tick-level data.

Does this market microstructure analysis support China A-share specific features?▼

Yes, China A-share specific features are supported, including call-auction analysis and block trade discount signals. These features analyze the unique characteristics and idiosyncrasies of the Chinese A-share market for professional traders.

Can I model price impact using linear and nonlinear approaches for strategic execution?▼

Price impact can be assessed using both linear and nonlinear models for strategic order execution. These models analyze how trades affect market prices, helping professional traders optimize execution strategies and minimize market impact costs.

How do I detect and analyze flash crashes in limit order books?▼

Flash-crash analysis detects and understands the causes and characteristics of sudden market crashes. It examines limit order book depth, resilience, and order-book imbalances to identify the microstructure factors contributing to these events.

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