market-microstructure

Name: market-microstructure
Availability: InStock
Author: daddyelonmusk69

Analyze tick-level market microstructure for liquidity, spreads, and price impact.

Updated Apr 12, 2026

Search Tags:#liquidity #market-microstructure #order-flow #kyle-lambda #limit-order-book #VPIN

Ready to run

npx skills add https://github.com/DaddyElonMusk69/motis-agent --skill market-microstructure-daddyelonmusk69

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: market-microstructure
Source: https://github.com/DaddyElonMusk69/motis-agent/tree/main/skills/finance/market-microstructure
Command: npx skills add https://github.com/DaddyElonMusk69/motis-agent --skill market-microstructure-daddyelonmusk69

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Market microstructure knowledge helps traders and researchers understand how liquidity, spreads, and price formation occur, enabling better execution and risk management.

Core Features & Use Cases

Bid-Ask spread decomposition and impact estimation (quoted, effective, realized spreads) to improve cost expectations.
Order-flow toxicity metrics (VPIN) and price impact modeling (Kyle lambda) for detecting informed trading and liquidity risk.
Depth and resilience analysis of the limit-order-book, including China A-share market microstructure signals (call/closing auctions) for intraday strategy.

Quick Start

Run a microstructure analysis with tick-level data to evaluate liquidity, spreads, and execution signals.

Frequently Asked Questions about market-microstructure

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

FAQPage Schema

How do I compute VPIN and Kyle lambda for order-flow toxicity analysis?▼

To compute VPIN and Kyle lambda for order-flow toxicity, you need tick-level or Level-2 data. This analysis detects informed trading and liquidity risk by modeling price impact, outputting structured metrics for execution planning and risk management.

What is bid-ask spread decomposition and how does it estimate trading costs?▼

Bid-ask spread decomposition breaks down quoted, effective, and realized spreads to estimate trading costs. This microstructure analysis improves cost expectations by isolating the actual price impact of intraday equity trades.

Do I need Level-2 data to analyze limit-order-book dynamics and market liquidity?▼

Yes, you need tick-level or Level-2 data to analyze limit-order-book dynamics. This data computes liquidity measures like Amihud and Roll, enabling depth and resilience analysis for intraday equity trading strategies.

Can I use market microstructure signals for China A-share intraday trading?▼

Yes, you can apply market microstructure signals to China A-share intraday trading. The analysis covers call and closing auction dynamics, limit-order-book depth, and price formation to generate structured execution insights.

What is the difference between linear and nonlinear price impact models in market microstructure?▼

Linear and nonlinear price impact models quantify how order size affects price formation in market microstructure. Implementing both allows you to compare toxicity metrics and optimize liquidity execution for intraday equity trading.

How do I measure market liquidity using Amihud and Roll metrics?▼

You measure market liquidity using Amihud and Roll metrics by processing tick-level trade data. These liquidity measures evaluate price impact and spread resilience, providing structured insights for execution planning and risk management.