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market-microstructure

Compute VPIN, Kyle lambda, Amihud, and Roll metrics from tick-level market data.

Updated Apr 10, 2026
Search Tags:#liquidity#market-microstructure#order-flow#vpin#kyle-lambda#price-impact
One-click install
npx skills add https://github.com/ebrahim-sani/trading-automation --skill market-microstructure-ebrahim-sani
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: market-microstructure
Source: https://github.com/ebrahim-sani/trading-automation/tree/main/vibe-trading/agent/src/skills/market-microstructure
Command: npx skills add https://github.com/ebrahim-sani/trading-automation --skill market-microstructure-ebrahim-sani

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This skill helps quantify liquidity costs and price impact by analyzing market microstructure data, enabling more accurate execution strategies.

Core Features & Use Cases

  • Compute key microstructure metrics (VPIN, Kyle's lambda, Amihud, Roll) and liquidity depth signals from tick-level data.
  • Assess bid-ask spreads, order-flow toxicity, and depth resilience to inform execution strategies (TWAP, VWAP, IS).
  • Apply to China A-shares and other liquid markets to tailor liquidity-aware trading models.

Quick Start

Load the tick-level market data and run the microstructure analytics module to generate liquidity, spread, and price-impact reports.

Frequently Asked Questions about market-microstructure

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

FAQPage Schema
How do I quantify price impact and order-flow toxicity from tick-level market data?▼

You calculate microstructure metrics like Kyle's lambda and VPIN by processing tick-level market data. This analysis outputs precise liquidity depth signals and order-flow toxicity assessments to inform execution strategies.

What is the best way to estimate execution costs for VWAP and TWAP strategies in liquid markets?▼

The best way to estimate execution costs is by assessing bid-ask spreads and depth resilience using market microstructure analytics. This generates liquidity-aware trading models tailored for liquid markets like Chinese A-shares.

Can I compute VPIN and Amihud illiquidity metrics for Chinese A-shares?▼

Yes, you can compute VPIN and Amihud metrics for Chinese A-shares. The analytics module processes high-resolution tick and Level-2 data to output precise liquidity depth and price-impact signals for this specific market.

Does this market microstructure analysis require Level-2 tick data to calculate the Roll spread?▼

Yes, calculating the Roll spread and other microstructure metrics relies on high-resolution data handling. The analysis uses tick or Level-2 data when available to accurately quantify spreads and price impact.

What limitations exist when applying microstructure metrics to execution strategy rules?▼

A key limitation is data resolution; without available tick or Level-2 data, precise microstructure metric calculation is constrained. Execution rules should be documented in SKILL.md to handle varying liquidity depth accurately.

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