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JacobHsu
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market-microstructure

Diagnose trading microstructure to quantify liquidity costs and order-flow toxicity.

Updated Apr 9, 2026
Search Tags:#liquidity#microstructure#order-flow#vpin#kyle-lambda#execution-cost#amihud
One-click install
npx skills add https://github.com/JacobHsu/vibe-trading-agent --skill market-microstructure-jacobhsu
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: market-microstructure
Source: https://github.com/JacobHsu/vibe-trading-agent/tree/main/agent/src/skills/market-microstructure
Command: npx skills add https://github.com/JacobHsu/vibe-trading-agent --skill market-microstructure-jacobhsu

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill grounds execution planning in the realities of spread dynamics, VPIN spikes, and liquidity drain so traders stop underestimating microstructure costs.

Core Features & Use Cases

  • Spread decomposition: Quantify quoted, effective, and realized spreads plus Roll-derived drivers to anticipate transaction costs across China A-share tickers.
  • Order-flow toxicity & impact models: Compute VPIN, Kyle's lambda, and Almgren-Chriss impact to detect informed trading, flash-crash risk, and slicing needs.
  • Liquidity and auction insights: Track Amihud, depth imbalance, auction behavior, and block trades to steer VWAP/TWAP execution windows and avoid risky time slots.

Quick Start

Ask the skill to diagnose liquidity, toxicity, and execution strategy for a China A-share instrument before sending any large order.

Frequently Asked Questions about market-microstructure

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

FAQPage Schema
How do I measure order-flow toxicity before executing large equity orders?▼

Diagnose liquidity costs by decomposing quoted, effective, and realized spreads alongside Amihud illiquidity metrics from Level-2 data to anticipate transaction costs across equity tickers.

Can I use microstructure analysis to optimize VWAP and TWAP execution schedules?▼

Yes, microstructure analysis tracks Amihud, depth imbalance, and auction behavior to steer VWAP and TWAP execution windows, helping avoid risky time slots and minimize slippage.

What data is needed to calculate VPIN and Kyle's lambda for execution cost analysis?▼

Tick-level or Level-2 market data is required to compute VPIN, Kyle's lambda, and Amihud metrics for diagnosing liquidity costs and order-flow toxicity before executing large orders.

Does this microstructure Skill support China A-share market trading strategies?▼

Yes, this Skill diagnoses spread dynamics, VPIN spikes, and liquidity drain specifically for China A-share and similar equity markets to ground execution planning in market realities.

How do spread decomposition models help minimize slippage in equity trading?▼

Spread decomposition quantifies quoted, effective, and realized spreads plus Roll-derived drivers to anticipate transaction costs, enabling traders to minimize slippage when executing large equity orders.

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