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market-microstructure

Analyze market microstructure and execution impact for quantitative trading strategies.

Updated Apr 14, 2026
Search Tags:#execution#liquidity#market-microstructure#order-book#vpin#kyle-lambda#china-a-share
One-click install
npx skills add https://github.com/Liangwei-zhang/six-stock --skill market-microstructure-liangwei-zhang
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: market-microstructure
Source: https://github.com/Liangwei-zhang/six-stock/tree/main/Vibe-Trading/agent/src/skills/market-microstructure
Command: npx skills add https://github.com/Liangwei-zhang/six-stock --skill market-microstructure-liangwei-zhang

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Market microstructure insights help quantifiably model execution costs, liquidity dynamics, and price formation to improve strategy robustness.

Core Features & Use Cases

  • Bid-ask spread analysis: quantify quoted, effective, and realized spreads to understand execution costs.
  • Order-flow toxicity and liquidity metrics: compute VPIN, Kyle's lambda, and liquidity measures to gauge market quality.
  • Limit-order-book and depth analysis: assess depth, resilience, and OIR signals to anticipate price impact.
  • China A-share microstructure focus: capture call auctions, closing auctions, and block-trade mechanics for A-share trading.

Quick Start

Run a microstructure analysis on a chosen instrument using tick-level data to estimate VPIN, Kyle lambda, and depth metrics.

Frequently Asked Questions about market-microstructure

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

FAQPage Schema
How do I calculate VPIN and Kyle's lambda for tick-level market microstructure analysis?▼

This Skill computes VPIN and Kyle's lambda for market microstructure analysis by processing tick-level or Level-2 data. It utilizes configurable bucket sizes to quantify order-flow toxicity and price impact for quantitative trading strategies.

What is the best way to measure bid-ask spread and execution costs using Level-2 order book data?▼

Measuring bid-ask spread and execution costs with Level-2 data involves calculating quoted, effective, and realized spreads. This Skill processes order book inputs to quantify these metrics, enabling smarter execution cost modeling.

Can I analyze China A-share specific microstructure mechanics like call auctions and block trades?▼

You can analyze China A-share microstructure mechanics like call auctions, closing auctions, and block trades using this Skill. It explicitly captures these unique market features to assess execution impact and liquidity for A-share trading.

How do I assess limit order book depth and resilience to anticipate price impact?▼

Assessing limit order book depth and resilience involves analyzing LOB dynamics and OIR signals with this Skill. It evaluates depth resilience and order imbalance ratios from Level-2 data to anticipate and model price impact.

Does market microstructure analysis work without Level-2 tick data?▼

This Skill requires tick-level or Level-2 data to perform market microstructure analysis and compute metrics like VPIN and Kyle's lambda. Without granular order book data, it cannot accurately model execution costs or liquidity dynamics.

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