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market-microstructure

Quantify liquidity, trading-cost drivers, and informed-trading risk from microstructure metrics.

Updated Apr 14, 2026
Search Tags:#liquidity#execution cost#market microstructure#order flow toxicity#limit order book#vp in#kyle lambda
One-click install
npx skills add https://github.com/loanntc/Paave --skill market-microstructure-loanntc
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: market-microstructure
Source: https://github.com/loanntc/Paave/tree/main/skills/market-microstructure
Command: npx skills add https://github.com/loanntc/Paave --skill market-microstructure-loanntc

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Market microstructure analysis eliminates guesswork about transaction costs and execution risk by quantifying how spreads, liquidity, and order-flow signals affect price formation in real time or near real time.

Core Features & Use Cases

  • Spread and liquidity diagnostics: Computes quoted, effective, and realized spreads and supports liquidity measures such as Amihud illiquidity and Roll implied spread.
  • Order-flow toxicity assessment: Estimates informed-trading risk using VPIN and models price impact using Kyle’s lambda.
  • Execution and safety guidance: Applies price-impact frameworks (including linear/nonlinear impact models) and provides limit-order-book signals plus flash-crash prevention heuristics tailored to China A-shares (call auctions, closing auction, block trade mechanics).

Notes on data and fit

This is best for workflows that can leverage tick-level or Level-2 data, with fallbacks to daily-data liquidity proxies when higher-resolution inputs are unavailable.

Quick Start

Use the market-microstructure skill to analyze liquidity and execution risk for a China A-share on a specific trading date, including spread, VPIN/Kyle lambda, and execution recommendations.

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 and informed trading risk?▼

You can measure liquidity using quoted, effective, and realized spreads, alongside Amihud illiquidity and Roll implied spread proxies. These metrics quantify transaction costs and market depth to diagnose execution risk.

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

Yes, you can analyze China A-share microstructure signals including call auctions, closing auctions, and block trade mechanics. The analysis provides limit-order-book signals and flash-crash prevention heuristics tailored to this market.

Do I need tick-level or Level-2 data to compute market microstructure metrics?▼

You do not strictly need tick-level or Level-2 data, though it is best for high-resolution analysis. The workflow supports fallbacks to daily-data liquidity proxies when higher-resolution inputs are unavailable.

What is the best way to quantify trading impact and execution cost for quantitative planning?▼

The best way to quantify trading impact is applying linear and nonlinear price-impact frameworks alongside spread diagnostics. This produces actionable execution guidance by analyzing order-flow imbalance and price-impact relationships for quantitative planning.

How do I calculate limit order book imbalance for flash-crash prevention?▼

Limit order book imbalance is calculated by analyzing LOB dynamics to detect order-flow toxicity and price-impact shifts. These signals generate flash-crash prevention heuristics and actionable execution safety guidance.

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