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stock-liquidity

Analyze stock liquidity metrics including spreads, volume, market impact, and turnover via yfinance.

3.3k|382|Updated Mar 13, 2026
Search Tags:#stock analysis#liquidity#market impact#yfinance#amihud#bid-ask spread#turnover ratio
One-click install
npx skills add https://github.com/himself65/finance-skills --skill stock-liquidity-himself65
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: stock-liquidity
Source: https://github.com/himself65/finance-skills/tree/main/plugins/market-analysis/skills/stock-liquidity
Command: npx skills add https://github.com/himself65/finance-skills --skill stock-liquidity-himself65

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill requires yfinance, pandas, numpy, and includes references (resource) components.

What problem does it solve? Quoted prices hide the real cost of trading — bid-ask spreads, slippage, and market impact erode returns, especially for large orders or thinly traded stocks. This Skill quantifies how liquid a stock actually is before you commit capital. ## Core Features & Use Cases - Liquidity Dashboard: Combines spread, average dollar volume, Amihud illiquidity, turnover, and market impact into a single graded snapshot for one or more tickers. - Market Impact Modeling: Uses the square-root impact model (σ × √(Q/V)) to estimate execution cost for a given order size, with an impact curve across order sizes. - Volume & Turnover Analysis: Computes ADV, dollar volume, RVOL, day-of-week patterns, and float turnover with trend detection. - Use Case: Before buying 50,000 shares of a small-cap stock, ask for a market impact estimate to learn the order would cost ~45 bps in slippage — prompting you to split execution across multiple days. ## Quick Start Ask the AI to analyze how liquid a stock is, for example: "How liquid is AAPL and what would a $1M order do to the price?"

Frequently Asked Questions about stock-liquidity

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

FAQPage Schema
How do I check if a stock is liquid enough to trade?▼

Run a liquidity dashboard analysis that combines average daily dollar volume, bid-ask spread percentage, Amihud illiquidity ratio, and turnover into a single grade. Stocks with over $50M daily dollar volume and spreads under 0.10% are considered highly liquid.

How to estimate market impact of a large stock order?▼

Use the square-root market impact model: Impact (%) = daily volatility × √(order size / average daily volume). Provide your order size in shares or dollars to get an estimate in basis points, plus an impact curve showing how cost scales with size.

What is the Amihud illiquidity ratio and how is it calculated?▼

The Amihud ratio measures daily price response per dollar of volume: the average of |daily return| divided by daily dollar volume. Higher values mean less liquidity; values above 10 (×10⁹) indicate micro-cap illiquidity, while mega-caps sit below 0.01.

Does yfinance provide Level 2 order book data?▼

No, Yahoo Finance only provides top-of-book data (best bid, ask, and sizes). The analysis approximates depth using intraday volume distribution and options open interest, but full Level 2 depth requires a direct feed like NASDAQ TotalView.

Why is the bid-ask spread data delayed or inaccurate?▼

Yahoo Finance quotes carry a roughly 15-minute delay for most exchanges, so displayed spreads may not reflect the live market. Spreads also widen during pre/post-market hours, which are excluded from regular-hours analysis by default.

What are the limitations of liquidity analysis for ETFs?▼

ETF liquidity differs from stocks because authorized participants can create or redeem shares, so an ETF with low volume may still be highly liquid if its underlying basket is liquid. Surface metrics like spread and volume understate true ETF liquidity.

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