trade-execution-cost

What problem does it solve?

This Skill reduces overly optimistic backtest results by modeling slippage, market impact, execution delay, and transaction-cost drag so your simulated fills better resemble real execution.

Core Features & Use Cases

• Slippage model selection and estimation: Fixed slippage, linear impact, and square-root (Almgren-Chriss style) impact with parameter guidance by liquidity regime.
• Execution-algorithm logic for backtests: VWAP and TWAP execution assumptions plus intraday slicing principles for more realistic fill timing.
• Integrated cost framework: Combines explicit costs (e.g., commission, stamp duty) with implicit costs (spread, impact, and opportunity costs) and provides analysis guidance to estimate net performance impact.

Use it when you are running strategy backtests and want to quantify how costs and liquidity assumptions (ADV, volatility, participation rate) change annual returns, Sharpe ratio, and drawdowns.

Quick Start

Apply the trade-execution-cost skill to your backtest configuration to compute execution-price slippage, apply T+1 delay assumptions, and estimate total transaction-cost drag.