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rgourleyrgourley/quant-garage/skills/slippage-cost/SKILL.md

slippage-cost

Skill7 starsChanged 4 months agoLicence not identifiedView on GitHub

Slippage analysis on an executed-fills CSV. For each fill, pulls the NBBO at the fill timestamp, computes slippage versus the inside quote and session VWAP, and flags fills that crossed the spread, traded off-NBBO, paid through a wide spread, or showed adverse selection in the 30 seconds after the print. Compares fill price to NBBO at fill time, NOT to arrival-price benchmark. This is not true Implementation Shortfall. IS would compare fills against the decision-time benchmark; this compares against NBBO at fill time. See `tier_caveats` for the bias direction. Exception-report mode: only flagged fills surface. Use when an execution desk or PM hands over a fill log and asks "how much did we leak vs the inside today.

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4 rules. About 0 are common, 2 are distinctive, and 2 are very specific to this project.

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    Common · estimate

    Many files like this have a rule of this kind.

  • ≈2

    Distinctive · estimate

    This author's own choices. Worth a look.

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    Very specific

    Tied to their project's names, files or tools. Probably skip.

The licence could not be identified — read it at the source. We count its rules but don't quote them. Read them on GitHub.

≈ “Common” is an estimate: at least 1 in 5 of the 350,495 skill files we read have a rule of the same kind, not the same words. “Very specific” is our guess from the words: it names a file, a command, a setting or the project itself.

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