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Trade Execution Modeling

Adds realistic slippage, market-impact and execution-timing assumptions to backtests

Source Download skill
Repository
HKUDS/Vibe-Trading
Stars
37,433
Licence
MIT
Files
1 file

What it does

This skill gives an AI agent guidance and ready-made functions for making trading backtests more realistic. Instead of assuming every trade fills at the closing price with no cost, the agent can add slippage (the price moving against you), market-impact costs for large orders, realistic trade delays, and typical commission and stamp-duty figures for different markets. It is for simulation only and does not place live orders.

Great for

  • Quant researchers checking whether a trading strategy's backtest results survive realistic costs
  • Developers building backtesting code who want tested slippage and delay helpers
  • Students learning how transaction costs and market impact affect strategy returns

Skip it if

  • Live trading or placing real orders: the skill explicitly covers backtest simulation only, so it does not connect to any broker or exchange
  • Investment advice on specific stocks or crypto: the reference numbers are rough suggestions, not calibrated for any particular instrument and could mislead if treated as fact

Try asking

  • “Add slippage and a T+1 execution delay to my A-share momentum backtest”
  • “Estimate market-impact cost if I trade 250k shares of a stock with 1M average daily volume”
  • “Compare fixed slippage against a square-root impact model for my crypto strategy”
  • “Explain the difference between VWAP and TWAP execution for my backtest fills”
Step-by-step guide: how to use Trade Execution ModelingInstall, first run, examples, tips and FAQs

Install in 3 steps

  1. 1

    Download the skill

    The ZIP contains the 1 original files, the MIT licence and an attribution note.

    execution-model.zip
  2. 2

    Add it to your agent

    Claude Code (all projects)

    mkdir -p ~/.claude/skills && unzip execution-model.zip -d ~/.claude/skills/

    Claude Code / Agent SDK (this project only)

    mkdir -p .claude/skills && unzip execution-model.zip -d .claude/skills/

    Claude apps (web/desktop): Settings → Capabilities → Skills → Upload skill, and choose the ZIP.

  3. 3

    Ask for the task

    No special command needed — the agent reads the skill's description and loads it when your request matches. Try one of the prompts above.

Get better results

  • Ask the agent to import the tested functions from src/quantlib/impact.py rather than rewriting the formulas, since the tested versions reject invalid inputs such as negative delays.
  • Choose slippage or impact models based on your capital relative to the instrument's average daily volume, as the skill's decision tree describes.
  • Treat the reference bps and coefficient ranges as starting assumptions and calibrate them against your own market data before relying on results.

What's inside

  • SKILL.md

Redistributed unmodified from HKUDS/Vibe-Trading under the MIT licence. The assessment was drafted with AI from the skill's files on 2026-10-29. Skills can instruct your agent to run code — read SKILL.md and any scripts before installing.