execution-algorithmslisted

Build the schedule that works an order - VWAP, TWAP, POV, Almgren-Chriss - and know what each one is optimizing. TRIGGER - VWAP algo, TWAP algo, POV, percentage of volume, participation rate, child order slicing, execution schedule, order scheduling, "how should I work this order", intraday volume profile, U-shaped volume curve; Almgren-Chriss, optimal execution, optimal liquidation, trading trajectory, efficient frontier of execution, risk aversion lambda, trade half-life, kappa, market impact model, temporary vs permanent impact, square root law; implementation shortfall, Perold, arrival price, decision price, delay cost, opportunity cost, unfilled shares. SKIP for measuring fills you already have and choosing a benchmark after the fact (execution-cost-analysis), for spreads, trade classification and order-flow measures (intraday-microstructure), for quoting rather than taking (market-making-models), and for broker order types and routing (broker-execution-apis).
howard-lynn-ye/fin-skills · ★ 1 · AI & Automation · score 77

Install: claude install-skill howard-lynn-ye/fin-skills

# Execution algorithms **Every schedule is optimal for something. The failure is not choosing badly — it is not knowing what your schedule was chosen to minimize, and then reporting it against a benchmark that measures something else.** Everything marked ✅ Measured comes from `scripts/execution_algos.py` — numpy + pandas, seed 20260909, one 390-bin session plus closed forms, **2 s**. Everything marked ✅ source-verified was read by this library in the December 2000 Almgren-Chriss preprint; the equation numbers are as printed there and the full transcription is in the script's docstring. This skill is the **schedule**. `../../../fin-core/skills/execution-cost-analysis/SKILL.md` is the **measurement** of fills you already have — read it for benchmark choice, the reversion test, and what to log per parent order. §3 below is the one place they touch, and it is a different mechanism, stated as such. ## 1. The four schedules, and what each one ignores | Schedule | Minimizes | Blind to | |---|---|---| | **TWAP** | nothing; it spreads evenly | volume, entirely | | **VWAP** | tracking error to the session VWAP | whether trading at the market's pace was wise | | **POV `r`** | footprint per bin | **completion — it can simply not finish** | | **Almgren-Chriss** | `E[cost] + λ·Var[cost]` | the volume profile; it is a clock, not a participation rule | ✅ Measured — 250,000 shares against a 5M-share session drifting +59 bps against the buyer, with Almgren-Chriss linear impact applied: