execution-cost-analysislisted

Measure what your execution actually cost instead of assuming a number - implementation shortfall, benchmark choice, impact models, and the gap between the cost you assumed and the cost you paid. TRIGGER - transaction cost analysis, TCA, implementation shortfall, arrival price, decision price, slippage analysis, execution quality, fill quality, did I get a good fill; VWAP or TWAP benchmark, beat VWAP, participation rate, POV, percentage of volume, child orders, order slicing; market impact, temporary vs permanent impact, square-root law, Almgren-Chriss, price reversion after my order; "how much size can this strategy take", capacity, alpha decay with size. SKIP for a slippage assumption inside a backtest and for "works in backtest, loses live" with no measured fills (backtesting-engines), for whether that assumption is credible (research-integrity-guards), and for broker order types (broker-execution-apis).
howard-lynn-ye/fin-skills · ★ 1 · AI & Automation · score 77

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

# Execution cost analysis **A backtest assumes a cost. TCA measures one.** Most research stacks do the first and never the second, which is why "works in backtest, loses money live" is the most common complaint in the field and the least often diagnosed. This skill is about your own fills. For choosing a cost *assumption* before you have fills, see `../research-integrity-guards/SKILL.md` §4 and its `../research-integrity-guards/scripts/cost_curve.py`. ## 1. 🚨 A perfect VWAP score is compatible with any amount of loss ✅ Measured with `scripts/benchmark_choice.py` — one 100,000-share buy through a session that drifts **+120.7 bps against the buyer**: | Schedule | vs decision price | vs interval VWAP | vs close | |---|---|---|---| | TWAP | +26.1 | −6.5 | −93.5 | | **VWAP** | **+32.6** | **+0.0** | −87.1 | | Opportunistic | −10.5 | −42.9 | −129.7 | | Front-loaded (58m) | **−17.1** | −49.5 | −136.1 | *(positive = cost; negative = beat that benchmark)* 🚨 **The VWAP schedule scores exactly 0.0 bps against VWAP — textbook-perfect — while costing the fund 32.6 bps against the price at which the decision was made.** It matched the market's own schedule through the whole adverse move, so it ate the move in full and the metric reported nothing. 🔑 **VWAP measures whether you looked like everyone else. It cannot tell you whether trading at that pace was a good idea.** Finishing in 58 minutes instead was **49.6 bps better for the fund**. ⚠️ **What this does NOT show:** on this p