Pretrade Liquidity Cost Modeling

objective

Estimate pre-trade cost and liquidity risk with robust forecast diagnostics.

workflow

1. define pre-trade horizon and benchmark assumptions.
2. assemble liquidity features from depth, spread, and turnover.
3. estimate expected impact, timing risk, and completion probability.
4. validate forecasts against realized post-trade outcomes.
5. release only when pre-trade forecasts are calibrated and stable.

required diagnostics

• pre-trade impact forecast error by size bucket.
• completion probability calibration by urgency tier.
• liquidity regime classification stability.
• expected-cost versus realized-cost tracking error.
• order difficulty score drift over time.