longbridge-execution-model

Trade execution modelling framework for backtesting — slippage, VWAP/TWAP, market impact, and volume participation.

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

When to use

Trigger on prompts asking for:

• Slippage or market impact modelling — "帮我建一个滑点模型", "square root market impact model"
• VWAP / TWAP execution strategy — "VWAP执行逻辑", "TWAP slice timing"
• Volume participation rate (POV) — "成交量参与率策略", "POV strategy"
• Kyle lambda or price impact estimation — "Kyle lambda 估算", "execution cost analysis"

This skill is for backtesting / analysis only — no live order placement.

Workflow