What trading algorithms are included in this skill?

The skill includes Time-Weighted Average Price (TWAP), Volume-Weighted Average Price (VWAP), Iceberg orders, and Smart Order Router (SOR) patterns.

Is the code compatible with Python's asyncio?

Yes, all execution patterns are implemented using asynchronous programming to ensure high performance and non-blocking I/O during trade execution.

What is the primary benefit of the Iceberg order pattern?

It hides the total size of a large order by only placing small, visible portions on the order book at a time, preventing other market participants from front-running the trade.

How does the VWAP executor calculate volume profiles?

It analyzes historical OHLCV data over a specified lookback period to determine average volume distribution across different hours of the day.

Can these patterns be used with any exchange?

Yes, the patterns are designed as generic logic that can be integrated with any exchange connector or API that supports limit and market orders.

Algorithmic Trading Execution Patterns

Name: Algorithmic Trading Execution Patterns
Author: khanh-vu

bykhanh-vu

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データサイエンスとML

Optimizes trade execution using advanced algorithms like TWAP, VWAP, and Iceberg orders to minimize market impact and slippage.

概要

This skill provides Claude with specialized implementation patterns for high-performance financial engineering and algorithmic trading. It includes production-ready logic for Time-Weighted Average Price (TWAP), Volume-Weighted Average Price (VWAP), and Iceberg execution strategies. By using these patterns, developers can build trading systems that intelligently slice large orders, hide trade footprints, and route orders across multiple liquidity pools to ensure the best possible fill quality and cost efficiency.

主な機能

TWAP implementation for even distribution over time windows
Asynchronous execution handling for real-time exchange interaction
2 GitHub stars
VWAP execution using historical intraday volume profiles
Iceberg order logic for hiding large order sizes
Smart Order Router (SOR) patterns for multi-exchange connectivity

ユースケース

Developing institutional-grade automated trading bots
Executing large-scale portfolio rebalancing with minimal slippage
Building execution engines for cryptocurrency and equity trading platforms

概要

主な機能

TWAP implementation for even distribution over time windows
Asynchronous execution handling for real-time exchange interaction
2 GitHub stars
VWAP execution using historical intraday volume profiles
Iceberg order logic for hiding large order sizes
Smart Order Router (SOR) patterns for multi-exchange connectivity

ユースケース

Developing institutional-grade automated trading bots
Executing large-scale portfolio rebalancing with minimal slippage
Building execution engines for cryptocurrency and equity trading platforms