BrainBytesandClaude Opus 4.6
9a8fcfcaac
The complete trading and quantitative finance system for Claude Code. - 18 specialized agents (quant-researcher, algo-strategist, risk-manager, derivatives-analyst, etc.) - 82 domain skills across 10 categories (quant methods, strategies, risk, derivatives, portfolio, execution, data, crypto, macro, backtesting) - 20 slash commands for trading workflows - 5 always-active rules (risk limits, data integrity, model governance, regulatory compliance, ethical trading) - 4 hook scripts (risk check, backtest validation, data quality, session start) - 3 context modes (research, live-trading, backtesting) - 3 example configs (quant fund, crypto trader, retail algo) - 8 MCP server configurations - The Complete Guide (setup + advanced patterns) - Viral-ready README, CONTRIBUTING, CI, PR template Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
4.1 KiB
4.1 KiB
description
| description |
|---|
| Plan trade execution with optimal scheduling, venue selection, and TCA targets |
/execution-plan
What This Command Does
Designs an execution plan for trading a position, including order scheduling (TWAP, VWAP, implementation shortfall), venue selection, market impact estimation, and transaction cost analysis targets. The execution-specialist agent optimizes for minimal execution cost.
When to Use
- You need to execute a large order and want to minimize market impact
- You want to compare execution strategies (TWAP vs VWAP vs aggressive)
- You need pre-trade TCA estimates for compliance or best-execution documentation
- You are executing a portfolio rebalance with multiple simultaneous trades
How It Works
- Order analysis — Assesses order size relative to ADV, spread, and intraday volume profile.
- Impact estimation — Models expected market impact using square-root and linear impact models.
- Strategy selection — Recommends TWAP, VWAP, implementation shortfall, or other strategies based on urgency and size.
- Venue analysis — Evaluates lit exchanges, dark pools, and crossing networks for optimal routing.
- Schedule design — Produces a time-sliced execution schedule with participation rate targets.
- TCA framework — Sets benchmarks and defines post-trade TCA metrics to measure execution quality.
Example Usage
Input:
/execution-plan buy 500,000 shares MSFT over today,
low urgency, minimize market impact
Output:
## Execution Plan — Buy 500,000 MSFT
### Order Context
| Parameter | Value |
|--------------------|--------------------------------|
| Stock | MSFT ($415.20) |
| Order size | 500,000 shares ($207.6M) |
| ADV (20-day) | 22.4M shares |
| % of ADV | 2.23% |
| Avg spread | $0.01 (0.2bps) |
| Intraday vol | 12bps |
| Urgency | Low |
### Recommended Strategy: VWAP
Given low urgency and moderate size (2.2% ADV), VWAP execution
over the full trading day minimizes market impact while tracking
volume patterns.
### Expected Costs
| Component | Estimate (bps) | Estimate ($) |
|--------------------|----------------|----------------|
| Spread cost | 0.1 | $20,760 |
| Market impact | 1.8 | $37,368 |
| Timing risk | 0.5 | $10,380 |
| Commission | 0.3 | $6,228 |
| **Total expected** | **2.7** | **$56,088** |
### Execution Schedule
| Time Slice | Volume % | Shares | Participation |
|-----------------|----------|---------|---------------|
| 09:30 - 10:00 | 12% | 60,000 | 4.5% |
| 10:00 - 11:00 | 14% | 70,000 | 3.8% |
| 11:00 - 12:00 | 10% | 50,000 | 3.2% |
| 12:00 - 13:00 | 8% | 40,000 | 3.0% |
| 13:00 - 14:00 | 10% | 50,000 | 3.2% |
| 14:00 - 15:00 | 16% | 80,000 | 3.5% |
| 15:00 - 15:30 | 14% | 70,000 | 4.0% |
| 15:30 - 16:00 | 16% | 80,000 | 4.2% |
### Venue Routing
| Venue | Target % | Rationale |
|------------------|----------|--------------------------------|
| Primary (NYSE) | 40% | Price discovery, stability |
| Dark pools | 30% | Reduced information leakage |
| Crossing networks| 15% | Midpoint execution |
| Other lit venues | 15% | Best price competition |
### TCA Benchmarks
- Primary: VWAP (target < 2bps slippage vs full-day VWAP)
- Secondary: Implementation shortfall vs arrival price
- Interval: Measure slippage per 30-min bucket
Related Agents
- execution-specialist — Primary agent, designs execution strategies
- market-microstructure — Provides liquidity and order flow analysis
- risk-manager — Assesses execution risk and timing risk
- portfolio-manager — Coordinates multi-order rebalance execution