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>
96 lines
4.1 KiB
Markdown
96 lines
4.1 KiB
Markdown
---
|
|
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
|
|
|
|
1. **Order analysis** — Assesses order size relative to ADV, spread, and intraday volume profile.
|
|
2. **Impact estimation** — Models expected market impact using square-root and linear impact models.
|
|
3. **Strategy selection** — Recommends TWAP, VWAP, implementation shortfall, or other strategies based on urgency and size.
|
|
4. **Venue analysis** — Evaluates lit exchanges, dark pools, and crossing networks for optimal routing.
|
|
5. **Schedule design** — Produces a time-sliced execution schedule with participation rate targets.
|
|
6. **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
|