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滑点分析工具，计算执行滑点、分析滑点分布特征和成本来源。适用于量化金融教学与交易成本概念演示；基于简化价格冲击模型，不适用于实盘交易成本分析或执行决策。
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| name | slippage-analyzer |
| description | 滑点分析工具，计算执行滑点、分析滑点分布特征和成本来源。适用于量化金融教学与交易成本概念演示；基于简化价格冲击模型，不适用于实盘交易成本分析或执行决策。 |
| version | 1.0.0 |
| author | wangyi |
滑点分析：计算执行滑点（实际成交价与基准价的差异），分析滑点分布特征和成本来源，为执行策略优化提供依据。
📌 说明：本工具基于简化模型实现，仅使用 Python 标准库。结果仅供学习参考，不构成投资建议或交易依据。
calc_arrival_slippage(executions, arrival_price, side='buy')计算到达价滑点。 必填: executions, arrival_price
calc_vwap_slippage(executions, market_volumes, side='buy')计算VWAP滑点。 必填: executions, market_volumes
calc_slippage_distribution(executions, benchmark_price, side='buy')计算滑点分布统计。 必填: executions, benchmark_price
calc_cost_attribution(executions, arrival_price, market_vwap, commission_rate=0.0003, tax_rate=0.001, side='buy')成本归因分析。 必填: executions, arrival_price, market_vwap
calc_execution_quality(slippage_bps, fill_rate=1.0, benchmark_bps=5.0)执行质量评级。 必填: slippage_bps
run_slippage_analysis(executions, arrival_price, market_volumes, side='buy', commission_rate=0.0003, tax_rate=0.001)运行完整滑点分析。 必填: executions, arrival_price, market_volumes
python scripts/main.py \
--executions <executions> \
--arrival-price <arrival_price> \
--market-volumes <market_volumes> \
--side <side> \
--commission-rate <commission_rate> \
--tax-rate <tax_rate>