skill-transaction-cost-analysis

A-share / cross-market transaction cost analysis (TCA). Use when a user has trade fills or backtest turnover and asks "how much did execution actually cost". Decomposes implementation shortfall into timing, market impact (square-root model), spread, commission and slippage, benchmarks fills against interval VWAP / TWAP from minute bars, and outputs a Chinese attribution report.

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Repository: XinAloha/skills
Last source activity: August 22, 2026 at 14:54
Detected SKILL.md language: Chinese
Stars: 3
Forks: 0

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name	skill-transaction-cost-analysis
description	A-share / cross-market transaction cost analysis (TCA). Use when a user has trade fills or backtest turnover and asks "how much did execution actually cost". Decomposes implementation shortfall into timing, market impact (square-root model), spread, commission and slippage, benchmarks fills against interval VWAP / TWAP from minute bars, and outputs a Chinese attribution report.
license	GPL-3.0-only
category	工具
metadata	{"organization":"QuantSkills","organization_url":"https://github.com/quantskills","repository":"skill-transaction-cost-analysis","repository_url":"https://github.com/quantskills/skill-transaction-cost-analysis","project_type":"skill","collection":"execution-analytics","status":"community-draft"}

{
  "version": 1,
  "task": {
    "placeholder": "上传成交记录 CSV（symbol, side, datetime, price, qty），或说明回测换手明细；给出决策价/基准",
    "required": true
  },
  "fields": [
    {
      "key": "benchmark",
      "label": "执行基准",
      "type": "select",
      "default": "vwap",
      "options": [
        { "value": "vwap", "label": "区间 VWAP" },
        { "value": "twap", "label": "区间 TWAP" },
        { "value": "arrival", "label": "到达价 (Arrival)" }
      ]
    },
    {
      "key": "commission_bps",
      "label": "佣金（bps）",
      "type": "number",
      "default": "2.5",
      "help": "单边佣金，含规费；A 股卖出另计印花税"
    },
    {
      "key": "impact_coef",
      "label": "冲击系数 k",
      "type": "number",
      "default": "0.1",
      "help": "square-root 冲击模型系数，缺省用默认经验值"
    }
  ],
  "prompt_template": "{{#task}}成交与要求：\n{{task}}\n\n{{/task}}{{#attachments}}用户上传材料（已放入工作区）：\n{{attachments}}\n\n{{/attachments}}对上述成交做交易成本分析(TCA)。{{#benchmark}}执行基准采用 {{benchmark}}。{{/benchmark}}{{#commission_bps}}佣金按 {{commission_bps}} bps 计。{{/commission_bps}}{{#impact_coef}}冲击模型系数 k={{impact_coef}}。{{/impact_coef}}用分钟线重建区间 VWAP/TWAP，拆解 implementation shortfall = 择时 + 冲击(square-root) + 点差 + 佣金 + 滑点，逐笔与汇总归因，输出中文报告并标注数据降级项。仅研究参考，不构成投资建议。"
}