hf-factor-construction
jieyujing/alpha_mq
Senior high-frequency factor construction workflow for turning a market mechanism into a causally valid, measurable, normalized, and implementable factor design. Trigger when the user asks to construct, formalize, document, or pseudo-implement microstructure / order flow / orderbook / event-time alpha factors, maker toxic-flow filters, liquidation cascade factors, OFI / imbalance signals, Hawkes smoothing design, or binary-mask factor decomposition. Do NOT use for pure backtest optimization, factor mining/search, label design, model selection, feature importance, or full strategy validation. Core output is a fixed research contract: mechanism, data contract, temporal contract, dimensions, mask semantics, aggregation, normalization, smoothing, observability risk, must-fail scenarios, and minimal sanity checks.
Industrial-grade workflow for developing, testing, and verifying financial ML strategies based on "Advances in Financial Machine Learning" (AFML) and "Machine Learning for Asset Managers" (MLAM) by Marcos López de Prado. Use when: (1) Building Dollar/Volume/Imbalance bars, (2) Triple-barrier or meta-labeling, (3) Sample weights and uniqueness, (4) Purged/embargoed cross-validation, (5) Feature importance (MDI/MDA/Clustered MDA), (6) Trend scanning, (7) Backtest verification (DSR/PSR/CPCV), (8) HRP portfolios, (9) Fractional differentiation, (10) CUSUM filtering, (11) Market microstructure analysis. Includes causal verification framework with validation metrics and book references. For code-level implementation, see afmlkit skill.
design-pattern-advisor
jieyujing/alpha_mq
Evaluate whether a design pattern is warranted during feature design, refactoring, architecture changes, or code review, then choose a fitting pattern and a Python-idiomatic implementation. Use when code shows change pressure such as repeated if/elif branching, tangled object creation, oversized classes, mixed responsibilities, unstable dependencies, event fan-out, or requests to "apply a design pattern", "improve extensibility", "decouple modules", or "make this easier to evolve".
Use this skill whenever the user wants to create, read, edit, or manipulate Word documents (.docx files). Triggers include: any mention of "Word doc", "word document", ".docx", or requests to produce professional documents with formatting like tables of contents, headings, page numbers, or letterheads. Also use when extracting or reorganizing content from .docx files, inserting or replacing images in documents, performing find-and-replace in Word files, working with tracked changes or comments, or converting content into a polished Word document. If the user asks for a "report", "memo", "letter", "template", or similar deliverable as a Word or .docx file, use this skill. Do NOT use for PDFs, spreadsheets, Google Docs, or general coding tasks unrelated to document generation.
