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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Repositorio: XinAloha/skills
Última actividad en el origen: 22 de agosto de 2026 a las 14:54
Idioma detectado de SKILL.md: chino
Estrellas: 3
Forks: 0

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backtest

Use when an agent needs a standard cross-sectional long-only backtest protocol with T+1 open execution, top-bucket equal weighting, fees, limit-up or limit-down exclusions, benchmark comparison, NAV curves, drawdown, IC, and diagnostic charts.

2026-08-22

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Brinson-Fachler / BHB sector attribution with interaction, concentration (HHI), top contributors, and optional Carino multi-period linking. Use to explain active return as allocation vs selection.

2026-08-22

factor-backtest

Run and explain cross-sectional trading-factor backtests on schema-compatible factor signals and market data. Use when Codex needs to validate backtest inputs; calculate returns, NAV, drawdown, holdings, turnover, benchmark or hedged performance; generate a PDF diagnostic report; or explicitly verify the checked-in test fixture. Also use for Chinese requests such as 因子回测、收益验证、净值、回撤、持仓、换手、对冲收益或回测报告.

2026-08-22

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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。"
}