quantumquirkxyz Contract
- Input: problem description and inputs defined by the skill body.
- Output: Markdown artifact with completed process steps.
- Side effects: none.
- Dependencies: none.
- Stop condition: all process steps executed; artifact saved with required sections.
- Risk: low.
- Boundary: produces reasoning artifact only; no system changes.
Market Microstructure
Analyse market microstructure — order book, price formation, execution costs, and optimal execution — with quantitative models.
When to use
- The user wants to analyse or minimise execution costs.
- An algo trading or execution strategy needs a market model.
- A quant strategy needs realistic slippage / spread estimates.
Process
- Identify venue type — lit exchange, dark pool, OTC, CEX vs DEX.
- Order book model — queueing theory (Geometric Brownian Motion of queue), Glosten-Milgrom (adverse selection), or Kyle's lambda.
- Spread decomposition — bid-ask spread = adverse selection + inventory + order processing cost.
- Execution costs — slippage vs arrival price, market impact (temporary vs permanent), timing risk from delay.
- Optimal execution — Almgren-Chriss framework (minimise expected cost + variance of execution); VWAP, TWAP, POV benchmarks.
- Data requirements — tick data, order log, trade reporting; NO OHLCV-only backtests for microstructure claims.
- Deliver — artifact: venue model, spread decomposition, cost estimate (bps), and optimal execution schedule.