consolidated-tape-nbbo
CommunityNBBO reconstruction and trade-through surveillance.
AuthorGhostOf0days
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill addresses the complexity of consolidating real-time trading data from multiple venues to accurately reconstruct the National Best Bid and Offer (NBBO) and detect trade-through violations.
Core Features & Use Cases
- NBBO Reconstruction: Accurately rebuilds the NBBO by consolidating quotes from various trading venues.
- Trade-Through Surveillance: Identifies and flags trades that execute outside the protected NBBO.
- Latency Analysis: Analyzes latency differences between SIP and direct feeds to ensure data integrity.
- Use Case: Monitor the integrity of the consolidated tape by ensuring NBBO is correctly calculated and that no trades violate protected quote rules, flagging any discrepancies for review.
Quick Start
Run the consolidated tape NBBO diagnostics script on the input CSV file.
Dependency Matrix
Required Modules
pandasargparsejson
Components
scriptsreferences
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: consolidated-tape-nbbo Download link: https://github.com/GhostOf0days/codex-quant-skills/archive/main.zip#consolidated-tape-nbbo Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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