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microstructure-hft

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Optimize HFT with microstructure analysis.

Finance & Accounting#liquidity#microstructure#slippage#hft#quantitative trading#risk controls
AuthorGhostOf0days
Version1.0.0
Installs0

System Documentation

What problem does it solve?

This Skill addresses the complexities of high-frequency trading (HFT) by providing tools for microstructure analysis, enabling quantitative researchers and developers to build more robust and efficient trading strategies.

Core Features & Use Cases

  • Workflow Automation: Executes microstructure HFT workflows with reproducible research, explicit controls, and deployable outputs.
  • Diagnostic Analysis: Profiles venue liquidity, queue dynamics, and spread behavior, attributing slippage into its core components.
  • Risk Management: Enforces kill-switch conditions and escalation paths for sustained degradation in fill quality.
  • Use Case: When developing a new HFT strategy, use this Skill to analyze the queue dynamics and spread resilience of target venues before deployment, ensuring stable execution quality.

Quick Start

Run the microstructure hft diagnostics script with the input file 'input.csv' and save the output to 'diagnostics.json'.

Dependency Matrix

Required Modules

None required

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: microstructure-hft
Download link: https://github.com/GhostOf0days/codex-quant-skills/archive/main.zip#microstructure-hft

Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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