AgentSkillsCN

consolidated-tape-nbbo

综合行情簿 NBBO 工作流，适用于 SIP/直连馈送整合、全国最优买卖价重建，以及交易穿透监控。适用于在涉及跨交易场所报价整合、保护性报价逻辑、NBBO 质量控制，或对行情簿完整性进行生产监控的任务。

SKILL.md
--- frontmatter
name: consolidated-tape-nbbo
description: "Consolidated Tape NBBO workflows for sip/direct-feed consolidation, national best bid and offer reconstruction, and trade-through surveillance. use when tasks involve cross-venue quote consolidation, protected quote logic, nbbo quality controls, or production monitoring of tape integrity."

Consolidated Tape NBBO

objective

Build and monitor consolidated tape and nbbo pipelines with latency-aware validation and market-structure controls.

workflow

  1. •define venue universe, quote protection rules, and timestamp precedence conventions.
  2. •normalize sip and direct feeds into a unified quote and trade schema.
  3. •reconstruct nbbo snapshots and track locked or crossed market states.
  4. •detect trade-through events and attribute them to latency, stale quotes, or routing errors.
  5. •release only when quote quality and reconciliation diagnostics remain within thresholds.

required diagnostics

  • •nbbo spread stability and outlier frequency by symbol and session.
  • •locked and crossed market rate with root-cause attribution.
  • •sip-versus-direct latency differential and drift.
  • •trade-through incidence versus protected quote state.
  • •quote staleness and missing-venue coverage metrics.

risk controls

  • •enforce hard thresholds on crossed-market and trade-through rates.
  • •enforce stale-quote quarantine and fallback routing flags.
  • •enforce feed-health escalation when venue coverage drops.

outputs

  • •run python scripts/consolidated_tape_nbbo_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
  • •write an implementation memo using references/consolidated-tape-nbbo-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/consolidated_tape_nbbo_diagnostics.py for deterministic diagnostics.
  • •use references/consolidated-tape-nbbo-playbook.md for the domain checklist and delivery structure.