AgentSkillsCN

twap-vwap-pov-execution

在真实市场流动性约束下，用于基准订单执行与时间表设计的TWAP、VWAP、POV执行流程。当任务涉及将母单拆分为基于时间、成交量或参与度的执行计划时，可予以采用。

SKILL.md
--- frontmatter
name: twap-vwap-pov-execution
description: "TWAP VWAP POV execution workflows for benchmarked order execution and schedule design under real-world liquidity constraints. use when tasks involve slicing parent orders into time-, volume-, or participation-based schedules."

TWAP VWAP POV Execution

objective

Calibrate and monitor TWAP, VWAP, and POV execution schedules with cost-aware controls.

workflow

  1. •define benchmark, urgency, and participation constraints for the parent order.
  2. •construct TWAP, VWAP, and POV schedules from intraday liquidity profiles.
  3. •estimate schedule slippage versus benchmark and realized participation.
  4. •stress schedules under volume shocks and spread widening.
  5. •deploy only when schedule performance is robust after fees and rebates.

required diagnostics

  • •benchmark slippage by schedule type and urgency tier.
  • •participation deviation and completion-risk metrics.
  • •intraday volume forecast error impact on VWAP paths.
  • •POV fill consistency during liquidity drought windows.
  • •net cost decomposition into spread, impact, and timing.

risk controls

  • •enforce max participation and max slippage boundaries.
  • •enforce kill-switch triggers on data gaps or venue outages.
  • •enforce manual override path for missed completion risk.

outputs

  • •run python scripts/twap_vwap_pov_execution_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
  • •write an implementation memo using references/twap-vwap-pov-execution-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/twap_vwap_pov_execution_diagnostics.py for deterministic diagnostics.
  • •use references/twap-vwap-pov-execution-playbook.md for the domain checklist and delivery structure.