references/execution-model.md

# longbridge-execution-model

Trade execution modelling framework for backtesting — slippage, VWAP/TWAP, market impact, and volume participation.

## Workflow

1. Identify the symbol and fetch intraday volume profile and tick data.
2. Compute average daily volume (ADV) and intraday volume curve.
3. Apply the requested execution model:
   - **Linear slippage**: `impact = k × (order_size / ADV)`
   - **Square-root impact**: `impact = σ × √(order_size / ADV)`
   - **Kyle lambda (λ)**: estimate from tick data as `ΔP / ΔQ`
   - **VWAP slice**: distribute order proportionally to historical volume curve
   - **TWAP slice**: divide order into equal time-weighted tranches
   - **POV**: cap participation at `p%` of each interval's volume
4. Output estimated cost in bps and recommended execution schedule.
5. Generate Python code skeleton if the user wants a local implementation.

> If unsure of exact flag names, run `longbridge <subcommand> --help` before proceeding.

## CLI

```bash
# 1-minute OHLCV — intraday volume distribution reference
longbridge kline <SYMBOL> --period 1m --count 200 --format json

# Tick-by-tick trades — for Kyle lambda estimation
longbridge trades <SYMBOL> --count 100 --format json
```

## Output structure

```
EXECUTION MODEL REPORT — <SYMBOL>  <Date>

VOLUME PROFILE
ADV (20d):    xx.xM shares
Intraday:     09:30–10:00  xx%  ██████
              10:00–11:00  xx%  ████
              ...

MODEL PARAMETERS
Model:        Square-Root Impact
Order Size:   xx,000 shares (xx% of ADV)
Volatility σ: x.xx% (daily)

COST ESTIMATES
Market Impact: xx bps
Spread Cost:   x bps
Total Cost:    xx bps  (~$xx,xxx on $x.xM order)

EXECUTION SCHEDULE (VWAP)
09:30–10:00   x,xxx shares
10:00–11:00   x,xxx shares
...

KYLE LAMBDA
Estimated λ:  x.xxe-6  ($/share per share traded)
```

## Error handling

| Situation                       | 简体回复                                     | 繁體回復                                     | English reply                                       |
| ------------------------------- | -------------------------------------------- | -------------------------------------------- | --------------------------------------------------- |
| Symbol not found                | 未找到该代码，请确认市场和格式。             | 找不到該代碼，請確認市場和格式。             | Symbol not found — verify exchange and ticker.      |
| Insufficient tick data          | 逐笔数据不足，结果仅供参考。                 | 逐筆數據不足，結果僅供參考。                 | Insufficient tick data — estimates are approximate. |
| `command not found: longbridge` | 请安装 longbridge-terminal 或通过 MCP 连接。 | 請安裝 longbridge-terminal 或透過 MCP 連線。 | Install longbridge-terminal or connect via MCP.     |
| `not logged in`                 | 请运行 `longbridge auth login`。             | 請執行 `longbridge auth login`。             | Run `longbridge auth login`.                        |