market-microstructure

Market microstructure: bid-ask spread analysis, order-flow toxicity metrics (VPIN / Kyle lambda), liquidity measures (Amihud / Roll), price-impact models, limit-order-book analysis, and China A-share call auction / block trade mechanics.

Quality

70%

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Securityby

Passed

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tessl review fix ./agent/src/skills/market-microstructure/SKILL.md

Quality

Content

65%Weight 40%Scale 1-5

Reviews the quality of instructions and guidance provided to agents. Good implementation is clear, handles edge cases, and produces reliable results.

The body is a dense, actionable reference with strong formulas and worked examples, but it functions as a monolithic document rather than an overview pointing to deeper materials, and lacks an explicit validated end-to-end workflow.

Suggestions

Extract large reference blocks (e.g., China A-share mechanics, limit-order-book analysis) into separate referenced files so SKILL.md becomes a concise overview with one-level-deep pointers.

Add an explicit end-to-end analysis workflow with validation checkpoints (e.g., data sanity check -> compute metrics -> cross-validate against daily proxies -> report), especially given the VPIN calibration sensitivity called out in Notes.

Provide at least one runnable code snippet (e.g., an Amihud or VPIN computation) rather than only pseudocode formula blocks to raise actionability.

Dimension	Reasoning	Score
Conciseness	Dense reference material packed with formulas, tables, and worked numerical examples; mostly assumes Claude's competence, though a few interpretive passages (spread drivers, threshold tables) could be trimmed.	4 / 5
Actionability	Provides concrete formulas, step-by-step calculations, worked examples with real numbers, a report output template, and a pointer to the tested implementation 'src.quantlib.impact.sqrt_impact'; minor gap is the absence of runnable code (formulas live in pseudocode blocks).	4 / 5
Workflow Clarity	Numbered sub-steps exist (VPIN calculation, Kyle lambda estimation, flash-crash prevention) and an output report structure is given, but there is no end-to-end validated workflow with checkpoints or error-recovery feedback loops tying analysis to verification.	3 / 5
Progressive Disclosure	Well-organized into clear sections, but it is a monolithic ~300-line single file with no bundle files; substantial content (China A-share mechanics, LOB analysis) that could be split into referenced files is inlined rather than progressively disclosed.	3 / 5
	Total	14 / 20 Passed

Description

75%Weight 40%Scale 1-5

Based on the skill's description, can an agent find and select it at the right time? Clear, specific descriptions lead to better discovery.

The description is specific and distinctive with strong capability coverage, but it omits any explicit 'when to use' trigger guidance, which caps its completeness. Adding a 'Use when...' clause would lift the weakest dimension.

Suggestions

Add an explicit 'Use when...' clause naming trigger scenarios (e.g., estimating transaction costs, designing execution strategies, detecting order-flow toxicity).

Include a few synonyms or casual variants users might say (e.g., 'spreads', 'liquidity analysis', 'execution slippage') to broaden trigger term coverage.

Dimension	Reasoning	Score
Specificity	Lists multiple concrete capabilities — 'bid-ask spread analysis, order-flow toxicity metrics (VPIN / Kyle lambda), liquidity measures (Amihud / Roll), price-impact models, limit-order-book analysis, and China A-share call auction / block trade mechanics' — with comprehensive coverage.	5 / 5
Completeness	Has a clear 'what' enumerating capabilities, but no 'Use when...' clause or equivalent trigger guidance, which per the rubric caps completeness at 3.	3 / 5
Trigger Term Quality	Good coverage of natural domain terms ('bid-ask spread', 'liquidity', 'price-impact', 'order-flow toxicity', 'China A-share') that a quant user would say, but lacks common synonyms and is somewhat jargon-heavy with no file extensions or casual variants.	4 / 5
Distinctiveness Conflict Risk	Occupies a clear niche (market microstructure, explicitly China A-share focused) with distinct triggers and minimal conflict risk against other skills.	5 / 5
	Total	17 / 20 Passed

Validation

93%

Warnings & errors only

Checks the skill against the spec for correct structure and formatting. All validation checks must pass before discovery and implementation can be scored.

Validation — 15 / 16 Passed

Validation for skill structure

Criteria	Description	Result
frontmatter_unknown_keys	Unknown frontmatter key(s) found; consider removing or moving to metadata	Warning

	Total	15 / 16 Passed

Repository: HKUDS/Vibe-Trading
Path: agent/src/skills/market-microstructure/SKILL.md
Commit: 99e84ab

Reviewed: 1 day ago

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