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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.

57

Quality

72%

Does it follow best practices?

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SecuritybySnyk

Passed

No findings from the security scan

Fix and improve this skill with Tessl

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

Quality

Content

57%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, well-organized knowledge reference with genuinely valuable China A-share calibration data, but it functions as an encyclopedia rather than an operational skill: there is no executable code despite declared dependencies, no explicit analysis workflow, and no progressive disclosure into reference files. The dangling 'src.quantlib.impact.sqrt_impact' pointer undermines both actionability and navigation.

Suggestions

Split the ~300-line body into the SKILL.md overview plus one-level-deep reference files (e.g., references/metrics.md for VPIN/Kyle-lambda/Amihud methodology, references/china-ashare.md for auction/block-trade mechanics), keeping only the quick workflow and output template inline.

Add runnable code for at least the core computations (VPIN buckets, Kyle lambda regression, impact estimate) in scripts/, or remove the 'pip install pandas numpy scipy' Dependencies section if no code is intended; also fix or remove the dangling 'src.quantlib.impact.sqrt_impact' reference since it does not exist in this bundle.

Add an explicit ordered workflow section (load Level-2/daily data -> compute metrics with the referenced scripts -> validate against the stated thresholds -> emit the report in the Output Format), so the implied sequence becomes a checkable procedure with validation checkpoints.

DimensionReasoningScore

Conciseness

The body is dense and mostly efficient — compact tables, code blocks, and China A-share calibration data Claude cannot reliably know ("VPIN > 0.5 -> dangerous", "9:20-9:25 orders can be entered but not canceled", "Amihud < 0.5 -> high liquidity"), with every line earning its place. Not 5: the flash-crash 'Triggers' section and 'Spread drivers' lines restate textbook mechanisms Claude already knows. Not 3: there is no prose padding or library-tutorial filler; the value is overwhelmingly non-redundant calibration detail.

4 / 5

Actionability

Concrete guidance exists — step-by-step VPIN computation with real formulas ("buy_volume = V × Φ(ΔP / σ)", "V = average daily volume / 50"), worked impact examples with arithmetic, screening thresholds, and a full output-report template — but nothing is executable: no runnable code despite a Dependencies section declaring 'pip install pandas numpy scipy', and the one implementation pointer ('src.quantlib.impact.sqrt_impact') is a dangling path not present in this bundle. This matches 'some concrete guidance but incomplete; pseudocode instead of executable code'. Not 4: the gap is not minor — a user cannot run anything, and key details (data sourcing, Kyle lambda regression mechanics) are only sketched.

3 / 5

Workflow Clarity

The 'Analysis Framework' sections and the 'Output Format' report template imply an analysis sequence (liquidity diagnosis -> order-flow analysis -> cost estimate -> execution suggestion), but no explicit ordered procedure connects data collection, metric computation, and report generation, and there are no validation checkpoints or sanity checks on computed metrics. Not 4: the sequence is implicit rather than clearly laid out; not 2 because the VPIN/Kyle-lambda calculation steps are individually sequenced and the output template anchors the end state.

3 / 5

Progressive Disclosure

Sections are well-organized with clear headers and a consistent format, but the ~300-line body is fully monolithic — no references/, scripts/, or assets/ bundle exists, and content that clearly belongs in separate files (per-metric methodology, China A-share mechanics, the report template) is all inline, matching the score-3 anchor 'content that should be separate is inline'. The single reference to 'src.quantlib.impact.sqrt_impact' points outside the bundle and is unsignaled. Not 4: there is no appropriate split at all; not 2 because internal structure (headers, tables, labeled subsections) is good, not minimal.

3 / 5

Total

13

/

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, third-person, and clearly distinguishable, with strong domain trigger vocabulary. Its main weakness is the complete absence of a 'Use when...' clause, which caps completeness and limits natural triggering for users who phrase needs as tasks (e.g., 'estimate transaction costs') rather than domain terms.

Suggestions

Append a trigger clause such as: 'Use when the user mentions bid-ask spreads, order flow, VPIN, liquidity, price impact or slippage, transaction cost estimation, execution algorithms (TWAP/VWAP/IS), limit order books, or China A-share call auctions and block trades.'

Add natural task-oriented phrasings users would say, e.g. 'transaction cost analysis', 'execution optimization', and 'market impact estimation', to complement the domain terminology.

Consider stating the China A-share scope explicitly at the start so the trigger geography is unambiguous (it currently appears only at the end).

DimensionReasoningScore

Specificity

The description lists multiple specific 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" — comprehensive coverage of the domain in third person, matching the score-5 anchor. Not 4: coverage has no meaningful gaps, enumerating six distinct capability areas with named techniques.

5 / 5

Completeness

It has a clear, detailed 'what' (the enumerated capability list) but no 'Use when...' clause or equivalent explicit trigger guidance, which caps completeness at 3 per the judging guidelines. Not 4: the 'when' is entirely absent rather than present-but-could-be-more-explicit; not 2 because the 'what' is concrete and specific, not vague.

3 / 5

Trigger Term Quality

Good keyword coverage of terms a user in this domain would naturally say ("bid-ask spread", "VPIN", "liquidity", "limit-order-book", "call auction", "block trade"), matching the 'good coverage, a few natural terms missing' anchor. Not 5: common natural phrasings like "transaction cost", "execution", "slippage", or "market impact" are absent. Not 3: the terms present are the primary natural vocabulary for this domain, not merely some relevant keywords.

4 / 5

Distinctiveness Conflict Risk

"Market microstructure" with China A-share call auction / block trade mechanics is a clear niche with distinct triggers and minimal overlap risk against adjacent skills. Not 4: the named metrics (VPIN, Kyle lambda, Amihud/Roll) and the China-specific framing give it near-zero ambiguity about which skill should fire.

5 / 5

Total

17

/

20

Passed

Validation

93%

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

CriteriaDescriptionResult

frontmatter_unknown_keys

Unknown frontmatter key(s) found; consider removing or moving to metadata

Warning

Total

15

/

16

Passed

Repository
HKUDS/Vibe-Trading
Reviewed

Table of Contents

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