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MOCHILAB / AI SKILL
ETF Spread and Depth Cost Lab
Simulate displayed-depth fills with spreads, VWAP, adverse slippage and explicit fees.
What it does
Simulate displayed-depth fills with spreads, VWAP, adverse slippage and explicit fees.
- Displayed-depth paper fill
- VWAP and adverse slippage
- Unfilled quantity
Try saying
Use my supplied records to simulate displayed-depth fills with spreads, VWAP, adverse slippage and explicit fees.
Export a reproducible report with the assumptions, key metrics and detailed CSV. Ask me for missing facts first.
Calculation scope
Use a timestamped consistent snapshot; bid<=ask and ordered unique levels. Paper fills consume displayed shares only, excluding cancellations, queue position, hidden liquidity and price impact. Fees apply to the aggregate modeled order. No order is submitted.
Deliverables and runtime
Includes executable Python 3.10+ standard-library calculations, independent numerical tests, fictional examples and an input reference. Supported flat collections accept CSV. No extra key is needed for supplied data. Live data needs an available permitted source; no all-market real-time feed is bundled. Fictional rule profiles are not current legal/broker defaults. Files stay in the active assistant workspace, with input and output hashes. Analysis only; no account access or automatic trading.
References