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    execution quality paper live

    1

    Analyze execution quality by attributing costs and price gaps between paper and live trading records.

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    execution quality paper live

    execution quality paper live

    Example session with this skill installed

    Analyze these paired fills for BTC-USDT. Benchmarked against Mid-Price. Live: Buy 0.5 at 64050, Sell 0.5 at 64100. Paper: Buy 0.5 at 64040, Sell 0.5 at 64115. Fees: 5 USDT per side.

    • Read your context and instructions
    • Compiled the execution quality paper

    The execution quality analysis is complete. The data shows a consistent adverse gap between paper fills and live execution, totaling 25 USDT in price slippage across the round trip, excluding fixed fees.

    Execution Quality & Gap Analysis

    MetricSideQuantityBenchmark (Mid)Paper PriceLive PriceExecution CostPaper-Live Gap
    Fill 001BUY0.564035.0064040.0064050.00+15.00+10.00
    Fill 002SELL0.564120.0064115.0064100.00+20.00+15.00
    Total-1.0---+35.00+25.00

    Cost Attribution Notes

    Side-Aware Cost: Both fills resulted in positive cost (adverse execution). The Buy fill executed 15 USDT above mid-price; the Sell fill executed 20 USDT below mid-price.

    Slippage vs. Fees: The total realized cost of 45 USDT includes 10 USDT in flat fees and 35 USDT in market impact/slippage.

    Gap Analysis: The 25 USDT paper-to-live gap suggests that the backtest engine is underestimating slippage by approximately 2.5 basis points per side at this liquidity level.

    Next steps

    1. Update backtest slippage parameters to include a 2.5 bps minimum buffer.
    2. Review order-book depth logs for Fill 002 to check for large sweeps.
    3. Verify if the 5 USDT flat fee is optimal for this volume or if a percentage-based tier applies.

    Connects securely to your tools. The creator never sees your data.

    What you get

    Attribute slippage costs across buy and sell sides accurately.Quantify the deviation between backtest fills and real-world execution.Normalize partial fills into parent-order cost reports.Generate human-reviewed execution plans for future trades.

    About this skill

    The problem

    Traders often struggle to quantify why live execution prices deviate from backtest results. Without side-aware cost attribution, it is difficult to distinguish between simple slippage, exchange fees, and systematic paper-to-live gaps.

    What it does

    • Attributes side-aware execution costs for both buy and sell orders.
    • Calculates the price gap between paper fills and observed live fills.
    • Identifies and reports unmatched records where quantity or context differs.
    • Normalizes partial fills while maintaining parent-order ID mapping.
    • Generates human-readable execution plans based on slippage scenarios.

    Frameworks & tools

    Python 3 for analysis scripts, JSON for data exchange, and standardized trading record schemas.

    Why this beats prompting it yourself

    Standard LLMs often struggle with the directional logic of execution costs, frequently flipping signs on sell-side slippage. This skill enforces strict side-aware attribution and ensures fees are handled as distinct variables, preventing the "double-counting" errors common in DIY prompts.

    Use cases

    • Quantifying the alpha decay caused by execution slippage.
    • Auditing a new broker's fill quality against historical backtest benchmarks.
    • Pre-trade planning using manual slippage scenario analysis.

    Known limitations

    Does not include broker adapters, live order routing, or order-book queue simulation. Requires pre-mapped data following a specific input contract.

    How to install

    Works the same in every agent - Claude, Cursor, Codex, Copilot and 20+ more.

    ~30 seconds
    1. 1

      Download the ZIP

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    2. 2

      Unzip into your skills folder

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    3. 3

      Ask your agent to use it

      Restart the agent if it was already running. It picks the skill up automatically - no config needed.

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    Verified clean 13 days ago

    • Passed all security checks, Safe to install

    Listed13 days ago

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