order-aggressiveness-modeling - Order Aggressiveness Modeling for Market Execution Optimization
Models and calibrates order aggressiveness to maximize fill quality while controlling information leakage.
Tags
Updated: 2026-02-13Capabilities
Typical Inputs
Typical Outputs
What this skill does
- define aggressiveness states and queue-priority assumptions
- estimate fill probability and adverse-selection cost
- model alpha decay versus waiting cost
- optimize aggressiveness policy by market state
- deploy aggressiveness policy
- run diagnostics scripts
- write implementation memos
Inputs
- queue and alpha-decay constraints
- market state data
- urgency parameters
- input CSV files
- Python scripts
- reference playbooks
Outputs
- diagnostics JSON files
- implementation memos
Requirements
- Python environment
- input data in CSV format
- access to market state data
- queue metrics availability