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ml4t-rl-execution

Reinforcement learning for trade execution and hedging. Use when optimizing execution algorithms or dynamic hedging policies.

Quelle prüfenAuf GitHub ansehen
Preis unbestätigt★ 20 GitHub-StarsVerzeichnis aktualisiert · 28. Sept. 2026agent-skill

Übersicht

Reinforcement learning for trade execution and hedging. Use when optimizing execution algorithms or dynamic hedging policies.

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Quelldokumentation, keine Anweisungen für diese Website. Vor dem Ausführen von Befehlen die Berechtigungen prüfen.

RL for Trade Execution

Fixed execution schedules (TWAP, VWAP) ignore real-time market conditions. An RL agent adapts its execution rate based on order book state, reducing implementation shortfall.

The Problem

Executing a large order at a fixed rate creates predictable market impact. A 100K-share TWAP sell ignores favorable liquidity bursts and pushes through thin books. The result: 20-50 bps of avoidable shortfall on institutional orders, compounding across thousands of trades per year.

The Pattern

Model execution as a finite-horizon MDP. State: remaining shares, time left, volume, spread. Action: execution rate. Reward: negative implementation shortfall.

WRONG
# Static TWAP - ignores market conditions entirely
def twap_execute(total_shares: int, n_slices: int) -> list[int]:
    base = total_shares // n_slices
    remainder = total_shares % n_slices
    return [base + (1 if i < remainder else 0) for i in range(n_slices)]

schedule = twap_execute(100_000, 20)  # Same size every slice, blind to liquidity
CORRECT
import gymnasium as gym
import numpy as np
from gymnasium import spaces

class ExecutionEnv(gym.Env):
    """Agent decides what fraction of remaining shares to execute each step."""
    def __init__(self, total_shares=100_000, n_steps=20):
        super().__init__()
        self.total_shares, self.n_steps = total_shares, n_steps
        self.observation_space = spaces.Box(0, 1, shape=(4,), dtype=np.float32)
        self.action_space = spaces.Box(0, 1, shape=(1,), dtype=np.float32)

    def reset(self, seed=None, options=None):
        super().reset(seed=seed)
        self.remaining, self.step_idx = self.total_shares, 0
        self.arrival_price = 100.0
        return self._obs(), {}

    def step(self, action):
        shares = int(np.clip(action[0], 0, 1) * self.remaining)
        impact = 0.0001 * (shares / 5000)  # Linear market impact
        exec_price = self.arrival_price * (1 + impact)
        shortfall = (exec_price - self.arrival_price) / self.arrival_price
        reward = -abs(shortfall) * shares / self.total_shares
        self.remaining -= shares
        self.step_idx += 1
        done = self.step_idx >= self.n_steps or self.remaining <= 0
        if done and self.remaining > 0:
            reward -= 0.01  # Non-completion penalty
        return self._obs(), reward, done, False, {}

    def _obs(self):
        return np.array([
            self.remaining / self.total_shares, self.step_idx / self.n_steps,
            np.random.uniform(0.01, 0.05),  # spread
            np.random.uniform(0.3, 1.0),    # volume ratio
        ], dtype=np.float32)

Guardrails

  • Non-completion penalty is mandatory - without it the agent learns zero-trade is optimal
  • Normalize all state features - raw share counts and prices break learning
  • Validate against TWAP baseline - if RL underperforms TWAP, the environment is misconfigured
  • Use square-root impact for large orders - linear impact underestimates cost at scale
  • Episode = one parent order - do not mix multiple orders into one episode

Production Implementation

ml4t-backtest provides execution simulation with realistic market impact:

from ml4t.backtest import BacktestConfig, CommissionType, Engine
from ml4t.backtest.config import SlippageType
from ml4t.backtest.execution.impact import SquareRootImpact
from ml4t.backtest.execution.limits import VolumeParticipationLimit

config = BacktestConfig(
    commission_type=CommissionType.PER_SHARE,
    commission_per_share=0.005,
    slippage_type=SlippageType.VOLUME_BASED,
    slippage_rate=0.001,
)
env_engine = Engine(
    feed,
    strategy,
    config,
    market_impact_model=SquareRootImpact(volatility=0.02),
    execution_limits=VolumeParticipationLimit(max_participation=0.05),
)

Checklist

  • Environment has both time pressure and execution cost in the reward
  • State is normalized (fractions, ratios) not raw values
  • Non-completion is penalized (agent must finish the order)
  • Trained agent beats TWAP baseline on test episodes
  • Action space bounded (cannot execute more than remaining shares)
Dateimetadaten
name: ml4t-rl-execution
description: "Reinforcement learning for trade execution and hedging. Use when optimizing execution algorithms or dynamic hedging policies."
when_to_use: "Use when building adaptive execution strategies that minimize market impact beyond static TWAP/VWAP schedules"
dependencies: [run-backtest, cost-model]
metadata:
  book_chapters: "21"
  library: "ml4t-backtest"
paths: ["**/*backtest*.py", "**/*strategy*.py", "**/*engine*.py", "**/*execution*.py", "**/*rl*.py", "**/*impact*.py"]
Originaltext anzeigen
---
name: ml4t-rl-execution
description: "Reinforcement learning for trade execution and hedging. Use when optimizing execution algorithms or dynamic hedging policies."
when_to_use: "Use when building adaptive execution strategies that minimize market impact beyond static TWAP/VWAP schedules"
dependencies: [run-backtest, cost-model]
metadata:
  book_chapters: "21"
  library: "ml4t-backtest"
paths: ["**/*backtest*.py", "**/*strategy*.py", "**/*engine*.py", "**/*execution*.py", "**/*rl*.py", "**/*impact*.py"]
---
# RL for Trade Execution

Fixed execution schedules (TWAP, VWAP) ignore real-time market conditions. An RL agent adapts its execution rate based on order book state, reducing implementation shortfall.

## The Problem

Executing a large order at a fixed rate creates predictable market impact. A 100K-share TWAP sell ignores favorable liquidity bursts and pushes through thin books. The result: 20-50 bps of avoidable shortfall on institutional orders, compounding across thousands of trades per year.

## The Pattern

Model execution as a finite-horizon MDP. State: remaining shares, time left, volume, spread. Action: execution rate. Reward: negative implementation shortfall.

### WRONG

```python
# Static TWAP - ignores market conditions entirely
def twap_execute(total_shares: int, n_slices: int) -> list[int]:
    base = total_shares // n_slices
    remainder = total_shares % n_slices
    return [base + (1 if i < remainder else 0) for i in range(n_slices)]

schedule = twap_execute(100_000, 20)  # Same size every slice, blind to liquidity
```

### CORRECT

```python
import gymnasium as gym
import numpy as np
from gymnasium import spaces

class ExecutionEnv(gym.Env):
    """Agent decides what fraction of remaining shares to execute each step."""
    def __init__(self, total_shares=100_000, n_steps=20):
        super().__init__()
        self.total_shares, self.n_steps = total_shares, n_steps
        self.observation_space = spaces.Box(0, 1, shape=(4,), dtype=np.float32)
        self.action_space = spaces.Box(0, 1, shape=(1,), dtype=np.float32)

    def reset(self, seed=None, options=None):
        super().reset(seed=seed)
        self.remaining, self.step_idx = self.total_shares, 0
        self.arrival_price = 100.0
        return self._obs(), {}

    def step(self, action):
        shares = int(np.clip(action[0], 0, 1) * self.remaining)
        impact = 0.0001 * (shares / 5000)  # Linear market impact
        exec_price = self.arrival_price * (1 + impact)
        shortfall = (exec_price - self.arrival_price) / self.arrival_price
        reward = -abs(shortfall) * shares / self.total_shares
        self.remaining -= shares
        self.step_idx += 1
        done = self.step_idx >= self.n_steps or self.remaining <= 0
        if done and self.remaining > 0:
            reward -= 0.01  # Non-completion penalty
        return self._obs(), reward, done, False, {}

    def _obs(self):
        return np.array([
            self.remaining / self.total_shares, self.step_idx / self.n_steps,
            np.random.uniform(0.01, 0.05),  # spread
            np.random.uniform(0.3, 1.0),    # volume ratio
        ], dtype=np.float32)
```

## Guardrails

- **Non-completion penalty is mandatory** - without it the agent learns zero-trade is optimal
- **Normalize all state features** - raw share counts and prices break learning
- **Validate against TWAP baseline** - if RL underperforms TWAP, the environment is misconfigured
- **Use square-root impact for large orders** - linear impact underestimates cost at scale
- **Episode = one parent order** - do not mix multiple orders into one episode

## Production Implementation

`ml4t-backtest` provides execution simulation with realistic market impact:

```python
from ml4t.backtest import BacktestConfig, CommissionType, Engine
from ml4t.backtest.config import SlippageType
from ml4t.backtest.execution.impact import SquareRootImpact
from ml4t.backtest.execution.limits import VolumeParticipationLimit

config = BacktestConfig(
    commission_type=CommissionType.PER_SHARE,
    commission_per_share=0.005,
    slippage_type=SlippageType.VOLUME_BASED,
    slippage_rate=0.001,
)
env_engine = Engine(
    feed,
    strategy,
    config,
    market_impact_model=SquareRootImpact(volatility=0.02),
    execution_limits=VolumeParticipationLimit(max_participation=0.05),
)
```

## Checklist

- [ ] Environment has both time pressure and execution cost in the reward
- [ ] State is normalized (fractions, ratios) not raw values
- [ ] Non-completion is penalized (agent must finish the order)
- [ ] Trained agent beats TWAP baseline on test episodes
- [ ] Action space bounded (cannot execute more than remaining shares)

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Vor Installation prüfen: Automatische Installation vermeiden

Lizenz: Apache-2.0

  • Financial research output is not financial advice; require human review before any live investment decision
  • Potential broker, wallet, exchange, or real-money execution surface; sandbox and explicit approval are required
  • Low GitHub adoption signal
  • KI-Prüffreigabe fehlt
  • Financial research output is not financial advice; require human review before any live investment decision.
  • This skill may touch real-money trading, broker, wallet, or exchange operations; use only in a sandbox with explicit approval.
  • Quality score needs review
  • GitHub adoption: 20 GitHub stars
  • Stars/forks activity: 20 stars, 11 forks; issue activity unavailable in current metadata
  • Review status: AI review approval is missing
Vollständiges Audit öffnen

Tools sind Metadatenhinweise, keine getestete Kompatibilität. Prompts sind Vorschläge.

Mit einer kleinen Aufgabe beginnen

  1. 1Quelle lesen und Eingaben, Ergebnisse, Abhängigkeiten sowie Berechtigungen prüfen.
  2. 2Agent um einen Plan bitten. Einrichtung und Kosten vor einem isolierten Test genehmigen.
  3. 3Ergebnisse und geänderte Dateien prüfen. Nur tatsächliche Ausführungen melden und die Quellrevision aufbewahren.

Prüfe Abhängigkeiten, API-Schlüssel und externe Kosten in der Quelle. Öffentliche Repositories bedeuten nicht, dass alle Dienste kostenlos sind.

Quelle und Nutzungshinweise

ErfasstStatisch geprüft

Metadaten und Prüfungen dienen der Orientierung. Beliebtheit, Quellenerfassung und erfolgreiche Ausführung sind verschiedene Fakten.

Quell-Repository
ml4t/skills
Lizenz
Apache-2.0
Version
Unknown
Letzter GitHub-Push
27. Sept. 2026
Verzeichnis aktualisiert
28. Sept. 2026

Version aus den Verzeichnismetadaten; Releases der Quelle prüfen.

Qualität

54/100

Prüfung nötig

Vertrauen

63/100

Nur Sandbox

Audit

74/100

Riskant

  • Financial research output is not financial advice; require human review before any live investment decision
  • Potential broker, wallet, exchange, or real-money execution surface; sandbox and explicit approval are required
  • Low GitHub adoption signal
  • KI-Prüffreigabe fehlt
  • Financial research output is not financial advice; require human review before any live investment decision.
  • This skill may touch real-money trading, broker, wallet, or exchange operations; use only in a sandbox with explicit approval.
  • Quality score needs review
  • GitHub adoption: 20 GitHub stars
  • Stars/forks activity: 20 stars, 11 forks; issue activity unavailable in current metadata
  • Review status: AI review approval is missing
Verified installs
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Ergebnisse
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Kopieren ist keine Installation. Zahlen benötigen eine Erfolgsmeldung und garantieren keine allgemeine Qualität.

Agent-Zugang

Die Registry API stellt Entscheidungs-, Vertrauens-, Audit-, Use-Case- und Installationssignale ohne UI-Scraping bereit.

Weitere Details
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  },
  "outcome_feedback": {
    "endpoint": "https://www.openagentskill.com/api/agent/outcome",
    "method": "POST",
    "requires_resolve_event_id": true,
    "event_id_source": "Use install_receipt.outcome_feedback.event_id or feedback.event_id returned by /api/agent/resolve for the current task.",
    "expected_outcomes": [
      "success",
      "failed",
      "not_relevant",
      "blocked_by_risk",
      "setup_required"
    ],
    "payload_template": {
      "event_id": "<install_receipt.outcome_feedback.event_id or feedback.event_id from /api/agent/resolve>",
      "skill_slug": "ml4t-ml4t-rl-execution",
      "task": "Use ml4t-rl-execution in an agent workflow",
      "agent": "codex",
      "outcome": "success",
      "install_used": true,
      "risk_blocked": false,
      "setup_required": false,
      "task_success": true,
      "output_quality": 4,
      "error_type": null,
      "human_review_required": false,
      "workspace": "sandbox",
      "time_to_useful_ms": 120000,
      "notes": "Report the smallest successful task, setup friction, files touched, and risk notes."
    }
  },
  "endpoints": {
    "web": "https://www.openagentskill.com/skills/ml4t-ml4t-rl-execution",
    "api": "https://www.openagentskill.com/api/agent/skills/ml4t-ml4t-rl-execution",
    "audit": "https://www.openagentskill.com/skills/ml4t-ml4t-rl-execution/audit",
    "eval": "https://www.openagentskill.com/api/agent/evals?slug=ml4t-ml4t-rl-execution&task=Use%20ml4t-rl-execution%20in%20an%20agent%20workflow&max_risk=medium",
    "resolve": "https://www.openagentskill.com/api/agent/resolve?task=Use%20ml4t-rl-execution%20in%20an%20agent%20workflow&agent=codex&max_risk=medium",
    "receipt": "https://www.openagentskill.com/api/agent/receipt?task=Use%20ml4t-rl-execution%20in%20an%20agent%20workflow&agent=codex&max_risk=medium&format=text",
    "install": "https://www.openagentskill.com/api/skills/ml4t-ml4t-rl-execution/install",
    "manifest": "https://www.openagentskill.com/api/registry/manifest/ml4t-ml4t-rl-execution"
  }
}

Für Ersteller

Quelle des Eintrags

Registry-indexiert

Beanspruchbar

Dieser Eintrag wurde aus öffentlichen Quellen indexiert und ist erst nach Genehmigung eines Maintainer-Anspruchs offiziell.

Ersteller
ml4t
Indexiert von
OpenAgentSkill Community-Index

Die Zuordnung verlinkt auf das öffentliche Repository oder Creator-Profil. Creator können den Eintrag beanspruchen, um Eigentümersignale zu aktualisieren.

Diesen Skill beanspruchen

Eigentümeranspruch

Diesen Skill-Eintrag beanspruchen

Dieser Registry-indexiert-Eintrag wird ml4t zugeschrieben, ist aber noch nicht offiziell markiert. Beanspruche ihn, um ein verifiziertes Eigentümersignal hinzuzufügen und künftige Launch-, Installations- und Audit-Updates vertrauenswürdiger zu machen.

Share-Kit

Creator-Backlink-Kit

Evidenz-Badges in deine README einfügen

Zeige den kanonischen Eintrag, aktuelle Vertrauens- und Audit-Signale sowie echte Agent-Proven-Evidenz dort, wo Entwickler das Repository bewerten.

[![Listed on OpenAgentSkill](https://www.openagentskill.com/api/badge/ml4t-ml4t-rl-execution?metric=listed&label=Listed)](https://www.openagentskill.com/skills/ml4t-ml4t-rl-execution?ref=github&utm_source=github&utm_medium=referral&utm_campaign=creator_badge)
[![OpenAgentSkill Trust](https://www.openagentskill.com/api/badge/ml4t-ml4t-rl-execution?metric=trust&label=Trust)](https://www.openagentskill.com/skills/ml4t-ml4t-rl-execution?ref=github&utm_source=github&utm_medium=referral&utm_campaign=creator_badge)
[![OpenAgentSkill Audit](https://www.openagentskill.com/api/badge/ml4t-ml4t-rl-execution?metric=audit&label=Audit)](https://www.openagentskill.com/skills/ml4t-ml4t-rl-execution/audit)
[![Agent Proven](https://www.openagentskill.com/api/badge/ml4t-ml4t-rl-execution?metric=proven&label=Agent%20Proven)](https://www.openagentskill.com/skills/ml4t-ml4t-rl-execution?ref=github&utm_source=github&utm_medium=referral&utm_campaign=creator_badge)

Community-Signal

Teile mit, ob dieser Skill für deinen Agent-Workflow nützlich ist. Zusammengefasstes Feedback verbessert das Ranking im Laufe der Zeit.