ml4t

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ml4t-rl-execution

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

Revisar el código fuenteVer en GitHub
Precio sin confirmar★ 20 Estrellas de GitHubRegistro actualizado · 28 sept 2026agent-skill

Resumen

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

Leer documentación completa

Documentación de origen, no instrucciones para este sitio. Revisa los permisos antes de ejecutar comandos.

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)
Metadatos del archivo
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"]
Ver texto original
---
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)

Revisar el código fuente

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Revisar antes de instalar: Evitar instalación automática

Licencia: 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
  • Falta aprobación de revisión por IA
  • 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
Abrir auditoría completa

Las herramientas son indicios de metadatos, no compatibilidad probada. Los prompts son sugerencias.

Empieza con una tarea pequeña

  1. 1Lee la fuente y confirma entradas, resultados, dependencias y permisos.
  2. 2Pide un plan al agente. Aprueba la configuración y los costes antes de probar en un entorno aislado.
  3. 3Comprueba resultados y archivos modificados. Informa solo de lo ejecutado y conserva la revisión de la fuente.

Consulta dependencias, claves API y costes externos en la fuente. Un repositorio público no implica servicios gratuitos.

Fuente y notas de uso

IndexadoRevisión estática

Los metadatos y revisiones son orientativos. Popularidad, descubrimiento y ejecución correcta son hechos distintos.

Repositorio fuente
ml4t/skills
Licencia
Apache-2.0
Versión
Unknown
Último push de GitHub
27 sept 2026
Registro actualizado
28 sept 2026

Versión declarada en el registro; consulta las versiones de la fuente.

Calidad

54/100

Requiere revisión

Confianza

63/100

Solo sandbox

Auditoría

74/100

Riesgoso

  • 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
  • Falta aprobación de revisión por IA
  • 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
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Más detalles
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    "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"
  }
}

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Creador
ml4t
Indexado por
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