Algo-Trading-Skills

In the author's own words, from each skill's SKILL.md — showing the first 30 of 501 files.

• adaptive-batch-size-tuning-under-load

  Use when writing high-volume ticks or order logs into TimescaleDB, ClickHouse or Kafka and one static batch size either stalls in quiet markets or floods the sink in a burst; adapts batch size and flush timeout from EWMA sink latency.

  skills/adaptive-batch-size-tuning-under-load/SKILL.md on GitHub (opens in a new tab)

• adaptive-execution-under-volatility-spikes

  Use before each child-order decision in a TWAP, VWAP or POV schedule when a volatility spike should bound participation, child size and limit offset; fails closed when the volatility feed is stale or missing.

  skills/adaptive-execution-under-volatility-spikes/SKILL.md on GitHub (opens in a new tab)

• adaptive-sampling-under-extreme-tick-rates

  Use when a trade-tick stream exceeds a consumer's measured processing ceiling and you must emit 1:N samples that still preserve traded volume and notional. Not for order-book, quote or compliance feeds that need every message.

  skills/adaptive-sampling-under-extreme-tick-rates/SKILL.md on GitHub (opens in a new tab)

• adjusted-vs-unadjusted-price-series-pitfalls

  Use before loading historical OHLCV into a backtest, to declare and verify the adjustment mode; separates raw, split-adjusted and total-return conventions and catches split, dividend and continuity errors in vendor adjustment factors.

  skills/adjusted-vs-unadjusted-price-series-pitfalls/SKILL.md on GitHub (opens in a new tab)

• adversarial-robustness-of-trading-signals

  Use before promoting an ML trading signal, to measure how often epsilon-bounded feature perturbations flip its output. A black-box gradient-free test; for a differentiable net, true FGSM or PGD gives a tighter worst-case bound.

  skills/adversarial-robustness-of-trading-signals/SKILL.md on GitHub (opens in a new tab)

• adverse-selection-measurement-for-passive-orders

  Use when passive fills keep happening just before the market moves against you, measuring forward markouts in basis points against the prevailing mid at each horizon. Aggressive orders pay the spread instead and are measured elsewhere.

  skills/adverse-selection-measurement-for-passive-orders/SKILL.md on GitHub (opens in a new tab)

• air-gapped-signing-workflow-for-cold-storage

  Use when moving crypto out of cold storage and the signing key must never touch an internet-connected machine; models the round trip where an intent crosses a QR or SD gap and the offline vault re-derives the approval display itself.

  skills/air-gapped-signing-workflow-for-cold-storage/SKILL.md on GitHub (opens in a new tab)

• algo-parameter-defaults-by-instrument-liquidity-tier

  Use when initialising VWAP, TWAP or implementation shortfall execution with instrument-specific starting constraints, classifying a validated average daily volume observation into a liquidity tier and returning a versioned profile.

  skills/algo-parameter-defaults-by-instrument-liquidity-tier/SKILL.md on GitHub (opens in a new tab)

• algo-trading-disclosure-to-exchange-membership

  Use when an order is generated or parameterised by an algorithm and the venue or regulator requires algorithm identification, registration or disclosure; blocks orders whose exchange-facing metadata is missing or stale, before FIX serialisation.

  skills/algo-trading-disclosure-to-exchange-membership/SKILL.md on GitHub (opens in a new tab)

• algo-wheel-broker-execution-quality-comparison

  Use when comparing brokers on an algo wheel from captured arrival prices and fills, ranking them by notional-weighted implementation shortfall and producing canary-preserving flow allocations that keep sampling alive.

  skills/algo-wheel-broker-execution-quality-comparison/SKILL.md on GitHub (opens in a new tab)

• algorithmic-trading-firm-licensing-thresholds

  Use when auditing whether a proprietary trading firm has crossed a quantitative registration trigger: the 17 CFR 240.15b9-1 conditions for FINRA membership exemption, the MiFID II Article 19 message-rate test, and the SEBI limbs.

  skills/algorithmic-trading-firm-licensing-thresholds/SKILL.md on GitHub (opens in a new tab)

• alpaca-paper-live-key-separation

  Use when a bot connects to the Alpaca Trading API and must never cross paper keys with the live endpoint; pins the base URL per environment, checks the key prefix, probes /v2/account and requires an explicit ALLOW_LIVE_TRADING flag.

  skills/alpaca-paper-live-key-separation/SKILL.md on GitHub (opens in a new tab)

• alternative-data-feature-integration

  Use when turning an alternative data source into model features and the event date differs from the date your fund actually received the data; enforces point-in-time lag mapping from knowledge date so the feature cannot see the future.

  skills/alternative-data-feature-integration/SKILL.md on GitHub (opens in a new tab)

• alternative-data-vendor-due-diligence-checklist

  Use when onboarding an alternative data vendor, triaging legal rights, material non-public information exposure, scraping and computer-misuse risk, terms of service and personal data handling before the dataset reaches research.

  skills/alternative-data-vendor-due-diligence-checklist/SKILL.md on GitHub (opens in a new tab)

• american-vs-european-style-option-exercise-handling

  Use when a book holds long American-style options and today's question is exercise now or sell, comparing intrinsic value against the executable bid with the Merton ex-dividend condition as a cross-check.

  skills/american-vs-european-style-option-exercise-handling/SKILL.md on GitHub (opens in a new tab)

• annual-compliance-attestation-workflow

  Use when running the annual compliance readiness gate before a US chief executive and chief compliance officer sign: SEC Rule 206(4)-7(b) review, the Rule 204-2(a)(17)(ii) record, FINRA Rules 3130 and 3120, and SEC Rule 15c3-5(e).

  skills/annual-compliance-attestation-workflow/SKILL.md on GitHub (opens in a new tab)

• api-key-least-privilege-audit-tool

  Use before deploying a live bot, to audit existing broker API keys for scopes they do not need. Flags withdrawal, transfer and admin rights that turn a leaked execution key into theft.

  skills/api-key-least-privilege-audit-tool/SKILL.md on GitHub (opens in a new tab)

• app-download-and-usage-data-for-consumer-companies

  Use when turning mobile app engagement panels such as downloads and active users into a fundamental signal for consumer companies, with the panel normalisation and lag that makes the estimate point-in-time defensible.

  skills/app-download-and-usage-data-for-consumer-companies/SKILL.md on GitHub (opens in a new tab)

• asic-market-integrity-rules-automated-trading

  Use when building the Automated Order Processing gate an Australian market participant must place in front of every trading message, under ASIC Market Integrity Rules 2017 Part 5.6: reject-outcome filters on value, volume and price.

  skills/asic-market-integrity-rules-automated-trading/SKILL.md on GitHub (opens in a new tab)

• auction-only-order-types-for-illiquid-names

  Use when a large block in an illiquid equity would walk the book during continuous trading, and limit-on-close or market-on-close orders move it at the auction instead. Trading against a published imbalance is close-auction-participation-strategy.

  skills/auction-only-order-types-for-illiquid-names/SKILL.md on GitHub (opens in a new tab)

• audit-logging-for-configuration-changes

  Use when a change to a trading parameter or risk-control setting must leave evidence of who changed what, from which value to which, and why. A hash-chained record, not an authorisation gate; manual overrides belong to risk-control-bypass-audit-logging.

  skills/audit-logging-for-configuration-changes/SKILL.md on GitHub (opens in a new tab)

• australia-asic-drt-obligations

  Use when a Reporting Entity under the ASIC Derivative Transaction Rules 2024 must validate an OTC derivative report before submission: ISO 17442 legal entity identifiers with check digits, ISO 23897 transaction identifiers and ISO 4914 product identifiers.

  skills/australia-asic-drt-obligations/SKILL.md on GitHub (opens in a new tab)

• australian-securities-exchange-asx-api

  Use when building direct market access to the Australian Securities Exchange over FIX 5.0 SP2, OUCH or ITCH; covers ASX Customer Development Environment configuration, ALC topology rules and AEST/AEDT session-schedule awareness.

  skills/australian-securities-exchange-asx-api/SKILL.md on GitHub (opens in a new tab)

• automated-rollback-triggers-on-anomaly-detection

  Use immediately after deploying a trading algorithm, to watch post-deployment health metrics and roll back automatically on a deployment defect, with flapping and rollback-loop protection. Not for strategy underperformance.

  skills/automated-rollback-triggers-on-anomaly-detection/SKILL.md on GitHub (opens in a new tab)

• automated-tax-lot-reporting-pipeline

  Use when turning raw execution records into capital-gains reports at scale, matching sells against an open-lot ledger under FIFO or highest-in-first-out. Method comparison across FIFO, LIFO, HIFO and specific identification is fifo-vs-specific-lot-tax-accounting-methods.

  skills/automated-tax-lot-reporting-pipeline/SKILL.md on GitHub (opens in a new tab)

• b3-brazil-exchange-api-integration

  Use when configuring B3 PUMA Trading System connectivity and choosing between the legacy FIX/FAST stack and Binary SBE; enforces the SBE gap-recovery precondition that separates them, and manages connection lifecycle state around a vendor SDK.

  skills/b3-brazil-exchange-api-integration/SKILL.md on GitHub (opens in a new tab)

• backpressure-drop-degrade-policy

  Use when a bounded tick buffer sits at capacity for sustained periods and you must choose a drop, sample or degrade policy per stream instead of inheriting a queue library's blocking default. For momentary spikes see tick-buffering-burst-handling.

  skills/backpressure-drop-degrade-policy/SKILL.md on GitHub (opens in a new tab)

• backtest-audit-trail-for-regulatory-review

  Use when a backtest result needs a durable record of exactly what produced it: git commit SHA, per-file data checksums, hyperparameter manifest and environment, signed with HMAC for integrity against outsiders.

  skills/backtest-audit-trail-for-regulatory-review/SKILL.md on GitHub (opens in a new tab)

• backtest-database-schema-for-point-in-time-queries

  Use when designing the storage layer for backtest data, so as-of queries are native: two independent time axes let a query ask what was known on a date rather than what the table holds today. The join engine itself is point-in-time-database-for-ml-training-data.

  skills/backtest-database-schema-for-point-in-time-queries/SKILL.md on GitHub (opens in a new tab)

• backtest-determinism-and-reproducibility

  Use when identical backtest code and data produce different P&L or Sharpe across runs, making optimisation untrustworthy: deterministic seeding, strict input sort order, a simulated clock replacing wall-clock reads, and run-to-run divergence detection.

  skills/backtest-determinism-and-reproducibility/SKILL.md on GitHub (opens in a new tab)

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