Execution and Transaction Cost Analysis
9 algorithms · 2 families · D13
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execution-and-transaction-cost-analysis/llms.txt lists all
9 algorithms here — signature, shape and verification tier, one line each.
Every reference page below also exists as markdown at <page URL>index.md.
Schedule-Based Execution#
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TWAP Execution
verified
twapExecution(total_quantity, start_time_ms, end_time_ms, bucket_count, lot_size) -
Historical VWAP Execution
verified
historicalVwapExecution(total_quantity, historical_bucket_volumes, lot_size, profile_id) -
Adaptive VWAP Execution
verified
adaptiveVwapExecution(total_quantity, realized_market_volumes, remaining_forecast_volumes, executed_quantity, lot_size, forecast_version) -
Percentage-of-Volume Execution
verified
percentageOfVolumeExecution(total_quantity, participation_rate_bps, market_volume_buckets, lot_size, max_child_quantity)
Cost/Risk Optimization#
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Almgren-Chriss Optimal Execution
verified
almgrenChrissOptimalExecution(input) -
Implementation-Shortfall Execution
verified
implementationShortfallExecution(input) -
Arrival-Price Execution
verified
arrivalPriceExecution(input) -
Liquidity-Seeking Execution
verified
liquiditySeekingExecution(input) -
Opportunistic Dark-Pool Execution
verified
opportunisticDarkPoolExecution(input)