Algorithmic Trading Execution Patterns

About

This skill provides Claude with specialized implementation patterns for high-performance financial engineering and algorithmic trading. It includes production-ready logic for Time-Weighted Average Price (TWAP), Volume-Weighted Average Price (VWAP), and Iceberg execution strategies. By using these patterns, developers can build trading systems that intelligently slice large orders, hide trade footprints, and route orders across multiple liquidity pools to ensure the best possible fill quality and cost efficiency.

Key Features

• TWAP implementation for even distribution over time windows
• Asynchronous execution handling for real-time exchange interaction
• 2 GitHub stars
• VWAP execution using historical intraday volume profiles
• Iceberg order logic for hiding large order sizes
• Smart Order Router (SOR) patterns for multi-exchange connectivity

Use Cases

• Developing institutional-grade automated trading bots
• Executing large-scale portfolio rebalancing with minimal slippage
• Building execution engines for cryptocurrency and equity trading platforms