Getting it into your agent
One page per mod, every tool's command on it. A separate URL per tool would split the same page into five that compete with each other.
npx skills add skloxo/TideTrading --skill market-microstructuregit clone --depth 1 https://github.com/skloxo/TideTradingWrote this? Show the measurements
A badge with what this costs and how it scanned, read live from this page, so it follows the numbers instead of freezing them. Markdown for a README, HTML for a documentation site or a project page.
[](https://agentmods.dev/skills/skloxo/tidetrading/market-microstructure)<a href="https://agentmods.dev/skills/skloxo/tidetrading/market-microstructure"><img src="https://agentmods.dev/badge/skills/skloxo/tidetrading/market-microstructure/github.svg" alt="Measured on agentmods" height="20"></a>Or the 80×15 button, for a site that already has a row of RSS and ATOM ones. Only the verdict fits; the numbers stay here.
<a href="https://agentmods.dev/skills/skloxo/tidetrading/market-microstructure"><img src="https://agentmods.dev/badge/skills/skloxo/tidetrading/market-microstructure.svg" alt="Reviewed on agentmods" width="80" height="20"></a>What it costs to keep this loaded
Counted locally with the o200k_base tokenizer, which is exact for GPT models; Claude uses its own tokenizer and its counts differ. Treat this as one consistent yardstick across the catalogue rather than a bill. Prices are per million input tokens.
| Model | Per session | Once invoked |
|---|---|---|
| Fable 5.1 | $0.00055 | $0.03156 |
| Opus 5 | $0.00028 | $0.01578 |
| Sonnet 5 | $0.00011 | $0.00631 |
| Haiku 4.5 | $0.00006 | $0.00316 |
Grade A, and why
market-microstructure scanned grade A with 0 findings against 26 rules in 11 categories — prompt injection, anti-refusal, data exfiltration, privilege escalation, supply chain, agent snooping, system-prompt leakage, SSRF and excessive agency — measured 9d ago.
A static scan of the body, not an audit. Every finding is printed with the line that produced it so you can judge whether it matters here. A mod is markdown that instructs an agent; that is exactly why what it instructs is worth reading.
Nothing flagged
None of the 26 patterns this scan looks for appear in this file: no shell pipes, no recursive deletes, no credential paths, no hidden text, no instruction-override or anti-refusal phrasing, no agent-config snooping. That is not a guarantee, it is the absence of the things that are checkable.
This is a copy
94% identical to market-microstructure — 10 lines differ, which has more behind it and is treated as the original. This page carries a canonical link to it rather than competing with it.
How it starts
The opening of the file, as written. The whole thing — 300 lines — stays where its author put it; the contents beside it link to each section on GitHub.
Market Microstructure
Overview
Study the micro-level mechanisms of price formation: who is trading, how they are trading, and how trades affect prices. For quantitative strategies, this matters because it improves transaction-cost estimation, identifies informed trading, and optimizes execution.
Applicable scenarios:
- Precise estimation of strategy trading costs (instead of simply assuming a flat 0.1% fee)
- Designing large-order execution strategies (
TWAP / VWAP / IS) - Detecting order-flow toxicity (avoid time windows dominated by informed traders)
- Quantifying liquidity risk (flash-crash warning)
- Capturing China A-share-specific microstructure features (call auction / closing auction / block trades)
Core Concepts
Bid-Ask Spread
Three measurements:
| Metric | Formula | Meaning |
|---|---|---|
| Quoted spread | Ask - Bid |
Best spread shown in the limit order book |
| Effective spread | `2 × | trade price - mid price |
| Realized spread | 2 × direction × (trade price - mid price 5min later) |
True market-maker profit |
China A-share example:
Instrument: 600519.SH Kweichow Moutai
Best bid: 1680.00 Best ask: 1680.50
Quoted spread: 0.50 RMB = 0.03%
Instrument: 000001.SZ Ping An Bank
Best bid: 11.05 Best ask: 11.06
Quoted spread: 0.01 RMB = 0.09%
Spread decomposition (Roll):
Spread = adverse-selection cost + inventory cost + order-processing cost
In China A-shares: adverse selection accounts for 60-70% (mixture of retail and informed traders)
Spread drivers:
- Larger market cap -> smaller spread (Moutai 0.03% vs small-cap 0.5%)
- Higher volatility -> wider spread (market-maker risk premium)
- Higher volume -> narrower spread (greater competition)
- Higher information asymmetry -> wider spread (adverse selection)
Order-Flow Toxicity Metrics
VPIN (Volume-Synchronized Probability of Informed Trading):
Principle: replace clock time with volume time to measure the probability of informed trading
Calculation steps:
1. Bucket trades by fixed volume (Volume Bucket)
Bucket size V = average daily volume / 50 (about 5-10 minutes per bucket)
2. Classify buy and sell volume in each bucket (Bulk Volume Classification):
buy_volume = V × Φ(ΔP / σ) (standard normal CDF)
sell_volume = V - buy_volume
3. Compute order-flow imbalance:
OI_i = |buy_volume_i - sell_volume_i|
4. VPIN = Σ(OI_i) / (n × V) (n=50-bucket rolling window)
Interpretation:
VPIN < 0.3 -> normal, low informed-trading share
VPIN 0.3-0.5 -> caution, informed trading rising
VPIN > 0.5 -> dangerous, high probability that major information is about to be released
China A-share usage:
A sudden VPIN spike in a stock may foreshadow:
- insider trading ahead of a major announcement
- institutional position building / distribution
Before the 2015 China A-share flash crashes, VPIN stayed above 0.6 for a prolonged period
What this file has done since we first saw it
Hashed on every crawl. A supply-chain change to an agent config is a question of when, not whether, so the history is kept rather than the latest state alone.
- 9d ago First seen · 300 lines · 55 tokens per session scan A 59fab51b6bea
market-microstructure is a skill published in the GitHub repository skloxo/TideTrading (10 stars, last pushed 2d ago), licensed MIT. It adds 55 tokens to every session and 3,156 once invoked, about $0.0003 per session on Opus 5. A static security scan graded it A with 0 findings. It is 94% identical to market-microstructure, differing in 10 lines, and is treated as a copy.
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