rl-execution
Installation
SKILL.md
RL Execution Optimization
Reinforcement learning (RL) for trade execution teaches an agent to split and time large orders so that total market impact is minimized. Instead of following a fixed schedule (TWAP, VWAP), an RL agent observes real-time market state and adapts its trading rate on the fly.
Why Execution Optimization Matters
Every trade has a cost beyond the quoted spread:
| Cost Component | Cause | Typical Magnitude |
|---|---|---|
| Spread cost | Crossing the bid-ask | 5-50 bps on DEXs |
| Temporary impact | Consuming liquidity | Scales with trade rate |
| Permanent impact | Information leakage | Scales with total size |
| Timing risk | Price drifts while waiting | Scales with volatility and time |