Equity stat-arb · Execution · TCA
Project Liquidity Sweep
Attribute realised slippage to schedule choice, venue mix, and microstructure regime — then recommend constrained changes.
Context
Performance was acceptable in backtests but noisy live; the desk suspected interaction between their participation rate and fee tiers they had not modelled jointly.
Approach
- Reconstruct parent–child order trees from OMS exports; align to consolidated tape.
- Build attribution buckets: spread cross, impact, fees, missed liquidity.
- Propose schedule and venue rules with explicit capacity assumptions.
Outcomes
- One-page weekly TCA template the PM actually uses.
- Reduced variance in implementation shortfall on comparable signals (reported internally).
Tools & stack
Python · SQL · Broker drop copies