A forecast becomes useful to a portfolio only after an authorised trade creates a real position at an acceptable cost. This capstone follows one synthetic equity signal through a cost decision, an execution schedule, partial fills, cancellation and a final execution review. The required output is a reproducible implementation and an explanation of its limitations, with enough evidence for another quant to rebuild the position and cost independently.
Learning objectives. By the end of this note you should be able to:
- specify a parent intention using only information available at decision time;
- implement a deterministic event ledger with distinct targets, orders and fills;
- reconcile cash, position, completion and implementation shortfall;
- enforce quantity reservations during a cancellation race;
- compare alternative policies under declared counterfactual assumptions;
- submit a defensible execution report with reproducible acceptance checks.
In this lesson
- The project contract
- Data contract and timing
- The baseline event history
- Work the accounting by hand
- A minimal executable accounting benchmark
- Required implementation and experiments
- Submission and assessment
Before you start
- Cost and Capacity Models
- TWAP, VWAP and Participation Algorithms
- Post-Trade Analysis
- Live Execution Monitoring
The full lesson, with worked examples and exercise solutions, is for members.
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