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825 B
825 B
Execution Optimization
목적
같은 신호를 더 안정적이고 더 낮은 비용으로 체결하기 위한 실행 최적화 레이어를 설계합니다.
최적화 대상
1. Entry Timing
- next-open market
- next-open limit band
- close auction participation
- split-entry window
- liquidity-aware delay
2. Exit Timing
- close-based exit vs staggered exit
- stop handling 개선
- partial exit ladder
3. Order Shaping
- child order 분할
- participation cap
- spread-aware limit offset
- liquidity gate
정책
- baseline execution을 항상 유지
- execution 최적화는 feature flag 하에서만 활성화
- failure 시 baseline execution으로 자동 fallback
평가 지표
- arrival slippage
- decision-to-fill latency
- implementation shortfall
- fill ratio
- partial fill rate