stock-liquidity

What it does

Analyzes stock liquidity across multiple dimensions — bid-ask spreads, volume patterns, order book depth, estimated market impact, and turnover ratios — using data from Yahoo Finance via yfinance.

How it works

The skill organizes its analysis around several sub-skills:

• Sub-Skill A: Liquidity Dashboard — fetches data, computes spread metrics, volume metrics (average/median/dollar volume), turnover ratio, Amihud illiquidity proxy, and a market impact estimate using a square-root model. Returns a structured snapshot with current price, bid/ask, spread, volume metrics, turnover, Amihud illiquidity (scaled as specified), daily volatility, and an impact estimate.
• Sub-Skill B: Spread Analysis — derives current spread, absolute and relative spreads, and bid/ask sizes from the quote; can incorporate near-the-money options spreads for context.
• Sub-Skill C: Volume Analysis — computes average/median volume, relative volume, volume trend, and day-of-week patterns; identifies high/low volume days.
• Sub-Skill D: Order Book Depth — uses top-of-book data from equity quotes and options chain as proxies for depth; notes Yahoo Finance’s limitation on full Level 2 depth and suggests alternative feeds for full depth.
• Sub-Skill E: Market Impact — estimates price movement from a given order using the square-root model, outputs a curve of impact across several order-size fractions of ADV, and flags when impact is large.
• Sub-Skill F: Turnover Ratio — starts but the provided FACTS cut off mid-definition; the review reflects the intent to measure turnover relative to float/shares outstanding.

When to use it

Triggers include queries about liquidity, bid-ask spread, market depth, turnover ratio, slippage estimates, or how much of a stock can be traded without moving the price. The skill routes requests to the appropriate sub-skill (e.g., general liquidity to Liquidity Dashboard; spread-related questions to Spread Analysis).

What it can touch

Relies on the following tools and data access as described in the skill’s code paths: yfinance, pandas, numpy. The Sub-Skills access current quote data (bid, ask, sizes) and historical price/volume from Yahoo Finance.

Caveats

• Yahoo Finance provides top-of-book only; full Level 2 depth requires a direct market data feed.
• All models and metrics are for research/educational purposes; outcomes are not financial advice. The distribution of metrics depends on the availability of data from yfinance (e.g., bid/ask may be missing).
• The Amihud illiquidity value is scaled per the skill’s convention (multiplied by 1e9 for readability).
• The market impact uses a square-root model and presents an illustrative impact curve; actual execution impact depends on strategy and real-time conditions.