Build optimal execution algorithms that minimize trading costs. Implement VWAP, model market impact using Almgren-Chriss, and learn why execution is where alpha goes to die.
numpy · execution · market-microstructure · almgren-chriss · vwap
Learners placed at Morgan Stanley NYC · Optiver AMS
One working execution system, built section by section - hands-on, but never alone. Theory first, then you implement it, and checkpoints confirm each section clicked before the next one opens.
Never stuck
Reveal a hint when you want a nudge - or the full worked solution when you want the answer. Every exercise ships one.
Theory before code
Each formula is explained step by step before you implement it. Nothing is assumed mid-build.
Yours to keep
Finish with the complete research notebook - keep extending it with your own data.
Real code from inside the project. Press Run to see why order slicing exists, then change the numbers. Open this page on desktop to run it live in your browser.
import numpy as np
ORDER = 500_000 # shares to buy before the close
ADV = 2_000_000 # the stock trades 2M shares a day
# Intraday volume is U-shaped: heavy at the open and close, quiet at lunch.
t = np.linspace(0, 1, 13) # 13 half-hour buckets
profile = 1.0 - 1.6 * t * (1 - t)
profile /= profile.sum()
# Square-root impact: each slice costs more the larger your share of the bucket.
def impact_bps(slices, bucket_volume):
part = slices / bucket_volume
return float(np.sum(25 * np.sqrt(part) * slices) / ORDER)
vwap = impact_bps(ORDER * profile, ADV * profile) # trade WITH the volume
rush = impact_bps(np.array([ORDER]), np.array([ADV * profile[0]])) # all at the open
print(f"VWAP schedule : {vwap:5.1f} bps of market impact")
print(f"all at the open: {rush:5.1f} bps of market impact")
print(f"slicing keeps : {rush - vwap:5.1f} bps (that IS the execution edge)")The full build goes from this toy model to the Almgren-Chriss optimal schedule.
Resume bullets
Copy-paste ready - with the build behind you to back every line.
3 more resume bullets inside the project
Interview ammo
“Walk me through how you would execute a large order without moving the market”
You answer this with a system you built, not a definition you memorized.
4 more talking points inside the project
Full access to this build and the rest of the pipeline - every project in the vault, plus the lessons, exams and certificates behind them. Guided from the first line to the last.
~8h build · +250 XP · 4 resume bullets · 5 interview answers