Venue Expert Skill | Agent Skills

Venue Expert

Hierarchical microstructure knowledge base for trading venues. Primary use cases: research, debugging, and building trading systems.

Purpose

Provide deep venue-specific expertise for:

Quants building execution models and alpha signals
Developers implementing feed handlers and order entry
Researchers studying market microstructure
Debuggers diagnosing trading system issues

Hierarchy Model

Knowledge is organized in an inheritance hierarchy:

Asset Class (equity, futures, crypto, fx)
    |
    v
Geography (amer, emea, apac)
    |
    v
Exchange (nasdaq, nyse, cme, binance)

Each level inherits concepts from its parent. Exchange-level files assume familiarity with geo-level and asset-class-level concepts.

Current Coverage

Implemented paths:

equity/ - Equity market fundamentals
equity/amer/ - US equity market structure (Reg NMS, NBBO, SIP, TRF)
equity/amer/nasdaq/ - Nasdaq-specific mechanics (ITCH, OUCH, crosses)
futures/ - Futures market fundamentals
futures/apac/ - APAC futures overview
futures/apac/china/ - Chinese futures (CTP, 5 exchanges, regulatory)
futures/apac/china/shfe/ - SHFE metals/energy
futures/apac/china/dce/ - DCE ferrous/agricultural
futures/apac/china/czce/ - CZCE agricultural/chemicals
futures/apac/china/cffex/ - CFFEX financial futures
futures/apac/china/ine/ - INE internationalized products

Planned paths:

equity/amer/nyse/ - NYSE mechanics
equity/emea/lse/ - London Stock Exchange
futures/amer/cme/ - CME Group
crypto/binance/ - Binance exchange

Navigation

Context Detection

Route to appropriate depth based on query specificity:

| Query Pattern | Target File | |---------------|-------------| | Generic equity concepts | equity/equity.md | | US market structure, Reg NMS, NBBO | equity/amer/equity_amer.md | | Nasdaq-specific (ITCH, NOII, crosses) | equity/amer/nasdaq/nasdaq.md | | Generic futures concepts | futures/futures.md | | APAC futures overview | futures/apac/futures_apac.md | | Chinese futures, CTP, 夜盘 | futures/apac/china/futures_china.md | | SHFE-specific (metals, CloseToday) | futures/apac/china/shfe/shfe.md | | DCE-specific (iron ore, stop orders) | futures/apac/china/dce/dce.md | | CZCE-specific (3-digit years, UpdateMillisec=0) | futures/apac/china/czce/czce.md | | CFFEX-specific (index futures, restrictions) | futures/apac/china/cffex/cffex.md | | INE-specific (crude oil, foreign access) | futures/apac/china/ine/ine.md |

Drill-Down Behavior

Start at the most specific applicable level. Reference parent concepts without repeating them. For example, when discussing Nasdaq auctions, assume familiarity with US equity auction concepts from equity_amer.md.

Reference Organization

Each level has a references/ directory with subdirectories:

regulatory/ - Rules, regulations, compliance guidance
specs/ - Protocol specifications, data formats

Reference files provide deep detail on specific topics. Load them when queries require specification-level precision.

Debugging Checklist

When debugging trading system issues:

US Equity

Feed issues - Check sequence gaps, timestamp alignment, halt state handling
Auction issues - Verify order type eligibility, cutoff times, NOII parsing
Execution issues - Validate tick/lot compliance, fee tier, priority rules
Regulatory issues - Confirm trade-through protection, best execution logic

Chinese Futures (CTP)

Data issues - DBL_MAX validation (1.7976931348623157e+308), CZCE UpdateMillisec=0, night replay filtering
Session issues - TradingDay vs ActionDay semantics, 21:00 reset, trading breaks (10:15-10:30)
Order issues - CloseToday/CloseYesterday (SHFE/INE), cancel-replace queue loss, DCE stop orders
Auth issues - 看穿式监管 AppID/AuthCode, CTP version ≥6.3.15, physical machine required
Gap issues - CTP has NO replay; reconnection gaps are permanent data loss

File Index

Content Files

Equity:

equity/equity.md - Equity market fundamentals
equity/amer/equity_amer.md - US equity market structure
equity/amer/nasdaq/nasdaq.md - Nasdaq exchange mechanics

Futures:

futures/futures.md - Futures market fundamentals
futures/apac/futures_apac.md - APAC futures overview
futures/apac/china/futures_china.md - Chinese futures (main)
futures/apac/china/shfe/shfe.md - SHFE specifics
futures/apac/china/dce/dce.md - DCE specifics
futures/apac/china/czce/czce.md - CZCE specifics
futures/apac/china/cffex/cffex.md - CFFEX specifics
futures/apac/china/ine/ine.md - INE specifics

Reference Files

US Equity References:

equity/amer/references/regulatory/sec_reg_nms.md - Reg NMS overview
equity/amer/references/regulatory/finra_rules.md - FINRA rules
equity/amer/references/regulatory/rule_605_606.md - Disclosure rules
equity/amer/references/specs/sip_specs.md - SIP specifications

Nasdaq References:

equity/amer/nasdaq/references/specs/itch_protocol.md - ITCH 5.0 spec
equity/amer/nasdaq/references/specs/ouch_protocol.md - OUCH 4.2/5.0 spec
equity/amer/nasdaq/references/specs/totalview.md - TotalView product
equity/amer/nasdaq/references/regulatory/nasdaq_rules.md - Nasdaq rulebook

Futures References:

futures/references/spreads.md - Calendar/inter-commodity spread mechanics (CME/ICE)
futures/references/flow_interpretation.md - Flow analysis framework (when flow signals direction)

Chinese Futures References:

futures/apac/china/references/specs/ctp_market_data.md - CTP struct specification
futures/apac/china/references/specs/data_quality_checklist.md - Validation checklist
futures/apac/china/references/specs/failure_modes.md - Failure mode catalog
futures/apac/china/references/models/queue_position.md - Queue estimation models
futures/apac/china/references/models/trade_direction.md - Trade direction inference
futures/apac/china/references/models/causal_analysis.md - Causal identification framework
futures/apac/china/references/models/cross_product_analysis.md - Cross-product patterns
futures/apac/china/references/models/spreads.md - Chinese spread execution (CTP, legging risk)
futures/apac/china/references/regime_changes.md - Regime change database

Agent Skills: Venue Expert

Install this agent skill to your local

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