Stock Liquidity
Alex YangCommunityCreated by Alex Yang
- Skill
- Tool integration
- Data and AI
- MIT
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AutoGineer summary
Written by AutoGineer from the skill’s own files, not by the author
This skill provides a comprehensive framework for evaluating the liquidity of financial instruments. By leveraging data from Yahoo Finance, it calculates key metrics such as bid-ask spreads, average daily volume, turnover ratios, and the Amihud illiquidity ratio. It also includes an institutional-grade square-root model to estimate market impact and potential slippage for large orders, helping users understand the real-world costs of trading.
What it does
- Calculates bid-ask spreads and relative spread percentages.
- Computes volume metrics including average daily volume and dollar volume.
- Estimates market impact and slippage for large orders using a square-root model.
- Measures turnover ratios to assess trading activity relative to float.
- Determines Amihud illiquidity ratios to quantify price response per dollar traded.
- Generates a liquidity dashboard for quick assessment of one or more tickers.
When to use it
- When assessing how easily a position can be entered or exited.
- When estimating the potential market impact of a large trade.
- When comparing the liquidity of multiple stocks.
- When analyzing thinly traded names, small caps, or penny stocks.
- When evaluating trading costs beyond the quoted price.
Advantages
- Provides actionable estimates for execution costs and slippage.
- Normalizes liquidity comparisons across different price points.
- Uses standardized institutional models for market impact.
- Helps identify potential liquidity risks before trading.
Usage examples
- “How liquid is AAPL compared to TSLA?”
- The agent will generate a side-by-side liquidity dashboard comparing bid-ask spreads, volume, and Amihud illiquidity for both tickers.
- “What is the estimated market impact of a $1M order in AMD?”
- The agent will calculate the expected price slippage in basis points using the square-root market impact model based on recent volume data.
- “Show me the turnover ratio for GME.”
- The agent will return the daily and annualized turnover ratios relative to the stock's float and shares outstanding.
- “What is the bid-ask spread for NVDA options?”
- The agent will provide the current quoted spread and context from near-the-money options data.
Install
Download the skill as a ZIP:
https://mp-staging.autogineer.com/agent-skills/himself65/stock-liquidity/downloadUnzip it into the cross-client skills folder of your project:
mkdir -p .agents/skills && unzip stock-liquidity.zip -d .agents/skills
Documentation by Alex Yang
Stock Liquidity Analysis Skill
If your host has not already executed the shell probes below (for example, in Codex), run the commands inside the ! wrappers with its shell tool before choosing a setup path. Use the actual output; if shell access is unavailable, report that limitation.
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.
Liquidity matters because it determines the real cost of trading. The quoted price is not what you actually pay — spreads, slippage, and market impact all eat into returns, especially for larger positions or less liquid names.
Important: This is for research and educational purposes only. Not financial advice. yfinance is not affiliated with Yahoo, Inc.
Step 1: Ensure Dependencies Are Available
Current environment status:
!`python3 -c "exec('try:\n import yfinance, pandas, numpy\n print(f\'yfinance={yfinance.__version__} pandas={pandas.__version__} numpy={numpy.__version__}\')\nexcept Exception:\n print(\'DEPS_MISSING\')')"`If DEPS_MISSING, install required packages:
import subprocess, sys
subprocess.check_call([sys.executable, "-m", "pip", "install", "-q", "yfinance", "pandas", "numpy"])If already installed, skip and proceed.
Step 2: Route to the Correct Sub-Skill
Classify the user's request and jump to the matching section. If the user asks for a general liquidity assessment without specifying a particular metric, run Sub-Skill A (Liquidity Dashboard) which computes all key metrics together.
| User Request | Route To | Examples |
|---|---|---|
| General liquidity check, "how liquid is X" | Sub-Skill A: Liquidity Dashboard | "how liquid is AAPL", "liquidity analysis for TSLA", "is this stock liquid enough" |
| Bid-ask spread, trading costs, effective spread | Sub-Skill B: Spread Analysis | "bid-ask spread for AMD", "what's the spread on NVDA options", "trading cost estimate" |
| Volume, ADTV, dollar volume, volume profile | Sub-Skill C: Volume Analysis | "volume analysis MSFT", "average daily volume", "volume profile for SPY" |
| Order book depth, market depth, level 2 | Sub-Skill D: Order Book Depth | "order book depth for AAPL", "market depth", "show me the book" |
| Market impact, slippage, execution cost for large orders | Sub-Skill E: Market Impact | "how much would 50k shares move the price", "slippage estimate", "market impact of $1M order" |
| Turnover ratio, trading activity relative to float | Sub-Skill F: Turnover Ratio | "turnover ratio for GME", "float turnover", "how actively traded is this" |
| Compare liquidity across multiple stocks | Sub-Skill A (multi-ticker mode) | "compare liquidity AAPL vs TSLA", "which is more liquid AMD or INTC" |
Defaults
| Parameter | Default |
|---|---|
| Lookback period | 3mo (3 months) |
| Data interval | 1d (daily) |
| Market impact model | Square-root model |
| Intraday interval (when needed) | 5m |
Sub-Skill A: Liquidity Dashboard
Goal: Produce a comprehensive liquidity snapshot combining all key metrics for one or more tickers.
A1: Fetch data and compute all metrics
import yfinance as yf
import pandas as pd
import numpy as np
def liquidity_dashboard(ticker_symbol, period="3mo"):
ticker = yf.Ticker(ticker_symbol)
info = ticker.info
hist = ticker.history(period=period)
if hist.empty:
return None
# --- Spread metrics (from current quote) ---
bid = info.get("bid", None)
ask = info.get("ask", None)
current_price = info.get("currentPrice") or info.get("regularMarketPrice") or hist["Close"].iloc[-1]
spread = None
spread_pct = None
if bid and ask and bid > 0 and ask > 0:
spread = round(ask - bid, 4)
midpoint = (ask + bid) / 2
spread_pct = round((spread / midpoint) * 100, 4)
# --- Volume metrics ---
avg_volume = hist["Volume"].mean()
median_volume = hist["Volume"].median()
avg_dollar_volume = (hist["Close"] * hist["Volume"]).mean()
volume_std = hist["Volume"].std()
volume_cv = volume_std / avg_volume if avg_volume > 0 else None # coefficient of variation
# --- Turnover ratio ---
shares_outstanding = info.get("sharesOutstanding", None)
float_shares = info.get("floatShares", None)
base_shares = float_shares or shares_outstanding
turnover_ratio = round(avg_volume / base_shares, 6) if base_shares else None
# --- Amihud illiquidity ratio ---
# Average of |daily return| / daily dollar volume
returns = hist["Close"].pct_change().dropna()
dollar_volume = (hist["Close"] * hist["Volume"]).iloc[1:] # align with returns
amihud_values = returns.abs() / dollar_volume
amihud = amihud_values[amihud_values.replace([np.inf, -np.inf], np.nan).notna()].mean()
# --- Market impact estimate (square-root model) ---
# For a hypothetical order of 1% of ADV
adv = avg_volume
order_size = adv * 0.01
daily_volatility = returns.std()
sigma = daily_volatility
participation_rate = order_size / adv if adv > 0 else 0
impact_bps = sigma * np.sqrt(participation_rate) * 10000 # in basis points
return {
"ticker": ticker_symbol,
"current_price": round(current_price, 2),
"bid": bid,
"ask": ask,
"spread": spread,
"spread_pct": spread_pct,
"avg_daily_volume": int(avg_volume),
"median_daily_volume": int(median_volume),
"avg_dollar_volume": round(avg_dollar_volume, 0),
"volume_cv": round(volume_cv, 3) if volume_cv else None,
"shares_outstanding": shares_outstanding,
"float_shares": float_shares,
"turnover_ratio": turnover_ratio,
"amihud_illiquidity": round(amihud * 1e9, 4) if not np.isnan(amihud) else None,
"daily_volatility": round(daily_volatility * 100, 2),
"impact_1pct_adv_bps": round(impact_bps, 2),
"observations": len(hist),
}A2: Interpret and present
Present as a summary card. For the Amihud illiquidity ratio, multiply by 1e9 for readability (standard convention).
Liquidity grade (use these rough thresholds for US equities):
| Grade | Avg Dollar Volume | Spread (%) | Amihud (×10⁹) |
|---|---|---|---|
| Very High | > $500M/day | < 0.03% | < 0.01 |
| High | $50M–$500M/day | 0.03–0.10% | 0.01–0.1 |
| Moderate | $5M–$50M/day | 0.10–0.50% | 0.1–1.0 |
| Low | $500K–$5M/day | 0.50–2.00% | 1.0–10 |
| Very Low | < $500K/day | > 2.00% | > 10 |
When comparing multiple tickers, show a side-by-side table and highlight which is more liquid and why.
Sub-Skill B: Spread Analysis
Goal: Detailed bid-ask spread analysis including current spread, historical context from options data, and effective spread estimates.
B1: Current spread from quote
import yfinance as yf
def spread_analysis(ticker_symbol):
ticker = yf.Ticker(ticker_symbol)
info = ticker.info
bid = info.get("bid", 0)
ask = info.get("ask", 0)
bid_size = info.get("bidSize", None)
ask_size = info.get("askSize", None)
current_price = info.get("currentPrice") or info.get("regularMarketPrice", 0)
result = {"bid": bid, "ask": ask, "bid_size": bid_size, "ask_size": ask_size}
if bid > 0 and ask > 0:
midpoint = (bid + ask) / 2
result["absolute_spread"] = round(ask - bid, 4)
result["relative_spread_pct"] = round((ask - bid) / midpoint * 100, 4)
result["relative_spread_bps"] = round((ask - bid) / midpoint * 10000, 2)
return resultB2: Options spread context
Options data from yfinance includes bid/ask for each strike, which gives a sense of derivatives liquidity. Use the nearest expiration, extract near-the-money calls and puts, and compute spread and spread percentage for each.
See references/liquidity_reference.md § "Options Spread Analysis" for the full code template.
B3: Present results
Show:
Current quoted spread (absolute, relative %, basis points)
Bid/ask sizes if available
Near-the-money options spreads for context
How the spread compares to typical ranges for this market cap tier
Sub-Skill C: Volume Analysis
Goal: Analyze trading volume patterns — averages, trends, relative volume, and dollar volume.
C1: Compute volume metrics
import yfinance as yf
import pandas as pd
import numpy as np
def volume_analysis(ticker_symbol, period="3mo"):
ticker = yf.Ticker(ticker_symbol)
hist = ticker.history(period=period)
if hist.empty:
return None
vol = hist["Volume"]
close = hist["Close"]
dollar_vol = vol * close
# Relative volume (today vs average)
rvol = vol.iloc[-1] / vol.mean() if vol.mean() > 0 else None
# Volume trend (linear regression slope over the period)
x = np.arange(len(vol))
slope, _ = np.polyfit(x, vol.values, 1) if len(vol) > 1 else (0, 0)
trend_pct = (slope * len(vol)) / vol.mean() * 100 # % change over period
# Volume profile by day of week
hist_copy = hist.copy()
hist_copy["DayOfWeek"] = hist_copy.index.dayofweek
day_names = {0: "Mon", 1: "Tue", 2: "Wed", 3: "Thu", 4: "Fri"}
vol_by_day = hist_copy.groupby("DayOfWeek")["Volume"].mean()
vol_by_day.index = vol_by_day.index.map(day_names)
# High/low volume days
high_vol_days = hist.nlargest(5, "Volume")[["Close", "Volume"]]
low_vol_days = hist.nsmallest(5, "Volume")[["Close", "Volume"]]
return {
"avg_volume": int(vol.mean()),
"median_volume": int(vol.median()),
"avg_dollar_volume": round(dollar_vol.mean(), 0),
"current_volume": int(vol.iloc[-1]),
"relative_volume": round(rvol, 2) if rvol else None,
"volume_trend_pct": round(trend_pct, 1),
"volume_by_day": vol_by_day.to_dict(),
"high_vol_days": high_vol_days,
"low_vol_days": low_vol_days,
"max_volume": int(vol.max()),
"min_volume": int(vol.min()),
}C2: Present results
Show:
Average daily volume (shares and dollar) with median for comparison
Relative volume (RVOL) — today's volume vs. the average. RVOL > 1.5 is elevated; RVOL < 0.5 is unusually quiet
Volume trend — is trading activity increasing or declining?
Day-of-week pattern (if meaningful variation exists)
Top 5 highest-volume days with context (earnings? news?)
Sub-Skill D: Order Book Depth
Goal: Estimate order book depth using available bid/ask data from the equity quote and options chain.
Yahoo Finance does not provide full Level 2 / order book data. Be upfront about this limitation. What we can do:
Equity quote: bid, ask, bid size, ask size (top of book only)
Options chain: bid/ask and open interest across strikes give a proxy for derivatives depth
Intraday volume distribution: how volume is distributed within the day suggests how deep the continuous market is
D1: Gather available depth data
Collect three data points:
Top of book — bid, ask, bidSize, askSize from
ticker.infoIntraday volume distribution — 5-min bars over the last 5 days, grouped by time-of-day and normalized to percentage of daily volume
Options open interest — total call/put OI and volume from the nearest expiration as a derivatives depth proxy
See references/liquidity_reference.md § "Order Book Depth Proxy" for the full code template.
D2: Present results
Show:
Top of book: current bid/ask with sizes
Intraday volume shape: where volume concentrates (open/close vs. midday)
Options depth: total open interest and volume as a proxy for derivatives liquidity
Honest limitation: "Yahoo Finance provides top-of-book only. For full Level 2 depth, a direct market data feed (e.g., NYSE OpenBook, NASDAQ TotalView) is needed."
Sub-Skill E: Market Impact
Goal: Estimate how much a given order size would move the price, using the square-root market impact model.
The standard model in practice is: Impact (%) = σ × √(Q / V) where σ is daily volatility, Q is order size in shares, and V is average daily volume. This is a simplified version of the Almgren-Chriss framework used by institutional traders.
E1: Compute market impact estimate
import yfinance as yf
import numpy as np
def market_impact(ticker_symbol, order_shares=None, order_dollars=None, period="3mo"):
ticker = yf.Ticker(ticker_symbol)
hist = ticker.history(period=period)
info = ticker.info
if hist.empty:
return None
current_price = info.get("currentPrice") or hist["Close"].iloc[-1]
avg_volume = hist["Volume"].mean()
daily_volatility = hist["Close"].pct_change().dropna().std()
# Determine order size in shares
if order_dollars and not order_shares:
order_shares = order_dollars / current_price
elif not order_shares:
# Default: estimate for various sizes
order_shares = avg_volume * 0.01 # 1% of ADV
participation_rate = order_shares / avg_volume if avg_volume > 0 else 0
pct_adv = (order_shares / avg_volume * 100) if avg_volume > 0 else 0
# Square-root impact model
impact_pct = daily_volatility * np.sqrt(participation_rate) * 100
impact_bps = impact_pct * 100
impact_dollars = impact_pct / 100 * current_price * order_shares
# Generate impact curve for multiple order sizes
sizes = [0.001, 0.005, 0.01, 0.02, 0.05, 0.10, 0.20, 0.50] # as fraction of ADV
curve = []
for s in sizes:
q = avg_volume * s
imp = daily_volatility * np.sqrt(s) * 100
curve.append({
"pct_adv": round(s * 100, 1),
"shares": int(q),
"dollars": round(q * current_price, 0),
"impact_bps": round(imp * 100, 1),
"impact_dollars_per_share": round(imp / 100 * current_price, 4),
})
return {
"ticker": ticker_symbol,
"current_price": round(current_price, 2),
"avg_daily_volume": int(avg_volume),
"daily_volatility_pct": round(daily_volatility * 100, 2),
"order_shares": int(order_shares),
"order_dollars": round(order_shares * current_price, 0),
"pct_of_adv": round(pct_adv, 2),
"estimated_impact_bps": round(impact_bps, 1),
"estimated_impact_pct": round(impact_pct, 4),
"estimated_impact_total_dollars": round(impact_dollars, 2),
"impact_curve": curve,
}E2: Present results
Show:
The estimated impact for the user's specific order size
An impact curve table showing how cost scales with order size
Context: "This uses the square-root market impact model, a standard institutional estimate. Actual impact depends on execution strategy (VWAP, TWAP, etc.), time of day, and current market conditions."
Above ~25 bps, note that the order is large for the stock's liquidity; above ~50 bps, flag it clearly and suggest the user consider algorithmic execution or splitting the order across days
Sub-Skill F: Turnover Ratio
Goal: Measure how actively a stock trades relative to its shares outstanding and free float.
F1: Compute turnover metrics
import yfinance as yf
import pandas as pd
import numpy as np
def turnover_analysis(ticker_symbol, period="3mo"):
ticker = yf.Ticker(ticker_symbol)
hist = ticker.history(period=period)
info = ticker.info
if hist.empty:
return None
avg_volume = hist["Volume"].mean()
shares_outstanding = info.get("sharesOutstanding")
float_shares = info.get("floatShares")
result = {
"avg_daily_volume": int(avg_volume),
"shares_outstanding": shares_outstanding,
"float_shares": float_shares,
}
if shares_outstanding:
daily_turnover = avg_volume / shares_outstanding
result["daily_turnover_ratio"] = round(daily_turnover, 6)
result["annualized_turnover"] = round(daily_turnover * 252, 2)
result["days_to_trade_float"] = round(
(float_shares or shares_outstanding) / avg_volume, 1
) if avg_volume > 0 else None
if float_shares:
float_turnover = avg_volume / float_shares
result["float_turnover_daily"] = round(float_turnover, 6)
result["float_turnover_annualized"] = round(float_turnover * 252, 2)
# Turnover trend
vol = hist["Volume"]
base = float_shares or shares_outstanding
if base:
hist_copy = hist.copy()
hist_copy["turnover"] = hist_copy["Volume"] / base
recent_turnover = hist_copy["turnover"].tail(20).mean()
older_turnover = hist_copy["turnover"].head(20).mean()
if older_turnover > 0:
result["turnover_trend_pct"] = round(
(recent_turnover - older_turnover) / older_turnover * 100, 1
)
return resultF2: Present results
Show:
Daily and annualized turnover ratios (vs. outstanding and float)
"Days to trade the float" — how many days at average volume to turn over the entire free float
Turnover trend — is the stock becoming more or less actively traded?
Context:
| Turnover (Annualized) | Interpretation |
|---|---|
| > 500% | Extremely active — likely speculative or momentum-driven |
| 100–500% | Actively traded |
| 30–100% | Moderate activity |
| < 30% | Thinly traded — likely institutional buy-and-hold or neglected |
Step 3: Respond to the User
After running the appropriate sub-skill:
Always include
The lookback period used for historical metrics
The data timestamp — spreads and quotes are snapshots, not real-time
Any tickers that returned empty data (invalid symbol, delisted, etc.)
Always caveat
Yahoo Finance quote data has a 15-minute delay for most exchanges — spreads shown may not reflect the current live market
Full order book (Level 2) data is not available through Yahoo Finance
Market impact estimates are models, not guarantees — actual execution costs depend on strategy, timing, and market conditions
Liquidity can change rapidly — a stock that's liquid today may not be tomorrow (especially around events, halts, or during extended hours)
Practical guidance (mention when relevant)
Position sizing: If estimated impact exceeds ~25 bps, the position may be too large for the stock's liquidity (see the thresholds in Sub-Skill E)
Small/micro-cap warning: Stocks with < $1M daily dollar volume require careful execution
Spread costs compound: A 0.10% spread on a round-trip (buy + sell) costs 0.20% — this adds up for active strategies
Illiquidity premium: Less liquid stocks historically earn higher returns as compensation — but the transaction costs can eat this premium
Present liquidity data and let the user make their own decisions; don't recommend specific trades.
Reference Files
references/liquidity_reference.md— Detailed formulas, extended code templates, metric interpretation guides, and academic references for all liquidity measures
Read the reference file when you need exact formulas, edge case handling, or deeper background on liquidity metrics.
Files
- ATTRIBUTION.mdAdded by AutoGineer891 B
- LICENSELicence file added by AutoGineer1.0 KiB
- README.md1.4 KiB
- SKILL.md19.6 KiB
- references/liquidity_reference.md13.4 KiB
ATTRIBUTION.md
Attribution
This folder is an unmodified copy of the Agent Skill "stock-liquidity", distributed by AutoGineer (https://autogineer.com/agent-skills).
Commit: a0850786e72aa23b92862f9f1635b0de506fe206
Created by: Alex Yang (https://github.com/himself65)
Publisher: Alex Yang (https://github.com/himself65)
Licence: MIT License (https://github.com/himself65/finance-skills/blob/a0850786e72aa23b92862f9f1635b0de506fe206/LICENSE)
Licence evidence: repository licence LICENSE
Retrieved: 2026-11-07
The skill's own files are unmodified copies. AutoGineer is not affiliated with or endorsed by the author or the publisher.
Files added by AutoGineer
ATTRIBUTION.md: this file, written by AutoGineer
LICENSE: copied from LICENSE
Requirements and compatibility
Works with: Claude Code, Claude apps, OpenAI Codex, GitHub Copilot, Cursor, Gemini CLI, Kiro, OpenCode, Goose, Amp, Roo Code, JetBrains Junie, Factory Droid, Devin (ex-Windsurf), Mistral Vibe, OpenHands, Letta
“Works with” means the tool reads the open Agent Skills format; a skill written for one tool may use features others lack.
Needs: Needs Python
Security
No issues found by our static scan· No issues found
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Attribution and licence
- Created by
- Alex Yang
- Publisher
- Alex Yang (Community)
- Source
- himself65/finance-skills · plugins/market-analysis/skills/stock-liquidity · commit a085078
- Licence
- MIT License (redistribution allowed)
- LICENSE (added by AutoGineer from LICENSE)
- ATTRIBUTION.md (written by AutoGineer)
- Synced
AutoGineer is not affiliated with or endorsed by Alex Yang.
Download ZIP
The ZIP holds the skill’s files, its licence files and an ATTRIBUTION.md. Download stock-liquidity.zip