Module execution 

Execution cost estimation and turnover optimization.

Overview

This module provides:

• ExecutionCost: breakdown of round-trip execution costs (commission, spread, market impact).
• CostParams: parameters for the cost model (commission rate, spread, impact coefficient).
• CostModel: estimates execution cost for a given order.
• TurnoverOptimizer: finds trades minimizing cost while tracking a target portfolio.
• Trade: a single rebalancing trade with estimated cost.

Structs

CostModel

Estimates round-trip execution cost for a given order.

CostParams

Parameters controlling the execution cost model.

ExecutionCost

Full breakdown of estimated round-trip execution cost for one order.

Trade

A single rebalancing trade recommended by TurnoverOptimizer.

TurnoverOptimizer

Finds the minimal set of trades that moves a portfolio from current weights to target weights while keeping total execution cost low.

Enums

TradeDirection

Direction of a rebalancing trade.