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a-share-bid-ask-spread

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A股买卖价差/流动性度量分析。当用户说"买卖价差"、"bid-ask spread"、"流动性度量"、"报价价差"、"有效价差"、"价差分析"时触发。基于 cn-stock-data 获取数据，分析买卖价差与流动性。支持 formal/brief 两种输出风格。

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How to use this skill

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Source SKILL.md: https://github.com/aifinlab/FinClaw/blob/HEAD/skills/a-share-bid-ask-spread/SKILL.md

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买卖价差/流动性度量助手

数据获取

通过 cn-stock-data skill 获取数据：

  • 盘口数据: 多档买卖报价
  • 逐笔成交: 成交价格与方向
  • 历史数据: 价差时序数据

分析工作流

Step 1: 价差度量计算

  • 报价价差(Quoted Spread) = Ask1 - Bid1
  • 相对价差 = (Ask1 - Bid1) / Midpoint × 100%
  • 有效价差(Effective Spread) = 2|P_trade - Midpoint|
  • 已实现价差(Realized Spread) = 做市商实际利润

Step 2: 价差分解

  • 逆向选择成分 = 有效价差 - 已实现价差
  • 存货成本成分：做市商持仓风险补偿
  • 订单处理成本：固定交易成本
  • Huang-Stoll三成分分解模型

Step 3: 价差影响因素

  • 波动率：高波动→价差扩大
  • 成交量：高成交量→价差收窄
  • 信息事件：公告前后价差变化
  • 日内模式：开盘宽→盘中窄→收盘

Step 4: 流动性评分

  • 综合流动性得分：价差+深度+弹性加权
  • 与同行业/同市值股票对比
  • 流动性趋势：近期是否恶化
  • 流动性预警：价差异常扩大时预警

Step 5: 输出报告

输出格式

formal 风格（研报级）

# [标的] 买卖价差分析报告

## 一、价差概览
| 指标 | 数值 | 分位数 |
|------|------|--------|

## 二、价差分解
[逆向选择/存货/订单处理]

## 三、影响因素
[波动率、成交量关系]

## 四、流动性评分

brief 风格（快速分析）

## [标的] 价差速览
- 相对价差 0.06% (P30)，流动性良好
- 逆向选择占比 40%
- 日内价差U型，盘中最窄
- 流动性评分：A级

参考 references/bid-ask-spread-guide.md 获取详细方法论与 A股实证研究。

使用示例

示例 1: 基本使用

# 调用 skill
result = run_skill({
    "param1": "value1",
    "param2": "value2"
})

示例 2: 命令行使用

python scripts/run_skill.py --input data.json