Execution Algorithms Library

A research-friendly toolkit for order execution.

• Algorithms: TWAP, VWAP, POV, Almgren–Chriss (AC).
• C-accelerated price/fill stepping (Cython-optimized core) with pure-Python fallback.
• Scenario YAML + CLI for reproducible experiments.
• Typed, modular code with pydantic-validated configs.

This is a simulation and research toolkit (not a live trading system).

Quickstart

python -m venv .venv
source .venv/bin/activate
pip install -e .  
# optional extras
# pip install -e .[polars]

# Run example from code
python -m execution_algorithms.examples.run_demo

# Or run a YAML scenario
eal run scenarios/basic.yml