Execution Toxicity Feedback

Quick Reference

Property	Value
Dimension	regime
Category	market_regime
Version	v0.9.0 (Beta)
Output Column	toxicity_feedback

Execution toxicity feedback loop - models self-reinforcing deterioration of execution quality under adverse selection

Formula

decay_accum(((slippage * vpin) * abs(impact)), decay, 0)

CDM Inputs

Column	CDM Table	Description
slippage	cdm_*	CDM source table
vpin	cdm_*	CDM source table
impact	cdm_*	CDM source table

Parameters

Parameter	Type	Default	Description
decay	float [0.0, 1.0]	0.95	Decay factor for toxicity state accumulation

Output

Column: toxicity_feedback

Accumulated execution toxicity level with decay

Market Intuition & Trading Rationale

Execution toxicity feedback models the self-reinforcing deterioration cycle: decay_accum(slippage × vpin × |impact|, decay). When informed trading rises (VPIN↑), market makers widen spreads → slippage and impact increase → execution costs compound. This creates a feedback loop visible in the accumulated toxicity gauge. The decay_accum gives it persistence — sustained toxicity is more dangerous than transient spikes.

Usage Cases

• Toxicity spiral detection: Rapidly rising toxicity_feedback → toxic feedback loop active. Reduce all trading until the gauge subsides.
• Execution adaptation: When feedback is rising, switch to passive-only. Aggressive orders in a toxic feedback loop suffer compounding slippage.
• Regime complement: Pair with market_toxicity_regime. Toxicity_regime measures the level; toxicity_feedback measures the acceleration — rising feedback with stable toxicity means the market is about to become more toxic.

YAML Definition

name: execution_toxicity_feedback
description: Execution toxicity feedback loop - models self-reinforcing deterioration
  of execution quality under adverse selection
category: market_regime
version: v0.9.0 (Beta)
dimension: regime
status: Pre-release
required_inputs:
  - slippage
  - vpin
  - impact
output_column: toxicity_feedback
output_description: Accumulated execution toxicity level with decay
parameters:
  decay:
    type: float
    description: Decay factor for toxicity state accumulation
    required: false
    default: 0.95
    constraints:
      min: 0.0
      max: 1.0
formula: decay_accum(((slippage * vpin) * abs(impact)), decay, 0)