TWAP

A TWAP (Time-Weighted Average Price) Order is an algorithmic trading strategy that splits a large order into smaller trades and executes them evenly over a specified time period. The goal is to achieve an average execution price close to the market’s time-weighted average price.

When to Use?

• When executing a large order that might otherwise move the market if placed all at once.

• Suitable for institutional traders or whales seeking discreet execution with minimal market impact.

• When you want steady execution over time, rather than immediate fulfillment at one price.

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Key Points

• Helps minimize slippage and reduce market impact.

• Execution is spread out over time at regular intervals.

• Full order is usually completed as long as there is sufficient market liquidity.

• Focuses on achieving a price close to the average over time, not a specific single price.

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Key Parameters

Item	Explanation
Total Quantity	The complete amount of the asset you intend to trade over the entire strategy duration
Sub-Order Size	The size of each individual order slice executed at each interval
Running Time	The total duration over which the strategy executes all sub-orders
Frequency	How often sub-orders are placed within the running time. Note: Higher frequency creates smoother execution but requires more market liquidity
Randomize	Each sub-order quantity is automatically adjusted within a range of up to 20% above or below the original quantity
Reduce Only	Orders can only reduce the size of an existing open position
Margin	Indicates whether the order utilizes leveraged positions