TWAP (Time-Weighted Average Price) is an algorithmic trade execution strategy that aims to achieve an average execution price close to the time-weighted average price of the user-specified period. A TWAP strategy is often used to minimize a large order’s impact on the market by dispersing the large order into smaller quantities and executing them at regular intervals over time.
TWAP can provide a better execution price in the following scenarios:
Order size larger than available liquidity on the order book.
Anticipation of high price volatility period with no clear up or downward trend.
How to set up a TWAP strategy
1. When your market order exceeds a certain scale and may be cancelled or cannot be completely filled, the system will recommend TWAP strategy for you intelligently. You will see a pop-up window and you can choose whether to use TWAP, without setting any parameters;
2. Select [TWAP Order], and the system will automatically split your order into multiple orders with fixed amount and execute them at regular intervals over time;
Trading size: The total amount you buy or sell for this order. The TWAP strategy will be executed as far as possible to achieve your targeted trading size.
Duration: The system will match the appropriate execution time for you based on your order size. The minimum duration is 5 minutes, and the maximum is 20 minutes.
How to view my TWAP orders?
You can view your running TWAP orders, including average filled price, strategy duration, filled size, and total size, from the [Strategy Order] under the Spot/Futures panel
To manually terminate a running TWAP order, click [Terminate] under the [Action] column.
TWAP supports spot orders, as well as the isolated & cross orders of USDⓈ-M;
TWAP supports up to 20 spot orders and 20 USDⓈ-M orders per account. You can place multiple TWAP orders for the same pair.
The system will only display the running TWAP orders, including the transaction quantity, average transaction price, estimated transaction time, etc; The filled TWAP orders will be displayed in the historical transaction in the form of sub-orders.
TWAP orders do not guarantee execution. Orders will be filled with best effort, subject to market liquidity and volatility.