GlossaryAdvanced
TWAP
Time-Weighted Average Price — the average price of an asset evenly weighted across a period.
Time-Weighted Average Price (TWAP) is the average price of an asset over a given period, weighted evenly across time rather than by trading volume, and is also used as an execution strategy that splits a large order into smaller pieces spread evenly over time.
A TWAP execution strategy is intended to reduce the price impact a single large order would otherwise cause.
Examples
- A TWAP execution strategy splits a large order into smaller pieces spread evenly over time.
- TWAP weights price evenly across time, unlike VWAP, which weights by traded volume.