Trading & Markets

TWAP

Also known as: Time Weighted Average Price

An execution strategy that spreads an order evenly over a time window.

Simple and predictable, which is both its virtue and its flaw.

The weakness: predictability is exploitable. A counterparty who detects a mechanical schedule can trade ahead of the remaining slices. Real implementations randomise timing and size for exactly this reason.

Versus VWAP: TWAP ignores the volume profile, so it trades the same amount in quiet periods as in busy ones - which means it demands a larger share of liquidity precisely when liquidity is thin.

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