Time-Weighted Average Price

TWAP

What is the Volven TWAP?

TWAP stands for “time-weighted average price" and is a well-known algorithmic trading strategy from traditional finance. Rather than executing a single market- or limit order, Volven TWAP distributes the trades across a given time period.

By predicting market movements, Volven TWAP aims to have the best execution possible, and a good execution is the holy grail of trading.

Cost-effective trade execution

We focus on developing strategies that provides long-term benefits for our clients. The TWAP aims to achieve the highest rate of passive trade execution, lowering your commissions and increasing spread capture. It holds the discretion to capture momentum, volume surprises and other predicitive movements.

How to place a Volven TWAP?

<<Youtube link to launch tutorial>>

Optional parameters

Parameter	Purpose
Price Limit	Upper barrier for buying, or lower barrier for selling. Prevents your strategy from buying at an unfavorable price.
Happy Level	Price level where you are happy to fill the remaining size of the strategy. Strategy will fill as fast as possible at the happy level regardless of the remaining time.
Trigger Price	Determines the price where the strategy will start. Meaning the strategy will be waiting until the market crosses the trigger price.