Time-Weighted Average Price
TWAP
Last updated
TWAP
Last updated
TWAP stands for โtime-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.
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.
<<Youtube link to launch tutorial>>
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.