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The TWAP Executor executes trades over a specified time horizon by splitting a large order into smaller orders at regular intervals, minimizing market impact.

Overview

Configuration

Parameters

How It Works

  1. Order Plan: Creates schedule of orders based on duration and interval
  2. Execution: Places orders at scheduled times
  3. Monitoring: Tracks fill rates and adjusts if needed
  4. Completion: Reports average price and total filled

Calculated Values

The executor automatically calculates:
  • Number of orders: total_duration / order_interval
  • Amount per order: total_amount_quote / number_of_orders
  • Average executed price: Volume-weighted average of all fills

Example: Execute $50k Over 2 Hours

Example: Quick TWAP with Market Orders

Performance Metrics

The executor reports:

When to Use TWAP

  • Executing orders larger than 1% of daily volume
  • Avoiding front-running or detection
  • Systematic rebalancing
  • Reducing timing risk