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How time-weighted average price can reduce the market impact of large trades

Published 01/04/2023, 12:00 PM
Updated 01/04/2023, 01:40 PM

Time-weighted average price is an algorithmic trade execution strategy commonly used in traditional finance tools. The goal of the strategy is to produce an average execution price that is relatively close to the time-weighted average price (TWAP) for the period that the user specifies.

TWAP is mainly used to reduce a large order’s impact on the market by breaking it down into smaller orders and executing each one at regular intervals over a period of time.

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