by Gord Collins

TWAP

TWAP is (time weighted average price) the average price of contracts or shares over a specified time.

TWAP is used as an alternate way to buy and sell. Executing a single large order may impact the market. High-volume traders use TWAP to execute their orders over a specific time so they trade at a price that reflects the true market price. TWAP orders are a strategy of executing trades evenly over a specified time period. TWAP balances execution with volume. Often, a VWAP trade will buy or sell 40% of a trade in the first half of the day and then the other 60% in the second half of the day. A TWAP trade would most likely execute an even 50/50 volume in the first and second half of the day.

Use Smart Execution’s algorithmic trading solutions. We offer VWAP, TWAP and Time Slicing strategies to sell large blocks of stock quickly while minimizing market impact.

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