TWAP
What is TWAP?
TWAP (Time-Weighted Average Price) is an order execution strategy that breaks a large order into smaller trades, executed at regular intervals over a set duration.
Instead of placing one large order that may impact price, TWAP helps smooth execution, reducing slippage and market impact.
How TWAP works
The TWAP order specifications can be split into 4 distinct components:
Order Size – The user specifies the total amount to buy/sell.
Duration – The time over which the order will be executed.
Intervals – The order is split into smaller chunks, executed evenly at each interval.
Execution – Orders are placed automatically until the total size is filled.
To understand: Buying 50 BTC over 1 hour with 12 intervals intends that the system will execute ~4.167 BTC every 5 minutes.
Randomize mode
When Randomize mode is enabled:
The system slightly varies the size and/or timing of each order.
This makes execution less predictable and harder to track.
Helps mitigate predatory algorithms or bots attempting to anticipate TWAP orders.
To understand: Instead of executing exactly ~4.167 BTC every 5 minutes, the system may execute 3.5 BTC, then 5.1 BTC, with timing offsets of a few seconds.
Reduce-Only Mode
When Reduce-Only mode is enabled:
The TWAP will only reduce your current position.
It prevents the strategy from flipping your position (e.g. closing a long and accidentally opening a short).
This ensures TWAP is used strictly for scaling out, not scaling in.
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