Definition

Time Weighted Average Price (TWAP)

Meaning ⎊ A strategy that executes a large order by splitting it into smaller segments distributed evenly over a set time duration.
Greeks.liveMarch 28, 2026

Time Weighted Average Price (TWAP)

Time Weighted Average Price is an execution algorithm that breaks a large order into smaller pieces and executes them at regular intervals over a specified time period. The goal of TWAP is to minimize market impact by spreading the execution over time, rather than attempting to fill the entire order at once.

This strategy is commonly used by traders who want to acquire or dispose of large positions without causing significant price swings. In the volatile crypto market, TWAP helps smooth out the impact of short-term price spikes.

While it does not guarantee the best price, it provides a disciplined and predictable approach to execution, making it a staple tool for institutional-grade asset management.

Token Bucket Algorithm
Order Slicing
Time Weighted Voting
Trade Slicing
Market Impact Mitigation
Message Verification Latency
Market Impact Decay Functions
VWAP Trading Strategies

Glossary

Weighted Average Price

Price ⎊ Weighted Average Price (VWAP) is a key metric used in quantitative finance to represent the average price of an asset over a specific period, adjusted for trading volume.