Technical Definition

Time-Weighted Average Price (TWAP)

Time-Weighted Average Price is an average measured across time and also describes execution strategies that split an order over a period.

By Crypto University Editorial
Order bookSlippageVolume

✦ Key Insight

It can reduce immediate market impact but increases exposure to price movement during the execution window.

✕ Common Misconceptions

TWAP does not guarantee a better price and can perform poorly in a strongly trending market.

Detailed Explanation

A TWAP execution reduces the need to place one large order at once by scheduling smaller child orders.

In Practice

“A desk executes a 100 BTC order in smaller portions over two hours.”

Dig Deeper

Order book

An order book is a list of open buy and sell orders arranged by price on a trading venue.

Slippage

Slippage is the difference between an expected trade price and the actual execution price.

Volume

Trading volume is the amount of an asset or contract traded over a specified period.

Market Depth

Market depth describes the quantity of buy and sell orders available at different prices in an order book.

Trading Terminal

A trading terminal is an interface that combines market data, charts, order entry, positions, and execution tools for traders.