Algorithms – TWAP
What is TWAP?
TWAP means “time weighted average price and is a well-known algorithmic trading strategy from traditional finance. The strategy distributes trades evenly and static across a specific time horizon set by the user, aiming to achieve an execution price close to the time weighted average price. Its typically used for larger orders to minimize impact or for traders that just want to participate in the market for a desired time frame.
What is the Volven TWAP?
Volven has taken the traditional TWAP and pushed it to the next level. It is custom designed for the crypto market.
The Volven TWAP is a more dynamic AI-based algorithmic strategy. It aims to trade at market VWAP or better in a given
time window. The TWAP is given the discretion to capture crypto momentum, volume surprises, and optimal order placement
Our TWAP focus highly on order handling and the importance of having the highest rate of passive executions, this will
lower the commission and increase spread capture. Just to illustrate the importance of passive fills, when we compare
Volven TWAP with competitor TWAP, you can save up to 50% on the commission.
How to place a Volven TWAP crypto strategy:
- From the Trading view
- Choose a symbol
- Swipe right to “Buy” and left to “Sell”, push the strategy icon.
- Inside the Strategy Panel Choose “TWAP” in the strategy type box
- Inside the Strategy Panel: fill in your desired settings, or you can use the default settings that are already there.
- Limit Price(Optional, Min/Max limit for the strategy)
- Happy Level(Optional, Happy Level Price, price level where the strategy immediately will try to complete the whole size of the order)
- Trigger Price (Optional, when the market breaks this level, the strategy will start)
- Trigger Time(Optional, determines when the strategy should start)
- Duration(Default 1 hour)
Lets explain a BUY example with the following parameters:
Symbol: BTC/USDT and last price is currently 28 000
TWAP Duration in min: 1 Hour
Limit Price: 28 000
Happy Level: 26 800
- Since Limit Price is 28 000m the TWAP will not buy above this level.
- TWAP strategy will start selling over the specified time horizon (60min)
- Since we Happy Level is set to 26 800, the TWAP will try to complete at this price.
Important to note that TWAP may not complete unless “Force Fill” is selected. TWAP have the discretion to trade when it see favourable opportunities to trade, if not enough of these opportunities occur it will not complete.