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. It’s typically used for larger orders to
minimize the impact or for traders who want to participate in the market for the 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
levels.

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:

  1. From the Ticker view
    1. Select TWAP
    2. Click “Buy” or “Sell
  2. Inside the Strategy Panel, fill in your desired
    1. Size
    2. Duration
    3. Happy Level – Optional
    4. Price Limit – Optional

Let’s explain a BUY example with the following parameters:

Symbol: BTC/USDT and last price is currently 20 000 USDT

Size: 1

TWAP Duration: 1 Hour

Happy Level: 19 500 USDT

Price Limit: 20 500 USDT

Since Happy Level is set to 19 500 USDT, the TWAP will buy more aggressively at or below this happy level.

Since Prime Limit is 20 100 USDT, the TWAP will not buy above this Price Limit.

During its duration, the TWAP will automatically detect attractive and unattractive zones for buying and adjust its size
and time intervals accordingly to generate the best possible execution.