TWAP

TWAP is a trading acronym for Time Weighted Average Price. See also VWAP.

TWAP is the average price of contracts or shares over a specified time.

TWAP is used as an alternate way to buy and sell. Executing a single large order may impact the market. High-volume traders use TWAP to execute their orders over a specific time so they trade at a price that reflects the true market price. TWAP orders are a strategy of executing trades evenly over a specified time period. TWAP balances execution with volume. Often, a VWAP trade will buy or sell 40% of a trade in the first half of the day and then the other 60% in the second half of the day. A TWAP trade would most likely execute an even 50/50 volume in the first and second half of the day.

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