Futures
About TWAP orders
2024-12-13 02:351348
1. What is a TWAP order?
A time-weighted average price (TWAP) order splits a large order into multiple smaller orders, which are placed at market price at fixed intervals over a specified time until the entire order is completed.
TWAP orders can effectively smooth out order execution costs and reduce their impact on market prices, making them ideal for large-volume orders when the market is relatively less volatile.
2. How do I place TWAP orders?
Select TWAP on the order placement page.
Set the following parameters to place a TWAP order.
- Total quantity: The total quantity to be executed across all sub-orders.
- Running time: The duration of the TWAP order, adjustable between 1 minute and 24 hours 59 minutes.
- Frequency: The interval at which sub-orders orders are placed at market price. Options include 5s, 10s, 20s, 30s (recommended), and 60s.
Once these parameters are set, an estimated quantity per order will be displayed, showing the average size of each sub-order.
Confirm the order placement, and the TWAP order will be executed if sufficient funds are available and the minimum order quantity requirement is met.
3. How are TWAP orders executed?
Once you set the necessary paraments and place the TWAP order, the strategy is executed as follows:
From the time the order is placed until the running time is reached, the total quantity will be divided into sub-orders based on the quantity per order and placed at market price at the specified frequency.
Example:
Consider a TWAP order with a total quantity of 1.716 BTC, a running time of 5 minutes, and a frequency of 30 seconds. Thus, the estimated quantity per order is 0.156 BTC. Starting from the time the order is placed, a sub-order of 0.156 BTC will be placed at market price every 30 seconds for the next 5 minutes until the total quantity of 1.716 BTC is fully executed.
4. Avoiding abnormal termination of TWAP orders
While users can terminate TWAP orders manually, TWAP orders may also terminate abnormally if a sub-order fails to execute. To protect user assets, the entire TWAP order will terminate if any of its sub-orders fails to execute.
A common reason for abnormal termination is insufficient funds, which prevents sub-orders from being placed.
TWAP orders are executed over a set period rather than all at once. As a result, higher total quantities can increase the risk of execution failure if funds become insufficient.
To avoid such interruptions, ensure your account has adequate funds throughout the order's duration.
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