Question

How does a TWAP algorithm work?

Answer

A TWAP algorithm is used to attain the time weighted average price over a specific, user-defined time period.

A TWAP algorithm is used to attain the time weighted average price over a specific, user-defined time period.

TWAP is useful in executing larger trade orders, whilst looking to reduce market impact, by breaking up the orders into smaller clips. The individual clip sizes of the order are determined by the Number of Clips selected, distributed over the Total Timespan.

The user is further able to specify the degree of randomness for both individual clip order size and the time interval between clips.

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Algos cannot run or function correctly in Sandwich when your PC goes to sleep.

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Most exchanges apply a minimum order size rule to each instrument, which algos need to take into account to ensure your algo clips can execute as expected.

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The TWAP algo offers options to execute as a Maker, a Taker, or using mixed order types.

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Not yet!

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Sandwich currently supports Market Orders, Limit Orders, Post-only, Reduce-only, and Customizable trade execution Algos! There is much more to come.

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