TWAP Strategy User Manual
Last updated
Last updated
The Time Weighted Average Price (TWAP) strategy is an algorithmic trading strategy designed to minimize the market impact of large orders by executing them in smaller, distributed batches over a specified time period. Its core objective is to execute orders at an average price that closely aligns with the market's average price over that time, thus facilitating large trades without causing significant market fluctuations.
Applicable Scenarios:
Executing large volume trades while avoiding market shock
Reducing the impact of market volatility on trading costs
Distributing trades over a relatively stable or predetermined time frame
SignalPlus TWAP strategy consists of the following parameters:
Total Qty: Determine the total quantity of assets you wish to buy or sell.
Running Time: Set the total duration for the strategy to run, which can range from 5 minutes to 24 hours, determining how orders are dispersed.
Start at: Set the specific time for the strategy to start, which can be any point from now up to a week in advance. The system will automatically calculate the end time and ensure it doesn't exceed the delivery date of related futures or options.
Frequency: Set the interval at which each batch order is executed, such as every 30s, 60s, 90s, or 120s. The trading frequency will determine the rate at which orders are executed.
The TWAP strategy on the SignalPlus platform is currently suitable for all perpetual, delivery contracts, and options trades. The TWAP strategy will execute based on the parameters set by the user.
Illustrative Example of How TWAP Strategy Operates:
Assuming the parameters are set as follows:
Total Qty = 10,000 USDT
Running Time = 1 hour (60 minutes)
Start at = 4 hours from now
Frequency = 60s
Strategy Execution Process:
1）Calculate Batch Trading Volume:
With a total trading volume of 10,000 USDT and a running time of 1 hour, trades will be executed every 60 seconds. Therefore, there will be a total of 60 trades. Each trade will be for an amount of approximately 166.66 USDT (10,000 USDT / 60).
2）Beginning Execution:
Execution Time Points: Starting 4 hours from the current time, the strategy will begin executing. Every 60 seconds, the robot will place a market order for approximately 166.66 USDT.
Trade Execution: At each set time point, the system will automatically execute a market order to buy/sell approximately 166.66 USDT of the asset until the 60 minutes of running time is complete.
3）Monitoring and Adjustment:
The system will continuously monitor the execution of market orders and market conditions. If poor market liquidity leads to incomplete transactions, subsequent tasks will redistribute the trading quantity each time evenly.
4）Completion of Strategy:
If the TWAP strategy executes normally, all batch orders will be completed after 1 hour.
Please Note:
TWAP orders are not guaranteed to execute - the system will use the market order to complete orders as much as possible, but filled price and execution status depends on market liquidity and volatility.
If market liquidity is poor, causing market orders to remain unexecuted, the unfilled orders will roll to the next round. And if more than 50% of the trading volume for the new round is from unfilled orders in prior rounds, the system will automatically end the task.
You can monitor the performance of the TWAP strategy by adding the Order History widget on the SignalPlus Dashboard page.
Within this, the Open Orders list will display the current TWAP tasks that are awaiting execution (Pending) or are in the process of being executed (Active).
The historical orders list will show completed TWAP strategies, including those that have been fully executed or cancelled.
In these lists, you can view current details of the strategy, such as the filled Qty, the average price, and the running time. Additionally, you can click on details to view a popup of every executed trade record.
If a TWAP task is currently in an Open state, meaning the order status is pending (waiting to be executed) or active (in execution), users can find this TWAP task in the current orders of the Order History and manually cancel to terminate the strategy.
