TWAP Execution

Cortex extends TWAP execution to the server side, removing the 12-hour limit and enabling long-duration execution with per-lot monitoring.

For an overview of how TWAP works (lot splitting, frequency, jitter, irregular lots, price bounds), see the client-side TWAP documentation. All of those options remain available in Cortex TWAPs.

Server-Side TWAP

Cortex TWAPs execute entirely on the server. There is no upper duration limit, you can run a TWAP spanning minutes, days, weeks, or over a year. The browser does not need to remain open.

Configuration

• Total Size: the total order size to execute

• Total Lots: the number of individual lots to split the order into

• Total Time / End Date: the duration or target end date for the TWAP

• Slippage: slippage tolerance for each lot execution

All stealth execution options from client-side TWAPs (Frequency Jitter, Irregular Lots, Price bounds) are also supported.

Per-Lot Execution

Each lot within a Cortex TWAP can be individually monitored. Lots can execute using Chase and Swarm strategies for more sophisticated fill behavior on each individual lot.

Monitoring

Track TWAP progress in real time from the Activity panel on any device:

• Overall progress percentage and duration

• Average fill price

• Total filled vs. target size

• Start time and estimated end

• Per-lot fill status with individual price, size, and timestamp

TWAP is cancelable at any moment.