TWAP

Time Weighted Average Price execution of a large order. A Total Size is divided into the given number of Total Lots which are then executed one by one across the given Total Time at regular intervals (“Order Frequency”).

There is a maximum of 12 hours and a minimum of 5 minutes.

This is a long running process, you may continue trading using the Terminal’s other functions and monitor the TWAP progress in the Activity panel.

TWAP is cancelable at any moment.

Stealth Execution Options

Frequency Jitter

This option is to help avoiding detection of your running TWAP by public market trackers. Usually TWAP orders are place at regular (exact) time intervals. With Jitter enabled, you can displace these time intervals by a random number of seconds up to ±20% for each order placed.

For example, instead of placing orders every 10 seconds, with Jitter of ±20% orders may be placed at the given intervals (seconds): 10, 9, 11, 12, 8, 10.5, 9.7, 11.4 etc. Which are all a random and maximum of 20% deviation from 10.

Irregular Lots

You can also randomize the size of your lots instead of using the same uniform size for each TWAP order placed. Similar to the Irregular option on SWARM orders.

Using the Jitter and Irregular options together, it is practically impossible for your running TWAP to be detected by market analyzers

Price bounds

Define upper and lower price bounds for the TWAP and its reaction:

• Pause execution until price returns to bounds

• End execution and abort the TWAP order

• Execute all remaining orders immediately

• Close which stops the TWAP and acts as a SL/TP to close your position

Chase option

Toggle this option for the twap in order to use chase orders instead of market orders. Options include:

• Interval Time Aggression, which lets you select to either market order or add the order to the next chase if the chase order isn't filled in a certain time.

• On Chase Fail, which lets you decide between market order and adding to the next chase order in case the current chase order fails.

Note: Closing the Terminal will end the TWAP process.