TWAP = Time Weighted Average Price 

It attempts to minimize market impact costs by maintaining an approximately constant rate of trading over the execution period.



- Few parameters: start time, end time, target quantity

- Simplest execution strategy 


Optimized forms of TWAP may require a choice of risk aversion. 

Typically, VWAP or arrival price benchmarks are used to gauge the quality of a TWAP execution. 


Most basic form of TWAP --> breaks a parent order into small child orders and executes them at a constant rate.


An ideal TWAP user has almost the same characteristics as an ideal VWAP user. 

Difference --> he believes that the lowest trading rate - not the lowest participation rate - incurs the lowest market impact costs. 


TWAP users can benefit from the same type of optimization as VWAP users by placing market orders less frequently, and using resting limit orders to attempt to improve execution quality. 

Add a comment


The NEW website is OUT! 

Go have a look at

You will find the content in the 'Derivatives Academy' section in a book format. 
The full content is not yet available as I am rewriting it and improving it.

You can try the Exotic Derivatives pricer under the 'Derivatives Pricer' section ( I will speed up the page soon as I forgot to compress some images.
Each application allows you to price differents products and contains links towards the correct section of the book. 
You will then be able to get practical and theoretical knowledge quite easily.

I teach quite often using the pricer. You can get so much information and answers to your questions thanks to it.

Take advantage of it as much as you can to hone your knowledge!

If you are looking for junior opportunities in the field of market finance. Register yourself on the website. It's free!

If you have any questions, do not hesitate to contact me on