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. 

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