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TWAP Order

Última atualização: 31/12/2025

What Is a TWAP Order?

A Time-Weighted Average Price (TWAP) order is an advanced trading strategy that helps users split a large order into multiple smaller orders and execute them gradually over a specified time period, aiming to achieve a time-weighted average execution price. This type of order is suitable for executing large trades without significantly impacting market prices.
During execution, the system automatically submits multiple child orders over a certain period according to the user’s specified parameters.

 

Key Advantages of TWAP Orders

  • Reduce market impact of large orders: Avoids drastic price swings caused by executing a single large order.
  • Achieve a more stable average execution price: Distributes order volume over time to achieve smoother average pricing.
  • Suitable for large openings, closings, or strategy executions: Eliminates the need for continuous manual order placement.

 

TWAP Order Parameters

When placing a TWAP order, users need to set the following key parameters:
  • Trade Direction: Choose Buy or Sell.
  • Total Order Quantity/Amount: The total volume the user intends to execute.
  • Child Order Quantity/Amount: The size of each split order. Smaller splits reduce market impact but may require more time to complete.
  • Order Interval / Execution Timeframe: Specify the total execution period (e.g., 24 hours). The system will submit child orders evenly throughout this period. Maximum allowable time is shown on the trading interface.
  • Price Protection (Optional): Set a limit price to ensure each child order does not exceed a maximum buy price or fall below a minimum sell price. If market prices go beyond the protection range, child orders are executed at the protection price.

 

TWAP Order Execution Logic

  1. After submission, the system splits the total order into multiple smaller child orders according to the specified execution timeframe and child order size.
  2. During the execution period, the system generates Market IOC or Limit GTT child orders based on market conditions and user parameters.
  3. For market orders, any unfilled portion of a child order is automatically canceled (IOC logic). For limited orders, unfilled portions are canceled after the expiration time (GTT logic).
  4. If the order price exceeds the price protection range, child orders are executed at the protection price.
  5. Execution stops when the cumulative filled quantity reaches the total specified by the user or when the execution timeframe ends.

 

Suitable Scenarios for TWAP Orders

  • Reduce market impact
Large trades can be split into smaller orders to minimize impact on the current order book.
  • Strategic phased execution Gradual execution over a timeframe helps achieve a smoother average price, suitable for quantitative strategies or large capital operations.
  • No need for continuous manual monitoring Once submitted, the system automatically executes child orders without manual intervention.

 

Risks and Considerations

  • TWAP orders do not guarantee full execution of all child orders; some may remain unfilled if market conditions are unfavorable.
  • Setting a tight price protection range may pause execution or reduce overall fill rates.
  • Large market fluctuations may cause the actual average execution price to deviate from expectations.
  • All fills during TWAP execution are subject to normal matching rules and fees.