TWAP Order

What is a TWAP Order?

A large order divided into smaller suborders and executed in 30 second intervals. TWAP suborders have a maximum slippage of 3%

Place a TWAP Order

  • Pick TWAP from the order type dropdown

  • Set your timeframe by setting the Hours and Minutes

  • Set your order Size in USDC or asset units

  • Press Long or Short to place your order

TWAP Details

During execution, a TWAP order attempts to meet an execution target which is defined as the elapsed time divided by the total time times the total size. A suborder is sent every 30 seconds during the course of the TWAP.

A suborder is constrained to have a max slippage of 3%. When suborders do not fully fill because of market conditions (e.g., wide spread, low liquidity, etc.), the TWAP may fall behind its execution target. In this case, the TWAP will try to catch up to this execution target during later suborders. These later suborders will be larger but subject to the constraint of 3 times the normal suborder size (defined as total TWAP size divided by number of suborders). It is possible that if too many suborders did not fill then the TWAP order may not fully catch up to the total size by the end. Like normal market orders, TWAP suborders do not fill during the post-only period of a network upgrade.

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