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Simple Definition of TWAP (Time Weighted Average Price)

• The average price of an asset over time
• TWAP is used by traders with high volume, executing the same size trade over and over during a span of time. This is done to not drain liquidity in a single trade.
• This is also to not affect market perceptions in a single trade.

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Definition of TWAP

• Time-weighted Average Price (TWAP) is a well-known trading algorithm which is based on the weighted average price and is defined by time criterion.
• TWAP is calculated for executing large trade orders.
• With the TWAP value, the trader can disperse a large order into a few small orders valued at the TWAP price since it is the most beneficial value.
• This is basically done to not let a huge order suddenly increase the value of a particular financial asset in the financial market.

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Sources

• https://blog.quantinsti.com/twap/https://blog.quantinsti.com/twap/