TWAP Order Calculator
Calculate the execution schedule for a Time-Weighted Average Price order.
| # | Time | Size |
|---|---|---|
| 1 | +0min | $4,166.67 |
| 2 | +5min | $4,166.67 |
| 3 | +10min | $4,166.67 |
| 4 | +15min | $4,166.67 |
| 5 | +20min | $4,166.67 |
| 6 | +25min | $4,166.67 |
| 7 | +30min | $4,166.67 |
| 8 | +35min | $4,166.67 |
| 9 | +40min | $4,166.67 |
| 10 | +45min | $4,166.67 |
| 11 | +50min | $4,166.67 |
| 12 | +55min | $4,166.67 |
| 13 | +60min | $4,166.67 |
| 14 | +65min | $4,166.67 |
| 15 | +70min | $4,166.67 |
| 16 | +75min | $4,166.67 |
| 17 | +80min | $4,166.67 |
| 18 | +85min | $4,166.67 |
| 19 | +90min | $4,166.67 |
| 20 | +95min | $4,166.67 |
| ...and 4 more | ||
Formula
The TWAP price is the arithmetic mean of prices at each execution point. Actual fills may differ due to slippage.
Examples
- Duration = 120 minutes
- Interval = 5 minutes
- Slices = 120 / 5 = 24
- Slice size = $100,000 / 24 = $4,167 per slice
- Duration = 480 minutes
- Interval = 15 minutes
- Slices = 480 / 15 = 32
- Slice size = $500,000 / 32 = $15,625
- Duration = 30 minutes
- Interval = 1 minute
- Slices = 30
- Slice size = $50,000 / 30 = $1,667
Key Concepts
What is TWAP?
TWAP (Time-Weighted Average Price) is an execution strategy that splits a large order into equal-sized pieces and executes them at regular intervals. The goal is to get an average fill price close to the market's time-weighted average.
Why Use TWAP?
Large market orders move the price (market impact). TWAP reduces this by spreading the order over time, letting the order book recover between fills. It's especially important for illiquid markets or large position sizes.
TWAP vs VWAP
TWAP uses equal time intervals. VWAP (Volume-Weighted) adjusts the schedule based on volume patterns — executing more when volume is high and less when it's low. VWAP is harder to implement but can reduce impact further.
Choosing the Duration
Shorter duration = faster execution but more market impact per slice. Longer duration = less impact but more exposure to price drift. Balance based on urgency and market conditions.
Interval Selection
1-minute intervals for aggressive execution, 5-15 minutes for normal execution, 30-60 minutes for patient execution. Smaller intervals give a smoother average but require more individual orders.
Randomization
Some TWAP algorithms add random variation to the timing and size of each slice to avoid being detected by other algorithms. This is called 'jittered TWAP' and is common in institutional trading.
How TWAP Execution Works
A TWAP order divides a large trade into equal-sized slices executed at regular intervals. If you want to buy $100,000 of BTC over 2 hours in 5-minute intervals, you'd place 24 orders of ~$4,167 each.
The expected execution price is the time-weighted average of market prices during the execution window. This is generally better than a single large market order, which would suffer from slippage — especially in thinner order books.
TWAP is widely used by institutions, market makers, and sophisticated traders. Many exchanges (including Hyperliquid) offer built-in TWAP functionality. This calculator helps you plan the schedule before executing.
Frequently Asked Questions
What if the price moves a lot during execution?
TWAP doesn't protect against directional price moves — it only reduces market impact. If the price trends strongly during your execution, your average will be worse than the starting price. Consider shorter durations in trending markets.
Should I use market or limit orders for each slice?
Market orders guarantee execution at each interval. Limit orders (placed slightly above/below market) can save on fees but risk not being filled. Most TWAP implementations use aggressive limit orders that cross the spread.
What's the minimum useful order size per slice?
Each slice should be large enough that the fixed trading fee doesn't eat too much. On most exchanges, slices below $100 are too small — the fee becomes a meaningful percentage of the trade.