TWAP

What are TWAP (Time-Weighted Average Price) orders?

TWAP (Time-Weighted Average Price) is an algorithmic trade execution strategy that aims to achieve an average execution price close to the time-weighted average price of the user-specified period. A TWAP strategy is often used to minimize a large order’s impact on the market by dispersing the large order into smaller quantities and executing them at regular intervals over time.

TWAP is favored to provide a better execution price in the following scenarios:

Order size larger than the available liquidity on the order book.

Anticipation of a high price volatility period with no clear up or downward trend.

How to set up a TWAP strategy?

1. Go to Aster Perps, refer to [order type] then select [TWAP] section

2. If you are new to TWAP, we recommend reading the guide line before creating your TWAP strategy.

3. Select the symbol and enter your trade details such as direction (Buy or Sell), trade size, and execution duration.

Once all required parameters are set, click [Buy/Long] or [Sell/Short] to place your order.

Trade size: The total trade size you choose to buy or sell. TWAP strategy will aim to execute to fill up to this targeted trade size.

Total Time: Select the targeted TWAP execution period. The minimum duration is 1minute, and the maximum is 7days.

4. Check your order details and click [Confirm].

Please make sure that you have a sufficient margin balance in your Perpetual Account. Your TWAP strategy will be terminated if any TWAP order fails to meet the margin requirements.

Please take note of the following margin check for a TWAP order:

There is no margin check for reduce-only orders,

Order Cost = (Total Order Size * Asset Last Price ) / Leverage

The order will go through if Order Cost < Available for Order

*Available for order: The available margin for opening a position.

How to view my TWAP orders?

You can view your running TWAP orders, including average filled price, strategy duration, strategy status, and total size, from the TWAP interface under the [Running] tab on the Strategy Overview panel. You can also monitor the order progress under the [Filled%] column to check the current executed amount percentage.

To manually terminate a running TWAP order, click [stop] under the [Action] column.

Additional Notes:

TWAP supports the Multi-Assets Mode.

The transaction details will not be displayed until all TWAP orders are filled. Only partially completed orders will be displayed. You can view the transaction quantity, average transaction price, and trading fee. TWAP supports up to 30 simultaneously running orders per account.

Tips: TWAP orders do not guarantee execution. Orders will be filled with the best effort, subject to market liquidity and volatility. There could be the potential slippage due to the market liquidity