Time-weighted average price (TWAP) is the average price of an asset over a certain period. A TWAP order is a trading order strategy that helps you to bull or sell to attain this average price. Each TWAP order consists of smaller sliced orders placed at regular intervals.
Large single orders often impact the market and change asset prices. TWAP orders minimize this impact to keep prices closer to real market conditions.
How do I place a TWAP order?
- Open the Okcoin trading section.
- Select TWAP under the Order type drop-down list.
Selecting TWAP in the trading section
- Fill all the settings fields:
- Total amount: how much you want to buy or sell.
- Price variance: the total maximum buy or minimum sell price based on the current prices from the order book. The higher the variance, the more liquidity orders take from the order book. You can set the price variance from 0.01% to 1%.
- Sweep ratio: how large each sliced order can be based on the price variance range. The higher the sweep ratio, the more liquidity orders take from the order book. You can set the sweep ratio from 0.01% to 100%.
- Per order limit: the maximum size (in base currency) of one sliced order.
- Price limit: the maximum buy or minimum sell price (in quote currency) of each sliced order.
- Time interval: the time between the placement of each sliced order. You can set intervals from 5 to 120 seconds.
- Click Buy or Sell to place the first sliced order under the TWAP strategy.
Filling TWAP order info
How TWAP orders work
A TWAP order splits the total amount you want to buy or sell into several small orders. For example, you can buy 1 BTC in a series of orders placed every 5 seconds.
The price of each small purchase depends on the current maximum buy price. It can vary by your price variance, for example 1%.
The purchase amount depends on the current liquidity within your price range. It can vary by your sweep ratio, for example 5%.
Finally, prices and amounts can't be higher than your limits, for example 45,000 USD and 0.1 BTC accordingly.