TWAP Algo

Optio's matching engine also contains an algorithmic execution system. While we have big plans for this piece in the future, one of the first algorithms we developed for customer use is TWAP, or Time Weighted Average Price.

A TWAP Order allows a customer to break up a large order into a series of smaller orders over a fixed time period, thus the average fill price of the entire transaction becomes a time-weighted average.

P_{\mathrm{TWAP}} = \frac{\sum_{j}{P_j \cdot T_j}}{\sum_j{T_j}} \

Where:

$$P_{\mathrm{TWAP}} \text { is the Time Weighted Average Price } \\ \\P_j \text { is the price of the asset at the interval } \\ T_j \text{ is the time elapsed since the last interval}$$