# TWAP

The Time-Weighted Average Price (TWAP) algo attempts to spread out an order evenly throughout a period of time. Using a TWAP execution is one way to achieve an average price that matches the market and can help minimize slippage and reduce costs. 

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<figure><img src="/files/3sYAJYayCI35h5qKkDjP" alt=""><figcaption><p>In this TWAP example, the algo will buy 10 Bitcoin (BTC) for USD on Coinbase between now and 04/01/2024 14:37 PM (that is, 1 hour from now). To execute, the algo will send orders every 15 seconds at a price that is 10bp above the BTC/USD offer on Coinbase. The algo estimates a total cost of ~$656k USD, and each individual child order will be ~0.042 BTC in size. </p></figcaption></figure>

We can choose the parameters based on the trading goals.&#x20;

<table><thead><tr><th width="213">Parameter</th><th>Description</th></tr></thead><tbody><tr><td>Buy/Sell</td><td>Direction of the order</td></tr><tr><td>Market</td><td>Symbol &#x26; price currency of the market, and the exchange</td></tr><tr><td>Quantity</td><td>Total quantity that will execute, measured in token units or contracts</td></tr><tr><td>Time Interval</td><td>Amount of time to wait between orders</td></tr><tr><td>Take Through Fraction</td><td>At what price to send the order, relative to the opposite side market.  For example on a buy order, a take through fraction of 0 would send bids at a price equal to the best offer at the time, and a take through fraction of 0.0005 would send bids 0.05% (5 basis points) above the current offer. Increasing this parameter above 0 reduces the chance of missing out on trades in a fast moving market, but has a higher risk of price slippage. </td></tr><tr><td>Reject Lockout</td><td>If an order is rejected, wait this amount of time before trying again</td></tr><tr><td>Time</td><td>End time of the algo, in your local timezone</td></tr></tbody></table>

The algo is not guaranteed to fill its full size by the end time, and will cancel any remainder size. Notably, it will not attempt to "catch-up" if orders are unfilled (e.g. due to rejects).


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