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.

• TWAP

  • Start a TWAP

  • Query TWAP status

Start a TWAP

Python

# twap_algo_id = client.create_twap_algo(
#     name="My TWAP",
#     market="BTC-USDT BINANCE Perpetual/USDT Crypto*BINANCE/DIRECT",
#     dir=OrderDirection.BUY,
#     quantity=1,
#     interval_ms=1000,
#     reject_lockout_ms=10000,
#     end_time=datetime.now() + timedelta(hours=1),
#     account=None,            # optional
#     take_through_frac=None,  # optional
# )

JavaScript

import { create } from '@afintech/sdk';
const c = create({/* config */});

const twapAlgoId = await c.createTwapAlgo({
  name: 'My TWAP',
  market: 'BTC-USDT BINANCE Perpetual/USDT Crypto*BINANCE/DIRECT',
  dir: 'buy',
  quantity: '1',
  intervalMs: 1_000,
  rejectLockoutMs: 10_000,
  endTime: inAnHour(),
  account: null,
  takeThroughFrac: null,
});
console.log('twapAlgoId', twapAlgoId);

function inAnHour() {
  const now = Date.now();
  const hour = 1_000 * 60 * 60;
  return new Date(now + hour).toISOString();
}

GraphQL

mutation SendTwapAlgoRequest($algo: CreateTwapAlgo!) {
  createTwapAlgo(twapAlgo: $algo)
}

input CreateTwapAlgo {
  name: Str!
  market: MarketId!
  dir: Dir!
  quantity: Decimal!
  intervalMs: Int!
  rejectLockoutMs: Int!
  endTime: DateTime!
  account: AccountId
  takeThroughFrac: Decimal
}

Query TWAP status

Python

# status = client.get_twap_status(twap_algo_id)

# status.order_id
# status.order
# status.creation_time
# status.status
# status.fraction_complete
# status.realized_twap
# status.quantity_filled

JavaScript

import { create } from '@afintech/sdk';
const c = create({/* config */});

const status = await c.twapStatus([], twapAlgoId)
console.log('status', status[0]);

GraphQL

query GetTwapStatus($orderId: OrderId!) {
  twapStatus(orderId: $orderId) {
    orderId
    order {
      name
      orderId
      marketId
      dir
      quantity
      endTime
      accountId
      intervalMs
      rejectLockoutMs
      takeThroughFrac
    }
    creationTime
    status
    fractionComplete
    realizedTwap
    quantityFilled
  }
}