What price impact means
Price impact is the expected effect of an order moving through available liquidity. In a thin book, a medium order can move price more than a large order on a liquid market.
For TWAP, impact should be monitored during execution, not only at the start.
- order book depth
- liquidity
- order size
- expected move
Why impact matters for TWAP
TWAP executes in slices, so pressure is distributed over time. If liquidity gets thinner, later slices may affect price more.
- sliced execution
- liquidity changes
- book pressure
- slippage risk
How TWAP DETECT helps
TWAP DETECT places impact next to strength, progress and wallet context. That helps traders identify where the algorithm may actually affect the market.
- impact on card
- TWAP strength
- progress
- wallet context