Simple explanation
TWAP stands for time-weighted average price. In order execution, it means splitting a large order into smaller slices and sending them to the market over a schedule.
This can reduce the footprint of one large trade, but the repeated execution may still create pressure on price.
- large order
- smaller slices
- execution over time
- smaller one-time footprint
Why it matters for markets
If the TWAP is large relative to liquidity, its slices may keep taking offers or bids. On the chart, this can look like a persistent move while the cause is algorithmic execution.
A trader needs more than the fact that a TWAP exists. Size, side and order book impact matter.
- liquidity pressure
- gradual movement
- relative size
- order book context
How TWAP DETECT helps
TWAP DETECT shows live context rather than a textbook definition: active algorithm, side, strength, progress, price impact and similar historical cases.
- live events
- strength and progress
- wallet stats
- similar historical setups