by divydovy March 10, 2009
Time-weighted average price. The average price of an asset over time.
TWAP is used by traders with high volume, executing the same size trade over and over during a span of time. This is done to not drain liquidity in a single trade. And to not affect market perceptions in a single trade.
TWAP is used by traders with high volume, executing the same size trade over and over during a span of time. This is done to not drain liquidity in a single trade. And to not affect market perceptions in a single trade.
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