Overview
In finance, time-weighted average price (TWAP) is the average price of a security over a specified time.
TWAP is also sometimes used to describe a TWAP card, that is a strategy that will attempt to execute an order and achieve the TWAP or better. A TWAP strategy underpins more sophisticated ways of buying and selling than simply executing orders en masse: for example, dumping a huge number of shares in one block is likely to affect market perceptions, with an adverse effect on the price.
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Use
A TWAP strategy is often used to minimize a large order's impact on the market and result in price improvement. High-volume traders use TWAP to execute their orders over a specific time, so they trade to keep the price close to that which reflects the true market price. TWAP orders are a strategy of executing trades evenly over a specified time period. Volume-weighted average price (VWAP) balances execution with volume. Regularly, a VWAP trade will buy or sell 40% of a trade in the first half of the day and then the other 60% in the second half of the day.
A TWAP trade would most likely execute an even 50/50 volume in the first and second half of the day.
The source notesEvidence & further reading4 sources
- Time-weighted average price — Wikipedia, revision 1362016836 Wikipedia contributors · Reference source · accessed 2026-09-22
- "Wealth AI". 2024-07-20. Retrieved 2024-08-03. wealthai.in · Reference source · link imported 2026-09-22
- "Time-Weighted Average Price". River Financial. River Financial Inc. Retrieved 2021-06-25. river.com · Reference source · link imported 2026-09-22
- "Anchored VWAP". StockCharts.com. Retrieved 2021-04-18. school.stockcharts.com · Reference source · link imported 2026-09-22
Selected and reformatted from Time-weighted average price, by its contributors, under CC BY-SA 4.0. Revision 1362016836. Sections and formatting have been shortened; the linked revision provides the full context and contributor history. This reference text remains under the same license. Its additional citation links are imported from that revision and have not been independently checked here.