TWAP (Time-Weighted Average Price)

TWAP is designed for large orders that would otherwise move the market if executed at once. The algorithm breaks a parent order into a sequence of smaller slices, executing them at fixed time intervals. Each slice is treated as an independent trade: simulated, routed, and filled based on real-time liquidity conditions. All slices are visible to the user in the trade log, but counterparties only see the individual child orders, never the full parent size. This keeps execution discreet while achieving a stable blended price close to the time-weighted average.

When executing a TWAP, users can adjust the jitter setting, which adds small random variation to timing and size to make execution less predictable to other market participants.

Terrace offers two both dynamic TWAPs and Fixed Leg TWAPs. With a dynamic TWAP, between slices, the system reassesses the market: if volatility rises, intervals may lengthen or slice size may decrease; if liquidity deepens, pacing can speed up. With a fixed leg TWAP, the execution patterns of the slices remain in fixed, equal-sizes across the execution period.