Pionex rebalancing bot

TWAP is calculated by taking average of Open, High, Low and Close price of each bar, and then calculating the average of these averages for ‘n’ number of periods . For Ex: if you want TWAP value for 10 periods, then: Take Average of Open, High, Low and Close values of each individual 10 bars.

In the case of Time-weighted Average Price, TWAP is calculated by averaging the entire day’s price bar, i.e., open, high, low, and close prices of the day . Then, on the basis of time decided to execute an order, every day’s averaged price is taken for calculating the average of the entire duration’s prices.

An asset’s time-weighted average price (TWAP) is the measure of an asset’s average price over a predetermined period of time. TWAP can be calculated for any specified time duration. TWAP trading algorithms seek to optimize a trade’s average price while executing over a specified time period.

TWAP, also known as time weighted average price algorithm, is the simplest traditional algorithmic trading strategy . The purpose of TWAP bot design is to provide a lower average transaction price while minimizing the impact of the transaction on the market, so as to achieve the purpose of reducing transaction costs.17 Haz 2020