Definition
A time-weighted average price order, or TWAP order, divides a larger order into smaller suborders and schedules them across a defined period.
How TWAP execution works
The execution schedule uses elapsed time rather than observed market volume. A venue or broker submits portions of the order at intervals while tracking how much should have been completed by that point.
Hyperliquid's implementation adjusts suborder timing from order size and running time. If market conditions prevent a suborder from filling, later orders may attempt to catch up within the venue's size and slippage constraints.
What TWAP can and cannot do
Splitting an order can reduce the immediate demand placed on an order book and make the order less concentrated at one moment. It does not guarantee lower market impact, a complete fill or a better final price.
Execution can fall behind when spreads widen, liquidity disappears or price moves beyond the order's constraints.
What it does not mean
TWAP follows clock time. VWAP adjusts execution using market volume. A market order attempts immediate execution, while a TWAP order spreads execution across a chosen duration.
Where this term fits
Questions about twap order
- Does TWAP guarantee the average market price?
- No. It controls pacing. Actual fills depend on liquidity, price movement, spreads and venue constraints.
- Can a TWAP order remain partly unfilled?
- Yes. Suborders can fail or fill partially when liquidity is insufficient or price controls prevent execution.
- Is TWAP only used for crypto trading?
- No. Brokers, futures venues and institutional execution platforms use TWAP across several asset classes.
See these concepts in context
Review the Fensory MCP connection, tools and account controls.