Module twap 

Time-Weighted Average Price (TWAP) execution algorithm.

The TWAP algorithm executes orders by evenly spreading them over a specified time horizon at regular intervals. This helps reduce market impact by avoiding concentration of trade size at any given time.

Parameters

Orders submitted to this algorithm must include exec_algorithm_params with:

• horizon_secs: Total execution horizon in seconds.
• interval_secs: Interval between child orders in seconds.

Example

An order with horizon_secs=60 and interval_secs=10 will spawn 6 child orders over 60 seconds, one every 10 seconds.

Structs

TwapAlgorithm

Time-Weighted Average Price (TWAP) execution algorithm.

Type Aliases

TwapAlgorithmConfig

Configuration for TwapAlgorithm.