Time-weighted average price
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Search complete. 39 mentions across 13 episodes found for "Time-weighted average price".
Oct 7, 2026
Kris LongmoreGUEST
So that's a thing we'll have to automate.
Kris LongmoreGUEST
But I wouldn't just automate, you know, a TWAP or something like that.
Kris LongmoreGUEST
I'd just use the Interactive Brokers TWAP.
speaker_1ADVERTISER
Okay.
SimonHOST
What about your backtesting engine? Do I recall correctly that you've built your own?
David JeongGUEST
And so when you think about what Hyperliquid is, like the, the main exchange, it's a limit order book perp DEX.
David JeongGUEST
But aside from that, where Tread sits on top, it, it's, it builds right on top of it, provides features that Hyperliquid doesn't natively have, or kind of expands on Hyperliquid's native TWAP and algo order types.
David JeongGUEST
Um, and so I think a lot of projects we're building on Hyperliquid, and maybe they had some like synergies with the EVM or kind of like hit different, uh, distribution channels as like front ends for the f- uh, builder code.
David JeongGUEST
But for us, um, the core Hyperliquid users found a lot of use, uh, from Tread.
Jake ClaverHOST
Stock market again, and the S&P in particular, I thought between seventy-eight and seventy-nine would be around the top of the stock market.
Jake ClaverHOST
Again, not financial advice, um, but we've really kind of treaded water there for a while, and if there's enough retail participation, um, you can see, you know, large people get out of positions using TWAP or VWAP over that period, which wouldn't cause volatility in the market.
Jake ClaverHOST
So maybe that's what's going on.
Jake ClaverHOST
Uh, maybe the larger players are, you know, rotating out of the large indexes while retail is buying.
57 MINS LATER
Jake ClaverHOST
Uh, God bless." You can.
Jake ClaverHOST
You can sell all at once.
Jake ClaverHOST
Um, the problem is the slippage, right? So if you put a very large order in on the market that's not through OTC desk or dark pools or using TWAP or VWAP, um, you're, you're gonna see slippage, and you're not gonna get the maximum value for that trade.
Jake ClaverHOST
Um, you know, if you went on...
JonGUEST
These buys, these discretionary burns, just like programmatic burns, are actually happening all the time.
JonGUEST
effectively there's just a constant TWAP going in addition to the programmatic burns that's just buying all the time and that adds up over the course of a month and then you end up with a discretionary burn number based on that Right.
David HoffmanHOST
Right.
David HoffmanHOST
So there is, it is like the excess cash.
David HoffmanHOST
It's not like a buy, like a market smash the buy button on VVV.
David HoffmanHOST
It's a TWAP, but none, but the idea is like there's excess cash that Venice has rightly created a buffer with.
David HoffmanHOST
And ultimately at the end of a month or I don't know how long, a quarter, you guys have some like slush, slush fund built up and you're like, okay, let's TWAP that into VVV and burn it.
David HoffmanHOST
And that's a discretionary burn.
Tina CarsonHOST
Today, we're dissecting the three most important execution algorithms in the institutional toolkit.
Tina CarsonHOST
VWAP, which follows the market's natural volume rhythm; TWAP, which takes the simpler path of steady time-based execution; and implementation shortfall, the most sophisticated approach that adapts in real-time to changing market conditions.
Tina CarsonHOST
By the end of this episode, you'll understand exactly how these algorithms think, when traders choose one over another, and why this invisible infrastructure determines the actual price that pension funds, mutual funds, and hedge funds pay for every position they build.
Tina CarsonHOST
Let's start with the most widely used execution algorithm in institutional trading, VWAP, which stands for volume-weighted average price.
6 MINS LATER
Tina CarsonHOST
They might execute slightly faster or slower than the historical pattern suggests, introducing noise that makes the pattern harder to detect.
Tina CarsonHOST
But at the end of the day, a VWAP algorithm is fundamentally trying to match a publicly observable benchmark, and that creates vulnerabilities that more sophisticated approaches try to address.
Tina CarsonHOST
Now, let's look at VWAP's simpler cousin, TWAP, or time-weighted average price.
Tina CarsonHOST
Where VWAP follows the market's volume rhythm, TWAP ignores it entirely.
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Patrick BoyleHOST
Beyond that, there are all sorts of algorithms that allow you to buy in many possible ways.
Patrick BoyleHOST
So two that we'll talk about quickly here are what's called VWAP and TWAP orders.
Patrick BoyleHOST
These are usually algorithms that are designed by your broker, by your trading software provider, for example.
Patrick BoyleHOST
and a VWAP order is a volume weighted average price order and then TWAP is time weighted average price so it's really an average price and it just depends on whether you want it to be volume or time weighted and these are for we'll say very large investors we'll say if you're a big asset management firm and you want to buy $50 million worth of a stock today.
Patrick BoyleHOST
You don't want to just throw that in in one big order.
Patrick BoyleHOST
So you'll put it in an algorithm and the algorithm will try to get you today's average price on that stock or on that future.
Tina CarsonHOST
In our next episode, we're going inside execution algorithms, the technology that turns a rebalancing decision into actual trades in the market.
Tina CarsonHOST
How do algorithms like VWAP and TWAP minimize market impact when executing large orders? That's where we're heading next.
Tina CarsonHOST
Until then, I'm Tina Carson.
Tina CarsonHOST
Keep asking questions and keep demystifying finance.
Trevor KingGUEST
Now we've actually introduced a new tier called Plus.
Trevor KingGUEST
And so we had a lot of users on the free accounts who are running into rate limit issues because they are using the API for TWAP.
Trevor KingGUEST
Since you would hit your rate limit pretty, pretty quickly there and so we've introduced this plus tier where we charge 0.5 bps maker taker and you have much higher rate limits and so we're start we have seen some movement from free accounts to plus accounts even to premium accounts for higher rate limits and so like there's other ways in which to monetize We've also introduced a lot of OEMS type of features, order and execution management system type of trading features, icebergs, RFQ, advanced Q ops that are both maker taker, atomic orders.
Trevor KingGUEST
And for some of those, we do charge one bit for retail, for free users.
Tina CarsonHOST
The traditional solution is to slice the order into smaller pieces and spread execution over time.
Tina CarsonHOST
Algorithms like VWAP, Volume Weighted Average Price, and TWAP, Time Weighted Average Price, divide orders evenly across the trading day.
Tina CarsonHOST
They're simple and predictable.
Tina CarsonHOST
but they're also suboptimal.
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