Apama Capital Markets Foundation Documentation : Algorithmic Trading Accelerator : Running the ATA Samples : Using Algorithmic Trading strategies : Time Weighted Average Price (TWAP)
Time Weighted Average Price (TWAP)
Using the TWAP strategy
This strategy will trade a given volume over a given duration. The mean rate of trading is constant over time.
The total quantity to trade is partitioned into a number of clips; each clip is executed in turn throughout the trading period. The strategy will randomize clip sizes, and will work each order aggressively in market. The aggressiveness level is determined by discrete thresholds according to how far ahead or behind the target progress the TWAP is currently performing. The strategy will switch price models to become more or less aggressive in the market the farther ahead or more behind it is. It will place a market order as a last resort if trailing significantly. The main chart shows the volume traded in each clip.
Select an instance in the Scenario Instances to view its data in the graphic section.
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