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Home » Announcements » Introduction to TWAP Orders on Futures Add New Post

Introduction to TWAP Orders on Futures

Moderator published on OKCoin Announcements Announcements 2015-02-03 12:44 2588

1. A Time-Weighted Average Price order is used when a trader wants to break an order into multiple smaller orders to be traded in the market at pre-determined time intervals. A trader would use this strategy if they want to avoid slippage or make large impacts on the market price.

2. The TWAP order trades based on multiple parameters: Price Variance, Sweep Ratio, Per Order Limit, Price Limit, and Time Interval.

3. When opening a TWAP order no additional margin is required or used. When using a TWAP order to close a position, the amount of positions available to close does not change.

4. There is a limit of 3 open Iceberg orders for each user.

5. When a TWAP order places a normal buy order the price is determined by the following method: Price= (1+Price Variance) * Best ask price. Order size= min(Less than or equal to the amount of orders that meet the price parameters * sweep ratio, available order amount). For a sell order, price=(1-price variance) * best bid offer. Order size=min(more than equal to the amount of orders meeting that meet the price parameters * sweep ratio, available order amount).

6. Maximum order amount: For opening a position the max amount of positions open depends on your available margin. For closing positions the amount of open positions is the maximum order amount.

7. If placing a long order, "contracts available to open" is calculated according to the following variables: min(best bid, price), available contracts; contract value; leverage ratio If placing a short order, "contracts available to open" is calculated according to the following variables: Price; available contracts; contract value; leverage ratio.

8. When the TWAP is placing individual smaller buy orders and the price(following the method described in #5) is higher than your chosen price limit, the order will be placed at the price limit you set. For sell orders, if the price is lower than your chosen price limit, the order will be placed at the price limit you set. Numbers will be rounded down.

9 The TWAP will cancel any unfilled limit orders one second after it is placed. After the chosen “Time Interval” more orders will be placed.

10. After the TWAP has successfully filled the desired cumulative amount of orders, the TWAP will be considered finished and no more orders placed.

11. When there are no more contracts available to open (i.e., you have used all available bitcoin in your account whether manually or from the TWAP) the system will automatically cancel the TWAP. If the TWAP is not able to place any more orders because there are no orders that meet your price parameters the order will not be cancelled.

12. For bid orders, when the latest transaction price is above the price limit, the TWAP will be suspended. For ask orders, when the transaction price is below the price limit, the TWAP will be suspended.

14. In the case that the TWAP order is canceled, any open orders placed by the TWAP will also be canceled.

15. In the instance that a user is margin called and using cross margin mode all TWAP orders will be canceled. If the user is using fixed margin mode the TWAP order that is connected to the margin called position will be canceled.

16. When a user uses the "close all at market" (Mkt) function, all TWAP, Algo, and limit orders will be cancelled.

17. After a TWAP´s limit order is triggered, the actual order price will be according to the OKCoin system´s records. Users using the TWAP order tool shall acknowledge acceptance of the impact of this rule.

18. The system is responsible for placing orders, and cannot guarantee that submitted orders will be filled. Users must fully understand that market prices are volatile, and TWAP order parameters could lead to orders not being completed.

19. OKCoin reserves the right of final interpretation of these terms.



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