How to Use a TWAP Bot for Large Order Execution
Execute large orders gradually over time to minimize market impact using a Time-Weighted Average Price strategy.
A TWAP bot slices a large order into small pieces spread over a window, so the market is not handed the whole size at once. It is the answer to slippage on a thin book. The cost is exposure to price drift: over a long window the market can simply move away from you while the slices work.
Before you start
- An order genuinely large relative to book depth — below that, a single order is simpler and cheaper.
- A window long enough to hide the size and short enough to survive the news you are trading around.
Create a TWAP Bot
Navigate to Trading Bots > Create Bot > TWAP. Time-Weighted Average Price execution is designed for large orders that would cause significant slippage or market impact if placed all at once.
Configure the Order
Set the total order size (e.g., buy 10 BTC), the trading pair, and whether it is a buy or sell order. TWAP splits this into equal-sized child orders distributed evenly across your specified time window.
Set the Execution Window
Define the total time over which the order should be executed (e.g., 4 hours, 24 hours, 7 days). The bot divides the total quantity by the number of intervals to determine the size of each child order. Longer windows result in less market impact but more exposure to price changes.
Add Price Limits (Optional)
Set a maximum buy price or minimum sell price to prevent execution at unfavorable levels. If the market moves beyond your limit, the bot pauses and resumes when the price returns to your acceptable range.
Launch and Track Execution
Start the bot and monitor from the detail page. It shows: total filled vs. remaining, average execution price, each individual fill with timestamp and price, and comparison to the volume-weighted average market price during the same period.
If something goes wrong
- Execution finished well away from the starting price.
- The market moved during the window. A price limit on the bot caps that, at the risk of not completing.
- The bot did not complete the full amount.
- A price limit blocked the remaining slices, or liquidity thinned. The execution log shows what filled and what did not.
- The market noticed the execution anyway.
- Slices that are still large relative to typical volume are visible. Lengthen the window or reduce slice size if the pattern is obvious in the book.
Frequently asked questions
- How long should the window be?
- Long enough that each slice is small against normal volume. Minutes for a liquid pair, considerably longer for a thin one.
- Is TWAP better than a market order?
- For large size on a thin book, usually. For small size, it adds complexity and fees for nothing.
- Can I cancel mid-execution?
- Yes. Filled slices stay as your position; the rest is cancelled.
- Can I run TWAP on futures as well as spot?
- Where the bot supports the market, yes. The execution logic is the same; the risk of the underlying position is not.