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What is time-weighted average price?

Time-weighted average price

Time-weighted average price, or TWAP for short, is simply the average price of a stock over a specified period of time. It doesn’t take into consideration the number of shares traded at each price point measured.

Where have you heard about time-weighted average price?

High-volume traders will often attempt to buy or sell a stock when it reaches the time-weighted average price. TWAP orders are a way of executing trades evenly over a given timeframe.

What you need to know about time-weighted average price.

TWAP is a simple trading strategy that allows traders to compare stock price points over time. It's closely related to VWAP, or volume-weighted average price, which shows the average price at which a stock has traded over time, weighted against its trading volume.

A VWAP trade will typically be weighted to a 40% volume of buy and sell orders in the first half of the day and the other 60% in the second half. A TWAP trade is more likely to execute an even 50/50 volume across both halves of the day.

Find out more about time-weighted average price.

Read our definitions of weighted average and volume-weighted average price.

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