TWAP (Time Weighted Average Price) is the average price that an asset is traded at during a specified time window, rather than it's end of day price. It is an aggregated form of price data. Global TWAP uses time weighted average price across all exchanges available for the asset.
Amberdata provides TWAP data aggregated minutely, hourly, or daily for all centralized exchanges we cover, with historical data back to 2013 for some of the exchanges.
TWAP provides traders with insight into both the trend and value of an asset.
TWAP is calculated across all exchanges (or a single exchange if specified) with a 1 minute frequency and a configurable lookback period. It is derived from the OHLCV data with the following calculation: (O+H+L+C) / 4.
Our TWAP endpoints are available via REST API for historical (time series) data as well as WebSockets for real-time data.
This table outlines how far back our TWAP data goes across the different exchanges within the Spot market:
|Spot Market Start Date*
*These dates represent the oldest start date we have for Global TWAP data across all pairs
**As of 2022-11-12, we stopped supporting FTX, but historical data will remain available
Who uses TWAP?
- The TWAP execution strategy is a success amongst traders who do High-Frequency Trading or other types of Quantitative trading like algorithmic trading. It simply divides the large orders into small portions and makes it easier for investors.
Does TWAP affect volatility in markets?
- No, TWAP signals do not affect the volatility of the markets. In the case of the TWAP execution trading strategy, the trader can place a huge volume of trade orders and then transact at a single price. This is true even if it takes a long time to completely execute the trade order. Hence, huge trade orders can be implemented easily.
How is TWAP different from VWAP?
- TWAP and VWAP have the following key differences:
- Timing - TWAP is calculated by weighing it on the basis of time whereas VWAP is calculated on the basis of volume and time.
- Process - It is easier to calculate the value of TWAP as compared to VWAP since VWAP involves a complicated process to calculate the value of the weighted average price.
- Small Volume of Transactions - With TWAP, it is easier to calculate the small volume of transactions but not with VWAP.
Updated over 1 year ago