Global TWAP
Definition
TWAP (Time Weighted Average Price) is the average price that an asset is traded at during a specified time window, rather than its end-of-day price. It is an aggregated form of price data that provides traders with insight into both the trend and value of an asset. 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 covered centralized exchanges, with historical data as far back as 2013.
Details
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.
API Endpoints
Spot
/market/spot/twap/pairs/information
/market/spot/twap/pairs/{pair}/latest
/market/spot/twap/pairs/{pair}/historical
Availability
TWAP endpoints are available via REST API for historical (time series) data and WebSockets for real-time data.
| Exchange | Spot Market Start Date* |
|---|---|
| Binance | 2017-07-14 00:00:00+00:00 |
| Binance.US | 2019-09-17 00:00:00+00:00 |
| Bitfinex | 2013-03-31 00:00:00+00:00 |
| Bitmex | 2024-03-29 00:00:00+00:00 |
| Bithumb | 2021-08-30 15:00:00+00:00 |
| Bitstamp | 2011-08-18 00:00:00+00:00 |
| ByBit | 2021-07-05 00:00:00+00:00 |
| FTX** | 2019-07-21 00:00:00+00:00 |
| GDAX (Coinbase Pro) | 2015-04-21 00:00:00+00:00 |
| Gemini | 2020-07-19 04:00:00+00:00 |
| Huobi | 2017-07-27 16:00:00+00:00 |
| Kraken | 2016-07-19 00:00:00+00:00 |
| LMAX | 2018-02-20 00:00:00+00:00 |
| Mexc | 2017-10-25 16:00:00+00:00 |
| OKX (OKeX) | 2019-07-11 00:00:00+00:00 |
| Poloniex | 2014-01-18 00:00:00+00:00 |
| Upbit | 2025-03-28 00:00:00+00:00 |
| ZB | 2017-10-29T16:00:00+00:00 |
*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
Frequently Asked Questions
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 12 days ago