Volume-Weighted Average Price VWAP: Definition and Calculation
ContentAlgorithmic Trading With TWAP and VWAP Using AlpacaWhat Is the Time-Weighted Average Price (TWAP) in Crypto?Time Weighted Average Price (TWAP) In crypto, TWAP (Time-Weighted Average Price) calculates an asset’s average price over a specified time, aiding in large trade executions. The SMA is calculated by totaling closing prices over a certain period (say, 10 days) and then dividing the total by the number of periods (e.g., 10). TWAP strategy is the best execution strategy for spreading out the trades over...