Surveillance-Grade TWAP Detection Using Pure Price Patterns- ALGO Trading
Автор: Piyush Dave
Загружено: 2025-12-03
Просмотров: 35
Описание:
In this video, we build a surveillance-grade TWAP detection system that identifies:
Basic TWAP
Random TWAP
Aggressive TWAP
Adaptive TWAP
—all without reading algorithm metadata.
The detector relies only on interval patterns, slice behaviour, volatility response and spread correlation — perfectly matching the TWAP behaviour matrix from Algo 29 and Algo 29a PDFs (interval stability, unit stability, volatility scaling, and spread-reaction).
📌 What You’ll Learn
✔ How exchanges detect hidden execution algorithms
✔ Why funds randomize slice sizes and intervals
✔ How Basic, Random, Aggressive & Adaptive TWAP actually behave
✔ How to build a detector using Python (your TWAP scripts)
✔ Real-time classification using rolling window features
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