TWAP: The Trick Fund Houses Use So Others Don’t Know They’re Buying - ALGO Trading
Автор: Piyush Dave
Загружено: 2025-12-01
Просмотров: 10
Описание:
TWAP is the trick fund houses use
so others don’t understand that big buying is happening.**
Instead of placing one huge order, they slice it into small, time-based executions.This hides their activity from traders, algos, and even surveillance systems.
Today, we implement two powerful TWAP models:
🔹 Algorithm 1: Basic TWAP
Equal slices at fixed intervals
🔹 Algorithm 2: Randomized TWAP
Random intervals + random slice sizes
Completely hides the execution pattern
🔍 What You Will Learn
How fund houses hide accumulation
How TWAP masks large trades
Why equal slices vs random slices matter
Slippage modeling
How execution reports are generated
TWAP vs VWAP basics
🧪 Live Simulation Includes:
✔ Price-feed based execution
✔ Random slice behavior
✔ Final execution report
✔ Institutional-style order slicing
Perfect for:
✔ Quant learners
✔ Algo traders
✔ Those studying institutional execution
✔ Anyone building their own exchange simulator
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