Automated Trading TWAP Time-Weighted Average Price Order
twap()
side, amount, orderCount, duration, position, tag
TWAP order, also known as Time-Weighted Average Price Order, places a series of market orders over an extended period of time.
The amount will be split between all the orders. After each market order is executed there will be a delay for (duration / orderCount)
seconds. For example, if duration is 60 seconds, and the orderCount is 10, then there will be a (60 / 10) = 6
second delay between each order.
Arguments
side
required
text, one of
buy , sell .
defaults to buy
Is this a |
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amount
required
number, defaults to
0
The size of the order. The units depend on the symbol and exchange. Can be given as an absolute amount, percentage of your balance or percentage of your available balance.
Percentage amounts are supported on all exchanges. On BitMEX they are supported on most (but not all) symbols. XBTUSD is supported and all symbols against XBT (eg ETHXBT), but not on symbols backed against other currencies (eg ETHUSD, XBTJPY etc can not use % amounts and must use fixed amounts - this is because we need live price information for additional symbols to complete the calculation, which are not tracked to by default). Required if you don't use position. |
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orderCount
required
number, defaults to
10
The number of market orders to place over the duration of the order. Can be any whole number from 2 to 100. |
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duration
required
time, defaults to
60s
The total amount of time to spread the orders over. Can be a number with optional time units...
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position
optional
number,
An alternative way to calculate the side and amount for the order. The amount traded will be the difference between your current open position and the target position size. For example, if your current position is 100 contracts long, and you request a target position of 300, then an order will be placed to buy 200 contracts (the difference between your current position and target position). In fact, regardless of your current position (long, short, nothing), the order will be whatever size it needs to be to ensure you finish with an open position of the target size. Some more examples...
On spot exchanges, like Bitfinex, the target amount represents the amount of the asset you'd like to end up with. For example, on the BTCUSD pair, position would represent the amount of BTC you'd like to own after the order completes. Required if you don't use side and amount. |
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tag
optional
boolean, one of
true , false .
defaults to false
Tags the order with the value given. This allows you can cancel the order using it's tag. See |
Example: Buy 1000 contracts over the next 10 minutes
myApiKeys(XBTUSD) {
twap(side=buy, amount=1000, orderCount=20, duration=10m);
}
Places 20 orders of 50 contracts each, using a market order. The orders will be spread over a 10 minute period, with an order being placed about every 30 seconds.
Some images from Unsplash
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