How long should TWAP algos run?

Algo Performance

Our latest research looks at how the duration of TWAP changes with trade size and market conditions. We build a model that accurately reflects how TWAP durations change across currency groups and use this type of model in a number of interesting ways. In the article you will find:

  • Full details of the model and how it is structured.

  • How TWAP durations changed over the COVID crisis.

  • How estimating a TWAP duration for a trade can build a new benchmark to judge decisions.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper, which is also hosted within our FAQ section of the UI.

Previous

Expected Future Order Flow: How your trades generate more trades
Next

How Does a Limit Affect Algo Performance?