Dear User,
To further improve your trading experience, BingX has launched Time-Weighted Average Price (TWAP) orders. This feature enables you to break down large orders into smaller ones over a 24-hour period. It helps reduce the impact of large orders on market prices and achieve an average filled price that reflects the market price to reduce your trading cost.
Web: Access portal. To experience it on the app, ensure that your app is updated to version 4.24.0 or above (please stay tuned as listing time may vary across different app stores).
I. What is Time-Weighted Average Price (TWAP) Order
Time-Weighted Average Price (TWAP) is a strategy that splits a large order into smaller ones for execution at regular intervals over time. It aims to ensure that the average filled price of your order is closer to the actual market price. This strategy is ideal for large orders and low-liquidity markets to effectively reduce the risk of market impact and slippage.
II. Advantages of Time-Weighted Average Price (TWAP) Order
1. Minimize Market Impact
Splitting large orders into smaller ones helps prevent a single large trade from disrupting market prices.
2. Reduce Trading Slippage
Breaking down large orders reduces the risk of slippage due to market fluctuations, allowing you to achieve a more favorable average filled price.
III. How Time-Weighted Average Price (TWAP) Order Works
Process:
*Let's assume we're going long (the same logic applies to going short).
After creating a TWAP strategy, when the market price is lower than your limit price, the system will calculate the order price based on the latest best offer price and the Percentage or Constant that you set. The order size is determined based on the amount per order that you set and a random value to place an IOC (Immediate-or-Cancel) order. If the market price exceeds your limit price, the order will be paused. The system will then place smaller orders at your set intervals until the entire TWAP order is fully filled or terminated by the system.
Example:
1. Setting Parameters
Let's assume that the last price for BTC/USDT Perpetual Futures is 55,000 USDT. User A wants to go long using a TWAP strategy with the following parameters:
• Price Variance (Percentage): 1%
• Price Limit: 50,000 USDT
• Interval: 5 seconds
• Amount per Order: 5 BTC
• Total Amount: 10 BTC
2. Execute Trade
Based on the current settings, the TWAP strategy will not place an order as long as the price stays above 50,000 USDT. When the price drops to 49,999 USDT (best bid at 49,998 USDT and best ask at 50,000 USDT), the order price and amount will be calculated as follows:
• Order Price = Current Best Ask Price * (1 + Set Percentage) = 50,000 * (1 + 1%) = 50,500 USDT
• Order Amount = Min (Set Amount per Order * Random Number Between 0.5 and 1, Remaining Total Amount). If the random number is 0.8, then the order amount = Min (5 * 0.8, 10) = 4 BTC.
At this point, the system will place a limit order (IOC) to buy 4 BTC at a price of 50,500 USDT to open a long position. If the limit order (IOC) fails, the TWAP strategy will stop. If the limit order (IOC) is filled, partially filled, or if the system cancels it, the TWAP strategy will cycle through the above steps after a 5-second interval. This cycle will continue until the total amount is filled, the order fails, or the maximum runtime is reached.
IV. How to Place Time-Weighted Average Price (TWAP) Order
1. Click "TWAP" on the Perpetual Futures trading page to open the settings panel.
2. Enter the parameters to create your TWAP strategy
• Constant/Percentage: You can place orders using either the "Constant" or "Percentage" option.
• Price Variance:
• In Constant Mode: Buying orders will be placed at the best ask price plus the constant, while sell orders will be placed at the best bid price minus the constant. A larger constant will increase the chance of the TWAP order getting fully executed, but the costs will also increase.
• In Percentage Mode: Buying orders will be placed at the best ask price multiplied by (1 + the percentage), while sell orders will be placed at the best bid price multiplied by (1 - the percentage). A higher percentage will increase the chance of the TWAP order getting fully executed, but the costs will also increase.
• Price Limit: This limit sets the condition for your strategy to start. Buy orders will be placed at a price calculated as the best ask price multiplied by (1 + percentage or constant) when the market price is below the limit, and sell orders will be placed at a price calculated as the best bid price multiplied by (1 - percentage or constant) when the market price is above the limit.
• Interval: The time interval between the placement of split orders. Let's assume you set a 5-second interval. After the previous order is placed, the system will wait 5 seconds before placing the next order in the cycle.
• Amount per Order: The maximum amount for each split order. The actual order amount will be a random number between 0.5 and 1 of the Amount per Order.
• Total Amount: The total amount of the TWAP order, which may be split into multiple orders for execution.
3. Confirm the parameters and click "Open Long" or "Open Short" to place your order.
4. Viewing your TWAP orders.
You can view your filled orders in "Order History" - "TWAP", and the unfilled portion of orders in "Open Orders" - "TWAP".
V. Additional Notes
1. The TWAP strategy doesn't guarantee that your entire order will be filled. Depending on the parameters you set, market conditions, available margin, and other factors, your order may only be partially filled or might not fill at all.
2. The Amount per Order represents the maximum amount that can be filled in one order. The actual order amount will be a random number between 0.5 and 1 of the Amount per Order.
3. Avoid setting the order price too far from the market price in Constant mode. If the Constant is too large, it could trigger the limit order restrictions and cause the TWAP order to fail. It's usually best to keep it within 1% of your limit price.
4. The maximum run time for a TWAP strategy is 24 hours. If the order is not fully filled within this period, it will be automatically canceled.
5. TWAP strategy is currently not supported in One-way Mode.
BingX Operation Team