VWAP Execution
What It Does
VWAP (Volume-Weighted Average Price) aims to execute an order at or near the market's average price over a time window. It does this by timing slices to coincide with favorable price movements.
How Our VWAP Works
Our VWAP uses the same engine as TWAP but with favorable-entry detection enabled. The key difference:
- TWAP: Executes slices on a fixed schedule regardless of price
- VWAP: Waits for price to dip below the rolling average before buying (or above average before selling)
This approximates true VWAP behavior — you end up buying more when prices are low and less when prices are high, which naturally achieves a volume-weighted average fill.
Favorable Entry Logic
For buy orders:
- Engine tracks a 2-minute rolling price average
- Only executes a slice when current price is 0.1%+ below the average (buying the dip)
- If price stays above average for 10 minutes, executes anyway (hard fallback)
For sell orders:
- Same 2-minute rolling average
- Only executes when price is 0.1%+ above average (selling the rip)
- Same 10-minute hard fallback
Compared to Pure TWAP
| Feature | TWAP | VWAP |
|---|---|---|
| Timing | Fixed intervals | Waits for favorable price |
| Average fill | Time-weighted | Approximates volume-weighted |
| Completion time | Predictable | Variable (could take longer) |
| Best in | Stable markets | Volatile/choppy markets |
Parameters
Same as TWAP — see TWAP Execution for full parameter list. The favorable entry detection activates automatically when current price is passed to the slice calculator.
When to Use
- Choppy markets where price oscillates — VWAP will buy the dips automatically
- When you care more about average fill quality than execution speed
- Large entries ($5K+) where getting a better average saves meaningful money
When Not to Use
- Trending markets where waiting for dips means fighting the trend
- When you need guaranteed completion time (TWAP is more predictable)
- Fast markets where the 10-minute max wait is too long