TWAP-ORDER SLICING

Automated trading enables investors to execute trade orders effectively and efficiently. In the financial markets, various automated trading methodologies are used and a well-known strategy amongst them is Time-Weighted Average order slicing which utilizes time-based criterion to calculate the average price of an asset over a specified period.

When To Use?

The Time-Weighted Average order slicing methodology lets you split your trade order into small orders, known as child orders. This helps in reducing the impact of replacing large orders with many small orders, leading to even exposure of orders. This is done with the goal of minimizing market impact and reducing price volatility, helping you achieve slicing without manual intervention in the process.



How it Works?

Orders are sent based on the above parameters

1 Once the Start Time is reached, the first order is placed. This order is equal to the slicing quantity mentioned
2 At different time intervals, the automated strategy keeps sending slices
3 It stops as soon as the total quantity requirement is met, or the end time is reached




When not to use?

We strongly recommend you to not use this for illiquid stocks (including out of the money options)

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Prabhudas Lilladher Private Limited is not associated with any unregulated platform which claims performance/return for algorithmic strategy for trading. Trading with unregulated platforms for algorithmic strategy shall be at your own risk and Prabhudas Lilladher Private Limited or its affiliates shall not be liable for the same.

Risk Disclosure on Derivatives: (a) 9 out of 10 individual traders in equity futures and options segment, incurred net losses. (b) On an average, loss makers registered net trading loss close to ₹ 50,000 (c) Over and above the net trading losses incurred, loss makers expended an additional 28% of net trading losses as transaction costs. (d) Those making net trading profits, incurred between 15% to 50% of such profits as transaction cost.

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