The books mention TWAP, but I haven’t seen any questions where it is the correct answer.

Would you ever use this? If so, why?



maybe if volume is erratic/unpredictable? or stable through out the day with no peak periods?

split trade throughout the day but in time slice… more like equal weigh slices of trade every hour…

Thats TWAP.

VWAP, based on how the trading volume is, split your trade.

The TWAP strategy breaks up the order over the day in proportion to time, which is useful in thinly traded assets whose volume patterns might be erratic. The objective here is normally to match or beat a time-weighted or equal-weighted average price. The participation strategy trades at a constant fraction of volume (usually 5–20 percent), attempting to blend in with market volumes. This strategy can be reactive if based on past trades or proactive if based on a dynamic forecast of incoming volume.