By Dr Cameron Mouat

A revisit of TWAP

March 2021 in Traders Workshops

Algos which trade according to a linear schedule or aim to get an average price over a time interval have been available in FX spot for at least 10 years. Every major FX broker has a version in what could be considered a commoditised product. However, these algos can be traded in a number of different ways, and so it is worth revisiting why they are so popular and features that can differentiate them.

Algos which trade according to a linear schedule or aim to get an average price over a time interval have been available in FX spot for at least 10 years.  Every major FX broker has a version in what could be considered a commoditised product.  However, these algos can be traded in a number of different ways, and so it is worth revisiting why they are so popular and features that can differentiate them. Collectively, this class of algos are Algos which trade according to a linear schedule or aim to get an average price over a time interval have been available in FX spot for at least 10 years.  Every major FX broker has a version in what could be considered a commoditised product.  However, these algos can be traded in a number of different ways, and so it is worth revisiting why they are so popular and features that can differentiate them. Collectively, this class of algos are

Algos which trade according to a linear schedule or aim to get an average price over a time interval have been available in FX spot for at least 10 years.  Every major FX broker has a version in what could be considered a commoditised product.  However, these algos can be traded in a number of different ways, and so it is worth revisiting why they are so popular and features that can differentiate them. Collectively, this class of algos are

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