Please Add TWAP

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kite11m
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Please Add TWAP

Post by kite11m » Fri Nov 30, 2018 5:34 pm

If the developers would be able to add TWAP, I think this is useful as many algos and institutions base executions around TWAP.

Thank you.
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Serg
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Re: Please Add TWAP

Post by Serg » Tue Dec 04, 2018 6:50 pm

Hi, thanks for suggesting. Just to clarify, if we are talking about TWAP as an indicator and not as an execution strategy, then it's the same as moving average, correct? Both can be calculated with either a sliding window or a fixed anchor point from which it counts.
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