TWAP

TWAP spreads an order out through time in order to fill at the time-weighted average price, calculated between the time the order is submitted to the final atomic order close.

The price can be specified as a fixed external target, such as the top bid/ask or last trade price, or as an explicit target which must be matched against the top bid/ask/last trade/etc.

Available price targets/explicit target conditions:

• OB side price (top bid/ask)
• OB mid price
• Last trade price

Example:

await host.startAO('bfx.twap', {
  symbol: 'tBTCUSD',
  amount: -0.5,
  sliceAmount: -0.1,
  sliceInterval: 10,
  priceDelta: 100, // max distance from price target to fulfill condition
  priceTarget: 16650,
  priceCondition: TWAP.Config.PRICE_COND.MATCH_LAST,
  tradeBeyondEnd: false,
  orderType: 'LIMIT',
  submitDelay: 150,
  cancelDelay: 150,
  _margin: false
})