TWAP- Order Slicing:

Time Weighted Average Price (TWAP) Order Slicing is an accumulation strategy. It is used for buying and selling desired quantity of an underlying symbol in a user defined time period.

When To Use?

Whenever you have a large order to place and are price agnostic, you can split it into smaller orders known as child orders. This reduces the market impact by replacing large orders with many smaller ones. Thus, we can have an even exposure over a period of time. This algorithm will help you achieve slicing without manual intervention in the process.

TRADING STRATEGIES | What Is TWAP Order Slicing ICICIdirect

What are the inputs required?

1. Action

This is the action you want to take (Buy/ Sell)

2. Product Type

In Cash: Select from Intraday/ Delivery

In F&O: Select from Intraday/ Normal

3. Slicing Quantity

This is the quantity which will be placed periodically till the algorithm stops

4. Start Time

This is the time when the algorithm will start executing

5. Stock Name

This is the stock you want to buy or sell in Equity or F&O Segment

6. Total Quantity

This is the total quantity you want to buy/ sell

7. Time Interval

This is the time difference you want to keep between two slices

8. End Time

This is the time when the algorithm will stop, even if the total quantity is not met

How does it work?

After the Algorithm starts, on the basis of above parameters it starts sending orders.

As soon as the Start Time is reached, the first order is placed which is equal to the Slicing Quantity mentioned

The Algorithm keeps sending slices keeping a difference of Time interval between them

As soon as the Total Quantity is met or End Time is reached, the Algorithm stops.

When not to use?

This Algorithm is not suggested for illiquid stocks (i.e. high bid-ask spread or low volume traded). It is also not recommended for stocks having high volatility.

Disclaimer:

ICICI Securities Ltd. ( I-Sec). Registered office of I-Sec is at ICICI Securities Ltd. - ICICI Venture House, Appasaheb Marathe Marg, Prabhadevi, Mumbai - 400 025, India, Tel No : 022 - 6807 7100. I-Sec is a Member of National Stock Exchange of India Ltd (Member Code :07730), BSE Ltd (Member Code :103) and Member of Multi Commodity Exchange of India Ltd. ( Member Code : 56250) and having SEBI registration no. INZ000183631. Name of the Compliance officer (broking): Ms. Mamta Shetty, Contact number: 022-40701000, E-mail address: complianceofficer@icicisecurities.com. Investments in securities market are subject to market risks, read all the related documents carefully before investing. The contents herein above shall not be considered as an invitation or persuasion to trade or invest. I-Sec and affiliates accept no liabilities for any loss or damage of any kind arising out of any actions taken in reliance thereon. Investors should consult their financial advisers whether the product is suitable for them before taking any decision. The client shall not have any claim against I-Sec and/or its employees on account of any suspension, interruption, non-availability or malfunctioning of I-Sec system or service or non-execution of algo orders due to any link/system failure for any reason beyond I-Sec control. I-Sec reserves the right to pause, stop or call back any of the execution algos in case of any technical or mechanical exigency.