TWAP- Price Band:

Time Weighted Average Price (TWAP) - Price Band strategy is also an accumulation strategy. It takes the TWAP Order Slicing strategy and adds one condition on top, i.e. the Last Traded Price of the asset must remain in a user specified range.

When To Use?

Whenever you have a large order to place, you can split it into smaller orders known as child orders; similar to that in TWAP - Order Slicing. In addition to this, you can also decide on your upper and lower price band that saves you from adverse market conditions.

Execution Algo - TWAP Price Band | All you need to know | 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. Price Range Low

This is the lower price limit for order execution

6. Stock Name

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

7. Total Quantity

This is the total quantity you want to buy/ sell

8. Time Interval

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

9. End Time

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

10. Price Range High

This is the upper price limit for order execution

How does it work?

After the Algorithm is triggered it works in the following way:

As soon as the Start Time is reached, the algo checks if the Last Traded Price matches the price range specified by user

• If yes, then it places the order equal to the Slicing Quantity

• If not, then it waits for a time equal to Time Interval to check again

The Algorithm keeps on checking the parameters after every Time Interval and sends order slices accordingly

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.