// GLOSSARY

TWAP (time-weighted average price)

Both a benchmark (the average price over a window) and an execution style: slicing an order into equal pieces at regular intervals so your average fill tracks the period's average price instead of one moment's thin book.

TWAP-the-benchmark is simply the mean price across a time window. TWAP-the- algorithm targets it: split the parent order into equal slices, send one per interval, and accept the market's average rather than betting everything on the book's state at a single instant.

Worked example

You want 1,200 contracts over an hour. A TWAP schedule sends 100 every five minutes. Some slices fill at 43¢, some at 45¢ as the market breathes; you end near the hour's average, having never taken more than 100 contracts of depth at once — a fraction of the price impact a single sweep would cause.

Strengths and limits

TWAP's virtue is dumbness: no signal required, hard to game badly, easy to audit. Its weaknesses follow: it ignores liquidity (slicing into a dead book still slips), it's predictable to anyone watching the tape, and in prediction markets a scheduled resolution event mid-window can invalidate the whole premise. Adaptive worked orders address some of this; the depth-aware sizing math is in slippage in thin prediction markets.