Order type: VWAP algo

A volume-weighted average price (VWAP) order type uses historic volume data to programmatically execute an order over a specified duration. The order will execute in a non-linear fashion — with larger sizes executed when historic data suggests the market will be more liquid and smaller sizes executed when historic data suggests the market will be less liquid.

How does a VWAP order type work?

Traders specify the size of the order, the limit price, starting time, and duration of the order.

The VWAP algorithm will then size the order to execute various weights across different time periods, so long as the price at the time is below the specified limit price. The order is weighted based on an aggregate view of historical volume for all digital assets over the prior quarter.

Of note, the VWAP algo does not take into consideration current market conditions and instead bases the quantity executed on historical market conditions.

How does a VWAP order type differ from a time-weighted average price (TWAP) order type?

A TWAP order type will execute roughly the same quantity in each given timeframe, while the VWAP order type will execute dynamically different quantities across timeframes based on the historical volume profile.

Below is an example of a TWAP order executed over time.

Below is an example of a VWAP order executed over time.

What data goes into calculating historical volumes?

Data is based on 5-minute historical volume profiles of all tradeable assets over the prior quarter across multiple exchanges. Each asset profile is normalized and averaged to achieve an aggregate view of liquidity throughout the entire digital asset market to create a single historical profile.

This historical volume profile will be updated quarterly. If an order spans multiple quarters, the order will use the volume profile at the time that the order was initiated.

Is there a minimum threshold for the order type?

Yes. Orders will be rejected if they are for less than $100 per hour notional.