Interval TWAP (IntTWAP)

•      Get all the trades (their prices and volumes) occurred in the market between the place acknowledgment time and last fill time of the order (“start and end time of the order”).

•      Variant I:

•      Split the interval between start and end time of the order into many (e.g., 1000) equal time slots (Nslots).

•      For each slot, take price of last trade inside this time slot (or, if there were no trades within this time slot, price of the most recent trade before it).

•      Then, the Interval TWAP is IntTWAP = sum (price[i]) / Nslots

•      Variant II, more accurate (see Interval Spread):

•      Get all the trades between the place acknowledgment time and last fill time of the order (“start and end time of the order”).

•      For each trade compute duration dt[i] this trade was ‘last trade’ (i.e., time elapsed since order placement point for the first trade or since the preceding trade for other trades).

•      Then, the Interval TWAP is IntTWAP = sum (price[i] * dt[i]) / sum (dt[i])

Interval TWAP parameters