How long should TWAP algos run?
BestX says modelling typical durations by notional per pair could be used to create a new algo benchmark
When using a time-weighted average price (TWAP) algorithm to execute foreign exchange spot trades, one of the most important inputs is the period of time over which the user wants the algo to execute the trade.
Its goal is to obtain the time-weighted average price from the time an order is submitted to when it completes. The real challenge is finding the right run time to balance market risk with market impact.
Trading too quickly will flood the market with orders, consume liquidity and
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