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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact customer services -, or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to FX Markets? View our subscription options

The evolution of the sell-side front office: FX options

smartTrade is observing a significant trend among its clients and prospects: banks are increasingly enhancing their sell-side front office offerings by incorporating more sophisticated products such as FX options into their end-client solutions

Most read articles loading...

You need to sign in to use this feature. If you don’t have a FX Markets account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: