TWAP Execution Calculator
One large market order on a shallow book walks through the price levels and pays for each of them. Splitting it into N slices spread over M minutes (TWAP) trades part of that cost for time and tracking. This calculator shows the per-slice size, the interval between slices and the estimated total cost from your exchange's taker fee and your own slippage assumptions (the slippage ladder in the related links shows market-order cost by size, walked from the live order book). See also market impact.
Order setup
Plan + cost
When TWAP helps
- The order is large next to the visible book depth within the price you will accept
- Low-depth books (memecoins, small-caps)
- You want an average price close to VWAP/mid, not an instant fill
- Entries with a wide price tolerance
If your exchange offers native TWAP or iceberg orders, use them instead of scripting it yourself · the exchange's router sees the book you don't.
Hypothetical result. Computed with hindsight from recorded prices or the numbers you entered; fees, slippage and funding only where a field says so; not a forecast, not a trade that was placed and not indicative of future results.
Questions
What does the TWAP calculator show?
Given your total size, slice count, and time window, it shows the per-slice size, the interval between slices, and the estimated total execution cost from taker fees plus your slippage assumption.
When is TWAP execution worth using?
When the order is large relative to the visible book depth, for example on shallow books where a single market order would walk through many price levels. The slippage ladder page shows market-order cost by size for the largest perps, walked from the live order book.
Should I script TWAP myself?
Prefer your exchange's native TWAP or iceberg order types when available. The exchange router sees book depth you cannot.