TWAP Execution Calculator
If you try to buy $50k of an altcoin on a shallow book with one market order, you will pay 2-4% slippage. Splitting it into N slices spread over M minutes (TWAP) typically cuts that to 0.5-1%, at the cost of time and tracking. This calculator shows the per-slice size, inter-slice interval, and estimated total cost given your exchange's taker fee and your slippage assumption. See also market impact.
Order setup
Plan + cost
When TWAP helps
- Order size > 0.5% of 1h volume on the venue
- Low-depth books (memecoins, small-caps)
- You want an average price close to VWAP/mid, not an instant fill
- Signals with a wide entry-zone tolerance
Most exchanges have native TWAP/iceberg order types. Use them when available instead of scripting it yourself · the exchange's router sees the book you don't.
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 book depth, roughly above 0.5% of 1-hour volume on the venue, or on shallow books where a single market order would pay 2-4% slippage.
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.