OPEN-SOURCE SCRIPT
Time Weighted Average Price (TWAP)
TWAP is a tool used by algorithm based traders that allows them to distribute their orders throughout the day without disturbing price or having their positions known to rival traders in the market.
It's similar to VWAP and serves the same function, except it lacks the volume aspect. This can be an issue when position entry/exit may be affected by slippage. The main benefit of TWAP is deciding how to distribute orders throughout the chosen timeframe.
However, just like the VWAP traders will normally use it as a moving average or target for price action to pull into.
There is an option to change the timeframe that TWAP is calculated on.
References:
empirica.io/blog/twap-strategy/
arxiv.org/ftp/arxiv/papers/1206/1206.5324.pdf
It's similar to VWAP and serves the same function, except it lacks the volume aspect. This can be an issue when position entry/exit may be affected by slippage. The main benefit of TWAP is deciding how to distribute orders throughout the chosen timeframe.
However, just like the VWAP traders will normally use it as a moving average or target for price action to pull into.
There is an option to change the timeframe that TWAP is calculated on.
References:
empirica.io/blog/twap-strategy/
arxiv.org/ftp/arxiv/papers/1206/1206.5324.pdf
Skrip open-source
Dengan semangat TradingView yang sesungguhnya, penulis skrip ini telah menerbitkannya sebagai sumber terbuka, sehingga para trader dapat memahami dan memverifikasinya. Hormat untuk penulisnya! Anda dapat menggunakannya secara gratis, namun penggunaan kembali kode ini dalam publikasi diatur oleh Tata Tertib. Anda dapat memfavoritkannya untuk digunakan pada chart
My published indicators: tradingview.com/u/NeoButane/
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