How Is the Optimal Time Window for a TWAP Determined in a DeFi Protocol?
The optimal TWAP window is a balance between security and responsiveness. It is typically determined by analyzing the average duration of a flash loan attack (usually one block) and the typical time required for genuine market movements.
For high-value assets, a longer window (e.g. 10-30 minutes) is often chosen to provide strong attack resistance, while for less critical or stable assets, a shorter window may suffice.
Glossar
Optimal Time Window
Window ⎊ The optimal time window, within cryptocurrency derivatives and options trading, represents a fleeting period identified through quantitative analysis where the probability of a favorable outcome ⎊ typically profit ⎊ is statistically elevated relative to the broader timeframe.
Optimal TWAP Window
Execution ⎊ ⎊ Optimal TWAP Window strategies, within cryptocurrency derivatives, represent a calculated approach to order execution minimizing market impact and information leakage.