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What Is a ‘Time-Weighted Average Price’ (TWAP) and Why Is It Used in Liquidation?

The average price over a time interval, used in liquidation to prevent sudden price spikes or 'wicks' from triggering unfair liquidations.
Greeks.Live23.11.25

What Is a ‘Time-Weighted Average Price’ (TWAP) and Why Is It Used in Liquidation?

A Time-Weighted Average Price (TWAP) is the average price of an asset over a specified time interval. It is used in liquidation to prevent sudden, temporary price spikes or 'wicks' from triggering unnecessary liquidations.

By using an average over time, the liquidation engine relies on a more stable and representative price, making the process fairer and more resistant to market manipulation attempts.

What Is a Volume-Weighted Average Price (VWAP) and How Does It Differ from TWAP?
How Does a Derivatives Exchange Use Multiple Oracles to Prevent Unfair Liquidation?
What Is the Role of Time-Weighted Average Price (TWAP) in DeFi Oracles?
Why Do Exchanges Use a Mark Price Instead of the Last Traded Price for Liquidations?

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