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What Is a “Volume-Weighted Time-Weighted Average Price” (VWTWAP) and Its Advantage?

It combines time-weighting (for manipulation resistance) and volume-weighting (for market accuracy) into one robust settlement price.
Greeks.live05.12.25

What Is a “Volume-Weighted Time-Weighted Average Price” (VWTWAP) and Its Advantage?

A VWTWAP is an advanced average price calculation that combines the time-weighting of a TWAP with the volume-weighting of a VWAP. Its advantage is that it provides a benchmark that is both highly resistant to momentary price manipulation (due to time-weighting) and accurately reflective of the true market transaction value (due to volume-weighting).

This makes it an extremely robust price for high-value derivative settlements.

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Glossar

Volume Intervals

Concentration ⎊ Examining the distribution of trading volume across discrete time intervals reveals periods of high market participation versus relative quiescence.

Average Price Calculation

Calculation ⎊ Within cryptocurrency, options trading, and financial derivatives, average price calculation represents a crucial element in risk management and execution strategy.

TWAP

Algorithm ⎊ Time-Weighted Average Price (TWAP) is an execution algorithm designed to minimize market impact by dividing a large order into smaller pieces and executing them at regular intervals over a specified time period.

Vwtwap

Calculation ⎊ The Volume Weighted Time Weighted Average Price combines both temporal and size factors to derive a comprehensive execution benchmark.

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