What Is the Difference between a “Time-Weighted Average Price” (TWAP) and a “Volume-Weighted Average Price” (VWAP) in a Fixing Process?

TWAP calculates the average price over a period, giving equal weight to each time interval, regardless of the volume traded. VWAP calculates the average price over a period, weighting each price by the volume traded at that price.

VWAP is often considered more representative of the true cost of trading, while TWAP is simpler and less susceptible to low-volume manipulation.