Why Is a Time-Weighted Average Price (TWAP) Sometimes Used in Place of the Last Traded Price?
A Time-Weighted Average Price (TWAP) is used to mitigate the impact of short-term price volatility and manipulation. By averaging the price over a set period, the TWAP provides a smoother, more representative price for large orders or settlement calculations, reducing the risk of a single large trade distorting the reference price.
