Trading & Market Structure

Time-Weighted Average Price

Definition

What is Time-Weighted Average Price?

The average price over time, commonly used as an execution benchmark or scheduling method.

Example in practice

The order is split into equal portions every 15 minutes.

Keep learning

The highest price a buyer is currently willing to pay for a security.

The lowest price a seller is currently willing to accept for a security.

The difference between the best available buying and selling prices.

An instruction to buy or sell immediately at the best available prices.

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