TWAP (Time-Weighted Average Price) is an algorithmic trade execution strategy that aims to achieve an average execution price close to the time-weighted average price of the user-specified period. A TWAP strategy is often used to minimize a large order’s impact on the market by dispersing the large order into smaller quantities and executing them at regular intervals over time.
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y1 = (open[1]+close[1]+high[1]+low[1])/4 y2 = (open[2]+close[2]+high[2]+low[2])/4 y3 = (open[3]+close[3]+high[3]+low[3])/4 y4 = (open[4]+close[4]+high[4]+low[4])/4 y5 = (open[5]+close[5]+high[5]+low[5])/4 y6 = (open[6]+close[6]+high[6]+low[6])/4 y7 = (open[7]+close[7]+high[7]+low[7])/4 y8 = (open[8]+close[8]+high[8]+low[8])/4 y9 = (open[9]+close[9]+high[9]+low[9])/4 y10 = (open[10]+close[10]+high[10]+low[10])/4 y11 = (open[11]+close[11]+high[11]+low[11])/4 y12 = (open[12]+close[12]+high[12]+low[12])/4 y13 = (open[13]+close[13]+high[13]+low[13])/4 y14 = (open[14]+close[14]+high[14]+low[14])/4 y15 = (open[15]+close[15]+high[15]+low[15])/4 y16 = (open[16]+close[16]+high[16]+low[16])/4 y17 = (open[17]+close[17]+high[17]+low[17])/4 y18 = (open[18]+close[18]+high[18]+low[18])/4 y19 = (open[19]+close[19]+high[19]+low[19])/4 y20 = (open[20]+close[20]+high[20]+low[20])/4 TWAP = (Y1+Y2+Y3+Y4+Y5+Y6+Y7+Y8+Y9+Y10+Y11+Y12+Y13+Y14+Y15+Y16+Y17+Y18+Y19+Y20)/20 d = 200 DER= STD[d] (TWAP) TWAPup1 = TWAP + DER TWAPup2 = TWAP + (DER*2) TWAPup3 = TWAP + (DER*3) TWAPdown1 = TWAP - DER TWAPdown2 = TWAP - (DER*2) TWAPdown3 = TWAP - (DER*3) RETURN TWAP as "TWAP",TWAPup1 as "dérivé+1",TWAPup2 as "dérivé+2",TWAPup3 as "dérivé+3",TwapDOWN1 as "dérivé-1",TWAPdown2 as "dérivé-2",TWAPdown3 as "dérivé-3" |
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