Minimising Market Impact: Mastering the Time-Weighted Average Price (TWAP) Algorithm
The Quandary of Large Order Execution Traders, both institutional and retail, frequently grapple with a significant challenge: executing substantial orders without inadvertently moving the market against themselves. This problem of market impact can significantly erode potential profits, turning a well-researched trade into a costly endeavour. Manually executing large block orders often leads to a discernible […]