TL;DR
- TWAP orders are live on Kraken Pro, splitting one large order into smaller child orders executed over a window you choose, from 1 minute to 7 days.
- Built-in controls cap parent order size against expected market volume, limit how far child orders can deviate from your limit price, and enforce minimum intervals between order actions.
- Child orders execute as IOC (immediate-or-cancel) at the best bid or ask, so your limit price holds throughout the run.
- TWAP is available now on Kraken Pro Web, Desktop, and Mobile, with full REST and WebSocket API support for sending, amending, canceling, and tracking orders.
TWAP, short for time-weighted average price, is now a native order type on Kraken Pro. If you’re working a large order and don’t want to eat the spread in one shot, or spend your session manually staggering trades by hand, TWAP does that work for you. Set a pair, a size, and a time window, and we handle splitting the order into pieces and executing it over that window.
What TWAP does
TWAP takes one large parent order and breaks it into smaller child orders, spaced out over a window you set from 1 minute to 7 days. Each child order goes to market as an IOC (immediate-or-cancel) order at the best bid or best ask, and every child order still respects the limit price you set on the parent order.
You can place TWAP orders as buy or sell, with market or limit child orders.
What TWAP doesn’t do
It’s important to note:
- TWAP doesn’t guarantee the best price or a full fill. It aims for a fill close to the market’s time-weighted average over your chosen window, not a specific price.
- TWAP is an execution tool, not a trading strategy or a market signal. It won’t tell you when to trade, only how to work an order once you’ve decided to place it.
Built-in controls
TWAP on Kraken Pro runs on a few guardrails, not a black box:
- A cap on parent order size relative to expected market volume.
- A cap on how far child orders can deviate from your limit price.
- A minimum interval enforced between child order actions.
- Every child order executes as IOC at the best bid or best ask.
Where to find it
TWAP is available now on Kraken Pro across Web, Desktop, and Mobile. It’s also fully supported over the API: send, amend, and cancel TWAP orders over REST, and track order status over REST or WebSocket.
Placing a TWAP order
Select TWAP from the order type menu on Kraken Pro, choose your pair and direction, set your total size, and pick a window anywhere from 1 minute to 7 days. From there, we handle working the order for you.