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TWAP

Split one big order into N slices spread over a window so you don't move the book and don't telegraph your size. The CLI's TWAP supports two slice strategies: market slices (the default — each slice fires as a market order at its scheduled time) or chaser slices (each slice runs a chaser with a timeout/fail policy). List runs with twap list, stop with twap stop <id>.

Minimum viable​

twap buy $1000 into 10 over 60

Ten market slices of $100 each, spaced evenly across 60 minutes.

Variations​

twap sell $500 into 5 over 30 reduce

Plain TWAP, reduce-only. (See gotchas — reduce here is a fatfinger bypass marker, not a per-slice guarantee.)

twap buy $1000 into 10 over 60 chaser

Same shape as the minimum viable, but each slice fires as a chaser instead of a market order. With no explicit timeout / fail, defaults apply.

twap chase buy $1000 into 10 over 60

Same as the chaser form above — the twap chase head is the explicit chaser-per-slice entry point. Defaults: timeout 50% market, fail market.

twap chase sell $1k into 10 over 60 timeout 30% next fail next

Custom policy. If a slice's chaser hasn't filled by 30% of its slice window, move on to the next slice instead of going market. If the chaser errors out, also skip to the next slice. Result: a more patient TWAP that accepts under-fill rather than crossing.

twap buy $1000 duration=1h slices=10

Legacy key=value form, still parsed. Equivalent to twap buy $1000 into 10 over 60. Prefer the positional form in new code.

twap list
twap stop <id-prefix>
twap stop all

Management. <id-prefix> is any unique leading substring of the run id.

Gotchas​

  • reduce doesn't filter slice placement yet. The keyword is parsed and gates fatfinger (per fatfinger), but slices still go through the same buy/sell path. Treat it as a fatfinger bypass, not a hard reduce-only guarantee.
  • timeout <pct> <action> — pct is (0, 100], action is market or next. market crosses at slice timeout; next skips the slice and carries its size into the schedule.
  • fail <action> — same {market, next}. Fires when the chaser errors out (rejected, exchange returned non-ok, etc.), not when it just hasn't filled.
  • twap chase consumes a chaser slot per slice. If your venue rate-limits cancel-replace, a 60-slice TWAP can burn the budget fast.
  • The CLI doesn't randomize slice timing — it fires on a uniform grid. If you want jitter, layer swarm slices on top, or pipe through repeat.
  • Stopping a TWAP doesn't cancel orders the active slice already placed. Run cancel buys / cancel sells after if you want a clean book.
  • The legacy duration=1h slices=10 form accepts 1h, 30m, 90s — but not mixed (1h30m doesn't parse). Stick to one unit.