Lightspeed Trader Guide

TWAP/VWAP Order Type


Lightspeed Trader can send TWAP (Time Weighted Average Price) and VWAP (Volume Weighted Average Price) orders through routing provider, Instinet. Below is information regarding these two order types including the strategy purpose, default setting, and its parameters.

VWAP (Volume Weighted Average Price):


Strategy Purpose:

  • Trades against the volume-weighted average price over the specified trading horizon


Default Settings:

  • 35% Max Participation
  • Includes Opening Auction; Excludes Closing Auction
  • Incorporates Oddlot Trading Logic


Parameters:

  • Price Limit



TWAP (Time Weighted Average Price):


Strategy Purpose:

  • Distributes trades evenly across the specified time horizon


Default Settings:

  • 35% Max Participation
  • Excludes Opening and Closing Auction
  • Incorporates Oddlot Trading Logic


Parameters:

  • Price Limit



Below are the steps to configure these order types in the Lightspeed Trader platform.

Lightspeed Trader customization window
Lightspeed Trader customization window
Lightspeed Trader customization window
Weekly newsletter

No spam. Just the latest releases and tips, interesting articles, and exclusive interviews in your inbox every week.

Stay up-to-date

Get the latest news and promos.