rhino.fi: TWAP (Time Weighted Average Price)

TWAP (Time Weighted Average Price)

A time-weighted average price order (TWAP) allows you to execute a large order over a period of time by splitting it into a series of small trades placed at regular intervals.

The app.rhino.fi.com screen must be kept open in order for the TWAP to run. Moving to another tab in your browser will not prevent the order from being executed, but closing the tab or browser will prevent order execution. So it is important to keep your browser open and running!



You can choose between a limit order or a market order:

For limit buy orders, each of your orders will be placed at the best offer price provided that it is within the Min bid and the Max bid specified in the order form.
For limit sell orders, each of your orders will be placed at the best bid price provided that it is within the Min offer and the Max offer specified in the order form.
For market buy orders, the orders are filled at market price within the smaller of a) 10% last price and b) within your Min bid and Max bid specified in the order form.
For market sell orders, the orders are filled at market price within the smaller of a) 10% last price and b) within your Min offer and Max offer specified in the order form.

Please note that for market buy orders, 90% of your order quantity will be filled due to the non-custodial nature of rhino.fi. More information *here**.

For Buy Orders:

AMOUNT: The total quantity of your entire order.

MIN BID: The minimum order price that you are willing to pay.

MAX BID: The maximum order price that you are willing to pay.

TIME PERIOD (HOURS): The total time period across which orders will be split. For example, 0.5 equates to the VWAP running for 30 minutes.

NUMBER OF ORDERS: The number of individual orders that your total amount should be split into.



For Sell Orders:

AMOUNT: The total quantity of your entire order.

MIN OFFER: The minimum order price that you are willing to sell at.

MAX OFFER: The maximum order price that you are willing to sell at.

TIME PERIOD (HOURS): The total time period across which orders will be split, e.g. 0.5 equates to the VWAP running for 30 minutes.

NUMBER OF ORDERS: The number of individual orders that your total amount should be split into.



If you close your tab or browser while the TWAP is being executed, the TWAP will be paused. You will then be prompted to restart the order the next time you visit app.rhino.fi.







Troubleshooting

If your order fails to execute, check the following:

1) The current market price is within the range you set for the min & max bid (for buy orders) or within the range of min & max offer (for sell orders). If the market price drifts outside the min & max range you set, then the TWAP orders will not be placed.



2) Check that you are able to place non-TWAP orders. If you are unable to place regular orders (e.g. limit) then there is likely a problem with your rhino.fi account. For example, you may not have imported your trading key backup, your account may not be funded or the order size that you are trying to place may be below the minimum order size.



FAQ

How are partial orders treated?

If one of your TWAP limit orders is placed and is not immediately filled (taker) due to insufficient resting liquidity at that price level, then the order will continue to sit in the order book for the remaining un-filled quantity. You can manage this order as you would any other resting limit order (for example you can cancel it).



Why are my market buy orders only executing 90% of the full quantity?

For market buy orders, 90% of your total order quantity will be filled due to the non-custodial nature of rhino.fi. More information here

Market sell orders execute 100% of your sell quantity.
(https://support.rhino.fi.com/en/docs/87-90-fill-market-buy-orders)

Updated on: 14/07/2022