twap-bot

TWAP Bot Skill

Time-Weighted Average Price execution algorithm for K.I.T.

Overview

TWAP (Time-Weighted Average Price) is an algorithmic execution strategy that breaks up large orders into smaller slices and executes them evenly over a specified time period. This minimizes market impact and achieves the average price over the execution window.

Use Cases

• Large Orders: Execute big positions without moving the market
• Accumulation: Build positions gradually at average prices
• Distribution: Exit positions smoothly without dumping
• Dollar-Cost Averaging: Regular interval buying like DCA but time-based
• Whale Hiding: Disguise large trades as normal market activity

Features

Execution Modes

• Standard TWAP: Equal slices at equal intervals
• Volume-Weighted TWAP (VWAP hybrid): Adjust slice sizes based on historical volume patterns
• Random TWAP: Add randomness to timing/sizing to avoid detection
• Adaptive TWAP: Adjust execution based on real-time market conditions

Configuration Options

interface TWAPConfig {
  symbol: string;
  side: 'buy' | 'sell';
  totalQuantity: number;
  durationMinutes: number;
  sliceCount?: number;         // Auto-calculated if not set
  minSliceSize?: number;       // Minimum per slice
  maxSliceSize?: number;       // Maximum per slice
  randomizeTime?: boolean;     // Add ±15% jitter to intervals
  randomizeSize?: boolean;     // Add ±10% jitter to sizes
  urgency?: 'low' | 'medium' | 'high';  // Affects slice frequency
  exchanges?: string[];        // Multi-exchange execution
  priceLimit?: number;         // Don't execute if price exceeds limit
  volumeParticipation?: number; // Max % of volume per slice (e.g., 5%)
}

Adaptive Features

• Liquidity Sensing: Reduce slice size in thin markets
• Spread Monitoring: Pause if spread widens abnormally
• Price Drift Protection: Adjust if price moves significantly
• Completion Targets: Speed up if falling behind, slow down if ahead