kraken-twap-execution

kraken-twap-execution

Use this skill for:

• breaking a large order into smaller time-spaced slices
• reducing market impact and slippage on size
• executing over minutes, hours, or days
• tracking average fill price across slices

Core Concept

Time-Weighted Average Price (TWAP) splits a large order into N equal slices executed at regular intervals. The goal is to achieve an average price close to the time-weighted market average, reducing the impact a single large order would have on the book.

Parameters

• Total volume: the full amount to buy or sell
• Slices: number of child orders (e.g., 10)
• Interval: time between slices (e.g., 60s, 300s)
• Slice volume: total volume / slices

Paper TWAP Test

kraken workspace create sandbox --capital 50000 --mode paper -o json 2>/dev/null
export KRAKEN_WORKSPACE=sandbox

# Simulate 5 slices of 0.01 BTC each, 60s apart
kraken paper buy BTCUSD 0.01 -o json 2>/dev/null
# wait 60s
kraken paper buy BTCUSD 0.01 -o json 2>/dev/null
# wait 60s
kraken paper buy BTCUSD 0.01 -o json 2>/dev/null
# repeat...

kraken paper history -o json 2>/dev/null
kraken workspace status -o json 2>/dev/null

Live TWAP Loop

The agent runs this loop externally (the CLI does not have a built-in scheduler):

TOTAL_VOLUME=0.05
SLICES=5
SLICE_VOL=$(echo "scale=8; $TOTAL_VOLUME / $SLICES" | bc)
INTERVAL=60

for i in $(seq 1 $SLICES); do
  kraken order buy BTCUSD $SLICE_VOL --type market -o json 2>/dev/null
  [ $i -lt $SLICES ] && sleep $INTERVAL
done

Limit-Order TWAP Variant

Use limit orders at the current best bid/ask for potentially better fills:

PRICE=$(kraken ticker BTCUSD -o json 2>/dev/null | jq -r '.[].ask_price')
kraken order buy BTCUSD $SLICE_VOL --type limit --price $PRICE -o json 2>/dev/null

Check fill status before the next slice. Cancel unfilled orders and adjust:

kraken open-orders -o json 2>/dev/null

Tracking Average Fill

After all slices, compute the volume-weighted average price from trade history: