TWAP/VWAP/POV Execution

TWAP/VWAP/POV Execution runs the three staple execution algorithms side by side on one simulated parent order. Each new window arms a fresh order: TWAP slices it evenly, VWAP distributes it along the expected volume profile, and POV reactively chases a fixed share of printed volume, the three schedules of TWAP, VWAP and POV execution as observable curves, benchmarks and average fills overlaid on the price chart.

How to Trade the TWAP/VWAP/POV Execution?

• Completion curves: TWAP draws a straight ramp, VWAP bends with the expected volume curve, POV climbs as an irregular staircase tracking the tape.
• Slippage (bps): each average fill is scored against its benchmark (TWAP against average price, VWAP and POV against volume-weighted price), signed so a buy wins by filling below it.
• Schedule risk: a window closing before an algorithm completes fires the unfilled-balance alert; POV carries this risk structurally, filling only as volume prints.

TWAP/VWAP/POV Execution Settings

• Order Side (default Buy): signs the slippage only.
• Sizing Mode (default % of Average Window Volume): size via Parent Size (% of Window Volume) (default 5), or Parent Size (Units) (default 10000).
• Execution Window (default D): anchor period defining one episode; must exceed the chart timeframe.
• Schedule Length (bars) (default 0): child slices in the TWAP and VWAP schedules; 0 spans the full window automatically.
• POV Participation Rate (%) (default 10): the targeted share of printed volume.
• Volume Profile Lookback (windows) (default 10): completed windows averaged into the expected volume profile.
• Fill / Benchmark Price (default hlc3): the price standing in for child fills and benchmarks.
• Show Dashboard (on, Top Right, Small); Benchmark Lines (price chart), Average Fill Lines (price chart), Shade Scheduled Bars (all on).

Frequently Asked Questions

Is the VWAP benchmark here the same as the VWAP indicator?

Why can't POV say when it will finish?

How realistic are the fills?