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?

Mechanically yes — both accumulate volume-weighted price from an anchor. The VWAP build is the general-purpose session line; here it serves only as the fairness yardstick for VWAP-scheduled and POV fills, resetting each window.

Why can't POV say when it will finish?

Because it is reactive, not scheduled: fills track a fixed percentage of cumulative window volume, capped at the parent size. An active window completes it early; a quiet one can leave a balance at the close.

How realistic are the fills?

Idealized by design: every child order fills at the Fill / Benchmark Price of its bar, ignoring spread, queue position and market impact — the simulation isolates scheduling, not microstructure.