Time-Weighted Average Price
The average price of a security over a period, giving equal weight to each time interval regardless of volume.
Formula
TWAP = Sum of Prices Sampled at Equal Intervals / Number of Samples
Unit
₹
In depth
TWAP is used both as a benchmark and as an execution algorithm that slices an order into equal pieces across a window, which spreads impact evenly through time. Compared with VWAP it ignores where volume occurred, making it more predictable to other participants and therefore easier to trade against. It suits situations where the aim is to avoid signalling rather than to match the market's own weighting. Choosing between TWAP and VWAP is a choice between spreading over time and spreading over liquidity.
Worked example
An order for 60,000 shares worked as TWAP over three hours sends 60,000 / 180 = about 333 shares each minute. Predictable, low-impact, and visible to anyone watching for a regular clip in the tape.
Illustrative figures, chosen so the arithmetic is easy to follow. Not a live price and not a valuation of any company.
Educational reference only
This entry explains what “Time-Weighted Average Price” means. It is not investment advice and not a recommendation to buy or sell any security. Any numbers above are illustrative, not live prices, and nothing here predicts price direction or rates a stock. Consider your own circumstances and consult a SEBI-registered investment adviser before acting.