Wednesday, October 29, 2014

TWAP in action: EUR/USD

Twap is an abbreviation for the Time Weighted Average Price. This is just like VWAP only it is weighted upon time. This is also an order type that many institutional investors utilize to work in and out of significant positions. It behaves like an Iceberg order by only showing a certain amount of orders to be executed but continues to refresh the orders throughout the session until the position is complete.

With that said, let's take a look at today's EUR/USD action with TWAP. On the monthly TWAP we can observe a reaction at the developing value area high and a move down straight through the TWAP to the DVAL. This DVAH was also somewhat confluent with last month's VAL close level.

More interesting on the weekly TWAP is the confluence with last week's VAH close level. Amazing reaction at this level lead us to the other side and below of value.

With a elite membership on the Private Banker community you can read a more indepth top down analysis here: EUR/USD Top Down Market Analysis

And alongside with a premium membership you can learn to use tools like VWAP/TWAP properly. Also to mention is our Trading Glossary to better understand the various terms we use in our tweets and posts.

Stay happy,