Calculate Time Weighted Average Price

A professional tool for traders to determine the true time-weighted value of an asset.

Enter price observations and their respective durations. The calculator assumes a holding period for each price point.

Observation Period 1

Observation Period 2

Observation Period 3

Observation Period 4

Period	Price ($)	Duration (min)	Weight (%)	Contribution ($)

*Contribution = Price × (Duration / Total Time)

What is Calculate Time Weighted Average Price (TWAP)?

In the world of algorithmic trading and financial analysis, knowing how to calculate time weighted average price (TWAP) is a fundamental skill. TWAP is a trading indicator used to calculate the average price of a security over a specified time period. Unlike Volume Weighted Average Price (VWAP), which weighs prices based on the volume traded, TWAP treats each time unit equally, focusing solely on price and duration.

This metric is particularly useful for institutional traders who need to execute large orders without disrupting the market. By splitting a large order into smaller chunks and executing them at regular time intervals, traders can achieve an average execution price that mirrors the TWAP, minimizing market impact and slippage.

Who should use this calculator?

• Execution Traders: To benchmark their trade execution performance against the market's time-weighted average.
• Algorithm Developers: To validate logic for execution algorithms designed to smooth out price volatility.
• Financial Analysts: To analyze asset pricing trends over specific sessions without the skew of volume spikes.

TWAP Formula and Mathematical Explanation

To accurately calculate time weighted average price, we use a weighted average formula where the "weight" is the duration of time a specific price was valid or observed. The mathematical derivation is straightforward but powerful.

The formula is:

TWAP = ∑ (Price_i × Time_i) / ∑ Time_i

Where:

Variable	Meaning	Unit
Pricei	The price observed during period i	Currency ($)
Timei	The duration (length of time) for period i	Minutes, Hours, etc.
∑	Summation symbol (Total)	N/A

Practical Examples (Real-World Use Cases)

Example 1: High Volatility Session

Imagine a trader monitoring a volatile stock over a 60-minute window.

• First 15 mins: Price stays at $100.
• Next 15 mins: Price spikes to $120.
• Last 30 mins: Price settles at $110.

Calculation:
Sum of (Price × Time) = ($100 × 15) + ($120 × 15) + ($110 × 30)
= 1500 + 1800 + 3300 = 6600
Total Time = 60 minutes.
TWAP = 6600 / 60 = $110.00

Notice how the $120 spike had less impact because it only lasted 15 minutes, whereas the $110 price held for 30 minutes, pulling the average closer to it.

Example 2: Stable Accumulation

An institution buys an asset slowly over 2 hours (120 minutes).

• Hour 1 (60 mins): Price $50.00
• Hour 2 (60 mins): Price $52.00

Since the duration is equal (60 mins each), the TWAP is simply the arithmetic mean: ($50 + $52) / 2 = $51.00.

How to Use This TWAP Calculator

Follow these simple steps to use the tool above effectively:

1. Identify Observation Periods: Break down your trading session into distinct segments where the price was relatively stable or observed.
2. Enter Price Data: Input the asset price for each segment in the "Asset Price ($)" fields.
3. Enter Duration: Input how long (in minutes) that price was active in the "Duration" fields.
4. Review Results: The calculator instantly updates the TWAP, Total Duration, and Weighted Value.
5. Analyze the Chart: Use the visual bar chart to see which price levels contributed most to the average based on their height relative to the green TWAP line.

Key Factors That Affect TWAP Results

When you calculate time weighted average price, several market factors influence the final metric:

• Duration Variance: Prices held for longer periods naturally pull the TWAP closer to them. Short flash crashes or spikes have minimal impact if the duration is low.
• Market Volatility: In highly volatile markets, the gap between the simple average (High+Low+Close/3) and TWAP can be significant if prices spend more time at extremes.
• Session Length: Calculating TWAP over a full trading day versus a single hour yields vastly different benchmarks for execution strategies.
• Liquidity Gaps: In illiquid markets, price may "gap" without time passing at intermediate levels. TWAP calculations must account for the time spent at the pre-gap or post-gap levels.
• Frequency of Sampling: High-frequency trading algorithms might calculate TWAP every second, while this calculator uses user-defined segments. Finer granularity leads to higher precision.
• Outliers: Extreme prices (e.g., "fat finger" trades) only skew TWAP if they persist for a significant duration. This makes TWAP more robust against momentary anomalies compared to volume-weighted metrics if volume is low on the spike.

Frequently Asked Questions (FAQ)

What is the difference between TWAP and VWAP?

VWAP (Volume Weighted Average Price) considers the number of shares traded at each price. TWAP only considers time. VWAP is better for liquidity analysis, while TWAP is better for simple time-based execution benchmarks.

Can TWAP be used for cryptocurrency trading?

Yes. Crypto markets run 24/7, making time-weighted averages very useful for assessing trends over specific 4-hour or 8-hour funding windows.

Does this calculator handle hours and minutes?

The input label suggests "Minutes," but mathematically, as long as you use the same unit for all segments (e.g., all hours or all seconds), the result will be correct.

Why is my TWAP lower than the current price?

If the price has been rising recently but spent most of the session at lower levels, the TWAP will be lower ("lagging") because it accounts for the history of the session.

Is TWAP a good indicator for day trading?

It acts as a dynamic support/resistance level. If price is above TWAP, the trend is considered bullish for that session. If below, it is bearish.

How many segments should I use?

For a rough estimate, 3-4 major price levels are enough. For precision, algorithms use thousands of data points. This calculator provides 4 slots for manual estimation.

What happens if I enter 0 duration?

Mathematically, a duration of 0 means that price point did not exist in time, so it contributes 0 weight to the average.

Can I use this for stock options?

Yes, you can calculate the TWAP of option premiums over a trading day to determine if you are paying a fair price relative to the day's average.

Related Tools and Internal Resources

Expand your financial toolkit with our other specialized calculators:

• VWAP Calculator – Calculate Volume Weighted Average Price for deeper liquidity analysis.
• Moving Average Calculator – Determine Simple and Exponential Moving Averages.
• Stock Return Calculator – Analyze total returns including dividends and fees.
• Position Size Calculator – Manage risk by calculating the optimal trade size.
• Crypto Profit Calculator – Estimate potential gains for cryptocurrency investments.
• Margin Calculator – Determine required margin and leverage ratios.

maxPrice) maxPrice = data[i].price; if (data[i].price < minPrice) minPrice = data[i].price; } // Add padding to scales so bars aren't at very top/bottom var range = maxPrice – minPrice; if (range === 0) range = maxPrice * 0.1; // Handle single value case var yMax = maxPrice + (range * 0.2); var yMin = Math.max(0, minPrice – (range * 0.2)); var chartHeight = height – (padding * 2); var chartWidth = width – (padding * 2); // Draw Axes ctx.beginPath(); ctx.strokeStyle = "#ccc"; ctx.moveTo(padding, padding); ctx.lineTo(padding, height – padding); // Y Axis ctx.lineTo(width – padding, height – padding); // X Axis ctx.stroke(); // Draw Bars var barWidth = (chartWidth / data.length) * 0.6; var spacing = (chartWidth / data.length) * 0.4; for (var k = 0; k < data.length; k++) { var val = data[k].price; // Scale value to height var barHeight = ((val – yMin) / (yMax – yMin)) * chartHeight; var x = padding + (spacing / 2) + (k * (barWidth + spacing)); var y = height – padding – barHeight; ctx.fillStyle = "#004a99"; ctx.fillRect(x, y, barWidth, barHeight); // Label ctx.fillStyle = "#333"; ctx.font = "12px Arial"; ctx.textAlign = "center"; ctx.fillText("$" + val.toFixed(1), x + (barWidth/2), y – 5); ctx.fillText("P" + data[k].id, x + (barWidth/2), height – padding + 15); } // Draw TWAP Line var twapY = height – padding – (((twapValue – yMin) / (yMax – yMin)) * chartHeight); ctx.beginPath(); ctx.strokeStyle = "#28a745"; ctx.lineWidth = 3; ctx.setLineDash([5, 5]); ctx.moveTo(padding, twapY); ctx.lineTo(width – padding, twapY); ctx.stroke(); ctx.setLineDash([]); // Reset // Label TWAP Line ctx.fillStyle = "#28a745"; ctx.fillText("TWAP: $" + twapValue.toFixed(2), width – padding – 50, twapY – 10); } function resetForm() { document.getElementById("price1").value = "150.25"; document.getElementById("time1").value = "30"; document.getElementById("price2").value = "152.50"; document.getElementById("time2").value = "45"; document.getElementById("price3").value = "149.75"; document.getElementById("time3").value = "15"; document.getElementById("price4").value = "151.00"; document.getElementById("time4").value = "60"; calculateTWAP(); } function copyResults() { var text = "TWAP Analysis:\n"; text += "Time Weighted Average Price: " + currentResults.twap + "\n"; text += "Total Duration: " + currentResults.totalTime + "\n"; text += "Cumulative Weighted Value: " + currentResults.totalValue + "\n"; var tempInput = document.createElement("textarea"); tempInput.value = text; document.body.appendChild(tempInput); tempInput.select(); document.execCommand("copy"); document.body.removeChild(tempInput); var btn = document.querySelector(".btn-copy"); var originalText = btn.innerText; btn.innerText = "Copied!"; setTimeout(function() { btn.innerText = originalText; }, 2000); } // Initial Calculation on Load window.onload = function() { calculateTWAP(); };