TWAP

Time-Weighted Average Price orders that split large trades into multiple smaller executions at fixed intervals.

TWAP Orders

TWAP (Time-Weighted Average Price) orders enable splitting large trades into multiple smaller executions at fixed intervals, helping reduce price impact and achieve better average prices.

Core Structure

The TWAP mechanism divides a total trade into n equal parts executing every t seconds, with each part having a validity window defined by the span parameter.

Key Parameters

Parameter	Type	Purpose
sellToken	IERC20	Token being sold
buyToken	IERC20	Token being purchased
receiver	address	Recipient of bought tokens
partSellAmount	uint256	Amount per execution part
minPartLimit	uint256	Minimum buy amount per part
t0	uint256	Start timestamp (0 for dynamic)
n	uint256	Number of parts (>1)
t	uint256	Seconds between parts
span	uint256	Validity window (must be less than or equal to t)
appData	bytes32	IPFS metadata hash

Validation Requirements

Orders must satisfy:

• Different sell and buy tokens
• Non-zero addresses
• partSellAmount > 0
• minPartLimit > 0
• n between 2 and type(uint32).max
• t between 1 and 365 days
• span must be less than or equal to t

Validity Window Calculation

With span = 0, each part remains valid until the next part begins. When span > 0, validity is restricted to that duration. This ensures unique order identifiers preventing duplicate executions.

Error Conditions

Error	Description
BEFORE_TWAP_START	Current time precedes order start
AFTER_TWAP_FINISH	All parts completed
NOT_WITHIN_SPAN	Current time outside part’s validity window

Implementation

The contract resides at /src/types/twap/TWAP.sol. Key functions include:

• getTradeableOrder() - Retrieves the current executable part
• orderFor() - Constructs the CoW Protocol order with calculated validity timestamps