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 > 0minPartLimit > 0n between 2 and type(uint32).maxt between 1 and 365 daysspan 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 partorderFor() - Constructs the CoW Protocol order with calculated validity timestamps
Last modified on March 4, 2026
