It stands for time-weighted average price; the average price of securities or contracts over a specific period of time. It is computed by picking up prices at regular time intervals over the time period and taking a simple average of these prices, without consideration to the number of shares traded at each price.

It is a simple measure of trading price based on a constant participation rate through the desired period of trading. It allows traders or their clients to have a quick look at quality of order execution by comparing the actual stock price points and the average level at which the stock traded during the time window in question.