It stands for time-weighted average price algorithm; an algorithm that allows users of electronic trading to execute orders based on a constant participation rate through the period of time in question. For example, a full day order will trade one fraction of the order (i.e., 1/390 of the order in each one-minute bucket for markets where there are 390 minutes in the trading day). Execution takes place targeting the time-weighted average price (TWAP). It is calculated from the time an order is entered to the close of the market. In other words, this algorithm allows traders to slice (time-slice) their trades into multiple small orders. The algo applies a complex set of rules/criteria to determine the best time to buy or sell. In this sense, trades are spread out over time, and the algo enables the market to maintain a stable level of liquidity.