It stands for time-weighted average price order; an order that is sliced into portions based on the percentage of daily value traded within a certain time window designated for execution. This order is used to achieve the time-weighted average price or a better price. Traders resort to TWAP orders if they need to have their execution rate not dependent on market volumes. For example, a TWAP order can be placed and executed according to the following deal ticket:

Sell 10,000 XYZ

Start time: 10:00

End time: 16:00

Volume constraint: 25%

Execution of TWAP orders takes place at a constant participation rate through the entire period in question.