TWAP Bot Skill

Time-Weighted Average Price execution algorithm for K.I.T.

Overview

TWAP (Time-Weighted Average Price) is an algorithmic execution strategy that breaks up large orders into smaller slices and executes them evenly over a specified time period. This minimizes market impact and achieves the average price over the execution window.

Use Cases

• Large Orders: Execute big positions without moving the market
• Accumulation: Build positions gradually at average prices
• Distribution: Exit positions smoothly without dumping
• Dollar-Cost Averaging: Regular interval buying like DCA but time-based
• Whale Hiding: Disguise large trades as normal market activity

Features

Execution Modes

• Standard TWAP: Equal slices at equal intervals
• Volume-Weighted TWAP (VWAP hybrid): Adjust slice sizes based on historical volume patterns
• Random TWAP: Add randomness to timing/sizing to avoid detection
• Adaptive TWAP: Adjust execution based on real-time market conditions

Configuration Options

interface TWAPConfig {
  symbol: string;
  side: 'buy' | 'sell';
  totalQuantity: number;
  durationMinutes: number;
  sliceCount?: number;         // Auto-calculated if not set
  minSliceSize?: number;       // Minimum per slice
  maxSliceSize?: number;       // Maximum per slice
  randomizeTime?: boolean;     // Add ±15% jitter to intervals
  randomizeSize?: boolean;     // Add ±10% jitter to sizes
  urgency?: 'low' | 'medium' | 'high';  // Affects slice frequency
  exchanges?: string[];        // Multi-exchange execution
  priceLimit?: number;         // Don't execute if price exceeds limit
  volumeParticipation?: number; // Max % of volume per slice (e.g., 5%)
}

Adaptive Features

• Liquidity Sensing: Reduce slice size in thin markets
• Spread Monitoring: Pause if spread widens abnormally
• Price Drift Protection: Adjust if price moves significantly
• Completion Targets: Speed up if falling behind, slow down if ahead

Commands

Start TWAP Order

/twap start BTC/USDT buy 1.5 duration=60m slices=12

Buys 1.5 BTC over 60 minutes in 12 equal slices (0.125 BTC every 5 min).

Check Status

/twap status <order_id>

Cancel TWAP

/twap cancel <order_id>

List Active TWAPs

/twap list

Example Scenarios

Accumulate 10 ETH over 4 hours

const twap = new TWAPBot({
  symbol: 'ETH/USDT',
  side: 'buy',
  totalQuantity: 10,
  durationMinutes: 240,
  randomizeTime: true,
  randomizeSize: true,
  volumeParticipation: 0.02  // Max 2% of volume
});

Exit 100,000 USDT position smoothly

const twap = new TWAPBot({
  symbol: 'BTC/USDT',
  side: 'sell',
  totalQuantity: 100000,  // USDT value
  durationMinutes: 480,    // 8 hours
  urgency: 'low',
  exchanges: ['binance', 'bybit', 'okx']  // Split across exchanges
});

Comparison with Other Strategies

Strategy	Market Impact	Price Target	Best For
TWAP	Low	Time-based average	Large orders, stealth
VWAP	Very Low	Volume-weighted avg	High volume periods
DCA	Low	Fixed intervals	Long-term accumulation
Grid	Medium	Range-bound	Volatility capture
Market	High	Immediate	Urgent execution

Integration

Works with all K.I.T. exchange connectors:

• CEX: Binance, Bybit, OKX, Kraken, Coinbase, KuCoin
• DEX: Uniswap, PancakeSwap, 1inch (via smart-router)
• Forex: MT5 (via metatrader skill)

Alerts

• Slice executed notification
• Execution paused (spread too wide)
• Price limit reached
• TWAP completed with summary
• Error/failure alerts

API

See twap-bot.ts for full implementation.