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 > 0
minPartLimit > 0
n between 2 and type(uint32).max
t between 1 and 365 days
span 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 part
orderFor() - Constructs the CoW Protocol order with calculated validity timestamps

Contracts

Hooks Trampoline

Composable CoW

Contracts SDK

Flash Loan Router

TWAP

TWAP Orders

Core Structure

Key Parameters

Validation Requirements

Validity Window Calculation

Error Conditions

Implementation

​TWAP Orders

​Core Structure

​Key Parameters

​Validation Requirements

​Validity Window Calculation

​Error Conditions

​Implementation

TWAP Orders

Core Structure

Key Parameters

Validation Requirements

Validity Window Calculation

Error Conditions

Implementation