The Private Banker Blog | EUR/USD (6E) TWAP Market Update | Talkmarkets

EUR/USD (6E) TWAP Market Update

Date: Monday, January 26, 2015 9:09 AM EDT
Twap is an abbreviation for the Time Weighted Average Price. This is just like VWAP only it is weighted upon time. This is also an order type that many institutional investors utilize to work in and out of significant positions. It behaves like an Iceberg order by only showing a certain amount of orders to be executed but continues to refresh the orders throughout the session until the position is complete.


With this informaiton in our mind let's going through the monthly, weekly and intra-day TWAPs. Make sure to have time based charts as this is a Timebased tool. However, this is our logical preference but you can playing around with whatever other chart formats as well. The Forex market is a 24 hours market, so there is no point in using a 'London Session', 'U.S. Session' or name them all. With that said, all charts here are ETH/Globex based and representing the march futures contract (6E). Like always it is your free choice in which way you will use this tool. 

As usual, we beginning with the monthly TWAP. Looking at this installed tool, we can see a cleary selling imbalance with the developing value slope to the downward. The market opened below the previous month's value close area and since that point it rejects the developing value low. In summary a very bearish rated view here.
 

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