Quick Understanding of Time-Weighted Strategy
I. What is Time-Weighted Strategy?
Time-weighted is a strategy where large orders are split and executed over time.
When conducting large trading, to avoid excessive market impact, users need to automatically split large orders into multiple orders. This strategy triggers orders according to the interval time set by the user. When placing orders, it calculates the order price based on the current best bid/ask price and the price distance set by the user, then places small orders to execute trades. (If the order is not fully executed, it is immediately cancelled, following IOC order logic)
II. Example Tutorial
2.1 Setting Parameters
A user wants to buy BTC futures below 10,500 USDT as quickly as possible, while also not wanting to overly impact the market and increase buying costs. They set up a time-weighted order:
Order price better than market: 1%
Order limit price: 10,500 USDT
Time interval: 20s
Single order quantity: 500 contracts
Total order quantity: 10,000 contracts
2.2 Strategy Execution
After placing the order, the system will automatically start periodic batch orders. Assume the current market situation is as shown below:
According to the price range set by the user, the maximum buy price is current bid 1 price 10029.99 * (1 + price range 1.0%) = 10130.29 USDT. The system calculates the total quantity of all sell orders below 10130.29 USDT: 570 + 1 + 200 + 1 + 1 + 1 + 1 = 775, then multiplies by a random number between 0.5-1. The order quantity = counter order quantity * random ratio (0.5-1) = 775 * 63% = 488.25 contracts. Since this is less than the user's set single order quantity of 500 contracts, the program places a buy sub-order: order price 10130.29 USDT, quantity 488 contracts. If the order is not fully executed, it is immediately cancelled, so all sub-orders are IOC orders.
The strategy will automatically place orders continuously based on the time interval * random ratio (0.5-1) set by the user, until the strategy's total trading volume reaches the total order quantity set by the client.
When the order price calculated by the program exceeds the order limit price set by the user, the program will automatically place orders at the order limit price set by the user;
When the order quantity calculated by the program exceeds the single order quantity set by the user, the program will automatically place orders at the single order quantity * random ratio (0.5-1) set by the user;
When the market's latest trading price is higher than the order limit price (i.e., 10,500 USDT), orders are paused, and resume when the latest trading price falls below 10,500 USDT again;
When the strategy's total trading volume equals its total order quantity, the strategy will stop placing orders and terminate.
Disclaimer
This article may contain product-related content that is not applicable to your region. This article is intended to provide general information only and does not assume responsibility for any factual errors or omissions therein. This article represents only the author's personal views and does not represent the views of OKX. This article is not intended to provide any of the following advice, including but not limited to: (i) investment advice or investment recommendations; (ii) offers or solicitations to buy, sell or hold digital assets; or (iii) financial, accounting, legal or tax advice. Holding digital assets (including stablecoins) involves high risk, may fluctuate significantly, and may even become worthless. You should carefully consider whether trading or holding digital assets is suitable for you based on your financial situation. For questions about your specific situation, please consult your legal/tax/investment professional. The information appearing in this article (including market data and statistics, if any) is for general reference only. Although we have taken all reasonable precautions in preparing these data and charts, we assume no responsibility for any factual errors or omissions expressed herein. © 2025 OKX. This article may be reproduced or distributed in its entirety, or excerpts of 100 words or less from this article may be used, provided such use is non-commercial. Any reproduction or distribution of the entire article must prominently state: "Copyright © 2025 OKX. Used with permission." Permitted excerpts must cite the article title and include attribution, such as "Article Name, [Author Name (if applicable)], © 2025 OKX". Some content may be generated or assisted by artificial intelligence (AI) tools. Derivative works or other uses of this article are not permitted.
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