TWAP Orders

TWAP orders split a large open or close into slices executed over run_time_seconds. Useful when a single fill would eat too much spread or exceed available liquidity. The SDK signs a TWAP intent (EIP-712) and submits it to the Avantis TWAP API, which registers the order on-chain itself and responds synchronously. The receipt carries the transaction hash and the on-chain twapId in receipt.order_id. TWAP is not available on Upside pairs (their TWAP params are zeroed on-chain); twap_open/twap_close raise a ValidationError (UPSIDE_MARKET_ONLY) on them.

Open

receipt = await client.trade.twap_open(
    "ETH/USD", "long",
    collateral=1000,             # spread over the run time
    run_time_seconds=600,        # 10 minutes
    leverage=10,
    max_leverage=20,             # required by the contract struct
)
print(receipt.tx_hash, receipt.order_id)   # order_id = on-chain twapId

Parameter	Default	Notes
`collateral`	required	Total USDC across all slices
`run_time_seconds`	required	Must be within the pair’s `twap_params` min/max run time
`leverage` / `max_leverage`	required	Both required
`coin_exposure`	`None`	Switches to fixed coin-exposure targeting

Each slice must clear the pair’s minimum position size (PairInfo.min_lev_pos_usdc in notional). Too little collateral over too long a run time fails with BelowMinPosition. Check pair.twap_params (min/max run time, frequency, fee) before sizing.

Close

await client.trade.twap_close(
    pos.pair_index, pos.index,
    coin_exposure_to_close=0.5,   # ETH
    run_time_seconds=300,
)

List and cancel

twaps = await client.account.twaps()             # paginated (0-based); include_canceled=True for history
twap = await client.account.twap(123)            # one TWAP by twapId; None if unknown (404)
await client.trade.twap_cancel(twap_id=123)      # twapId from receipt.order_id / account.twaps()

Cancelling signs a TwapCancelReq intent over the twapId. The trader key or an active delegate key both work.

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