1. What Is a Time-Weighted Strategy?
A time-weighted strategy is designed for executing large orders by splitting them into smaller, timed trades.
Key features:
- Splits large orders to minimize market impact
- Executes trades at user-defined intervals
- Calculates order price based on current bid/ask and price distance settings
- Uses Immediate-or-Cancel (IOC) order logic
👉 Trade with time-weighted strategy
2. Practical Example
2.1 Parameter Setup
Scenario: A trader wants to buy BTC contracts below 10,500 USDT while minimizing market impact.
Parameters:
- Price advantage: 1% better than market
- Price limit: 10,500 USDT
- Time interval: 20s
- Order size: 500 contracts
- Total quantity: 10,000 contracts
2.2 Strategy Execution
How it works:
- System calculates maximum buy price (current bid × 1.01)
- Evaluates sell orders below this price
- Determines order size (random factor 0.5–1 × available quantity)
- Places IOC orders at calculated intervals
Special conditions:
- If calculated price > limit price: uses limit price
- If calculated size > order size: uses reduced size
- Pauses when market price exceeds limit
- Completes when total filled = total order quantity
FAQs
Q: How does this strategy reduce market impact?
A: By splitting large orders into smaller, timed trades, it avoids sudden price movements.
Q: What happens if my order isn't fully filled?
A: Unfilled portions are automatically canceled (IOC logic).
Q: Can I adjust parameters mid-strategy?
A: Typically no—parameters are locked once the strategy begins.
Q: How does the random factor work?
A: It varies order timing/size (0.5–1× settings) to appear more organic.
Q: Is this suitable for volatile markets?
A: Yes, the price limit feature helps manage risk during volatility.