medium · Market Microstructure
A trader is using a TWAP algorithm to execute a 100,000 share sell order over 5 hours.
If the actual volume is extremely heavy in the first hour and very light in the final hour, how will this algorithm's participation rate change?
- The algorithm will speed up execution during the high-volume periods
- The algorithm will maintain a constant 10% participation rate
- Participation will be low in the first hour and high in the last hour
- The algorithm will automatically switch to a limit order only strategy
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