About this question
Medium · market_microstructure · Quant Researcher interview question · algorithmic_trading, simulation, execution_algorithms
Time-Weighted Average Price (TWAP) is a fundamental algorithmic execution strategy designed to minimize market impact by distributing a large order evenly over a specified time horizon. In realistic market microstructure simulations, execution algorithms must adhere to volume participation limits to avoid signaling intent or exhausting available liquidity in thin markets. This problem models a constrained execution strategy where fill rates are bounded by a percentage of realized market volume.