TWAP Streams
Time Weighted Average Price (TWAP) streams report the average price over a rolling window, rather than a single observed price. A TWAP report is an aggregated calculation derived from the underlying reports. See the TWAP report schema for the full field definitions.
How the window works
A TWAP window is anchored to the latest observation and moves forward with each new report. Unlike standard streams, it doesn't align to the clock or snap to round numbers.
For example, a 60-second TWAP requested "at 12:05:01" covers 12:04:01 → 12:05:01.
Formula
TWAP = (sum of price Ă— duration for each report in the window) / window length in seconds
- 30-second TWAP → divide by 30
- 60-second TWAP → divide by 60
Gaps
The TWAP is constructed from the underlying reports that fall within its window. Each underlying report normally covers about 1 second, but if a report's window is wider because it absorbed a gap, its price is weighted across the full window it covers.
For how report windows and timestamps work, see How Report Timestamps Work.