fintech-algorithms
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Schedule-Based Execution

4 algorithms in Execution and Transaction Cost Analysis.

In this family#

  1. TWAP Execution contract

    Splits an order into equal slices across equal time buckets. The simplest schedule and the most predictable — predictable enough that it can be detected and traded against, which is the argument for the volume-based alternatives.

    twapExecution(total_quantity, start_time_ms, end_time_ms, bucket_count, lot_size)
  2. Historical VWAP Execution contract

    Distributes an order according to a historical intraday volume profile — heavier at the open and close. Assumes today resembles the profile, which is exactly the assumption that fails on event days.

    historicalVwapExecution(total_quantity, historical_bucket_volumes, lot_size, profile_id)
  3. Adaptive VWAP Execution contract

    Re-plans the remaining schedule from realised volume so far plus a forecast of what is left. Catches up when the market is busier than expected, and slows when it is not.

    adaptiveVwapExecution(total_quantity, realized_market_volumes, remaining_forecast_volumes, executed_quantity, lot_size, forecast_version)
  4. Percentage-of-Volume Execution contract

    Trades a fixed share of whatever volume occurs. The schedule is unknown in advance by design, which limits impact — and means the order may not complete at all if volume never arrives.

    percentageOfVolumeExecution(total_quantity, participation_rate_bps, market_volume_buckets, lot_size, max_child_quantity)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

ts
import { twapExecution } from "fintech-algorithms/execution-and-transaction-cost-analysis/schedule-based-execution/twap-execution";
import { historicalVwapExecution } from "fintech-algorithms/execution-and-transaction-cost-analysis/schedule-based-execution/historical-vwap-execution";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Execution and Transaction Cost Analysis collects 9 algorithms across 2 families. For the concept behind this family rather than the call signatures, see the concept guides.