Kraken Pro launched time-weighted average price orders on Sept. 7, adding a native execution tool that divides a large trade into smaller orders over a chosen period. According to Kraken’s product announcement, customers can set a window from one minute to seven days and use the order type on its web, desktop and mobile platforms.
The exchange also exposed the function through its REST and WebSocket interfaces. That lets customers submit, amend, cancel and monitor TWAP orders through an application programming interface rather than relying only on the trading screen.
How Kraken’s TWAP order works
A trader creates one parent order by choosing a market, direction, total size and execution window. Kraken then breaks that instruction into smaller child orders distributed through the selected period. Each child order uses immediate-or-cancel execution at the best available bid or ask, while continuing to respect any limit attached to the parent order.
Immediate-or-cancel means the available portion is filled at once and any remainder of that child order is canceled instead of resting in the order book. The next child order can still be submitted later under the schedule. Kraken said users may choose buy or sell orders and use market or limit child orders.
Controls limit size and price deviation
Kraken described three built-in controls: a cap on the parent size relative to expected market volume, a limit on how far child orders may deviate from the user’s limit price, and a minimum interval between child-order actions. The company did not publish universal values for those controls in the announcement, so traders should not assume the same thresholds apply to every market.
The TWAP release follows other changes aimed at more active Kraken Pro users. Earlier in September, the exchange raised ETH/USD spot-margin leverage to 20x for eligible accounts in selected markets. The new order type is different: it changes how an order is executed over time rather than increasing a position’s borrowed exposure.
TWAP does not guarantee a complete fill
Kraken cautioned that TWAP does not guarantee the best price or full execution. Its objective is to spread activity across a time window and seek an average near the market’s time-weighted price, not to predict when a market will rise or fall. Limit settings and available liquidity can leave part of an order unfilled.
That distinction matters for large trades. Splitting an instruction can reduce the need to consume available liquidity in one action, but it cannot remove volatility, slippage or timing risk. Users remain responsible for the pair, size, direction, window and price constraint they select.
