TWAP: Time Weighted Average Price

TWAP (Time Weighted Average Price) is a methodology for trade-based average price determination that takes into account the specific time period.

Trade Collection

All trades from the queried time range are collected and average price is determined.

Price Calculation

As soon as the block has been finalized, the TWAP price of these prices is calculated. This is done by accumulating the previously calculated average-price-products of all timeframes and taking the average of all values.
The result is then returned as the result of the filter operation.