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TwapParameters

When using TWAP parameters, the OrderFlags value must be set to 128 (TWAP) on OrderId.OrderFlags in the order placement message.

duration: u32

  • Duration of the TWAP order execution in seconds
  • Must be between 300 (5 minutes) and 86,400 (24 hours)

interval: u32

  • Interval in seconds for each suborder execution
  • Must be a whole number and a factor of the duration
  • Must be between 30 seconds and 3,600 (1 hour)

price_tolerance: u32

  • Price tolerance in parts per million (ppm) for each suborder
  • Applied to the oracle price when each suborder is triggered
  • Must be between 0 and 1,000,000