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A simple time-weighted average price (TWAP) trade may be thought of as n smaller trades happening every t time interval, commencing at time t0. Additionally, it is possible to limit a part's validity of the order to a certain span of time interval t.

Data Structure

struct Data {
IERC20 sellToken;
IERC20 buyToken;
address receiver; // address(0) if the safe
uint256 partSellAmount; // amount to sell in each part
uint256 minPartLimit; // minimum buy amount in each part (limit)
uint256 t0;
uint256 n;
uint256 t;
uint256 span;
bytes32 appData;

No direction of trade is specified, as for TWAP it is assumed to be a sell order

Example: Alice wants to sell 12,000,000 DAI for at least 7500 WETH. She wants to do this using a TWAP, executing a part each day over a period of 30 days.

  • sellToken = DAI
  • buytoken = WETH
  • receiver = address(0)
  • partSellAmount = 12000000 / 30 = 400000 DAI
  • minPartLimit = 7500 / 30 = 250 WETH
  • t0 = Nominated start time (unix epoch seconds)
  • n = 30 (number of parts)
  • t = 86400 (duration of each part, in seconds)
  • span = 0 (duration of span, in seconds, or 0 for entire interval)

If Alice also wanted to restrict the duration in which each part traded in each day, she may set span to a non-zero duration. For example, if Alice wanted to execute the TWAP, each day for 30 days, however only wanted to trade for the first 12 hours of each day, she would set span to 43200 (ie. 60 * 60 * 12).

Using span allows for use cases such as weekend or week-day only trading.


To create a TWAP order:

  1. ABI-Encode the IConditionalOrder.ConditionalOrderParams struct with:
    • handler: set to the TWAP smart contract deployment.
    • salt: set to a unique value.
    • staticInput: the ABI-encoded TWAP.Data struct.
  2. Use the struct from (1) as either a Merkle leaf, or with ComposableCoW.create to create a single conditional order.
  3. Approve GPv2VaultRelayer to trade n x partSellAmount of the safe's sellToken tokens (in the example above, GPv2VaultRelayer would receive approval for spending 12,000,000 DAI tokens).

When calling ComposableCoW.create, setting dispatch = true will cause ComposableCoW to emit event logs that are indexed by the watch tower automatically. If you wish to maintain a private order (and will submit to the CoW Protocol API through your own infrastructure, you may set dispatch to false).

Fortunately, when using Safe, it is possible to batch together all the above calls to perform this step atomically, and optimise gas consumption / UX.


For cancelling a TWAP order, follow the instructions at Conditional order cancellation.