TWAP/VWAP Smoothing

Reliable price feeds and smoothing algorithms ensure valuation accuracy across volatile markets.

Why Smoothing Matters

In crypto markets, short-term price spikes or dumps can distort NAV calculations. To protect users and maintain fair valuations, OLTA applies smoothing techniques:

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TWAP Time-Weighted Average Price

• Averages prices over a defined time interval

• Reduces the influence of brief anomalies or market manipulation

• Used primarily during NAV updates and redemptions

$${TWAP} = \frac{P_1 + P_2 + \dots + P_n}{n}$$

Where:

• Pᵢ = price at time interval i

• n = number of intervals

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VWAP Volume-Weighted Average Price

• Weighs prices by trading volume, better reflecting market consensus

• Helps capture more realistic execution levels

• Used during portfolio construction and asset swaps

$${VWAP} = \frac{\sum_{i=1}^n P_i \cdot V_i}{\sum_{i=1}^n V_i}$$

Where:

• Pᵢ = price at time interval i

• Vᵢ = traded volume during interval i

• n = number of observations

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Combining TWAP and VWAP provides robust, manipulation-resistant pricing, balancing temporal smoothing with liquidity awareness.