Duration Orders
Time-aware orders that adapt their behavior over a specified time period.
Overview
Duration Orders are time-aware order types that modify their behavior based on how much time has elapsed since placement. Unlike standard orders that sit passively until filled or cancelled, Duration Orders actively adapt to improve execution quality over their lifetime.
How They Work
A Duration Order has three core parameters:
- Starting behavior — How the order behaves when first placed
- Duration — The time period over which the order is active
- Ending behavior — How the order adapts as it approaches expiration
For example, a Duration Order might start as a patient limit order at a favorable price, then gradually become more aggressive as time runs out, eventually converting to a market order if the position must be entered by a deadline.
Duration Types
Passive-to-Aggressive
Starts with tight limits, gradually widens acceptable fill prices. Ideal when you want to try for a good price but need the position by a certain time.
TWAP (Time-Weighted Average Price)
Splits a large order into equal-sized pieces distributed over the duration. Ideal for building or exiting large positions without impacting the market.
VWAP (Volume-Weighted Average Price)
Similar to TWAP but adjusts execution speed based on volume patterns. More aggressive during high-volume periods, passive during low-volume periods.
Decay Orders
Start with full size and gradually reduce the unfilled portion. Useful when your conviction decreases over time — if the market doesn't reach your level soon, you want less exposure.
Configuration
- Duration — From seconds to days
- Aggression curve — Linear, exponential, or step-function progression
- Max slippage — Hard limit on price deviation even at maximum aggression
- Partial fill handling — What happens to unfilled portions at expiration
- Cancel conditions — Events that terminate the order before duration expires
Use Cases
Duration Orders are particularly valuable for:
- Entering positions ahead of scheduled events with time-sensitive edge
- Executing large orders without market impact
- Managing exits when you need to close by a specific time
- Automating the patience-to-urgency tradeoff that traders make manually