--- title: "What is slippage, and what are VWAP and TWAP | RupeeCase" description: "Slippage is the gap between the price a strategy expected and the price it actually got." source_url: "https://www.rupeecase.com/learn/questions/slippage-vwap-twap" --- VWAP and TWAP differ whenever volume is uneven across the day Definitions of slippage, VWAP and TWAP, and why they part company. A method diagram with no market figures. Source: Method note on execution benchmarks; settlement regime per SEBI circular of 15 Oct 2026. As of 16 Oct 2026. Slippage is the difference between a reference price and the fill. A backtest that assumes a fill at the close price looks better than a live order that has to go through the book. Slippage has three parts: the spread, the impact of the order's size, and the price move while the order is being filled. VWAP, volume weighted average price, is the total value traded divided by the total volume traded over a period. An execution that buys at or below the day's VWAP has beaten that benchmark. TWAP, time weighted average price, is the average of prices sampled at equal time intervals, and an order sliced evenly across time aims at it. The chart sets the two formulas side by side. When volume is heavy at the open and the close, VWAP leans toward those prices and an even TWAP slice does not. A large order that trades evenly across the day can therefore beat one benchmark and lag the other, depending on how the day's volume fell. VWAP also sits inside how an index option settles. Before 3 Aug 2026 the settlement price came from the constituents' VWAP over the last 30 minutes, the closing auction price has applied since, and the last 30 minute VWAP returns on 7 Dec 2026 under SEBI's circular of 15 Oct 2026. In a test, the benchmark is a choice to state, and the slippage measured against it should be written next to the result. **Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What is slippage, and what are VWAP and TWAP?Slippage is the gap between the price a strategy expected and the price it actually got, and VWAP and TWAP are two benchmark prices that large orders are often sliced against. VWAP weights each price by the volume traded at it, while TWAP weights each time slice equally, so the two differ whenever volume is uneven across the day. LGo deeper ## Where Learn teaches this. [Module 10.1How Orders Actually Work: Market Microstructure India14 min, Path 10](/learn/path-10/module-10-1-how-orders-actually-work-market-microstructure-india)[Module 10.2The Real Cost of Trading: Slippage & Transaction Costs11 min, Path 10](/learn/path-10/module-10-2-the-real-cost-of-trading-slippage-and-transaction-costs) SSources ## Go to the source. 3 sources, SEBI the most cited The publisher of each source listed below. Source: Module undefined source list. 1. [SEBI master circular, Chapter 5 Exchange Traded Derivatives (Dec 2024)](https://www.sebi.gov.in/sebi_data/commondocs/dec-2024/RE_Chapter%205%20-%20Exchange%20Traded%20Derivatives%20FINAL_1_p.pdf) SEBI 2. [NSE, equity derivatives contract specifications (tick size, expiry, settlement)](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications) NSE 3. [SEBI circular, closing auction session, market timings and settlement for derivatives (15 Oct 2026)](https://www.sebi.gov.in/legal/circulars/oct-2026/review-of-certain-aspects-of-the-closing-auction-session-market-timings-and-settlement-methodology-for-derivatives-contracts_105293.html) SEBI ?Questions people ask ## Related questions. 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