Developer Builds Slippage Circuit-Breaker Into Open-Source TWAP Order Execution Engine

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A developer has enhanced a TWAP (Time-Weighted Average Price) execution engine with a slippage circuit-breaker that halts remaining order slices if price deviation exceeds a configurable threshold. The engine also features a pluggable risk-check interface, allowing traders to inject custom abort logic — such as RSI or order book signals — without modifying the core code. An additional minimum-notional guard prevents repeated rejected orders by validating slice sizes against exchange minimums before execution begins. The base engine is available open source on GitHub, while an extended version with full risk features is offered separately on Gumroad. The tool is exchange-agnostic and works across roughly 100 exchanges supported by the ccxt library.

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