TWAP ignores volume and simply divides the clock. Its benchmark is the average of prices sampled at equal intervals, which makes it simple to explain and simple to audit.
Predictability is the weakness. Evenly spaced clips are detectable, and in a stock whose volume is heavily skewed to the close, TWAP over-trades the quiet hours.
Example: 120,000 shares from 10:00 to 16:00 is 20,000 an hour, roughly 333 shares a minute. If the day's true vwap is 50.10 and TWAP achieves 50.12, you underperformed volume-weighting by two cents, or $2,400 on the order. In a calm, evenly traded name the two benchmarks land within a cent.
Related: vwap-algo, algorithmic-order, order-slicing, arrival-price