|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 76 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------||
|| L -> R: ||
|| - Non Dimensional Time ||
|| - Realized Market State ||
|| - Non Dimensional Cost ||
|| - Non Dimensional Cost Gradient ||
|| - Non Dimensional Cost Jacobian ||
|| - Non Dimensional Cost Trade Velocity ||
|| - Non Dimensional Outstanding Holdings ||
||-------------------------------------------------------------------||
|| 0.00 => -0.5000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 1.0000 ||
|| 0.25 => 0.1874 | 0.0021 | -0.0021 | 0.0021 | 0.0017 | 0.9996 ||
|| 0.50 => 0.4115 | 0.0042 | -0.0011 | 0.0017 | 0.0028 | 0.9989 ||
|| 0.75 => 0.2058 | 0.0065 | -0.0017 | 0.0020 | 0.0053 | 0.9976 ||
|| 1.00 => -0.0251 | 0.0093 | -0.0021 | 0.0026 | 0.0095 | 0.9952 ||
|| 1.25 => 0.7183 | 0.0112 | -0.0007 | 0.0012 | 0.0054 | 0.9938 ||
|| 1.50 => 0.9791 | 0.0124 | -0.0008 | 0.0009 | 0.0046 | 0.9927 ||
|| 1.75 => 0.3454 | 0.0144 | -0.0016 | 0.0017 | 0.0101 | 0.9901 ||
|| 2.00 => -0.4078 | 0.0181 | -0.0033 | 0.0037 | 0.0270 | 0.9834 ||
|| 2.25 => -0.8680 | 0.0236 | -0.0049 | 0.0058 | 0.0553 | 0.9696 ||
|| 2.50 => -0.9343 | 0.0292 | -0.0048 | 0.0060 | 0.0720 | 0.9516 ||
|| 2.75 => -0.9428 | 0.0347 | -0.0047 | 0.0059 | 0.0847 | 0.9304 ||
|| 3.00 => -0.5778 | 0.0387 | -0.0027 | 0.0039 | 0.0641 | 0.9143 ||
|| 3.25 => -0.0010 | 0.0413 | -0.0014 | 0.0021 | 0.0378 | 0.9049 ||
|| 3.50 => 0.3624 | 0.0431 | -0.0011 | 0.0014 | 0.0272 | 0.8981 ||
|| 3.75 => 0.4802 | 0.0447 | -0.0010 | 0.0013 | 0.0248 | 0.8919 ||
|| 4.00 => 0.4079 | 0.0463 | -0.0011 | 0.0013 | 0.0275 | 0.8850 ||
|| 4.25 => 1.0663 | 0.0474 | -0.0004 | 0.0007 | 0.0144 | 0.8814 ||
|| 4.50 => 1.1614 | 0.0482 | -0.0005 | 0.0006 | 0.0133 | 0.8781 ||
|| 4.75 => 0.8021 | 0.0493 | -0.0007 | 0.0009 | 0.0194 | 0.8732 ||
|| 5.00 => 1.0057 | 0.0502 | -0.0005 | 0.0007 | 0.0160 | 0.8692 ||
|| 5.25 => 0.8504 | 0.0512 | -0.0007 | 0.0008 | 0.0190 | 0.8645 ||
|| 5.50 => 1.5009 | 0.0520 | -0.0002 | 0.0004 | 0.0100 | 0.8620 ||
|| 5.75 => 0.8373 | 0.0529 | -0.0007 | 0.0008 | 0.0197 | 0.8570 ||
|| 6.00 => 0.3010 | 0.0544 | -0.0012 | 0.0013 | 0.0345 | 0.8484 ||
|| 6.25 => -0.0704 | 0.0564 | -0.0016 | 0.0019 | 0.0514 | 0.8356 ||
|| 6.50 => -0.9159 | 0.0605 | -0.0039 | 0.0043 | 0.1264 | 0.8040 ||
|| 6.75 => -0.8543 | 0.0640 | -0.0028 | 0.0037 | 0.1209 | 0.7738 ||
|| 7.00 => -1.1102 | 0.0682 | -0.0038 | 0.0045 | 0.1601 | 0.7337 ||
|| 7.25 => -1.3520 | 0.0726 | -0.0042 | 0.0052 | 0.2059 | 0.6823 ||
|| 7.50 => -0.9183 | 0.0752 | -0.0019 | 0.0030 | 0.1286 | 0.6501 ||
|| 7.75 => -0.4363 | 0.0771 | -0.0012 | 0.0017 | 0.0775 | 0.6307 ||
|| 8.00 => -1.0329 | 0.0798 | -0.0025 | 0.0028 | 0.1415 | 0.5954 ||
|| 8.25 => -1.3977 | 0.0830 | -0.0030 | 0.0037 | 0.1998 | 0.5454 ||
|| 8.50 => -0.7214 | 0.0845 | -0.0008 | 0.0016 | 0.0948 | 0.5217 ||
|| 8.75 => -0.8380 | 0.0862 | -0.0014 | 0.0017 | 0.1039 | 0.4957 ||
|| 9.00 => -0.4538 | 0.0872 | -0.0007 | 0.0010 | 0.0681 | 0.4787 ||
|| 9.25 => 0.2607 | 0.0878 | -0.0003 | 0.0005 | 0.0324 | 0.4706 ||
|| 9.50 => -0.4525 | 0.0888 | -0.0008 | 0.0009 | 0.0657 | 0.4542 ||
|| 9.75 => -1.2053 | 0.0904 | -0.0016 | 0.0018 | 0.1371 | 0.4199 ||
||-------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 76 ms
| Run Duration => 42 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||--------------------------------------------------------||
|| ADAPTIVE OPTIMAL TRAJECTORY GENERATION INPUTS ||
||--------------------------------------------------------||
|| Order Size => 1.0000 ||
|| Order Execution Time => 10 ||
|| Ornstein Uhlenbeck Burstiness => 1.0000 ||
|| Ornstein Uhlenbeck Relaxation Time => 1.0000 ||
|| Coordinated Variation Reference Liquidity => 1.0000 ||
|| Coordinated Variation Reference Volatility => 1.0000 ||
|| Mean Variance Risk Aversion => 1.0000 ||
|| Number of Evolution Nodes => 40 ||
||--------------------------------------------------------||
||-------------------------------------||
|| ADAPTIVE OPTIMAL TRAJECTORY ||
||-------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Holdings ||
|| - Trade Rate ||
|| - Realized Cost ||
||-------------------------------------||
|| 0.00 | 1.0000 | 0.0000 | 0.0000 ||
|| 0.25 | 0.9722 | 0.1110 | 0.1352 ||
|| 0.50 | 0.9484 | 0.0954 | 0.2442 ||
|| 0.75 | 0.8990 | 0.1976 | 0.3212 ||
|| 1.00 | 0.7606 | 0.5534 | 0.4581 ||
|| 1.25 | 0.6111 | 0.5982 | 0.5661 ||
|| 1.50 | 0.3818 | 0.9172 | 0.6653 ||
|| 1.75 | 0.1457 | 0.9441 | 0.7023 ||
|| 2.00 | 0.1135 | 0.1289 | 0.7091 ||
|| 2.25 | 0.0796 | 0.1355 | 0.7089 ||
|| 2.50 | 0.0678 | 0.0475 | 0.7082 ||
|| 2.75 | 0.0560 | 0.0471 | 0.7077 ||
|| 3.00 | 0.0439 | 0.0484 | 0.7074 ||
|| 3.25 | 0.0389 | 0.0200 | 0.7073 ||
|| 3.50 | 0.0292 | 0.0388 | 0.7072 ||
|| 3.75 | 0.0216 | 0.0303 | 0.7071 ||
|| 4.00 | 0.0200 | 0.0064 | 0.7071 ||
|| 4.25 | 0.0181 | 0.0074 | 0.7071 ||
|| 4.50 | 0.0172 | 0.0038 | 0.7071 ||
|| 4.75 | 0.0165 | 0.0030 | 0.7071 ||
|| 5.00 | 0.0151 | 0.0054 | 0.7071 ||
|| 5.25 | 0.0130 | 0.0084 | 0.7071 ||
|| 5.50 | 0.0088 | 0.0169 | 0.7071 ||
|| 5.75 | 0.0069 | 0.0076 | 0.7071 ||
|| 6.00 | 0.0045 | 0.0095 | 0.7071 ||
|| 6.25 | 0.0033 | 0.0051 | 0.7071 ||
|| 6.50 | 0.0022 | 0.0044 | 0.7071 ||
|| 6.75 | 0.0016 | 0.0021 | 0.7071 ||
|| 7.00 | 0.0013 | 0.0012 | 0.7071 ||
|| 7.25 | 0.0011 | 0.0008 | 0.7071 ||
|| 7.50 | 0.0009 | 0.0009 | 0.7071 ||
|| 7.75 | 0.0005 | 0.0013 | 0.7071 ||
|| 8.00 | 0.0003 | 0.0008 | 0.7071 ||
|| 8.25 | 0.0002 | 0.0006 | 0.7071 ||
|| 8.50 | 0.0001 | 0.0002 | 0.7071 ||
|| 8.75 | 0.0001 | 0.0001 | 0.7071 ||
|| 9.00 | 0.0001 | 0.0001 | 0.7071 ||
|| 9.25 | 0.0001 | 0.0001 | 0.7071 ||
|| 9.50 | 0.0001 | 0.0000 | 0.7071 ||
|| 9.75 | 0.0001 | 0.0000 | 0.7071 ||
||-------------------------------------||
||---------------------------------||
|| OPTIMAL TRAJECTORY OUTPUTS ||
||---------------------------------||
|| Time Scale => 1.0000 ||
|| Trade Rate Scale => 1.0000 ||
|| Cost Scale => 1.0000 ||
|| Mean Market Urgency => 0.7071 ||
|| Market Power => 0.0316 ||
|| Risk Aversion Scale => 0.7071 ||
||---------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
| Run Duration => 133 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
||--------------------------------------------------------||
|| ADAPTIVE OPTIMAL TRAJECTORY GENERATION INPUTS ||
||--------------------------------------------------------||
|| Order Size => 1.0000 ||
|| Order Execution Time => 10 ||
|| Ornstein Uhlenbeck Burstiness => 1.0000 ||
|| Ornstein Uhlenbeck Relaxation Time => 1.0000 ||
|| Coordinated Variation Reference Liquidity => 1.0000 ||
|| Coordinated Variation Reference Volatility => 1.0000 ||
|| Mean Variance Risk Aversion => 1.0000 ||
|| Number of Evolution Nodes => 40 ||
||--------------------------------------------------------||
||-------------------------------------||
|| ADAPTIVE OPTIMAL TRAJECTORY ||
||-------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Holdings ||
|| - Trade Rate ||
|| - Realized Cost ||
||-------------------------------------||
|| 0.00 | 1.0000 | 1.1658 | 0.0000 ||
|| 0.25 | 0.7085 | 0.4602 | 0.2061 ||
|| 0.50 | 0.5935 | 0.4544 | 0.2637 ||
|| 0.75 | 0.4799 | 0.8528 | 0.3114 ||
|| 1.00 | 0.2667 | 0.4657 | 0.3838 ||
|| 1.25 | 0.1503 | 0.1613 | 0.4057 ||
|| 1.50 | 0.1099 | 0.0892 | 0.4100 ||
|| 1.75 | 0.0877 | 0.0294 | 0.4117 ||
|| 2.00 | 0.0803 | 0.0269 | 0.4122 ||
|| 2.25 | 0.0736 | 0.0302 | 0.4126 ||
|| 2.50 | 0.0660 | 0.0223 | 0.4129 ||
|| 2.75 | 0.0605 | 0.0252 | 0.4132 ||
|| 3.00 | 0.0542 | 0.0095 | 0.4135 ||
|| 3.25 | 0.0518 | 0.0099 | 0.4135 ||
|| 3.50 | 0.0493 | 0.0092 | 0.4136 ||
|| 3.75 | 0.0470 | 0.0083 | 0.4137 ||
|| 4.00 | 0.0449 | 0.0130 | 0.4137 ||
|| 4.25 | 0.0417 | 0.0243 | 0.4138 ||
|| 4.50 | 0.0356 | 0.0554 | 0.4140 ||
|| 4.75 | 0.0217 | 0.0202 | 0.4143 ||
|| 5.00 | 0.0167 | 0.0224 | 0.4144 ||
|| 5.25 | 0.0111 | 0.0060 | 0.4145 ||
|| 5.50 | 0.0096 | 0.0049 | 0.4145 ||
|| 5.75 | 0.0084 | 0.0035 | 0.4145 ||
|| 6.00 | 0.0075 | 0.0033 | 0.4145 ||
|| 6.25 | 0.0067 | 0.0036 | 0.4145 ||
|| 6.50 | 0.0058 | 0.0056 | 0.4145 ||
|| 6.75 | 0.0044 | 0.0052 | 0.4145 ||
|| 7.00 | 0.0031 | 0.0047 | 0.4145 ||
|| 7.25 | 0.0019 | 0.0027 | 0.4145 ||
|| 7.50 | 0.0012 | 0.0013 | 0.4145 ||
|| 7.75 | 0.0009 | 0.0020 | 0.4145 ||
|| 8.00 | 0.0004 | 0.0010 | 0.4145 ||
|| 8.25 | 0.0001 | 0.0006 | 0.4145 ||
|| 8.50 | -0.0000 | -0.0001 | 0.4145 ||
|| 8.75 | -0.0000 | -0.0000 | 0.4145 ||
|| 9.00 | -0.0000 | -0.0000 | 0.4145 ||
|| 9.25 | -0.0000 | -0.0000 | 0.4145 ||
|| 9.50 | -0.0000 | -0.0000 | 0.4145 ||
|| 9.75 | -0.0000 | -0.0000 | 0.4145 ||
||-------------------------------------||
||---------------------------------||
|| OPTIMAL TRAJECTORY OUTPUTS ||
||---------------------------------||
|| Time Scale => 1.0000 ||
|| Trade Rate Scale => 1.0000 ||
|| Cost Scale => 1.0000 ||
|| Mean Market Urgency => 0.7071 ||
|| Market Power => 0.0316 ||
|| Risk Aversion Scale => 0.7071 ||
||---------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 2 ms
| Run Duration => 21 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||--------------------------------------------------------||
|| ADAPTIVE OPTIMAL TRAJECTORY GENERATION INPUTS ||
||--------------------------------------------------------||
|| Order Size => 1.0000 ||
|| Order Execution Time => 10 ||
|| Ornstein Uhlenbeck Burstiness => 1.0000 ||
|| Ornstein Uhlenbeck Relaxation Time => 1.0000 ||
|| Coordinated Variation Reference Liquidity => 1.0000 ||
|| Coordinated Variation Reference Volatility => 1.0000 ||
|| Mean Variance Risk Aversion => 1.0000 ||
|| Number of Evolution Nodes => 40 ||
||--------------------------------------------------------||
||-------------------------------------||
|| ADAPTIVE OPTIMAL TRAJECTORY ||
||-------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Holdings ||
|| - Trade Rate ||
|| - Realized Cost ||
||-------------------------------------||
|| 0.00 | 1.0000 | 0.7071 | 0.0000 ||
|| 0.25 | 0.8380 | 0.5925 | 0.1358 ||
|| 0.50 | 0.7022 | 0.4965 | 0.2298 ||
|| 0.75 | 0.5884 | 0.4161 | 0.2948 ||
|| 1.00 | 0.4931 | 0.3487 | 0.3398 ||
|| 1.25 | 0.4132 | 0.2922 | 0.3710 ||
|| 1.50 | 0.3462 | 0.2448 | 0.3925 ||
|| 1.75 | 0.2901 | 0.2052 | 0.4075 ||
|| 2.00 | 0.2431 | 0.1719 | 0.4178 ||
|| 2.25 | 0.2037 | 0.1441 | 0.4250 ||
|| 2.50 | 0.1707 | 0.1207 | 0.4300 ||
|| 2.75 | 0.1430 | 0.1012 | 0.4334 ||
|| 3.00 | 0.1199 | 0.0848 | 0.4358 ||
|| 3.25 | 0.1004 | 0.0710 | 0.4375 ||
|| 3.50 | 0.0842 | 0.0595 | 0.4387 ||
|| 3.75 | 0.0705 | 0.0499 | 0.4395 ||
|| 4.00 | 0.0591 | 0.0418 | 0.4400 ||
|| 4.25 | 0.0495 | 0.0350 | 0.4404 ||
|| 4.50 | 0.0415 | 0.0294 | 0.4407 ||
|| 4.75 | 0.0348 | 0.0246 | 0.4409 ||
|| 5.00 | 0.0291 | 0.0206 | 0.4410 ||
|| 5.25 | 0.0244 | 0.0173 | 0.4411 ||
|| 5.50 | 0.0204 | 0.0145 | 0.4412 ||
|| 5.75 | 0.0171 | 0.0122 | 0.4412 ||
|| 6.00 | 0.0143 | 0.0102 | 0.4412 ||
|| 6.25 | 0.0120 | 0.0086 | 0.4413 ||
|| 6.50 | 0.0100 | 0.0072 | 0.4413 ||
|| 6.75 | 0.0084 | 0.0060 | 0.4413 ||
|| 7.00 | 0.0070 | 0.0051 | 0.4413 ||
|| 7.25 | 0.0058 | 0.0043 | 0.4413 ||
|| 7.50 | 0.0048 | 0.0036 | 0.4413 ||
|| 7.75 | 0.0040 | 0.0031 | 0.4413 ||
|| 8.00 | 0.0033 | 0.0026 | 0.4413 ||
|| 8.25 | 0.0027 | 0.0022 | 0.4413 ||
|| 8.50 | 0.0022 | 0.0019 | 0.4413 ||
|| 8.75 | 0.0017 | 0.0017 | 0.4413 ||
|| 9.00 | 0.0013 | 0.0015 | 0.4413 ||
|| 9.25 | 0.0009 | 0.0014 | 0.4413 ||
|| 9.50 | 0.0006 | 0.0013 | 0.4413 ||
|| 9.75 | 0.0003 | 0.0012 | 0.4413 ||
||-------------------------------------||
||---------------------------------||
|| OPTIMAL TRAJECTORY OUTPUTS ||
||---------------------------------||
|| Time Scale => 1.0000 ||
|| Trade Rate Scale => 1.0000 ||
|| Cost Scale => 1.0000 ||
|| Mean Market Urgency => 0.7071 ||
|| Market Power => 0.0316 ||
|| Risk Aversion Scale => 0.7071 ||
||---------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
| Run Duration => 47 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 3 ms
|-----------------------------------------------------------------|
||------------------------------------------------------------------||
|| L -> R: ||
|| - Realized Market State ||
|| - Realized Volatility ||
|| - Realized Liquidity ||
|| - Liquidity/Volatility Status ||
||------------------------------------------------------------------||
|| [ 0.00] => -0.5000 | 1.2840 | 0.6065 | LIQUID, VOLATILE ||
|| [ 0.25] => -0.7042 | 1.4221 | 0.4945 | LIQUID, VOLATILE ||
|| [ 0.50] => -0.7616 | 1.4635 | 0.4669 | LIQUID, VOLATILE ||
|| [ 0.75] => -0.2258 | 1.1195 | 0.7979 | LIQUID, VOLATILE ||
|| [ 1.00] => -0.1578 | 1.0821 | 0.8541 | LIQUID, VOLATILE ||
|| [ 1.25] => -0.3486 | 1.1904 | 0.7056 | LIQUID, VOLATILE ||
|| [ 1.50] => -0.4267 | 1.2378 | 0.6527 | LIQUID, VOLATILE ||
|| [ 1.75] => -0.0416 | 1.0210 | 0.9593 | LIQUID, VOLATILE ||
|| [ 2.00] => -0.3264 | 1.1772 | 0.7216 | LIQUID, VOLATILE ||
|| [ 2.25] => -0.9548 | 1.6119 | 0.3849 | LIQUID, VOLATILE ||
|| [ 2.50] => -1.3411 | 1.9553 | 0.2616 | LIQUID, VOLATILE ||
|| [ 2.75] => -1.1107 | 1.7425 | 0.3293 | LIQUID, VOLATILE ||
|| [ 3.00] => -0.8531 | 1.5319 | 0.4261 | LIQUID, VOLATILE ||
|| [ 3.25] => -0.6905 | 1.4123 | 0.5013 | LIQUID, VOLATILE ||
|| [ 3.50] => -0.3180 | 1.1723 | 0.7276 | LIQUID, VOLATILE ||
|| [ 3.75] => 0.5649 | 0.7539 | 1.7593 | ILLIQUID, NON-VOLATILE ||
|| [ 4.00] => 0.1878 | 0.9104 | 1.2066 | ILLIQUID, NON-VOLATILE ||
|| [ 4.25] => -0.2420 | 1.1286 | 0.7850 | LIQUID, VOLATILE ||
|| [ 4.50] => 0.0168 | 0.9917 | 1.0169 | ILLIQUID, NON-VOLATILE ||
|| [ 4.75] => 0.8186 | 0.6641 | 2.2673 | ILLIQUID, NON-VOLATILE ||
|| [ 5.00] => 1.7052 | 0.4263 | 5.5027 | ILLIQUID, NON-VOLATILE ||
|| [ 5.25] => 1.2705 | 0.5298 | 3.5626 | ILLIQUID, NON-VOLATILE ||
|| [ 5.50] => 1.4898 | 0.4748 | 4.4360 | ILLIQUID, NON-VOLATILE ||
|| [ 5.75] => 0.4304 | 0.8064 | 1.5378 | ILLIQUID, NON-VOLATILE ||
|| [ 6.00] => 0.3369 | 0.8450 | 1.4005 | ILLIQUID, NON-VOLATILE ||
|| [ 6.25] => -0.0657 | 1.0334 | 0.9364 | LIQUID, VOLATILE ||
|| [ 6.50] => 0.7255 | 0.6958 | 2.0657 | ILLIQUID, NON-VOLATILE ||
|| [ 6.75] => 0.4580 | 0.7953 | 1.5809 | ILLIQUID, NON-VOLATILE ||
|| [ 7.00] => 0.9022 | 0.6369 | 2.4650 | ILLIQUID, NON-VOLATILE ||
|| [ 7.25] => 0.9158 | 0.6326 | 2.4988 | ILLIQUID, NON-VOLATILE ||
|| [ 7.50] => 0.8337 | 0.6591 | 2.3018 | ILLIQUID, NON-VOLATILE ||
|| [ 7.75] => -0.0100 | 1.0050 | 0.9900 | LIQUID, VOLATILE ||
|| [ 8.00] => 0.7917 | 0.6731 | 2.2071 | ILLIQUID, NON-VOLATILE ||
|| [ 8.25] => 0.4326 | 0.8055 | 1.5412 | ILLIQUID, NON-VOLATILE ||
|| [ 8.50] => 0.7186 | 0.6982 | 2.0516 | ILLIQUID, NON-VOLATILE ||
|| [ 8.75] => 0.8524 | 0.6530 | 2.3453 | ILLIQUID, NON-VOLATILE ||
|| [ 9.00] => -0.2849 | 1.1531 | 0.7521 | LIQUID, VOLATILE ||
|| [ 9.25] => -0.3430 | 1.1871 | 0.7096 | LIQUID, VOLATILE ||
|| [ 9.50] => -0.4711 | 1.2656 | 0.6243 | LIQUID, VOLATILE ||
|| [ 9.75] => -0.3921 | 1.2166 | 0.6756 | LIQUID, VOLATILE ||
||------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 3 ms
| Run Duration => 10 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------------------------------||
| HIGH URGENCY vs. ALMGREN 2012 STATIC TRAJECTORY COMPARISON ||
|-------------------------------------------------------------||
| L -> R: ||
| - Time ||
| - Almgren 2012 Holdings ||
| - Almgren 2012 Trade Rate ||
| - Almgren 2012 Transaction Cost ||
| - High Urgency Asymptote Holdings ||
| - High Urgency Asymptote Trade Rate ||
| - High Urgency Asymptote Transaction Cost ||
|-------------------------------------------------------------||
| 0.25 => 0.542 | 0.332 | 1.650 | 0.542 | 0.332 | 1.799 ||
| 0.50 => 0.294 | 0.180 | 0.462 | 0.294 | 0.180 | 0.529 ||
| 0.75 => 0.159 | 0.098 | 0.129 | 0.159 | 0.098 | 0.155 ||
| 1.00 => 0.086 | 0.053 | 0.036 | 0.086 | 0.053 | 0.046 ||
| 1.25 => 0.047 | 0.029 | 0.010 | 0.047 | 0.029 | 0.013 ||
| 1.50 => 0.025 | 0.016 | 0.003 | 0.025 | 0.016 | 0.004 ||
| 1.75 => 0.014 | 0.008 | 0.001 | 0.014 | 0.008 | 0.001 ||
| 2.00 => 0.007 | 0.005 | 0.000 | 0.007 | 0.005 | 0.000 ||
| 2.25 => 0.004 | 0.002 | 0.000 | 0.004 | 0.002 | 0.000 ||
| 2.50 => 0.002 | 0.001 | 0.000 | 0.002 | 0.001 | 0.000 ||
| 2.75 => 0.001 | 0.001 | 0.000 | 0.001 | 0.001 | 0.000 ||
| 3.00 => 0.001 | 0.000 | 0.000 | 0.001 | 0.000 | 0.000 ||
| 3.25 => 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 ||
| 3.50 => 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 ||
| 3.75 => 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 ||
| 4.00 => 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 ||
| 4.25 => 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 ||
| 4.50 => 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 ||
| 4.75 => 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 ||
| 5.00 => 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
| Run Duration => 20 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------------------------------||
| LOW URGENCY vs. ALMGREN 2012 STATIC TRAJECTORY COMPARISON ||
|-------------------------------------------------------------||
| L -> R: ||
| - Time ||
| - Almgren 2012 Holdings ||
| - Almgren 2012 Trade Rate ||
| - Almgren 2012 Transaction Cost ||
| - Low Urgency Asymptote Holdings ||
| - Low Urgency Asymptote Trade Rate ||
| - Low Urgency Asymptote Transaction Cost ||
|-------------------------------------------------------------||
| 0.25 => 0.949 | 0.051 | 0.474 | 0.949 | 0.050 | 0.486 ||
| 0.50 => 0.897 | 0.051 | 0.448 | 0.897 | 0.050 | 0.458 ||
| 0.75 => 0.846 | 0.051 | 0.422 | 0.846 | 0.050 | 0.431 ||
| 1.00 => 0.796 | 0.051 | 0.396 | 0.796 | 0.050 | 0.403 ||
| 1.25 => 0.745 | 0.051 | 0.370 | 0.745 | 0.050 | 0.376 ||
| 1.50 => 0.695 | 0.050 | 0.345 | 0.695 | 0.050 | 0.350 ||
| 1.75 => 0.644 | 0.050 | 0.319 | 0.644 | 0.050 | 0.323 ||
| 2.00 => 0.594 | 0.050 | 0.294 | 0.594 | 0.050 | 0.297 ||
| 2.25 => 0.544 | 0.050 | 0.269 | 0.544 | 0.049 | 0.272 ||
| 2.50 => 0.494 | 0.050 | 0.244 | 0.494 | 0.049 | 0.246 ||
| 2.75 => 0.445 | 0.050 | 0.220 | 0.445 | 0.049 | 0.221 ||
| 3.00 => 0.395 | 0.050 | 0.195 | 0.395 | 0.049 | 0.196 ||
| 3.25 => 0.345 | 0.050 | 0.170 | 0.345 | 0.049 | 0.171 ||
| 3.50 => 0.296 | 0.049 | 0.146 | 0.296 | 0.049 | 0.146 ||
| 3.75 => 0.247 | 0.049 | 0.122 | 0.247 | 0.049 | 0.122 ||
| 4.00 => 0.197 | 0.049 | 0.097 | 0.197 | 0.049 | 0.097 ||
| 4.25 => 0.148 | 0.049 | 0.073 | 0.148 | 0.049 | 0.073 ||
| 4.50 => 0.099 | 0.049 | 0.049 | 0.099 | 0.049 | 0.049 ||
| 4.75 => 0.049 | 0.049 | 0.024 | 0.049 | 0.049 | 0.024 ||
| 5.00 => 0.000 | 0.049 | 0.000 | 0.000 | 0.000 | 0.000 ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:04 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 28 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||----------------------------------------------------||
|| L -> R: ||
|| - Time ||
|| - Exact Solution ||
|| - Order 1 Initial + Enhanced Euler ||
|| - Order 0 Initial + Enhanced Euler ||
|| - Order 1 Initial + Regular Euler ||
|| - Order 0 Initial + Regular Euler ||
||----------------------------------------------------||
|| 0.2 => 6.517 | 6.500 | 5.000 | 6.500 | 5.000 ||
|| 0.3 => 4.858 | 4.850 | 4.200 | 4.025 | 3.800 ||
|| 0.4 => 4.033 | 4.119 | 3.731 | 3.412 | 3.296 ||
|| 0.5 => 3.541 | 3.678 | 3.416 | 3.072 | 2.998 ||
|| 0.6 => 3.216 | 3.378 | 3.188 | 2.850 | 2.799 ||
|| 0.7 => 2.986 | 3.160 | 3.014 | 2.693 | 2.655 ||
|| 0.8 => 2.816 | 2.993 | 2.878 | 2.575 | 2.547 ||
|| 0.9 => 2.685 | 2.861 | 2.768 | 2.485 | 2.462 ||
|| 1.0 => 2.582 | 2.754 | 2.678 | 2.413 | 2.395 ||
||----------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 4 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 3 ms
|-----------------------------------------------------------------|
|-------------------------------------------||
| STATIC CONTINUOUS OPTIMAL TRAJECTORY ||
|-------------------------------------------||
| L -> R: ||
| - Time ||
| - Holdings ||
| - Trade Rate ||
| - Transaction Cost Expectation ||
| - Transaction Cost Volatility ||
|-------------------------------------------||
| 0.25 => 0.860 | 0.130 | 0.584 | 0.736 ||
| 0.50 => 0.739 | 0.112 | 0.436 | 0.629 ||
| 0.75 => 0.635 | 0.096 | 0.327 | 0.537 ||
| 1.00 => 0.546 | 0.083 | 0.246 | 0.458 ||
| 1.25 => 0.468 | 0.072 | 0.185 | 0.390 ||
| 1.50 => 0.401 | 0.062 | 0.140 | 0.330 ||
| 1.75 => 0.344 | 0.054 | 0.107 | 0.279 ||
| 2.00 => 0.294 | 0.047 | 0.082 | 0.234 ||
| 2.25 => 0.250 | 0.040 | 0.063 | 0.196 ||
| 2.50 => 0.213 | 0.035 | 0.049 | 0.162 ||
| 2.75 => 0.180 | 0.031 | 0.038 | 0.133 ||
| 3.00 => 0.151 | 0.027 | 0.029 | 0.107 ||
| 3.25 => 0.125 | 0.024 | 0.023 | 0.085 ||
| 3.50 => 0.102 | 0.021 | 0.018 | 0.065 ||
| 3.75 => 0.082 | 0.019 | 0.014 | 0.048 ||
| 4.00 => 0.064 | 0.018 | 0.010 | 0.034 ||
| 4.25 => 0.046 | 0.017 | 0.007 | 0.022 ||
| 4.50 => 0.030 | 0.016 | 0.005 | 0.012 ||
| 4.75 => 0.015 | 0.015 | 0.002 | 0.004 ||
| 5.00 => 0.000 | 0.015 | 0.000 | 0.000 ||
|-------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 3 ms
| Run Duration => 7 ms
|-----------------------------------------------------------------|