Standard output
|-----------------------------------------------------------------|
| 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 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| Daily Volume 5 million Shares : 2.5E-7
| VaR Confidence Level : 90.00%
| VaR Based Risk Aversion : 1.644853625446558
|
| Daily Volatility : 0.9487
| Daily Returns : 0.0200
| Temporary Impact Fixed Offset : 0.0625
| Eta : 2.5E-6
| Gamma : 2.5E-7
|---------------------------------------------||
|-----------------------------||
| Optimal Trading Trajectory ||
| ------- ------- ---------- ||
| L -> R: ||
| Time Node ||
| Holdings ||
| Trade Amount ||
|-----------------------------||
| 0 => 1000000.0 | 000000.0 ||
| 1 => 0457103.2 | -542896.8 ||
| 2 => 0207736.9 | -249366.2 ||
| 3 => 0091769.8 | -115967.2 ||
| 4 => 0034732.9 | -057036.8 ||
| 5 => 0000000.0 | -034732.9 ||
|-----------------------------||
|----------------------------------------------------------------||
| TRANSACTION COST RECONCILIATION: OPTIMAL vs. EXPLICIT LINEAR ||
|----------------------------------------------------------------||
| Transaction Cost Expectation : 1077717.5 | 1077717.5 ||
| Transaction Cost Variance (X 10^-06) : 0235561.7 | 0235561.7 ||
|----------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Finish Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 6 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 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| Daily Volume 5 million Shares : 2.5E-7
| VaR Confidence Level : 90.00%
| VaR Based Risk Aversion : 1.644853625446558
|
| Daily Volatility : 0.9487
| Daily Returns : 0.0200
| Temporary Impact Fixed Offset : 0.0625
| Eta : 2.5E-6
| Gamma : 2.5E-7
|---------------------------------------------||
|-----------------------------||
| Optimal Trading Trajectory ||
| ------- ------- ---------- ||
| L -> R: ||
| Time Node ||
| Holdings ||
| Trade Amount ||
|-----------------------------||
| 0 => 1000000.0 | 000000.0 ||
| 1 => 0464009.1 | -535990.9 ||
| 2 => 0215560.1 | -248449.0 ||
| 3 => 0098451.1 | -117109.0 ||
| 4 => 0039049.6 | -059401.6 ||
| 5 => 0000000.0 | -039049.6 ||
|-----------------------------||
|----------------------------------------------------------------||
| TRANSACTION COST RECONCILIATION: OPTIMAL vs. EXPLICIT LINEAR ||
|----------------------------------------------------------------||
| Transaction Cost Expectation : 1044638.7 | 1044638.7 ||
| Transaction Cost Variance (X 10^-06) : 0245697.9 | 0245697.9 ||
|----------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:36 EST 2020
| Setup Time => Mon Jan 27 00:35:36 EST 2020
| Finish Time => Mon Jan 27 00:35:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 ms
|-----------------------------------------------------------------|