qf-lib 1.2

Quantitative Finance Library

QF-Lib

This document will guide you through the installation process and will help you configure the library.

Prerequisites

It is assumed that you have already installed Python 3.9.

The library uses WeasyPrint to export documents to PDF. WeasyPrint requires additional dependencies, check the following link for platform-specific instructions for Linux, macOS and Windows installation: https://weasyprint.readthedocs.io/en/stable/install.html.

In order to facilitate the GTK3+ installation process for Windows you can use installers available at: https://github.com/tschoonj/GTK-for-Windows-Runtime-Environment-Installer/releases. Download and run the latest gtk3-runtime-x.x.x-x-x-x-ts-win64.exe file to install the GTK3+.

Installation (using requirements.txt)

In the qf_lib directory (same one where you found this file after cloning the repository) execute the following command: python -m pip install -r requirements.txt. This will install all necessary python dependencies.

Installation (from sources)

In the qf_lib directory (same one where you found this file after cloning the repository) execute the following command: python setup.py install

[Optional] Tips on how to install optional data providers

• Bloomberg API (version: 3.16.2) installation:
  • python -m pip install --index-url=https://bcms.bloomberg.com/pip/simple/ blpapi==3.16.2
  • Prebuilt binaries are provided for Python 2.7, 3.6, 3.7, 3.8 and 3.9 in both 32 and 64 bits, for Windows, macOS, and most versions of Linux. On Linux, 'pip' >= 19.0 is required to install these binaries.
• Quandl Data Provider (version: 3.6.1):
  • python -m pip install quandl==3.6.1
• Interactive Brokers platform installation:
  • Download the TWS API Stable for your operating system (Version: API 9.76).
  • Link for windows msi file: http://interactivebrokers.github.io/downloads/TWS%20API%20Install%20976.01.msi.
  • Install TWS API by running the downloaded file.
  • Go to TWS API\source\pythonclient and run python setup.py install.

Configuration

Starting directory

Starting directory is used to turn relative paths into absolute paths. In many places you'll be required to specify a path which should be relative to the starting directory. To set up starting directory one needs to either:

• call set_starting_dir_abs_path("C:\abs\path\to\starting\directory")
• or set QF_STARTING_DIRECTORY environment variable and put as value path to the project.
• For example the path might look like this: C:\Users\user_name\workspace\qf-lib

Advanced configuration - Settings files

Many components from qf-lib require the Settings object as a dependency. To create it one needs to put in their Python code:

from qf_lib.settings import Settings


settings_path = ...
secret_settings_path = ...
settings = Settings(settings_path, secret_settings_path)

where settings_path is an absolute path of your file containing settings (JSON, described later) used by the application and the secret_settings_path which is complementary to the settings file but contains secret data (e.g. passwords) and thus mustn't be added to the CVS. When Settings object is created, it:

• loads settings defined in the settings.json file
• loads settings defined in the secret_settings.json file (if the file exists)
• loads settings defined in the QUANTFIN_SECRET environment variable (if the secret_settings.json file doesn't exist)
• merges both loaded sets of settings together.

Sample content of the settings.json:

{
  "some_setting": "value of that setting",
  "another_setting": "value of another setting",
  "some_connection_settings": {
    "username": "john.smith"
  }
}

Sample content of the secret_settings.json:

{
  "some_connection_settings": {
    "password": "my_secret_pass"
  }
}

QF-Lib used settings

You may define your own settings and later on have them loaded into Settings object. However there are some, which are required for some QF-Lib components to work correctly.

• Sample settings can be found in demo configuration \qf-lib\demo_scripts\demo_configuration\config_files\demo_settings.json
• Sample secret settings can be found in demo configuration \qf-lib\demo_scripts\demo_configuration\config_files\demo_secret_settings.json

NOTICE: all paths used in the settings should be relative to the starting directory. (which can be set either by using set_starting_dir_abs_path(path) function or by setting QF_STARTING_DIRECTORY environment variable)

Below you'll find a list of examples that can be put into settings

company_name and logo_path (optional)

settings.json:

    "company_name": "Sample Org Name",
    "logo_path": "path/to/logo.jpg"

Used by components producing tearsheets (in a form of PDFs). The company name and a logo is put in the header of those tearsheets.

document_css_directory (optional)

settings.json:

    "document_css_directory": "input/elements_css"

Setting used by the PDFExporter component to style the elements put in PDFs (e.g. tables, paragraphs, etc.). If document_css_directory is not specified then the default style will be applied.

bloomberg (optional)

settings.json:

  "bloomberg": {
    "host": "localhost",
    "port": 8194
  }

Used by the BloombergDataProvider. To have this component running, first you need to have a Bloomberg subscription. Then you need to have the BLPAPI running somewhere. Then you need to specify where the API is running by specifying its host and port.

email_templates_directory (optional)

settings.json:

  "email_templates_directory": "input/email_templates"

Setting used by the EmailPublisher. Email templates are HTML templates with placeholders (e.g. {{user.name}}).

output_directory

settings.json:

  "output_directory": "output"

A relative path to the directory into which different components will put their output (e.g. generated tearsheets).

smtp (optional)

settings.json:

  "smtp": {
    "host": "smtp.server.pl",
    "port": 587,
    "domain": "SOME_DOMAIN",
    "tls": true,
    "sender": "[e-mail]"
  }

secret_settings.json:

  "smtp": {
    "username": "sample_user",
    "password": "VeryStrong P4ssw0rd with s0me Polish special characters (to confuse the hacker)"
  }

SMTP settings used by the EmailPublisher.