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quant 0.8

Enterprise architecture for quantitative analysis in finance.

Package Documentation

Welcome to Quant

Quant is an enterprise software application for quantitative analysis. Quant combines SciPy and DomainModel.

Quant contains a domain model which has exchanges, symbols, markets, price histories, price processes, images, books, contracts of different types, pricers, pricing preferences, and reports.

Quant has a domain-specific language (Quant DSL) for expressing and evaluating contracts in a generic manner.

Quant has a Web user interface, and an API for machine clients. Quant has a flexible role-based access controller. There is a Web admin interface, and also command line programs to support site setup and administration.

Quant can be extended by adding new price processes, custom contract types, and alternative pricers. Quant is currently distributed with a Black Scholes price process. There are contract types for American, Binary, European, Futures, and for expressing contracts with Quant DSL. There are pricers implementing the Monte Carlo, binomial tree, and Black Scholes methods. There is a pricer for contract types based on the Quant DSL which involves the Longstaff Schwartz least-squares Monte Carlo (LSM) method.

Other features we are planning to implement include:

  • Market prices pulled from exchange APIs;
  • Integration with common spreadsheet applications;
  • State machine enhancements to DSL;
  • Different price processes (e.g local volatility).

If you would like to suggest a feature, please get in touch!

Website

Please visit the Quant project website.

Install Guide

Welcome to the Quant Install Guide.

It is very easy to create new Quant services. Either do it all manually or use the Quant installer. Afterwards, simply configure and restart Apache.

The Quant installer will deploy Quant into a new virtual Python environment. New services are set up with an SQLite database. Installer options exist for using other database management systems, and it is possible to migrate between different database management system after the service is created.

Operating System Dependencies

Before installation, make sure required system packages are installed:

$ sudo aptitude install python python-numpy python-scipy sqlite3

If you are using Python 2.5, you will also need a few other packages:

$ sudo aptitude install build-essential python-dev libsqlite3-dev

Check your Python can load scipy with (returns silently if available):

$ python -c "import numpy"
$ python -c "import scipy"

Please note, if you will install Quant into an isolated virtual Python environment (e.g. with virtualenv), you will want to create library links to the Python packages for SciPy (and NumPy) before installing Quant.

Manual Code Install

Install the Quant Python package (and dependencies) either by running:

$ pip install quant

Or by downloading the Quant tarball, unpacking and running:

$ python setup.py install

After installation, please read the following help pages for more information:

$ quant-makeconfig --help
$ quant-admin help setup

Manual Site Setup

Decide a filesystem path for the new site:

$ mkdir PATH

Create the new site configuration file:

$ quant-makeconfig --master-dir=PATH  PATH/quant.conf

Set up the new site with the new configuration:

$ quant-admin setup --config=PATH/quant.conf

Please note, if you installed Quant into an isolated virtual Python environment, you will want to use the --virtualenv-bin-dir option of quant-makeconfig.

The configuration file defines the filesystem path to the newly generated Apache configuration file. You will need to need to include this file in the main Apache configuration.

Automated Install and Deploy

You can create a Quant service in one step with the Quant installer.

The installer will build a virtual Python environment, and install the Quant software. The installer will then set up a new site with an SQLite database, and it will create an Apache config file to be included in the main Apache configuration (see below).

Download the Quant installer (and make it executable):

$ curl -O http://appropriatesoftware.net/provide/docs/quant-virtualenv
$ chmod +x quant-virtualenv

Run the Quant installer. Note that the PATH folder should never be under DocumentRoot of the Apache installation or any other directory exposed via Apache web server:

$ ./quant-virtualenv PATH

Please note, the path argument is required (and can be relative or absolute).

After the installer has completed, continue by configuring Apache with a new VirtualHost, check file ownership and permissions, and restart.

The installer will diplay the filesystem path to the newly generated Apache configuration file. You will need to need to include this file in the main Apache configuration.

Apache Configuration Steps

Make sure the required system packages are installed:

$ sudo aptitude install apache2 libapache2-mod-wsgi

Also, make sure Apache mod_wsgi is enabled:

$ sudo a2enmod wsgi

Pick a domain name for your site. Create a new virtual host which includes the Quant Apache configuration (path mentioned by the installer).

Print the path to the Quant Apache configuration file with:

$ quant-admin www path --config PATH/etc/quant.conf

A new Apache virtual host could simply look like this:

<VirtualHost *:80>
    ServerName YOUR-QUANT-SITE
    Include PATH/var/httpd-autogenerated.conf
    WSGIDaemonProcess quant threads=25 maximum-requests=1000
</VirtualHost>

Please note, the path to the auto-generated file must be an absolute path (not a relative path).

If necessary, configure your DNS for YOUR-QUANT-SITE.

File Ownership

Change ownership of Quant files to Apache (or to the user which the WSGI daemon process runs as):

$ chown -R {www-user}:{www-user} PATH

Restart Apache

Once everything is configured, try to restart Apache:

$ sudo /etc/init.d/apache2 restart

Your virtual host will show a page saying 'Welcome to Quant'.

Login with username 'admin' and password 'pass'.

Contact

If you have any difficulties or questions about Quant, please email:

quant-support@appropriatesoftware.net

Please note, at the moment, Quant is developed and tested on Ubuntu 10.10 (64 bit) with Python 2.7. Quant should work on any recent Linux distribution.

About

Quant is a project of the Appropriate Software Foundation. Please refer to the Quant website for more information.

 
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