reefledge 1.4.0b6

A powerful API designed for Quantitative Finance practitioners.

reefledge is a Python/Cython package which provides a fast, simple and powerful API designed to simplify the consumption of cutting-edge density forecasting model outputs. These are generated from market data on liquid financial instruments and are the result of demanding estimation and simulation processes on a high-performance cloud cluster. Data is produced for a wide range of reference dates and asset classes, yielding forecasts for a variety of time horizons and metrics.

Main Features

Here are just a few of the things that make reefledge special:

• Intuitive object oriented interface.

• Type checking at runtime of all public functions/methods.

• Tight integration with Microsoft Excel.

• Fast and robust Cython codebase.

• Multithreading capabilities to overcome I/O overheads.

• Smart and ‘respectful’ (in terms of RAM usage) caching.

• Efficient and highly available back end, featuring global load balancing, optimized connection pooling and extensive database table partitioning, besides an intelligent use of indexes to speed up SQL queries (not to mention full use of SSD disks).

Installation

The easiest way to install reefledge and get updates is via pip:

$ pip install reefledge

On Linux, the shell command above should return an error due to the xlwings module dependency, which is only relevant on the Windows platform. You can safely ignore it by preceding the installation command with:

$ export INSTALL_ON_LINUX=1

Basic Usage

>>> import reefledge as rl
>>> rl.login(user_name='foobar', api_key='secret')
>>> df = rl.get_point_forecasts_df( # Returns a pandas DataFrame instance.
        target='USA',
        metric='STD',
        tickers=['GS', 'IBM'])

Generic Error Catching

>>> try:
        rl.get_point_forecasts_df(target='USA', metric='STD', tickers='GS')
    except rl.Error as exc:
        print(exc)

Basic Configuration

>>> rl.APIConfig.allow_caching
True
>>> rl.APIConfig.allow_tickers_sorting
False
>>> rl.APIConfig.allow_caching = False # Disable caching.

Notes

Further examples assume that reefledge has been imported as rl:

>>> import reefledge as rl