Guardian

This section deals mainly with Guardian, Guardian is another RiskQuantLib project in addition to the current one. However, it does not perform any data processing logic, and it cannot perform any data analysis tasks on its own. Its only role is to provide source code to the Guarded Project .

Why Guardian Is Needed

Usually, a data project has many tool functions in addition to the data processing logic. These tool functions have nothing to do with the specific data processing, but are indispensable. For example, the function to calculate the date, the function to calculate the volatility surface interpolation for options. To meet the needs of exploratory data analysis, each project may have a date calculation function of its own. But if you want a stable application to run every day, having so many of the same functions is not a wise choice.

That is why we need Guardian Project, also called Guardian. Generally speaking, RiskQuantLib project only generates and modifies its own source code when built, but Guardian can generate and modify the code of other RiskQuantLib projects that located in other paths. You can put functions that will be used in several similar projects in the Guardian and distribute the code by build the Guardian. If there is a need to make changes someday, then just change the Guardian and build it again.

For example, if you are working on a multi-factor stock investment model, you can have three separate data projects for backtesting, parameter search, and daily update. It is very convenient to create a new multifactor guard project and put all the common date functions, matrix eigenfunctions, and other utility functions into the guard project and control them in a unified way.

Of course, using a Guardian will make it necessary to make a corresponding change to the Guardian every time you change the name of the project, or when you change the location of the guarded project. However, once the guarded project is built, the code becomes native to the guarded project, and unless the channel is overwritten by an update, the code is unaffected no matter how you change the name of the file or the directory of the project.

How To Use Guardian

As we learned in the previous section, the Src folder allows you to aggregate source code in one place, categorize the source code by data process logic, and use Comment Control Syntax to tell RiskQuantLib which source file to insert that source code into. Typically, the Src folder is located under the current data engineering project. The Src folder is created when you create a project using the newRQL command.

In practice, however, the Src folder can be located anywhere and does not necessarily need to be in the current data project directory. The Src folder can also have a different name.

If you put the Src folder outside the root path of current project, you need to specify the location of the Src folder at build time, using -r yourSrcPath to tell RiskQuantLib to use the yourSrcPath folder as the component folder instead of the default Src folder. The specific command is as follows:

python build.py -r yourSrcPath

More critically, the same data project can have more than one component folder. When there is more than one component folder, different components make changes to the target data project via different channels , and the -c parameter needs to be used at compile time to specify the name of the channel.

Imagine that your data project A may need a lot of logic to handle data, and they are located inside the A/Src . But at the same time, your project also needs a lot of tool functions, such as a function that calculates what day the third Friday of each month is, and so on. These functions are located in the Src component folder under the B project.

For the A project to work properly, you need the code in both A/Src and B/Src. In this case, A, which handles the data-process logic, is called the guarded project, and B, which provides the tool functions, is called the guard project or Guardian. Go to the A project directory and run each of the following two commands to make the code in both component folders work at the same time:

python build.py
python build.py -r B/Src -c guardian

The first command means to use the Src component folder under A project and the default channel to build it. The second command means to use the B/Src component folder and the guardian channel to build it.

When different channels make changes to the same Tag, the last channel in effect overwrites the previous channel. If components from different channels make changes to different Tags, they do not affect each other.

If you are not sure what a Tag is, you can refer to Component.