Friday, August 19, 2011

Quartz - key points of my 2011 learning

Qz object/data models -- primarily 1) models for positions, but also
models for trades, market data, ref data. Another mail will describe the
key models.

Qz database -- object DB, possibly in-memory, but persisted in files.
Written in c++ for performance but main api is python. This ODB can be a
backend to replace distributed caches to scale computations onto a grid.

Qz usage -- 1) market-risk 2) pricing/valuation. You can tell who's the
#1 target user -- The dev team is named "global markets risk systems"

Qz implementation -- ODB database + dependency graph, tightly
integrated.

WPF is a non-core feature. I feel the creators added WPF (and java)
bindings on top of the DB and models. Once the data models are sound and
coherent, it's fairly easy to provide read/write access in WPF. Since
WPF is hard, python was added on top of WPF as a simplified "driver"
language. "Business logic resides solely in the objects; UI is just the
presentation layer."

The core object models are written in c++, manipulated in python. Most
of the model logic is probably in python.

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New York (Time Square), NY, United States
http://www.linkedin.com/in/tanbin