Configuration

Environment

scrilla scans the environment in its settings.py file for shell environment variables. Various properties of the application can be configured through these environment variables. A sample environment file is located here, along with comments describing the purpose of each variable. The application sets sensible defaults for most of these environment variables, but there are several required environment variables you will need to set yourself.

Required Configuration

NOTE: If no API keys are found through either of the following methods, the application will not function properly.

Environment Variables

You will need to register for API keys at AlphaVantage, IEX and Quandl in order to retrieve financial data. One way of passing API keys to the program is by storing these in your session’s environment. scrilla will search for environment variables named ALPHA_VANTAGE_KEY, QUANDL_KEY and IEX_KEY. You can add the following lines to your .bashrc profile or corresponding configuration file for whatever shell you are using, or simply execute these lines before invoking scrilla

export ALPHA_VANTAGE_KEY=<key goes here>
export QUANDL_KEY=<key goes here>
export IEX_KEY=<key goes here>

The next invocation of scrilla will detect these variables and automatically append the credentials to services calls.

Local Storage

You can also invoke the CLI function store to store the credentials in the local installation’s /data/common/ directory. To do so,

scrilla store -key <key> -value <value>

where <key> is one of the values: ALPHA_VANTAGE_KEY, QUANDL_KEY or IEX_KEY. <value> is the corresponding key itself given to you after registration. <value> is case-sensitive! Keep in mind if using this method to store the API keys, the keys will be stored unencrypted in the local /data/common/ directory.

Optional Configuration

scrilla can be configured with the following optional environment variables. Each variable in this list has a suitable default set and so does not need changed unless the user prefers a different setting. Set these values in your shell profile or export them directly from your current session, i.e.

export RISK_FREE=ONE_YEAR
scrilla risk-free # returns one year risk free rate
export RISK_FREE=THREE_YEAR
scrilla risk-free # returns three year risk free rate

  • ANALYSIS_MODE

The asset price model assumed during the estimation of statistics. A value ofgeometric corresponds geometric brownian motion model where the return is proportional to the asset price. The constant of proportionality is a random variable with a constant mean and volatility. A value of reversion refers to a mean reverting model where the return is proportional to the difference between the asset price and a stationary mean. The unit of proportionality is a random variable with constant mean and volatility.

Note, it is highly recommended that if you change this value, you should clear the cache, as the cache stores frequent statistical calculations to speed up the program. The previous values of the statistics calculated under the prior model will be referenced and result in incorrect calculations.

  • CACHE_MODE

By default, CACHE_MODE is set equal to sqlite. In this mode, the cache uses a SQLite flat file to store price histories and statistical calculations on the local filesystem. The CACHE_MODE can also be set to dynamodb to store these quantities in a cloud-based DynamoDB table. In order for thedynamodb mode to work, the user/service using scrilla must have a role with read/write privileges on the tables: prices, interest, profile and correlation. These tables will be created if they do not exist, assuming the role grants the correct privileges to the process executing scrilla. Refer to the Deployment for more information on configuring your IAM role for scrilla.

  • DEFAULT_ESTIMATION_METHOD

Determines the method used to calculate risk-return profiles. If set to moments, the return and volatility will be estimated by setting them equal to the first and second sample moments. If set to percents, the return and volatilty will be estimated by setting the 25th percentile and 75th percentile of the assumed distribution (see above ANALYSIS_MODE) equal to the 25th and 75th percentile from the sample of data. If set to likely, the likelihood function calculated from the assumed distribution (see ANALYSIS_MODE again) will be maximized with respect to the return and volatility; the values which maximize will be used as the estimates.

  • RISK_FREE

Determines which annualized US-Treasury yield is used as stand-in for the risk free rate. This variable will default to a value of ONE_YEAR, but can be modified to any of the following: ONE_MONTH, THREE_MONTH, SIX_MONTH, ONE_YEAR, THREE_YEAR, FIVE_YEAR, TEN_YEAR, THIRTY_YEAR.

  • MARKET_PROXY

Determines which ticker symbol is used as a proxy for the overall market return. This variable will default to a value of SPY, but can be set to any ticker on the stock market. Recommended values: SPY, QQQ, DJI or VTI.

  • FRONTIER_STEPS

Determines the number of data points in a portfolio’s efficient frontier. This variable will default to a value of 5, but can be set equal to any integer.

  • MA_1, MA_2, MA_3

Determines the number of days used in the sample for moving average series and plots. These variables default to the values of 20, 60 and 100. In other words, by default, moving average plots will display the 20-day moving average, the 60-day moving average and the 100-day moving average. These variables can be set equal to any integer, as long as MA_1, MA_2, MA_3.

  • FILE_EXT

Determines the type of files that are output by scrilla. This variable is currently only defined for an argument of json. A future release will include csv.

  • LOG_LEVEL

Determines the amount of output. Defaults to info. Allowable values: none, info, debug or verbose. Be warned, verbose is extremely verbose.