xlwings Open Source in Quant Finance Conference

(Frankfurt/Eschborn)

5 June 2015 Felix Zumstein, CFA

About me • Startup (2014, Zurich): – Mainly Python for Finance – Web based trading solutions (Interactive Brokers) – Lots of Excel – Open-source: xlwings/ExcelPython • Previously: 9yrs in Banking /Asset Mgmt • Background in Finance & Economics

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What’s in this talk?

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The open-source Python/Excel Landscape

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• Pywin32 •  xlwings • ExcelPython

Read/Write Program/Interact •  xlwt/xlrd • XlsxWriter • OpenPyxl

Why xlwings? – 6 Reasons

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(1) Installation

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•  pip/conda install xlwings •  or equally easy:

(2) Cross-Platform

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+

(3) Flexibility

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Version

2.6 2.7 3.1 3.2 3.3 3.4

32-bit 64-bit

32-bit 64-bit

2003 2010 2011 (Mac) 2013 2016 (Win + Mac*)

Architecture Version Architecture

*under development

(4) Simplicity

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>>>  from  xlwings  import  Workbook,  Range    

>>>  wb  =  Workbook()  >>>  Range("A1").value  =  my_variable  

•  Strings •  Numbers •  DateTime •  Lists (nested) •  NumPy arrays •  Pandas DataFrames •  Blaze Data container (planned)

(5) Works back and forth

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>>>  wb  =  Workbook()  >>>  Range("A1").value  =  my_variable  

Sub  MyFunction()    RunPython  ("import  mymodule;mymodule.myfunction()")  End  Sub  

(6) ExcelPython for UDFs (Windows only)

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from  xlpython  import  xlfunc  import  numpy  as  np    

@xlfunc  def  matrix_mult(x,  y):          x  =  np.atleast_2d(np.array(x))          y  =  np.atleast_2d(np.array(y))          return  x.dot(y)  

{=matrix_mult(A1:B2,D1:E2)}  

Access from Excel via Array Formula:

Write User Defined Functions in Python:

What’s next?

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What’s next?

• Add-in • Full integration of xlwings/ExcelPython • Add more features: matplotlib etc. •  Someday… – Google Sheets – LibreOffice/OpenOffice

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julia>  using  PyCall  julia>  @pyimport  xlwings  as  xw    julia>  xw.Workbook()  julia>  xw.Range("A1",  asarray=true)[:table][:value]    

Use xlwings from Julia

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>>>  from  xlwings  import  Workbook,  Range    

>>>  wb  =  Workbook()  >>>  Range("A1",  asarray=True).table.value  

DEMO xlwings.org

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