F# for Trading talk at NYC meetup on May 1st 2013

1. F# FOR TRADING
Phil Trelford
Trayport
NYC 2013

2. F#UNCTIONAL
LONDONERS
500+ Members
Founded Feb 4, 2010
37 Meetings

3. NEW YORK CITY
F# USER GROUP
500+ Members
Founded Nov 10, 2010
25 Meetings

4. FSHARP.ORG/GROUPS

5. WHO, WHY, WHAT F# for Trading

6. WHO?
Investment Banks
Hedge
funds
Prop
shops
Utilities
Insurance

7. WHY?
Time to
Market
Efficiency
Correctness
Complexity

8. FSHARP.ORG/TESTIMONIALS
speed development by 50 percent or more, European IB
order of magnitude increase in productivity, GameSys
processes that used to require hours now take just minutes, Grange
Insurance
performance is 10× better than the C++ that it replaces, Aviva
leads to virtually bug-free code, Fixed Income
I am still waiting for the first bug to come in, E-On
complex algorithms can be expressed succinctly, Microsoft
everything becomes simple and clear when expressed in F#, Byron Cook

9. WHAT?
F# is a practical, functional-first language
that lets you write simple code
to solve complex problems

10. SHOW ME THE MONEY F# for Trading

11. JOULE: TRADING SCREEN

12. TICKSPEC: DEBUG EXAMPLES

13. SPECIFICATION BY EXAMPLE

14. UNIT TEST

15. THOUGHTWORKS TECH RADAR
MARCH 2012
“F# is excellent at concisely expressing
business and domain logic.”
“Developers trying to achieve explicit business logic within an application may
opt to
express their domain in F#
with the majority of plumbing code in C#.”

16. ORDER – RECORD TYPE
type Order = {
Side : Side
LimitPrice : Price
Quantity : Quantity
IsAllOrNone : bool
}

17. TIME IN FORCE – UNION TYPE
type TimeInForce =
| Immediate
| GoodForDay
| GoodTillDate of DateTime

18. UNITS OF MEASURE

19. EXCEL – TYPE PROVIDER
Excel Visual Studio

20. F# FOR COMPUTATION
Standard F# tools
 F# language and core libraries
Workstation libraries
 Math.NET Numerics (open source)
 StatFactory FMat
Distributed libraries
 Microsoft Cloud Numerics
 Nessos {m}brace cloud

21. MONTE CARLO ESTIMATION OF PI

22. R – TYPE PROVIDER

23. WORLD BANK DATA

24. SHOWDIALOG – ASYNC
WORKFLOWS

25. ASYNC FRACTALS

26. Programming model that looks sequential but executes distributed
 async { }
 …
 cloud { }
{M}BRACE THE CLOUD

27. .NET 4.5 GARBAGE COLLECTOR
Latency Mode Application Scenarios
Batch Command line
Server Side
Interactive LOB applications
LowLatency Trading Screens
SustainedLowLatency Financial Applications

28. TRY F#: HTTP://TRYFSHARP.ORG

29. F# TUTORIALS NYC SEPT 18/19

30. QUESTIONS?
Twitter: @ptrelford
Blog: http://trelford.com/blog
Foundation: http://fsharp.org