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F# for Trading - Øredev 2013

F# for Trading talk at Øredev in Malmö, Sweden covering the community, benefits and application areas like domain modelling and data processing.

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F# for Trading - Øredev 2013

  1. 1. F# FOR TRADING Øredev, Malmo, Sweden Phillip Trelford 2013
  2. 2. F#UNCTIONAL LONDONERS 600+ Members Founded Feb 4, 2010 51 Meetings
  3. 3. NEW YORK CITY F# USER GROUP 550+ Members Founded Nov 10, 2010 30 Meetings
  4. 4. FSHARP.ORG/GROUPS
  5. 5. WHO, WHY, WHAT F# for Trading
  6. 6. WHO? Prop shops Hedge funds Investment Banks Utilities Insurance
  7. 7. F# FOR PROFIT Time to Market Efficiency Correctness Complexity
  8. 8. TIME TO MARKET speed development by 50 percent or more, European IB order of magnitude increase in productivity, GameSys
  9. 9. EFFICIENCY processes that used to require hours now take just minutes, Grange Insurance performance is 10× better than the C++ that it replaces, Aviva
  10. 10. CORRECTNESS leads to virtually bug-free code, Fixed Income I am still waiting for the first bug to come in, E-On
  11. 11. COMPLEXITY everything becomes simple and clear when expressed in F#, Byron Cook
  12. 12. SHOW ME THE MONEY F# for Trading
  13. 13. JOULE ENERGY TRADING SCREEN
  14. 14. TICKSPEC: DEBUG EXAMPLES
  15. 15. ORDER TYPE type Order = { Side : Side LimitPrice : Price Quantity : Quantity IsAllOrNone : bool }
  16. 16. DOMAIN TIME IN FORCE type TimeInForce = | Immediate | GoodForDay | GoodTillDate of DateTime
  17. 17. 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#
  18. 18. SPREADSHEETS F# for Trading
  19. 19. UNITS IN CELLS type formula = | Neg of formula | Exp of formula * formula | ArithmeticOp of formula * arithmetic * formula | LogicalOp of formula * logical * formula | Num of UnitValue | Ref of int * int | Range of int * int * int * int | Fun of string * formula list
  20. 20. UNITS OF MEASURE
  21. 21. TSUNAMI + FCELL = F# IN EXCEL
  22. 22. SPREADSHEET HORROR STORIES anomaly, audit finding, bug, bungled, chaos, cockup, corrupt, damage, debug, defect, deficiency, disaster, dubious, embarrass ment, error, erroneous, Excel, exposed, failed, failure, false, falsify, fault, fault y, fiasco, flaw, foulup, fraud, fraudulent, fubar, garbage, GIGO, glitch, hell, horror story, inaccurate, inadequate, inadvertent, incorrect, insecure, misunderstoo d, nightmare, non-compliance, not correct, oops, overestimate, overstatement, problem, risk, rogue, serious, sli p, snafu, suspect, suspicious, trap, typo, unchecked, uncontrolled, uncorrect ed, uncovered, underestimate, understatement, undetected, untested, violati on, weak, weakness, wrong
  23. 23. TYPE PROVIDERS F# for Trading
  24. 24. CSV TYPE PROVIDER
  25. 25. R – TYPE PROVIDER
  26. 26. WORLD BANK DATA
  27. 27. GARBAGE F# in Finance
  28. 28. .NET 4.5 GARBAGE COLLECTOR Latency Mode Application Scenarios Batch Command line Server Side Interactive LOB applications LowLatency Trading Screens SustainedLowLatency Financial Applications
  29. 29. SGEN GC / MONO Performance Target • Mac • Linux • Android • iOS • FreeBSD
  30. 30. SOLD F# in Finance
  31. 31. TRY IT BEFORE YOU BUY IT
  32. 32. BUY THE BOOK
  33. 33. GET THE T-SHIRT
  34. 34. GET A JOB
  35. 35. QUESTIONS? Community F# Foundation http://fsharp.org Twitter Tag: #fsharp Upcoming conferences F# in Finance (Microsoft London): http://fsharpinfinance.com Nov 25 CodeMesh London: http://codemesh.io Dec 3-5 NDC London: http://ndc-London.com Dec 2-6

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