F# in Finance - Cross Functional Amsterdam 2013
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F# IN FINANCE Functional AmsterdamPhillip Trelford 2013
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F#UNCTIONAL LONDONERS
600+ Members
Founded Feb 4, 2010
48 Meetings
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NEW YORK CITY F# USER GROUP500+ Members
Founded Nov 10, 2010
30 Meetings
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FSHARP.ORG/GROUPS
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WHO, WHY, WHAT F# for Trading
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WHO?
Investment Banks
Hedge funds
Prop shops
Utilities
Insurance
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F# FOR PROFIT
Time to Market
Efficiency
Correctness
Complexity
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TIME TO MARKET
speed development by 50 percent or more,
European IB
order of magnitude increase in productivity,
GameSys
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EFFICIENCY
processes that used to require hours now take just minutes, Grange Insurance
performance is 10× better than the C++ that it replaces, Aviva
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CORRECTNESS
leads to virtually bug-free code,
Fixed Income
I am still waiting for the first bug to come in,
E-On
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COMPLEXITY
everything becomes simple and clear when expressed in F#, Byron Cook
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SHOW ME THE MONEY F# for Trading
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JOULE ENERGY TRADING SCREEN
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TICKSPEC: DEBUG EXAMPLES
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NUNIT
[<Test>]let ``2 + 2 should equal 4``() = 2 + 2 |> should equal 4
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UNQUOTE
let [<Test>] ``2 + 2 = 4``() = test <@ 2 + 2 = 4 @>
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FSCHECK
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MOCKING
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UNITS OF MEASURE
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TYPE PROVIDERS F# in Finance
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CSV TYPE PROVIDER
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R – TYPE PROVIDER
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TSUNAMI + FCELL = F# IN EXCEL
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UNITS IN CELLStype 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
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WORLD BANK DATA
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GARBAGE F# in Finance
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.NET 4.5 GARBAGE COLLECTOR
Latency Mode Application Scenarios
Batch Command lineServer Side
Interactive LOB applications
LowLatency Trading Screens
SustainedLowLatency Financial Applications
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SGEN GC / MONO
Performance Target
• Mac
• Linux
• Android
• iOS
• FreeBSD
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SOLD F# in Finance
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TRY IT BEFORE YOU BUY IT
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BUY THE BOOK
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GET THE T-SHIRT
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GET A JOB