Post on 06-May-2015
F# IN FINANCE Functional AmsterdamPhillip Trelford 2013
F#UNCTIONAL LONDONERS
600+ Members
Founded Feb 4, 2010
48 Meetings
NEW YORK CITY F# USER GROUP500+ Members
Founded Nov 10, 2010
30 Meetings
FSHARP.ORG/GROUPS
WHO, WHY, WHAT F# for Trading
WHO?
Investment Banks
Hedge funds
Prop shops
Utilities
Insurance
F# FOR PROFIT
Time to Market
Efficiency
Correctness
Complexity
TIME TO MARKET
speed development by 50 percent or more,
European IB
order of magnitude increase in productivity,
GameSys
EFFICIENCY
processes that used to require hours now take just minutes, Grange Insurance
performance is 10× better than the C++ that it replaces, Aviva
CORRECTNESS
leads to virtually bug-free code,
Fixed Income
I am still waiting for the first bug to come in,
E-On
COMPLEXITY
everything becomes simple and clear when expressed in F#, Byron Cook
SHOW ME THE MONEY F# for Trading
JOULE ENERGY TRADING SCREEN
TICKSPEC: DEBUG EXAMPLES
NUNIT
[<Test>]let ``2 + 2 should equal 4``() = 2 + 2 |> should equal 4
UNQUOTE
let [<Test>] ``2 + 2 = 4``() = test <@ 2 + 2 = 4 @>
FSCHECK
MOCKING
UNITS OF MEASURE
TYPE PROVIDERS F# in Finance
CSV TYPE PROVIDER
R – TYPE PROVIDER
TSUNAMI + FCELL = F# IN EXCEL
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
WORLD BANK DATA
GARBAGE F# in Finance
.NET 4.5 GARBAGE COLLECTOR
Latency Mode Application Scenarios
Batch Command lineServer Side
Interactive LOB applications
LowLatency Trading Screens
SustainedLowLatency Financial Applications
SGEN GC / MONO
Performance Target
• Mac
• Linux
• Android
• iOS
• FreeBSD
SOLD F# in Finance
TRY IT BEFORE YOU BUY IT
BUY THE BOOK
GET THE T-SHIRT
GET A JOB