F# for Trading - Øredev 2013

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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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  • Fsharp.org map
  • Leverage
  • http://fsharp.github.io/FSharp.Data/library/CsvProvider.htmlhttp://clear-lines.com/blog/post/Random-Forest-classification-in-F-first-cut.aspx
  • 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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