F# IN FINANCE Functional Amsterdam
Phillip Trelford 2013
F#UNCTIONAL
LONDONERS
600+ Members
Founded Feb 4, 2010
48 Meetings
NEW YORK
CITY F# USER
GROUP
500+ 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...
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 CELLS
type formula =
| Neg of formula
| Exp of formula * formula
| ArithmeticOp of
formula * arithmetic * formula...
WORLD BANK DATA
GARBAGE F# in Finance
.NET 4.5 GARBAGE
COLLECTOR
Latency Mode Application Scenarios
Batch Command line
Server Side
Interactive LOB 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
JOIN THE COMMUNITY
F# Foundation http://fsharp.org
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F# in Finance - Cross Functional Amsterdam 2013

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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# in Finance - Cross Functional Amsterdam 2013

    1. 1. F# IN FINANCE Functional Amsterdam Phillip Trelford 2013
    2. 2. F#UNCTIONAL LONDONERS 600+ Members Founded Feb 4, 2010 48 Meetings
    3. 3. NEW YORK CITY F# USER GROUP 500+ Members Founded Nov 10, 2010 30 Meetings
    4. 4. FSHARP.ORG/GROUPS
    5. 5. WHO, WHY, WHAT F# for Trading
    6. 6. WHO? Investment Banks Hedge funds Prop shops 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. NUNIT [<Test>] let ``2 + 2 should equal 4``() = 2 + 2 |> should equal 4
    16. 16. UNQUOTE let [<Test>] ``2 + 2 = 4``() = test <@ 2 + 2 = 4 @>
    17. 17. FSCHECK
    18. 18. MOCKING
    19. 19. UNITS OF MEASURE
    20. 20. TYPE PROVIDERS F# in Finance
    21. 21. CSV TYPE PROVIDER
    22. 22. R – TYPE PROVIDER
    23. 23. TSUNAMI + FCELL = F# IN EXCEL
    24. 24. 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
    25. 25. WORLD BANK DATA
    26. 26. GARBAGE F# in Finance
    27. 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. 28. SGEN GC / MONO Performance Target • Mac • Linux • Android • iOS • FreeBSD
    29. 29. SOLD F# in Finance
    30. 30. TRY IT BEFORE YOU BUY IT
    31. 31. BUY THE BOOK
    32. 32. GET THE T-SHIRT
    33. 33. GET A JOB
    34. 34. JOIN THE COMMUNITY F# Foundation http://fsharp.org
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