F# for Trading NYC
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F# for Trading NYC

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F# for Trading talk at NYC meetup on May 1st 2013

F# for Trading talk at NYC meetup on May 1st 2013

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F# for Trading NYC F# for Trading NYC Presentation Transcript

  • F# FOR TRADINGPhil TrelfordTrayportNYC 2013
  • F#UNCTIONALLONDONERS500+ MembersFounded Feb 4, 201037 Meetings
  • NEW YORK CITYF# USER GROUP500+ MembersFounded Nov 10, 201025 Meetings
  • FSHARP.ORG/GROUPS
  • WHO, WHY, WHAT F# for Trading
  • WHO?Investment BanksHedgefundsPropshopsUtilitiesInsurance
  • WHY?Time toMarketEfficiencyCorrectnessComplexity
  • FSHARP.ORG/TESTIMONIALSspeed development by 50 percent or more, European IBorder of magnitude increase in productivity, GameSysprocesses that used to require hours now take just minutes, GrangeInsuranceperformance is 10× better than the C++ that it replaces, Avivaleads to virtually bug-free code, Fixed IncomeI am still waiting for the first bug to come in, E-Oncomplex algorithms can be expressed succinctly, Microsofteverything becomes simple and clear when expressed in F#, Byron Cook
  • WHAT?F# is a practical, functional-first languagethat lets you write simple codeto solve complex problems
  • SHOW ME THE MONEY F# for Trading
  • JOULE: TRADING SCREEN
  • TICKSPEC: DEBUG EXAMPLES
  • SPECIFICATION BY EXAMPLE
  • UNIT TEST
  • THOUGHTWORKS TECH RADARMARCH 2012“F# is excellent at concisely expressingbusiness and domain logic.”“Developers trying to achieve explicit business logic within an application mayopt toexpress their domain in F#with the majority of plumbing code in C#.”
  • ORDER – RECORD TYPEtype Order = {Side : SideLimitPrice : PriceQuantity : QuantityIsAllOrNone : bool}
  • TIME IN FORCE – UNION TYPEtype TimeInForce =| Immediate| GoodForDay| GoodTillDate of DateTime
  • UNITS OF MEASURE
  • EXCEL – TYPE PROVIDERExcel Visual Studio
  • F# FOR COMPUTATIONStandard F# tools F# language and core librariesWorkstation libraries Math.NET Numerics (open source) StatFactory FMatDistributed libraries Microsoft Cloud Numerics Nessos {m}brace cloud
  • MONTE CARLO ESTIMATION OF PI
  • R – TYPE PROVIDER
  • WORLD BANK DATA
  • SHOWDIALOG – ASYNCWORKFLOWS
  • ASYNC FRACTALS
  • Programming model that looks sequential but executes distributed async { } … cloud { }{M}BRACE THE CLOUD
  • .NET 4.5 GARBAGE COLLECTORLatency Mode Application ScenariosBatch Command lineServer SideInteractive LOB applicationsLowLatency Trading ScreensSustainedLowLatency Financial Applications
  • TRY F#: HTTP://TRYFSHARP.ORG
  • F# TUTORIALS NYC SEPT 18/19
  • QUESTIONS?Twitter: @ptrelfordBlog: http://trelford.com/blogFoundation: http://fsharp.org