F# FOR TRADING &
FINANCE
Phillip Trelford, SimCorp
Ltd
QuantLabs, 2014

F#UNCTIONAL LONDONERS
Founded Feb 2010
800+ Members
80+ Meetups
4 Conferences
Topics
 Finance
 Machine Learning
 Functional Programming
 GPU/OpenCL/LLVM
http://meetup.com/fsharplondon

F# GROUPS WORLDWIDE
http://c4fsharp.net/groups.

F# IN FINANCE
Investment Banks
Hedge
funds
Prop
shops
Utilities
Insurance

F# FOR PROFIT F# for Trading

F# FOR PROFIT
Time to Market
Efficiency
Correctness
Complexity

TIME TO MARKET
order of magnitude increase in productivity
GameSys
Source http://fsharp.org/testimonials

EFFICIENCY
performance is phenomenal. We can now re-calculate the entire bank
portfolio from scratch in less than a second
Handelsbanken
Source http://fsharp.org/testimonials

CORRECTNESS
leads to virtually bug-free code
Fixed Income
Source http://fsharp.org/testimonials

COMPLEXITY
F# is the night vision goggles I need when I go into the dark and
attempt to solve previously unsolved problems
Byron Cook
Source http://fsharp.org/testimonials

TYPE PROVIDERS F# for Trading

WORLD BANK DATA

R – TYPE PROVIDER

XML TYPE PROVIDER
<Order ClOrdID="123456"
Side="2"
TransactTm="2001-09-11T09:30:47-05:00"
OrdTyp="2"
Px="93.25"
Acct="26522154">
<Hdr Snt="2001-09-11T09:30:47-05:00"
PosDup="N"
PosRsnd="N"
SeqNum="521">
<Sndr ID="AFUNDMGR"/>
<Tgt ID="ABROKER"/>
</Hdr>
<Instrmt Sym="IBM"
ID="459200101"
IDSrc="1"/>
<OrdQty Qty="1000"/>
</Order>

FSHARP.ORG/TESTIMONIALS -
MICROSOFT
For a machine learning scientist, speed of experimentation is the
critical factor to optimize.
Compiling is fast but loading large amounts of data in memory takes a
long time.
With F#’s REPL, you only need to load the data once
and you can then code and explore in the interactive environment.
Unlike C# and C++, F# was designed for this mode of interaction.
- Patrice Simard, Microsoft

FSHARP.ORG/TESTIMONIALS -
AMYRIS BIOTECH
F# has been phenomenally useful.
I would be writing a lot of this in Python otherwise
and F# is more robust, 20x - 100x faster to run
and for anything but the most trivial programs,
faster to develop.
- Darren Platt, Amyris Biotechnology

CALCULATIONS F# for Trading

SPREADSHEET HORROR STORIES
anomaly, audit finding, bug, bungled, chaos, cock-up, corrupt,
damage, debug, defect, deficiency, disaster, dubious,
embarrassment, error, erroneous, Excel, exposed, failed, failure,
false, falsify, fault, faulty, fiasco, flaw, foul-up, fraud, fraudulent,
fubar, garbage, GIGO, glitch, hell, horror story, inaccurate,
inadequate, inadvertent, incorrect, insecure, misunderstood,
nightmare, non-compliance, not correct, oops, overestimate,
overstatement, problem, risk, rogue, serious, slip, snafu, suspect,
suspicious, trap, typo, unchecked, uncontrolled, uncorrected,
uncovered, underestimate, understatement, undetected, untested,
violation, weak, weakness, wrong

UNITS OF MEASURE

CURRENCY CONVERSIONS
[<Measure>] type EUR
[<Measure>] type GBP
let rateEurGbp = 0.783M<GBP/EUR>
// Converts amount in EUR to GBP
let euroToPounds (eur:decimal<EUR>) = eur * rateEurGbp

FCELL = F# IN EXCEL

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

GARBAGE F# in Finance

.NET 4.5 GARBAGE COLLECTOR
Latency Mode Application Scenarios
Batch Command line
Server Side
Interactive LOB applications
LowLatency Trading Screens
SustainedLowLatency Financial Applications

MONO SGEN GC
Run on
• Android
• iOS
• Linux
• Mac
(Example from GraphDB)

SOLD F# in Finance

F# KOANS
[<Koan>]
let SquareEvenNumbersWithPipelineOperator() =
(* In F#, you can use the pipeline operator to get the benefit of
the parens style with the readability of the statement style. *)
let result =
[0..5]
|> List.filter isEven
|> List.map square
AssertEquality result __

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QUESTIONS?
Community
F# Foundation http://fsharp.org
F#unctional Londoners http://meetup.com/fsharplondon
Twitter #fsharp
Me
Blog http://trelford.com/blog
Twitter @ptrelford