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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, Ga...
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 ...
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)...
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 applicationsLowLa...
TRY F#: HTTP://TRYFSHARP.ORG
F# TUTORIALS NYC SEPT 18/19
QUESTIONS?Twitter: @ptrelfordBlog: http://trelford.com/blogFoundation: http://fsharp.org
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F# for Trading NYC

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

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F# for Trading NYC

  1. 1. F# FOR TRADINGPhil TrelfordTrayportNYC 2013
  2. 2. F#UNCTIONALLONDONERS500+ MembersFounded Feb 4, 201037 Meetings
  3. 3. NEW YORK CITYF# USER GROUP500+ MembersFounded Nov 10, 201025 Meetings
  4. 4. FSHARP.ORG/GROUPS
  5. 5. WHO, WHY, WHAT F# for Trading
  6. 6. WHO?Investment BanksHedgefundsPropshopsUtilitiesInsurance
  7. 7. WHY?Time toMarketEfficiencyCorrectnessComplexity
  8. 8. 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
  9. 9. WHAT?F# is a practical, functional-first languagethat lets you write simple codeto solve complex problems
  10. 10. SHOW ME THE MONEY F# for Trading
  11. 11. JOULE: TRADING SCREEN
  12. 12. TICKSPEC: DEBUG EXAMPLES
  13. 13. SPECIFICATION BY EXAMPLE
  14. 14. UNIT TEST
  15. 15. 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#.”
  16. 16. ORDER – RECORD TYPEtype Order = {Side : SideLimitPrice : PriceQuantity : QuantityIsAllOrNone : bool}
  17. 17. TIME IN FORCE – UNION TYPEtype TimeInForce =| Immediate| GoodForDay| GoodTillDate of DateTime
  18. 18. UNITS OF MEASURE
  19. 19. EXCEL – TYPE PROVIDERExcel Visual Studio
  20. 20. 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
  21. 21. MONTE CARLO ESTIMATION OF PI
  22. 22. R – TYPE PROVIDER
  23. 23. WORLD BANK DATA
  24. 24. SHOWDIALOG – ASYNCWORKFLOWS
  25. 25. ASYNC FRACTALS
  26. 26. Programming model that looks sequential but executes distributed async { } … cloud { }{M}BRACE THE CLOUD
  27. 27. .NET 4.5 GARBAGE COLLECTORLatency Mode Application ScenariosBatch Command lineServer SideInteractive LOB applicationsLowLatency Trading ScreensSustainedLowLatency Financial Applications
  28. 28. TRY F#: HTTP://TRYFSHARP.ORG
  29. 29. F# TUTORIALS NYC SEPT 18/19
  30. 30. QUESTIONS?Twitter: @ptrelfordBlog: http://trelford.com/blogFoundation: http://fsharp.org

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