This document discusses using the F# programming language for financial trading applications. It provides examples of how F# can be used to model financial domains like orders, time in force, and currency conversions. It also discusses benefits of F# for financial applications like increased productivity, efficiency, correctness, and managing complexity. Finally it shows examples of F# used in trading screens and with type providers to interface with data.

1. F# FOR TRADING
Phillip Trelford, Trayport
CodeMesh London, 2013

2. F#UNCTIONAL LONDONERS
Founded Feb 2010
600+ Members
50+ Meetups
3 Conferences
Topics




Finance
Machine Learning
Reactive Programming
Functional Programming
http://meetup.com/fsharplondon

3. F# GROUPS WORLDWIDE

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

5. F# FOR PROFIT
F# for Trading

6. F# FOR PROFIT
Time to Market
Efficiency
Correctness
Complexity

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

8. 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

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

10. 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

11. SHOW ME THE MONEY
F# for Trading

12. JOULE ENERGY TRADING
SCREEN
http://www.trayport.com/en/products/joule

13. TICKSPEC: DEBUG
EXAMPLES
https://tickspec.codeplex.com/

14. ORDER – RECORD TYPE
F#
type Order = {
LimitPrice : decimal
Quantity : int
Side : Side
}
C#
a

15. TIME IN FORCE – UNION
TYPE
type TimeInForce =
| GoodTillCancel
| GoodForDay
| GoodTillDate of DateTime

16. 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#

17. CALCULATIONS
F# for Trading

18. 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

19. UNITS OF MEASURE

20. FCELL = F# IN EXCEL

21. 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

22. 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

23. TYPE PROVIDERS
F# for Trading

24. 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>

25. R – TYPE PROVIDER

26. WORLD BANK DATA

27. GARBAGE
F# in Finance

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

30. SOLD
F# in Finance

31. 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 __

32. TRY IT BEFORE YOU BUY IT

33. BUY THE BOOK

34. GET THE T-SHIRT

35. GET A JOB

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