Age is not an int

Name
Chris Marshall @oxbow_lakes
GSA Capital Partners LLP
Jan 2015
Private & Confidential. Not for distribution.
GSA Capital Partners LLP is authorised and regulated by the Financial Services Authority.
Registered in England & Wales. Stratton House, 5 Stratton Street, London, W1J 8LA. Number OC309261

Mathematics Degree
Working in financial software since 1999
• Smalltalk for ~6 months
• Java thereafter
• Scala since Dec 2008
JP Morgan for 6 years
• ~200,000 employees
GSA Capital for 8+ years
• Quant hedge fund
• ~130 employees
Background
who am i
Private & Confidential. Not for distribution. GSA Capital Partners LLP is authorised and regulated by the Financial Services Authority.
Registered in England & Wales. Stratton House, 5 Stratton Street, London, W1J 8LA. Number OC309261 3

Low-latency links & feeds
• Up to 2,000,000 trades /day
• 108 market events / day
Historic / Current Market Data
• Listing changes (e.g. SUNW.O becomes JAVA.O becomes ORCL.O)
• News Events
Backtesting / Execution Framework
Everything Else
• This is where CORE come in
• What are our positions? What is our P&L? What is our VaR?
• Are our trades reconciled?
• Reporting (brokers, regulators, administrators)
GSA
What do we do? Roughly half the company are technologists

 GSA are not a software company
5
This talk

<dibblego> this question generalises to "use types"
<dibblego> how do I know my Int is a valid age?
<dibblego> well how indeed? how did you even come to that conclusion?
<dibblego> well, because age returns Int
<dibblego> stop doing that!
<dibblego> Age returns a value between 0 and MAX_AGE
<dibblego> oh, then you want a type for that
<dibblego> but what about my Int!
<dibblego> there was never an Int
<dibblego> but I want to use it as an Int!
<dibblego> so do that
<dibblego> but it is clumsy and annoying to convert all the time!
<dibblego> so use libraries
<dibblego> which library?
<dibblego> well, in this case, lenses
6
#scalaz IRC channel

 Want to talk about the use of types in the programs we write
 For those of us who work in statically-typed languages
 Types
 which we write ourselves
 provided by the language itself
 That the structure of our entire program can be constructed as a type
7
This talk

public interface Comparable<T> {
public int compareTo(T o);
}
 Representing a 3-valued type with a 232 valued one
8
In java.lang: not a good start

/**
* Returns the percentage tracking error between
* this portfolio and the reference portfolio
*/
public double getTrackingError(String ref)
/**
* Returns the price that this trade was executed at
*/
public BigDecimal getPrice()
9
So you go away and write this...

 Originally devised as a way of making code which was wrong look wrong
 http://www.joelonsoftware.com/articles/Wrong.html
 That is: “if you see xl = cb, well, blow the Bad Code Whistle, that is obviously wrong code, because even
though xl and cb are both integers, it’s completely crazy to set a horizontal offset in pixels to a count of
bytes.”
 Why not make code which was wrong NOT EVEN COMPILE?
 WHY NOT USE TYPES?
10
Hungarian notation

class LimitOrder(stock: String, price: Double, quantity: Int)
val cf = Double.compare(o1.price, o2.quantity) //OH NOES!
class LimitOrder(stock: Stock, price: Price, quantity: Quantity)
11
Stringly typed

case class Percentage(units: BigDecimal)
/**
* Returns the percentage tracking error between this
* portfolio and the reference portfolio
*/
public Percentage getTrackingError(Portfolio ref)
12
So: write some types

case class Money(currency: Currency, amount: BigDecimal)
/**
* Returns the price that this trade was executed at
*/
public Money getPrice()
13
...and some more

 Java has failed us
 This is not meant to be a rant about Java
 The same is true of plenty of languages out there
 4 different type systems
 Primitive types
 Reference types
 Exception types
 Annotation types
 Creating classes is expensive and painful
 Creating TYPES is expensive and painful
14
Java

public final class Money {
private final Currency currency;
private final BigDecimal amount;
private Money(Currency currency, BigDecimal monetaryAmount) {
currency_ = currency;
amount = monetaryAmount;
}
public boolean equals(Object o) {
if (this == o) {
return true;
}
if (o == null || getClass() != o.getClass()) {
return false;
}
final Money money = (Money) o;
if (!currency.equals(money.currency)) {
return false;
}
if (!amount.equals(money.amount)) {
return false;
}
return true;
}
public int hashCode() {
int result;
result = currency.hashCode();
result = 29 * result + amount.hashCode();
return result;
}
}
15
Compare
case class Money (
currency: Currency,
amount: BigDecimal
)

 A modern IDE takes away the task of writing all those lines of code!
 I counter-counter-thrust
 It’s unreadable
 It’s brittle (when you modify the class, you need to remember to change the equals/hashCode)
 If it’s a public class, you need to go & create a file for it
 It’s a rubbish counter-argument
16
Counter-arguments

public class Price {
private final Money value
public Price(Money value) {
this.value = value;
}
public boolean equals(Object o) {
...
 I lost the will to live at this point
case class Price(val value: Money) extends AnyVal
sealed trait Price
Money @@ Price
17
A type wrapping a single value!

type SessionStarts = Instant
type SessionEnds = Instant
case class MultipleSessions(sessions: SortedMap[SessionStarts, SessionEnds] {
def afterFirstOpen(i: Instant)
= if (sessions.isEmpty) false else i >= sessions(sessions.firstKey)
}
case class SessionStarts(val i: Instant) extends AnyVal
case class SessionEnds(val i: Instant) extends AnyVal
case class MultipleSessions(sessions: SortedMap[SessionStarts, SessionEnds] {
def afterFirstOpen(i: Instant)
= if (sessions.isEmpty) false else SessionStarts(i) >= sessions(sessions.firstKey)
//DOES NOT COMPILE
= if (sessions.isEmpty) false else SessionStarts(i) >= sessions.firstKey
o/ o/ o/
}
18
Fails to follow own advice

 Java 8 has added Optional<T> to indicate the possible absence of a value
 Haskell Maybe
 Scala Option[T]
 Except they have totally hobbled it as a type
 It is not serializable – you cannot use it in your domain model
 It does not have
Optional<T> orElse(Optional<T> that)
19
Nullability

 Scalaz has a disjunction type
def function(in: Input): Exception / Output
20
Exceptions

 The lack of basic types: Pair<A, B>
 This means that you don’t see methods in Java interfaces like this:
interface Collection<T> {
Pair<Collection<T>, Collection<T>> partition(Predicate<? super T> p)
...
}
• ...or you see them represented terribly
public class BigDecimal {
public BigDecimal[] divideAndRemainder(BigDecimal d)
...
}
21
Hobbled APIs

 Can we construct our whole program as a type?
 What does our program do?
 It handles errors
 It reads from some configuration
 It writes to some log
 It manages state transitions
 It produces a result
 It performs side-effects
 ReaderWriterStateT and EitherT
22
Where are we going next?

type R = MyProps; type W = Unit; type S = MyState; type E = MyError
type RWST_[A] = RWST[IO, R, W, S, A]
type Program[A] = EitherT[RWST_, E, A]
def pure[A](a: => A): Program[A]
= EitherT.right(RWST[IO, R, W, S, A]((r, s) => (s, (), a)))
def asks[A](f: R => A): Program[A]
= EitherT.right(RWST[IO, R, W, S, A]((r, s) => (s, (), f(r))))
def log(msg: => String): Program[Unit]
= EitherT.right(RWST[IO, R, W, S, Unit](
(r, s) => (s, println(msg), ())))
23
Monad transformer stacks

for {
txnsGsa <- queryGsaTransactions(global.date).map(_.values.toStream)
rates <- fxRates(global.date)
results <- global.configs.toStream traverseU { implicit config =>
for {
txnsPB <- queryAggregatePBDropCopies
gsaAgg = aggregateGsaTransactions(txnsGsa)
gsaTotal = gsaAgg.aggregate
alerts <- thresholdBreaches(txnsPB, gsaTotal)
} yield (alerts, gsaTotal - txnsPB.total)
}
} yield results
24
Non Farm Payrolls

 Immutability
 we have no mutation anywhere
 Referential transparency
 Easy to reason about our functions and re-use them
 We can see at a glance what is going on
 is there IO happening in order to get hold of this value?
 Could an error occur?
 Surprisingly readable
 Please don’t attempt to read it though!
 This talk is on SlideShare if you want to look in detail later
25
Example

26Private & Confidential. Not for distribution. GSA Capital Partners LLP is authorised and regulated by the Financial Services Authority.
lazy val program =
for {
_ <- fromTryCatch(ProductUniverse.setUniverseProvider(new CoreUniverseProvider))
_ <- log(s"About to run the program with: [${args mkString " "}]")
dd <- date
_ <- log(s"Running for carry date [$dd]")
ps <- positions(dd)
_ <- log(f"Found ${ps.size}%,d positions in DI1 futures")
cc <- //Only try and get marks and D1 if there *are* positions
ps.nonEmpty ?? (for {
ms <- marks(dd)
_ <- log(f"Found ${ms.size}%,d marks on DI1 futures")
d1 <- d1Rate(dd)
_ <- log(s"D1 rate is $d1")
xx <- either(costs(dd, ps.values.toStream, ms)(d1))
} yield xx)
_ <- log(s"Costs for positions are: $cc")
fs <- //Must run the furnace section regardless of whether we now have costs
furnaceInsertOrUpdate(cc, dd)
rs <- {
import scala.concurrent.duration._
fromTryCatch(Await.result(fs, atMost = 5.minutes))
}
_ <- log(f"Created ${rs.size} furnace events")
} yield ()

 “Programming is not math”
 When you start thinking about types you should start thinking about how you can PROVE things
about your program
 For example, you might prove that it is impossible to compare a price with a quantity
 You might prove that it is impossible to create a trade from two orders to buy a stock
27
Curry Howard

 Make use of types at the low-level
 To make certain classes of error impossible
 To make your intent clearer
 That Java puts barriers in the way for this purpose
 But that is not a reason not to do it
 Nor a reason to eschew Java
 That general types are important too
 The lack of them will affect the programs you can write
 That a language can affect how you think about types
 Type parameters are not the enemy
 Abstractions are only possible/useful if the language is rich enough to support their use
 That if you let types pervade your programs
 Your programs can be better!
28
Epilogue

 It’s not just scala
 C C++ C# Scala Matlab Python Java Q FPGA
 Plenty of dissenting voices!
29
Technology at GSA

30Private & Confidential. Not for distribution. GSA Capital Partners LLP is authorised and regulated by the Financial Services Authority.

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Age is not an int

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