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Groovy On Trading Desk (2010)
1. Groovy On The Trading Desk
Jonathan Felch
Quantitative Strategies
Volant Trading LLC
2. Overview
● Motivations for Polyglot Software with Groovy
● Introducing Groovy: Scripting on the VM
● Skills To Take With You: Learning Groovy
● Groovy DSLs: Creating the syntax you need
● Unlearning Java, C++, C#
● Groovy Performance and Concurrency
● Relearning Java: The Future of the VM
● Questions
3. Motivations
● High Speed OO Tools + Dynamic / Functional Tools
● Re-use existing assets
● Lazy Evaluation
● Externalize Logic and Business Rules
● Dynamic Evaluation
4. Why Groovy ?
● Meet Requirements
– Lazy & Dynamic Evaluation,
– Concise Synatx, Rapid Development, Iterative Prototyping
– Supported But Did Not Require Functional Style, Support for
Closures / Lamda Expressions
– Tool Support, Attractive Adoption Pattern
– Human Readable / Machine Executable Data Interchange
– Natural Data Integration Platform
● Strong and Focused Community
● Familiar Syntax / Ease of Adoption
● Expensible Syntax : DSLs
5. Scripting on the VM
Evolution of the VM: Towards Dynamic Programming
– Features Popular in Most Used 'Frameworks' Exploited
Specific Benefits and Uses of Dynamic Programming for a
general-purpose or 'cross-cutting' concern
● Hibernate, Spring Framework, Jboss AOP, AspectJ
– Introduction of Dynamic Programming for Testing,
Configuration and Business Rules
● BeanShell, Jython, JRuby
– Next Generation Scripting: Groovy, Scala, Clojure
● Specific to VM, not a straight port of another language
● Emphasis on Functional Programming
● Tight Integration of FP / DP with a high performance OO Language
6. Introducing Groovy
● The Blue Pill: Syntactically compatible with Java
– Easy Adoption for Java Programmers
– Virtually seamless / virtually flawless integration with Java
– Natural Support for Multiple Styles
– Compatibility allows for remarkable performance tuning
● The Red Pill: A Language On Its Own
– Type-system: Dynamically / Optionally Strong Typing
– Closures: Lambda Expressions / Functions as Objects
– GDK: Object and Collection Enhancements
– Dynam Eval: Code is Data, Data is Code
– Dynam Syntax: Write your own syntax
– Enhancements: New operators, data literals, new basic types
7. Job Trends / Adoption Hints
for new JVM Languages
8. Groovy Use Cases:
● 'Super Glue': I/O and Integration
● 'Code as Data': Configuration, Process Scripting,
Business Rules
● 'Live Analysis': Ad-Hoc Queries & Expressions
● 'Language Building': New Syntax and DSLs
● 'Half-Baked Ideas'
● 'House Elf': Cleanup and Maintenance
9. Learning Groovy
Im prov in g o n O b je c t
def abstract class OptionPxModel {
def vol, carry, strike, expiry, pc
def abstract px (def spot)
}
OptionPxModel model = new BlackScholesModel(strike : 100, pc : 'C' )
model.vol = 0.15
model.expiry = Date.parse('MM/dd/yyyy', '11/18/2010')
println “The Strike 100 Nov 2010 Call is worth ${model.px(102.0)}”
C lo s u re s :
def r = new Random()
def normRand = { r.nextGaussian() }
def stockPrice = { px, vol, rate, time →
px * exp((rate – vol**2) * time + normRand() * vol * time)
}
10. Learning Groovy: Collections
L is ts
def list = [5, 6, 7, 8]
assert list.size == list.size()
assert list[2] == list.getAt(2) == list.get(2) == 7
assert [1,2,3,4,5][-1] == 5 && [1,2,3,4,5][-2] == 4
assert list.find { it > 6 } == 7 && list.findAll { it > 6 } == [7, 8]
list.each { println “$it ${it * 2}” }
['a', 'b', 'c'].eachWithIndex{ it, i -> println "$i: $it" }
Mu ltiple A s s ig n m e n t
def (int a, int b) = [1, 2]
(a, b) = [b, a]
Ra ng e s
assert ('a'..'d') == ['a','b','c','d']
assert [ 1, *3..5, 7, *9..<12 ] == [1,3,4,5,7,9,10,11]
def oneWeekForward = (new Date() .. (new Date() + 7))
Ma ps
[ 'id': 'FX-17', name: 'Turnip',
99: 123, (-97): 987,
"tail's": true
].each { key, value → println “$key => $value” }
11. Groovy One (or 2, 3, 4) Liners Apps
Executing A Process:
”processMyFile ./output.txt $Destination”.execute()
Adding A She-Bang To All Groovy Files:
groovy -i .bak -pe "if (count == 1) println '#!/usr/bin/groovy'" *.groovy
Print the 1st column and 2nd-to-last column from file
groovy -a -pe "split[0] split[-2]" some.filename // or set of files
Create and Shuffle a Deck of Cards
def deck = [ [ *2..10, *('J Q K A'.split()) ], 'C D H S'.split() ]
.combinations().collect { it.join('') };
Collections.shuffle(deck)
Generate 21-Character OSI Symbol for Option
def osi = { symbol, year, month, day, cp, strike ->
sprintf('%1$s%2$2d%3$2d%4$2d%5$s%6$08.3f', [
symbol.padLeft(6), year as Integer, month as Integer, day as Integer,
cp as String, strike as Double ] as Object[] )
}
12. Learning Groovy: Operators
'A s O pe ra to r'
"3.14159" as Double
def readable = { it.put("12 34".reverse()); 5 } as Readable
A s O pe ra to r O n C lo s u re s + Ma ps → O b je c ts ?
def map; map = [ i: 10,
hasNext: { map.i > 0 },
next: { map.i-- } ] as Iterator
while ( map.hasNext() ) println map.next()
E lv is , S a fe Re fe re n c e , S pre a d & S pa c e s h ip
def lang = data?.favoriteLanguage ?: 'Groovy'
assert ['cat', 'elephant']*.size() == [3, 8]
assert (3 <=> 4) == -1 && (3 <=> 3) == 0 && (5 <=> 3) == 1
Re g e x
def list = ["foo", "bar", "moo"]
def pattern = ~/foo/
assert "foo" =~ list.find { it =~ pattern }
assert ["foo", "moo"] == list.findAll { it ==~ /.*oo/ }
14. One Slide Apps: Monte Carlo
def px = 100, rate = 0.05, vol = 0.15, time = 1.0
def strikes = [ 8..12 ].collect { it * 10 }
def w = RandomNumbers.getNormDist(1000,1000)
def S = px * exp((rate-vol ** 2)* time + sqrt(time)* vol * w)
strikes.each { K →
def optionValue = max(0, S – K)
def df = exp(-rate * time)
println “${K} : ${df * optionValue as Number}”
})
15. One Slide Apps: RESTful Web Server
import com.sun.net.httpserver.*;
def isPrime = { Long N ->
if (N < 2) return false;
for (long i = 2; i*i < N; i++) if (N % i == 0) return false
return true
}
def pws = { HttpExchange exch ->
exch.sendResponseHeaders(200,0);
def pe = exch.requestURI.path.split('/')
if (pe.size() == 3 && pe[1] == 'prime') {
exch.responseBody.write("${isPrime(pe[2] as Long)}".bytes)
} else exch.responseBody.write("${exch.requestURI.path}".bytes)
exch.responseBody.close();
} as HttpHandler
def run = { handler, minutes ->
def server = HttpServer.create(new InetSocketAddress(8888),0)
server.createContext('/', handler)
server.start()
}
run(pws,1)
16. Unlearning Java: Taking the Red Pill
● Meta-Programming
● Design Patterns
● Compile Time Meta-Programming
● Power of Lazy Evaluation
17. Dynamic Language:
Evaluation or Syntax
“In Lisp, you don’t just write your program down toward
the language, you also build the language up toward your
program”
- Paul Graham
“When [Smalltalk] is used to describe an application
system, the developer extends Smalltalk, creating a
domain-specific language by adding a new vocabulary of
language elements ...”
- Adele Goldberg DSLs
18. Meta-Programming
● Understanding The Type System
– Groovy has an optionally dynamic strongly typed type system
– What does that mean ?
● Dynamic Method Invocation and GroovyObject
– invokeMethod, get/setProperty
– What is a MetaClass ?
● Meta Object Protocol
– def methodMissing(String name, args) { }
– def propertyMissing(String name)
– def propertyMissing(String name, value)
● Overloading Operators
19. GORM as a DSL
// These Class Definitions Generate SQL and Database Tables
class Book {
String title
Date releaseDate
Author author
}
class Author {
String name
}
// These Operation Generate SQL and Database Queries
def book = Book.findByTitle("The Stand")
book = Book.findByTitleLike("Harry Pot%")
book = Book.findByReleaseDateBetween( firstDate, secondDate )
book = Book.findByReleaseDateGreaterThan( someDate )
book = Book.findByTitleLikeOrReleaseDateLessThan(
"%Something%", someDate )
20. GORM as a DSL
class GORM {
def dynamicMethods = [ ]
def methodMissing(String name, args) {
def method = dynamicMethods.find { it.match(name) }
if(method) {
GORM.metaClass."$name" = { Object[] varArgs →
method.invoke(delegate, name, varArgs)
}
return method.invoke(delegate,name, args)
}
// GORM actually writes or creates a new method here
else throw new MissingMethodException(
name, delegate, args )
}
}
23. New AST Transforms
• @Singleton — okay, not really a pattern :-)
• @Immutable, @Lazy, @Delegate
• @Newify
• More DSL and Meta-Magic! @Category and @Mixin
• @PackageScope
• Swing’s @Bindable and @Vetoable
• Grape’s @Grab
24. The Evil Java Singleton
public class Evil {
public static final Evil instance = new Evil();
private Evil() {}
static Evil getInstance() { return instance; }
}
• In Groovy now:
–@Singleton class Evil {}
• A lazy version also:
–@Singleton(lazy = true) class Evil {}
Credit: Guillaume Laforge,
“To Infinity and Beyond” & GDK 1.7 Release notes
25. DSLs → They Start Out As APIs
// closure maddness
// Before refactoring
def phrase = "The quick brown fox jumps over the lazy dog"
def result = phrase.toLowerCase().toList().
findAll{ it in "aeiou".toList() }. // like WHERE …
groupBy{ it }. // like GROUP BY …
findAll{ it.value.size() > 1 }. // like HAVING …
sort{ it.key}.reverse(). // like ORDER BY …
collect{ "$it.key:${it.value.size()}" }.join(", ")
println result
Credit: Paul King, “Groovy DSL”
26. DSL: APIs That Get Refactored
// Refactored helper closures
def lowercaseLetters= phrase.toLowerCase()
def vowels = { it in "aeiou".toList() }
def occursMoreThanOnce= { it.value.size() > 1 }
def byReverseKey= { a, b -> b.key<=> a.key}
def self = { it }
def entriesAsPrettyString= { "$it.key:${it.value.size()}" }
def withCommaDelimiter= ", "
// Refactored main closure
println lowercaseLetters.
findAll(vowels).
groupBy(self).
findAll(occursMoreThanOnce).
sort(byReverseKey).
collect(entriesAsPrettyString).
join(withCommaDelimiter)
Credit: Paul King, “Groovy DSL”
27. Putting All Together I
● Drop Parenthesis
● Named Parameters
● Objects Graphs → Tree of 'Nouns' and 'Verbs'
● Human Readable / Machine Executable
● Specific Syntax
28. Putting All Together II
order to buy 200.shares of GOOG {
limitPrice 500
allOrNone false
at the value of { qty * unitPrice - 100 }
}
take 2.pills of chloroquinine after 6.hours
def "length of Spock's & his friends' names"() {
expect: name.size() == length
where:
name | length
"Spock" | 5
"Kirk" | 4
"Scotty" | 6
}
Credit: Paul King, “Groovy DSL”
30. Performance
● Dynamic Typing is Expensive (But Worth It)
– Hot Spot Opportunity
● Dynamic Method Invocation is expensive
(But Getting Better)
– Da Vinci Project and invokeDynamic bytecode
– Hot Spot Opportunity
● BigDecimal & Collections → Insanely Expensive
For Serious Math
– People need to better learn to use IEEE floating point types
–
31. Performance II
● Getting Too Groovy ???
– Abusing .each { tuple →} // for loops versus anon closures
● Simplicity --> faster
– Groovy reduces your dependency on Java Enterprise
– Gpath vs Xpath (Gpath almost always wins)
– Use Visual VM: Groovy Memory Use Can Be Mysterious
● Too Many Collections ?
– Is The Idea to 'Cache' The World As A Map
● Use Groovy-Aware Java for Faster Code
– People Need to learn IEEE Floating Point Types
32. Actors
Scaling the VM: Immutable Data Message + Services
class Player extends AbstractPooledActor {
String name
def random = new Random()
void act() {
loop {
react {
// player replies with a random move
reply Move.values()[
random.nextInt(Move.values().length)
]
}
}
}
}
33. Are Java & C# Becoming Groovy ?
● Google Guava (formerly Collections)
● Lots of new Libraries for FP, Enhanced
Collections, Tuples, Monads, etc...
● Doug Lea's Fork-Join + Predicate Libraries
● Project Lambda : Closures for Java (JDK 8 ?)
● Da Vinci Project : invokeDynamic (JDK 7 ?)
● Is Gpath LINQ for Java ? (Now ?)
● Universal Low Level VM
● Will Groovy or Groovy++ Continue ?
34. A few bad months for Java
●
JavaTM By Oracle ,
● The Java Community Process, Doug Lea
● The Java Community Process, Apache
● JavaOne, The Conference
● Oracle vs Google
● Oracle vs Apache
● IBM and Apache
● OpenJDK
35. Where is Goovy Going ?
● Some Important JDK Improvements will be in
JDK 7 (as planned): invokeDynamic
● More explicitly FP approach to concurrency and
state
– AST MP / GoF Patterns
– @Immutable / @Singleton ( lazy : true)
– GPars Actor-like syntax
● Groovy Server for Fast Scripting
– Difficult on a cluster
36. Where is Goovy Going ?
● Closures with Memory
def cl = {a, b →
sleep(3000) // create a noticeable pause
a + b
}
def mem = cl.memoize()
// memorize() variants are
// memorizeAtMost(n), memorizeAtLeast(n),
// memorizeBetween(m, n)
● Groovy++
– Not a fully compatible fork
– An interesting argument
– But no.
37. Groovy Gotchas!
● Subclassing Map, Unexpected Results
● Map.class
● the dot operator,
getAt(...), getXXX(), [ name ] literals
● Private isn't Private
● Inconvenient when you really want to hide implementation data
● Unexpected Weird Effects
– Combining Static and Dynamic Numeric Types Across Java Code
and Groovy Code
● Be careful and deliberate with typing
– Method selection surprises
● identical static closures and static functions do not respond to
the same way Invoked dynamically
38. Best Practices
● Explicitly Signatures and Types Where You Can
● Better GroovyDoc documentation
● Faster method selection
● More shareable (with Java / Scala / Ioke / etc..) Libraries
● Write Groovy Aware (GroovySupport) Java
● This is where to build your high-speed / high-performance code
● Use ConfigSlurper to externalize environment / context data
● Use CliBuilder and Groovy Server if it fits your production model
● Add Performance Tests To Your Suite / Learn to use Visual VM
– Testing is more important with dynamic and functional programming
– Small tests – small in terms of code coverage – on big data sets
● Best place to find surprising performance enhancements
– Automating 'Just Got Lucky' Into Your Development Cycle
39. Acknowledgments & Suggestions
● Derik Kognig, Author Groovy In Action
● Peter Bell, Systems Forge
● Paul King, Asset Australia
● Guillaume Laforge, Groovy Project Manager
● PLEAC, Project Euler, Groovy Zone
40. Contact Info
● jonathan.felch@gmail.com
● jfelch@volanttrading.com
● www.twitter.com/Jonathan.Felch
– Rare but regular contributions via Blog, GitHub,
SlideShare
● 3 – 5 contributions a year, typically unfinished half-baked ideas
● Really targeted at a dozen or so people that I have worked with
in the past or occasionally collaborate