F# for Trading talk at Øredev in Malmö, Sweden covering the community, benefits and application areas like domain modelling and data processing.

1. F# FOR TRADING
Øredev, Malmo, Sweden
Phillip Trelford 2013

2. F#UNCTIONAL
LONDONERS
600+ Members
Founded Feb 4, 2010
51 Meetings

3. NEW YORK
CITY F# USER
GROUP
550+ Members
Founded Nov 10, 2010
30 Meetings

4. FSHARP.ORG/GROUPS

5. WHO, WHY, WHAT
F# for Trading

6. WHO?
Prop
shops
Hedge
funds
Investment Banks
Utilities
Insurance

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

8. TIME TO MARKET
speed development by 50 percent or more,
European IB
order of magnitude increase in productivity,
GameSys

9. EFFICIENCY
processes that used to require hours now take just minutes, Grange
Insurance
performance is 10× better than the C++ that it replaces, Aviva

10. CORRECTNESS
leads to virtually bug-free code,
Fixed Income
I am still waiting for the first bug to come in,
E-On

11. COMPLEXITY
everything becomes simple and clear when expressed in F#,
Byron Cook

12. SHOW ME THE MONEY
F# for Trading

13. JOULE ENERGY TRADING
SCREEN

14. TICKSPEC: DEBUG
EXAMPLES

15. ORDER TYPE
type Order = {
Side : Side
LimitPrice : Price
Quantity : Quantity
IsAllOrNone : bool
}

16. DOMAIN TIME IN FORCE
type TimeInForce =
| Immediate
| GoodForDay
| GoodTillDate of DateTime

17. 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#

18. SPREADSHEETS
F# for Trading

19. 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

20. UNITS OF MEASURE

21. TSUNAMI + FCELL = F# IN
EXCEL

22. SPREADSHEET HORROR
STORIES
anomaly, audit finding, bug, bungled, chaos, cockup, corrupt, damage, debug, defect, deficiency, disaster, dubious, embarrass
ment, error, erroneous, Excel, exposed, failed, failure, false, falsify, fault, fault
y, fiasco, flaw, foulup, fraud, fraudulent, fubar, garbage, GIGO, glitch, hell, horror
story, inaccurate, inadequate, inadvertent, incorrect, insecure, misunderstoo
d, nightmare, non-compliance, not
correct, oops, overestimate, overstatement, problem, risk, rogue, serious, sli
p, snafu, suspect, suspicious, trap, typo, unchecked, uncontrolled, uncorrect
ed, uncovered, underestimate, understatement, undetected, untested, violati
on, weak, weakness, wrong

23. TYPE PROVIDERS
F# for Trading

24. CSV TYPE PROVIDER

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. SGEN GC / MONO
Performance
Target
• Mac
• Linux
• Android
• iOS
• FreeBSD

30. SOLD
F# in Finance

31. TRY IT BEFORE YOU BUY IT

32. BUY THE BOOK

33. GET THE T-SHIRT

34. GET A JOB

35. QUESTIONS?
Community
F# Foundation http://fsharp.org
Twitter Tag: #fsharp
Upcoming conferences
F# in Finance (Microsoft London): http://fsharpinfinance.com Nov 25
CodeMesh London: http://codemesh.io Dec 3-5
NDC London: http://ndc-London.com Dec 2-6