F# IN FINANCE Functional AmsterdamPhillip Trelford 2013

F#UNCTIONAL LONDONERS

600+ Members

Founded Feb 4, 2010

48 Meetings

NEW YORK CITY F# USER GROUP500+ Members

Founded Nov 10, 2010

30 Meetings

FSHARP.ORG/GROUPS

WHO, WHY, WHAT F# for Trading

WHO?

Investment Banks

Hedge funds

Prop shops

Utilities

Insurance

F# FOR PROFIT

Time to Market

Efficiency

Correctness

Complexity

TIME TO MARKET

speed development by 50 percent or more,

European IB

order of magnitude increase in productivity,

GameSys

EFFICIENCY

processes that used to require hours now take just minutes, Grange Insurance

performance is 10× better than the C++ that it replaces, Aviva

CORRECTNESS

leads to virtually bug-free code,

Fixed Income

I am still waiting for the first bug to come in,

E-On

COMPLEXITY

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

SHOW ME THE MONEY F# for Trading

JOULE ENERGY TRADING SCREEN

TICKSPEC: DEBUG EXAMPLES

NUNIT

[<Test>]let ``2 + 2 should equal 4``() = 2 + 2 |> should equal 4

UNQUOTE

let [<Test>] ``2 + 2 = 4``() = test <@ 2 + 2 = 4 @>

FSCHECK

MOCKING

UNITS OF MEASURE

TYPE PROVIDERS F# in Finance

CSV TYPE PROVIDER

R – TYPE PROVIDER

TSUNAMI + FCELL = F# IN EXCEL

UNITS IN CELLStype 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

WORLD BANK DATA

GARBAGE F# in Finance

.NET 4.5 GARBAGE COLLECTOR

Latency Mode Application Scenarios

Batch Command lineServer Side

Interactive LOB applications

LowLatency Trading Screens

SustainedLowLatency Financial Applications

SGEN GC / MONO

Performance Target

• Mac

• Linux

• Android

• iOS

• FreeBSD

SOLD F# in Finance

TRY IT BEFORE YOU BUY IT

BUY THE BOOK

GET THE T-SHIRT

GET A JOB

JOIN THE COMMUNITY

F# Foundation http://fsharp.org