1. F# IN FINANCE Functional Amsterdam
Phillip Trelford 2013

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

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

4. FSHARP.ORG/GROUPS

5. WHO, WHY, WHAT F# for Trading

6. WHO?
Investment Banks
Hedge
funds
Prop
shops
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. NUNIT
[<Test>]
let ``2 + 2 should equal 4``() =
2 + 2 |> should equal 4

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

17. FSCHECK

18. MOCKING

19. UNITS OF MEASURE

20. TYPE PROVIDERS F# in Finance

21. CSV TYPE PROVIDER

22. R – TYPE PROVIDER

23. TSUNAMI + FCELL = F# IN
EXCEL

24. 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

25. WORLD BANK DATA

26. GARBAGE F# in Finance

27. .NET 4.5 GARBAGE
COLLECTOR
Latency Mode Application Scenarios
Batch Command line
Server Side
Interactive LOB applications
LowLatency Trading Screens
SustainedLowLatency Financial Applications

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

29. SOLD F# in Finance

30. TRY IT BEFORE YOU BUY IT

31. BUY THE BOOK

32. GET THE T-SHIRT

33. GET A JOB

34. JOIN THE COMMUNITY
F# Foundation http://fsharp.org