# UCL Algo Trading. Programming Expressivity for Mathematical tasks “Fresh Code” Performance Professional Development F#F# C++C++ Math-ematica…Math-ematica…

## Presentation on theme: "UCL Algo Trading. Programming Expressivity for Mathematical tasks “Fresh Code” Performance Professional Development F#F# C++C++ Math-ematica…Math-ematica…"— Presentation transcript:

Programming Expressivity for Mathematical tasks “Fresh Code” Performance Professional Development F#F# C++C++ Math-ematica…Math-ematica… C#JavaC#Java Python…Python… Programming QF modelling Financial engineering Algorithmic Trading

type Command = Command of (Rover -> unit) let BreakCommand = Command(fun rover -> rover.Accelerate(-1.0)) let TurnLeftCommand = Command(fun rover -> rover.Rotate(-5.0 )) abstract class Command { public virtual void Execute(); } abstract class RoverCommand : Command { protected Rover Rover { get; private set; } public RoverCommand(MarsRover rover) { this.Rover = rover; } class BreakCommand : RoverCommand { public BreakCommand(Rover rover) : base(rover) { } public override void Execute() { Rover.Rotate(-5.0); } class TurnLeftCommand : RoverCommand { public TurnLeftCommand(Rover rover) : base(rover) { } public override void Execute() { Rover.Rotate(-5.0); } OO

let swap (x, y) = (y, x) let rotations (x, y, z) = [ (x, y, z); (z, x, y); (y, z, x) ] let reduce f (x, y, z) = f x + f y + f z Tuple Swap (Tuple t) { return new Tuple (t.Item2, t.Item1) } ReadOnlyCollection > Rotations (Tuple t) { new ReadOnlyCollection (new Tuple [] { new Tuple (t.Item1,t.Item2,t.Item3); new Tuple (t.Item3,t.Item1,t.Item2); new Tuple (t.Item2,t.Item3,t.Item1); }); } int Reduce (Func f,Tuple t) { return f(t.Item1) + f(t.Item2) + f (t.Item3); } C#

THE CLOUDMULTICORE

|> Async.RunSynchronously Parallel I/O

|> Async.RunSynchronously Parallel CPU

MS Confidential

async { let! res =... } React to a GUI Event React to a Timer Callback React to a Query Response React to a HTTP Response React to a Web Service Response React to a Disk I/O Completion Agent reacts to Message

F# async + immutable ParallelServer Agents

let EarthMass = 5.9736e24 // Average between pole and equator radii let EarthRadius = 6371.0e3 // Gravitational acceleration on surface of Earth let g = PhysicalConstants.G * EarthMass / (EarthRadius * EarthRadius)

[ ] type money [ ] type shares [ ] type volume type Price = { Open: float ; High: float ; Low: float ; Close: float ; Volume: float }

F# Futures: Language Integrated Data demo

without explicit codegen strongly typed extensible, open

Simple, expressive, productive addition to.NET Ready for supported use in VS2010 F# greatly simplifies parallelism An amazing data-rich future ahead F#

Jul 4, 6:30pm SkillsMatter A great place to meet F# users, trainers, architects, consultants, …

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F# Today? F# Advanced? F# Tomorrow?

F# Today! F# Advanced? F# Tomorrow!

F# Today!

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Language Integrated Web Data demo

F# Web Data Cloud Data Enterprise Data Local Data Web Services Your Data

type Netflix = ODataService

type SQL = SqlEntityConnection

type EmeaSite = SharePointSite

let avatarTitles = query { for t in netflix.Titles do where (t.Name.Contains "Avatar") }

let computeDerivative f x = let p1 = f (x - 0.05) let p2 = f (x + 0.05) (p2 – p1) / 0.1 Offside (bad indentation)

let computeDerivative f x = let p1 = f (x - 0.05) let p2 = f (x + 0.05) (p2 – p1) / 0.1

printfn "Hello World" C:\test> fsc test.fs C:\test> test.exe Hello World C:\test> C:\test> fsc test.fs C:\test> test.exe Hello World C:\test>

open System.Windows.Form let form = new Form (Visible=true) form.Click.Add (fun _ -> printfn "click") Application.Run form

x |> f The pipeline operator

x |> f1 |> f2 |> f3 Successive stages in a pipeline

type Vector2D (dx:double, dy:double) = let d2 = dx*dx+dy*dy member v.DX = dx member v.DY = dy member v.Length = sqrt d2 member v.Scale(k) = Vector2D (dx*k,dy*k) Inputs to object construction Exported properties Exported method Object internals

let avatarTitles = query { for t in netflix.Titles do where (t.Name.Contains "Avatar") sortBy t.Name take 100 }

F#’s powerful type inference means less typing, more thinking Type-inferred code is easily refactored “Hands-on” exploration. Immediate scaling to massive data sets mega-data structures, 16GB machines Live in the domain, not the language Schema compilation and “Schedules” Especially Excel, SQL Server

Await!