Caml Trading

Posted on 2009-05-06 by Bryan Buecking :: comments enabled

At April’s TSAC meeting we watched an interesting video titled “Camel Trading”, Experiences with Functional Programming on Wall Street by Yaron Minsky. I’m not going to go into great detail about the video, I encourage you to watch it, but nearing the end of his presentation he mentioned some problems Jane Street has with OCaml, which I found interesting. They are:

  • UI: Lack of tools for industrial strength user interfaces.
  • Concurrency: Lack of libraries for concurrency across multicores
  • External Libraries: Small community

When we had to chose a functional programming lanauage for our trader project, we ended up choosing Haskell. There were a fair number of advantages using Haskell over other FPs, and of these one was multi-core, multi-processor concurrency out of the box. However every language comes with its own set of problems. Here’s a list of Starling’s problems with Haskell:

  • Space Leaks: Haskell’s laziness sometimes comes back to bite you
  • Profiling Tools: Lack of multiprocessor support

After the video we discussed how to proceed with the ICFP Programming Contest. The general plan is to figure out our team(s), meet sometime in June to get our environments setup, and do whatever scheduling. Curt put together a post discussing various options for language and platform selection, which can be found here.

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