F# for single dealer platforms
December 21, 2009
Matt shares his thoughts on F# for SDP implementation here. I don’t know as much about F# as he does, but I have dabbled with VS2010 and played with OCAML on Ubuntu at home. I’m sure the stateless functional approach will be a big help in structuring asynchrony and concurrency in server processes. So I agree with the general thrust of his argument here.
I would take issue with one of Matt’s statements: “If you think about an SDP, its primarily an integration build”. I have heard the same view espoused by managers who think an SDP build is just a trivial matter of hooking up some vendor servers like Caplin’s Liberator to internal middleware like the TIB, and hey presto, quotes and executions will flow. It’s nowhere near that simple. I prefer to say that building an SDP is like building an ECN. Think of it as building you’re own Bloomberg or TradeWeb.