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.

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2 Responses to “F# for single dealer platforms”


  1. This is an interesting discussion between you and Matt about languages (specifically F#) and the development of Single-Dealer portals. I agree that having more appropriate languages (functional in this case) available to readily accessable runtime environments (.Net CLR) can only help with this kind of complex real-time system.

    However, I agree with you that if the only tool you have is a hammer, everything looks like a nail – so to an integration specialist like Matt, any SDP is likely to look like an integration problem – but as you point out the scope of the problem may be much bigger than the client thinks.

    Discussing what language you write it in is a bit like discussing whether a car is made of aluminium or steel… the bigger issue is that it’s a car you’re trying to design rather than a box.

    We’ve built several SDPs for clients over recent years, and been involved directly or indirectly in many more – and you’re right, the usual problem is that the size and complexity of the problem is frequently underestimated – which is why Caplin has invested in building an SDP framework (which includes but is much more than Caplin Liberator) to help solve a wide range of the fundamental problems rather than starting from scratch every time.

  2. SMK Says:

    What is Tradeweb’s annual/usage/access fee for one bank (liquidity provider)? What is the per transaction fee for one bank (liquidity provider)?

    What is MarketAxess’ annual/usage/access fee for one bank (liquidity provider)? What is the per transaction fee for one bank (liquidity provider)?

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