(OCa)ML for Trading [OT]

[bearophile]

This post is OT, yet I think knowing why and how other languages are used is not bad for D developers and users.

The Jane Street programmers write software for trading. Originally they have used Excel and VisualBasic, then have tried C# and failed (too verbose and complex, they say). They have found OCaML a good language for their purposes. They don't need a system language, so maybe D is not fit for them.

They need a language that's safe (because they are managing large amounts of money), that allows to write very fast programs (because today trading software is meant to work very quickly. OCaML programs are usually no more than 1.5-3 times slower than C ones), and such safety needs to be kept despite very frequent changes in lot of code, as commercial situations keep shifting all the time.

OCaML has many disadvantages they recognize and explain, but they have appreciated OCaML because of:
- Its readability and its terseness and because it allows to avoid duplicate code.
- Immutability on default most of the times (but there is some mutability too when necessary).
- Pattern Matching, because many programs of their program perform case analysis. For them an important feature of OCaML pattern matching is that it forces at compile-time the programmer to handle all possible cases. This is very useful to keep the code correct as other parts of the program change quickly in time.
- Labeled Arguments, because they make the code safer and more readable (this feature is near the top of my desired enhancements for future D).
- Polymorphic Variants
- Modularity
- Phantom Types (http://en.wikipedia.org/wiki/Generalized_algebraic_data_type ).

But above many other things they appreciate a lot the strict type system of OCaML that often allows to make illegal states unrepresentable (this is somewhat related to the idea of typestates). The video on Vimeo shows this too.

Videos and articles:
http://vimeo.com/14313378
http://www.janestcapital.com/technology/articles.php
http://www.janestreetcapital.com/minsky_weeks-jfp_18.pdf
http://www.janestcapital.com/yaron_minsky-cufp_2006.pdf

Bye,
bearophile