What kinds of "data feeds" do you have in mind? I worked a few years as a developer for an investment firm doing algo and electronic trading. I might be able to provide some direction. Could you describe this hypothetical project a bit more?
Well, in terms of data feeds it would be up to the user. The proposed piece of software could consume 3rd party feeds like bloomberg or internal data streams proprietary to the bank.
The key feature (in my opinion) would be the ability for the quant to create financial models in F# functional language within the application, and once data feeds had been configured he/she could 'run' the model and see the output as say a live grid of data or a dynamic chart etc.
This would enable a quant to prototype financial models before using the F# code in production systems
With F# Interactive, it almost feels like quants should be able to do this sort of stuff right in the development environment. That would enable them to hook up "data feed visualizers" and even full interactive dashboards that can be edited live.
If you need an app, you might want to consider going HTML5 - strategically that might be your best option.
That sounds a lot like OpenQuant or TradeStation. Although, neither support F#, AFAIK. That would be a huge benefit of your application in itself.
Do you have any experience with running the F# compiler as a service? Is there out-of-the-box support for it?
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Im a software developer (freelance) working in investment banking, and I'm looking to improve my CV by gaining a better understanding of the financial quant role and the software used by quants to create and test models. Ideally I'd like to write a high-performance desktop application in order to understand this area better. My initial thoughts were to create an application that would be capable of consuming a variety of data feeds. The app would also include an F# code entry panel to allow the user to describe their model in a functional language. Then when the model is 'run' the output data stream is visualised as a real-time graphic.
My background is writing low-latency apps for front office, so I should be able to create something useful
Can anyone offer me advice about my project ? Is it a good idea or have I missed the point somehow ? would anyone like to help me (for a free copy of the resultant application) ? I would do it in my spare time (as Im current in a contract).
Im just trying to get into this space, and writing software is the best way for me to understand niche areas of this business.
Thanks in anticipation