[Haskell-cafe] Knight Capital debacle and software correctness

[Steve Severance]

Actually Haskell is used in a surprising number of trading groups. However
most people involved are contractually obligated to never talk about the
technology in use at their firm. We make no secret that we use Haskell as
our primary language in building trading systems. Other functional
languages, notably F#, have seen significant uptake as well.

As to whether Haskell should/must/could be used an a particular system much
of this choice (non-technology influences aside) is going to be bound by
speed. As Knight is a market maker I would expect that the stock choice for
rapidly evolving software is c++ on the intel compiler with a significant
amount of strategies running on ASIC and FPGA. The reason being is that
many strategies are relying on latency as a primary input to their success.

We have the advantage of not being latency bound and we place a great
amount of emphasis on correctness. We accept the fact that if we want to
run latency bound strategies most of our runtime stack would be useless. If
they had been using Haskell would they have still had whatever problem it
was? At this point completely unknown. However the real world is a messy
place and sometimes even haskell code has bugs.

Steve

On Sat, Aug 4, 2012 at 3:06 AM, Ketil Malde <ketil at malde.org> wrote:

> "Vasili I. Galchin" <vigalchin at gmail.com> writes:
>
> >     I am going to make an assumption .... except for Jane Street
> > Capital all/most "Wall Street" software is written in an imperative
> > language.
>
> Tsuru Captial and Standard Chartered are also known to hire functional
> programmers.
>
> >     Assuming this why is Wall Street not awaken to the dangers.
>
> As an explanation, this is a bit simplistic, I think. But I think the
> reason these companies are willing to use experimental technology (as
> Haskell is considered to be in industry), is that the consequences of
> error can be so high.  For most mainstream software, users have been
> trained to accept unreliability, and/or are not willing to pay the
> costs.
>
> Other examples of expensive software faults is the Ariane 5 launch and
> the Sleipner A oil rig (that collapsed and sunk when in tow due to a
> mistake
> in FEA strength calculations).
>
> The space (and defense) industry have a long history of working towards
> software security, but I think they have focused more on the software
> process than on technology - ADA notwithstanding.  And probably rightly
> so, even though technology can help you write correct code, there is
> still plenty of rope.
>
> -k
> --
> If I haven't seen further, it is by standing in the footprints of giants
>
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