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F# for Quantitative Finance by Johan Astborg

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Chapter 7. Getting Started with Order Types and Market Data

In this chapter you will learn how to model order types and market data and various types of feeds in F#.

In this chapter you will learn:

  • Modeling Order Types
  • Modeling Market data
  • Implementing simple pretrade risk analysis
  • Using function composition and currying

Introducing orders

Typically, orders are instructions from the buyer's side to the seller's side regarding how to buy and sell financial instruments. These orders are standardized to some extent. In most situations, the orders and order types are determined by the broker used and the exchange.

Order types

Order types are the types of orders that are found in trading systems and on exchanges in general. Often you look at market orders, ...

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