Building data and time-series analytics tools for F#

  • Tomas Petricek
  • Howard Mansell
September 06, 2014 2:25 - 2:50 PM


This presentation is based on our experience with building and using data and time-series analytics tools for F#. We look at two projects that have been developed by BlueMountain Capital: the R type provider allows analysts to access R packages and functions directly from the F# environment while Deedle is a time-series and data manipulation library implementing operations such as data alignment, joining and handling of missing values. In the talk, we would like to discuss two interesting questions that arise from the projects.

Firstly, the R type provider discovers R packages and functions and makes them accessible via the F# type system. This raises interesting questions about the interoperability between statically-typed and dynamically-typed languages. How much information can we obtain from dynamic runtime like R? And what features did we propose for F# to make the interoperability between static and dynamic languages easier?

Secondly, the Deedle library raises similar interoperability questions, but at the boundary between functional-first F# and object-oriented C#. Our design goal has been to make the library usable from both languages - what is the right balance between object-oriented and functional API design? We'll also discuss finding the right balance between immutable and mutable data structures in this project.