Merging historical and live stock price data with Rx

Question

I\'m trying out Rx because it seems like a good fit for our domain but the learning curve has taken me by surprise.

I need to knit together historical price data wit

Answer 1

How about something like:

public static IObservable CombineWithHistory(this IObservable live, IObservable history, Func selector)
{
    var replaySubject = new ReplaySubject();
    live.Subscribe(replaySubject);
    return history.Concat(replaySubject).Distinct(selector);
}

This uses a sequence id and distinct to filter the duplicates.

And the corresponding tests:

var testScheduler = new TestScheduler();

var history = testScheduler.CreateColdObservable(
    OnNext(1L, new PriceTick { PriceId = 1 }),
    OnNext(2L, new PriceTick { PriceId = 2 }),
    OnNext(3L, new PriceTick { PriceId = 3 }),
    OnNext(4L, new PriceTick { PriceId = 4 }),
    OnCompleted(new PriceTick(), 5L));

var live = testScheduler.CreateHotObservable(
    OnNext(1L, new PriceTick { PriceId = 3 }),
    OnNext(2L, new PriceTick { PriceId = 4 }),
    OnNext(3L, new PriceTick { PriceId = 5 }),
    OnNext(4L, new PriceTick { PriceId = 6 }),
    OnNext(5L, new PriceTick { PriceId = 7 }),
    OnNext(6L, new PriceTick { PriceId = 8 }),
    OnNext(7L, new PriceTick { PriceId = 9 })
    );


live.Subscribe(pt => Console.WriteLine("Live {0}", pt.PriceId));
history.Subscribe(pt => Console.WriteLine("Hist {0}", pt.PriceId), () => Console.WriteLine("C"));

var combined = live.CombineWithHistory(history, t => t.PriceId);

combined.Subscribe(pt => Console.WriteLine("Combined {0}", pt.PriceId));

testScheduler.AdvanceTo(6L);

If you execute this test, combined emits price ticks with ids 1 to 8.