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

A convenient way in terms of memory and trades overlapping (correctness).
Waiting for your feedback:

var tradeIds = new HashSet();
var replayQuotationTrades = new ReplaySubject();
var replaySubscription = _quotationTrades.Subscribe(replayQuotationTrades);
return _historyTrades
                .DelaySubscription(TimeSpan.FromMilliseconds(500), _backgroundScheduler)
                .Do(t => tradeIds.Add(t.TradeId))
                .Finally(() => DisposeAndCompleteReplayStream(replaySubscription, replayQuotationTrades))
                .Concat(replayQuotationTrades.Where(t => !tradeIds.Contains(t.TradeId)))
                .Finally(tradeIds.Clear)
                .Concat(_quotationTrades)
                .Subscribe(observer);