Reactive Framework Labs

I have recently discovered Microsoft Reactive Framework (thanks to spontaneous introduction at New York .Net Meetup Group) and have been playing with it a lot trying to apply it to many financial problems I’ve coded over the last years. I am truly amazed with the technology and the power it unleashes for processing and analyzing streaming financial data (like quotes, market data feeds, trade executions, etc.). Seamless integration with LINQ combined with very powerful support for composition makes self coded CEP in .Net a low hanging fruit. In the following series of articles I am going to demonstrate sample Rx-based implementations for some commonly occurring tasks in finance, including:

• Detecting daily Hi/Lo prices
• Throttling high-frequency data feed
• Data feed failover
• Running VWAP calculation

Visual Studio 2008 solution containing full source code for all examples can be downloaded here.