Reactive Framework

A question I often get about PowerShell from ex-UNIX developers is whether or not PowerShell can “tail” files. Unfortunately, there is no direct analogy to the tail command in PowerShell. It’s typically used to watch the contents of a log file live as it is added to, and that is certainly something that PowerShell can do.

This question comes from a developer who is using NLog to log messages from his app involving Reactive Framework code.  Read more...

One of my colleges (http://weblogs.asp.net/sweinstein/) brought up an interesting problem: there is a common theme in finance applications to subscribe to a market data source to receive real time updates on the instruments that this source covers. A late subscriber (the one that has not been subscribed since the start of the trading day, for example) usually expects to receive a snapshot per instrument before real time updates. So what is the best way to support snapshot guarantee, per instrument, from a “hot” underlying source using Rx? There are multiple ways to do it, of course, and here is my version of it:  Read more...

The revolution will not be compiled

Borrowing the “Iron Languages” tagline for PowerShell.

Lots of good stuff in the PowerShell world. From how to get started, to Unix sed, to PowerShell intellisense/debugging in Visual Studio 2010 and Hosting PowerShell under CLR 4.0.  Read more...

Links

• Here are a slew of links on getting started with PowerShell from the Scripting Guys. Including how to migrate from VBScript (if you need to).
• Don Jones posts PowerShell IS NOT HARD. Read this. I’ll prove it.
• Allen White uses a sed (Unix command) approach to replace strings in files in this post The Power of sed in PowerShell

Webcast: LINQPad Version 2 and Beyond at about 37 minutes in.

In the Channel 9 comments, for the post Bart De Smet: Observations on IQbservable – The Dual of IQueryable, Charles Torre posts the image representation of the three dimensional graph of the Rx interface "fabric".

I like the IQbservable<T> e.g. LINQ to PowerShell.

Bart De Smet talks about IQbservable, at about 19 minutes in, and it enabling scenarios like LINQ to WMI Events or LINQ to PowerShell. Bart also talks about the Cloud and IQbservable implications. I highly recommend the video.

This article shows some improvements to the original code presented in my previous post. Improvements are based on the feedback I received from Erik Meijer and his team and mainly focus on some built-in opportunities in Rx framework that I missed. Here is an extract from the original implementation of the running low feed:

// Daily low price feed
double min = double.MaxValue;
var feedLo = feed
    .Where(p => p < min)
    .Do(p => min = Math.Min(min, p))
    .Select(p => "New LO: " + p);

This implementation depends on the external (to the framework) state (current low value stored in “min” local variable), “Do” combinator to continuously update this state with every price tick, and a “Where” combinator to suppress the ticks that do not represent running low value. Turns out, there is a better, more elegant and framework friendly way to implement this. It relies on the built-in “Scan” and “HoldUntilChanged” combinators:

// Daily low price feed
var feedLo = feed
    .Scan(Math.Min)
    .HoldUntilChanged()
    .Select(p => "New LO: " + p);

The code above is functionally equivalent to the original one but is cleaner, more compact, and easier to read. This is how it works:  Read more...

• “Scan” operator is used to accumulate the running min value. “Scan” is similar to “Aggregate” in the LINQ-to-Objects world but, instead of collapsing the sequence to a single accumulated value, it keeps outputting the current accumulated value with every tick. As a result “Math.Min” function is continuously applied with every new tick with accumulated min value and new price as arguments and its result is “ticked out”. This produces a stream where every successive number is either less than or equal to the previous one. Close to what we need except we want to suppress duplicates.
• “HoldUntilChanged” is another built-in combinator that wraps an underlying stream and only repeats a value from it if this value differs from the previous one. Perfect for removing successive duplicates (please, note, it will NOT remove ALL the duplicates, only successive ones, so it is not a proper substitute to Distinct, when such a combinator exists) . We use “HoldUntilChanged” instead of original “Where” clause.

Bart De Smet is doing a series on LINQ with System.Interactive.

• The Ultimate Imperative
• Exceptional Exception Handling
• Sequences under construction

In his post, Sequences under construction, I liked that he gives a little LISP  history for cons, car and cdr (the latter two coming from IBM machine terminology). Plus he walks through the formulation for Kleisli triple, type construction, unit function and binding operation. Check out the link Bart gives on The Marvels of Monads by Wes Dyer, who has a major hand in creating System.Interactive.

Lot’s to learn and Bart does a great job in making it more approachable.  Read more...

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:  Read more...