reactive extensions sliding time window

Question

I have a sequence of stock ticks coming in and I want to take all the data in the last hour and do some processing on it. I am trying to achieve this with reactive extensions 2.0. I read on another post to use Interval but i think that is deprecated.

Answer 1

Would this extension method solve your problem?

public static IObservable<T[]> RollingBuffer<T>(
    this IObservable<T> @this,
    TimeSpan buffering)
{
    return Observable.Create<T[]>(o =>
    {
        var list = new LinkedList<Timestamped<T>>();
        return @this.Timestamp().Subscribe(tx =>
        {
            list.AddLast(tx);
            while (list.First.Value.Timestamp < DateTime.Now.Subtract(buffering))
            {
                list.RemoveFirst();
            }
            o.OnNext(list.Select(tx2 => tx2.Value).ToArray());
        }, ex => o.OnError(ex), () => o.OnCompleted());
    });
}

Answer 2

You are looking for the Window operators! Here is a lengthy article I wrote on working with sequences of coincidence (overlapping windows of sequences) http://introtorx.com/Content/v1.0.10621.0/17_SequencesOfCoincidence.html

So if you wanted to build a rolling average you could use this sort of code

var scheduler = new TestScheduler();
var notifications = new Recorded<Notification<double>>[30];
for (int i = 0; i < notifications.Length; i++)
{
  notifications[i] = new Recorded<Notification<double>>(i*1000000, Notification.CreateOnNext<double>(i));
}
//Push values into an observable sequence 0.1 seconds apart with values from 0 to 30
var source = scheduler.CreateHotObservable(notifications);

source.GroupJoin(
      source,   //Take values from myself
      _=>Observable.Return(0, scheduler), //Just the first value
      _=>Observable.Timer(TimeSpan.FromSeconds(1), scheduler),//Window period, change to 1hour
      (lhs, rhs)=>rhs.Sum())    //Aggregation you want to do.
    .Subscribe(i=>Console.WriteLine (i));
scheduler.Start();

And we can see it output the rolling sums as it receives values.

0, 1, 3, 6, 10, 15, 21, 28...