我正在尝试Rx,因为它似乎非常适合我们的领域,但学习曲线让我感到意外.
我需要将历史价格数据与实时价格数据结合在一起.
我正在尝试采用通常的方法将其用于Rx的语言:
我有这个令人作呕和不正确的稻草人代码,这似乎适用于我写的天真测试案例:
IConnectableObservable<Tick> live = liveService
.For(symbol)
.Replay(/* Some appropriate buffer size */);
live.Connect();
IObservable<Tick> historical = historyService.For(since, symbol);
return new[] {historical, live}
.Concat()
.Where(TicksAreInChronologicalOrder());
private static Func1<Tick,bool> TicksAreInChronologicalOrder()
{
// Some stateful predicate comparing the timestamp of this tick
// to the timestamp of the last tick we saw
}
这有一些缺点
live.SkipWhile(tick => tick.Timestamp < /* lazily get last timestamp in historical data */).是Wait(this IObservable<TSource>)有用的吗？必须有一个更好的方法来做到这一点,但我仍然在等待我的大脑像FP一样去研究Rx.
我考虑解决的另一个选择1.编写我自己的Rx扩展,它将ISubject消息排队,直到它获得第一个订阅者(并在此之后拒绝订阅者？).也许这是要走的路？
作为记录，这就是我最终所做的。我仍然是一个 Rx 学习者，并回到 .Net，最后一次看到它是在 2.0 版本。我们非常感谢所有反馈。
下面使用的 Ticks 对象可能包含一个或多个刻度值。历史数据服务返回多个Tick的数据。
public class HistoricalAndLivePriceFeed : IPriceFeed
{
private readonly IPriceFeed history;
private readonly IPriceFeed live;
private readonly IClock clock;
public HistoricalAndLivePriceFeed(IPriceFeed history, IPriceFeed live)
: this(history, live, new RealClock())
{
}
public HistoricalAndLivePriceFeed(IPriceFeed history, IPriceFeed live, IClock clock)
{
this.history = history;
this.live = live;
this.clock = clock;
}
public IObservable<Ticks> For(DateTime since, ISymbol symbol)
{
return Observable.Create<Ticks>(observer =>
{
var liveStream = Buffer<Ticks>.StartBuffering(live.For(since, symbol));
var definitelyInHistoricalTicks = clock.Now;
// Sleep to make sure that historical data overlaps our live data
// If we ever use a data provider with less fresh historical data, we may need to rethink this
clock.Wait(TimeSpan.FromSeconds(1));
var liveStreamAfterEndOfHistoricalTicks = liveStream
.SkipWhile(ticks => ticks.LastTimestamp <= definitelyInHistoricalTicks)
.Select(ticks => ticks.RemoveBefore(definitelyInHistoricalTicks + 1));
var subscription = history.For(since, symbol)
.Select(historicalTicks => historicalTicks.RemoveAtOrAfter(definitelyInHistoricalTicks + 1))
.Concat(liveStreamAfterEndOfHistoricalTicks)
.Subscribe(observer);
return liveStream.And(subscription);
});
}
}
public static class CompositeDisposableExtensions
{
public static CompositeDisposable And(this IDisposable disposable, Action action)
{
return And(disposable, Disposable.Create(action));
}
public static CompositeDisposable And(this IDisposable disposable, IDisposable other)
{
return new CompositeDisposable(disposable, other);
}
}
它使用这个 Rx 代码，我仍然不太信任：
using System;
using System.Collections.Generic;
using System.Reactive.Disposables;
using System.Reactive.Subjects;
namespace My.Rx
{
/// <summary>
/// Buffers values from an underlying observable when no observers are subscribed.
///
/// On Subscription, any buffered values will be replayed.
///
/// Only supports one observer for now.
///
/// Buffer is an ISubject for convenience of implementation but IObserver methods
/// are hidden. It is not intended that Buffer should be used as an IObserver,
/// except through StartBuffering() and it is dangerous to do so because none of
/// the IObserver methods check whether Buffer has been disposed.
/// </summary>
/// <typeparam name="TSource"></typeparam>
public class Buffer<TSource> : ISubject<TSource>, IDisposable
{
private readonly object gate = new object();
private readonly Queue<TSource> queue = new Queue<TSource>();
private bool isDisposed;
private Exception error;
private bool stopped;
private IObserver<TSource> observer = null;
private IDisposable subscription;
public static Buffer<TSource> StartBuffering(IObservable<TSource> observable)
{
return new Buffer<TSource>(observable);
}
private Buffer(IObservable<TSource> observable)
{
subscription = observable.Subscribe(this);
}
void IObserver<TSource>.OnNext(TSource value)
{
lock (gate)
{
if (stopped) return;
if (IsBuffering)
queue.Enqueue(value);
else
observer.OnNext(value);
}
}
void IObserver<TSource>.OnError(Exception error)
{
lock (gate)
{
if (stopped) return;
if (IsBuffering)
this.error = error;
else
observer.OnError(error);
stopped = true;
}
}
void IObserver<TSource>.OnCompleted()
{
lock (gate)
{
stopped = true;
}
}
public IDisposable Subscribe(IObserver<TSource> observer)
{
lock (gate)
{
if (isDisposed)
throw new ObjectDisposedException(string.Empty);
if (this.observer != null)
throw new NotImplementedException("A Buffer can currently only support one observer at a time");
while(!queue.IsEmpty())
{
observer.OnNext(queue.Dequeue());
}
if (error != null)
observer.OnError(error);
else if (stopped)
observer.OnCompleted();
this.observer = observer;
return Disposable.Create(() =>
{
lock (gate)
{
// Go back to buffering
this.observer = null;
}
});
}
}
private bool IsBuffering
{
get { return observer == null; }
}
public void Dispose()
{
lock (gate)
{
subscription.Dispose();
isDisposed = true;
subscription = null;
observer = null;
}
}
}
}
它通过了这些测试（我还没有费心检查线程安全性）：
private static readonly Exception exceptionThrownFromUnderlying = new Exception("Hello world");
[Test]
public void ReplaysBufferedValuesToFirstSubscriber()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
underlying.OnNext(1);
underlying.OnNext(2);
var observed = new List<int>();
buffer.Subscribe(Observer.Create<int>(observed.Add));
Assert.That(observed, Is.EquivalentTo(new []{1,2}));
}
[Test]
public void PassesNewValuesToObserver()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
var observed = new List<int>();
buffer.Subscribe(Observer.Create<int>(observed.Add));
underlying.OnNext(1);
underlying.OnNext(2);
Assert.That(observed, Is.EquivalentTo(new[] { 1, 2 }));
}
[Test]
public void DisposesOfSubscriptions()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
var observed = new List<int>();
buffer.Subscribe(Observer.Create<int>(observed.Add))
.Dispose();
underlying.OnNext(1);
Assert.That(observed, Is.Empty);
}
[Test]
public void StartsBufferingAgainWhenSubscriptionIsDisposed()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
// These should be buffered
underlying.OnNext(1);
underlying.OnNext(2);
var firstSubscriptionObserved = new List<int>();
using (buffer.Subscribe(Observer.Create<int>(firstSubscriptionObserved.Add)))
{
// Should be passed through to first subscription
underlying.OnNext(3);
}
Assert.That(firstSubscriptionObserved, Is.EquivalentTo(new[] { 1, 2, 3 }));
// First subscription has been disposed-
// we should be back to buffering again
underlying.OnNext(4);
underlying.OnNext(5);
var secondSubscriptionObserved = new List<int>();
using (buffer.Subscribe(Observer.Create<int>(secondSubscriptionObserved.Add)))
{
// Should be passed through to second subscription
underlying.OnNext(6);
}
Assert.That(secondSubscriptionObserved, Is.EquivalentTo(new[] { 4, 5 ,6}));
}
[Test]
public void DoesNotSupportTwoConcurrentObservers()
{
// Use .Publish() if you need to do this
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
buffer.Subscribe(Observer.Create<int>(i => { }));
Assert.Throws<NotImplementedException>(() => buffer.Subscribe(Observer.Create<int>(i => { })));
}
[Test]
public void CannotBeUsedAfterDisposal()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
buffer.Dispose();
Assert.Throws<ObjectDisposedException>(() => buffer.Subscribe(Observer.Create<int>(i => { })));
}
[Test]
public void ReplaysBufferedError()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
underlying.OnNext(1);
underlying.OnError(exceptionThrownFromUnderlying);
var observed = new List<int>();
Exception foundException = null;
buffer.Subscribe(
observed.Add,
e => foundException = e);
Assert.That(observed, Is.EquivalentTo(new []{1}));
Assert.That(foundException, Is.EqualTo(exceptionThrownFromUnderlying));
}
[Test]
public void ReplaysBufferedCompletion()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
underlying.OnNext(1);
underlying.OnCompleted();
var observed = new List<int>();
var completed = false;
buffer.Subscribe(
observed.Add,
() => completed=true);
Assert.That(observed, Is.EquivalentTo(new[] { 1 }));
Assert.True(completed);
}
[Test]
public void ReplaysBufferedErrorToSubsequentObservers()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
underlying.OnNext(1);
underlying.OnError(exceptionThrownFromUnderlying);
// Drain value queue
using (buffer.Subscribe(Observer.Create<int>(i => { }, e => { }))) ;
var observered = new List<int>();
Exception exceptionEncountered = null;
using (buffer.Subscribe(Observer.Create<int>(observered.Add, e=>exceptionEncountered=e)));
Assert.That(observered, Is.Empty);
Assert.That(exceptionEncountered, Is.EqualTo(exceptionThrownFromUnderlying));
}
[Test]
public void ReplaysBufferedCompletionToSubsequentObservers()
{
var underlying = new Subject<int>();
var buffer = Buffer<int>.StartBuffering(underlying);
underlying.OnNext(1);
underlying.OnCompleted();
// Drain value queue
using (buffer.Subscribe(Observer.Create<int>(i => { }))) ;
var observered = new List<int>();
var completed = false;
using (buffer.Subscribe(Observer.Create<int>(observered.Add, ()=>completed=true)));
Assert.That(observered, Is.Empty);
Assert.True(completed);
}
[Test]
public void DisposingOfBufferDisposesUnderlyingSubscription()
{
var underlyingSubscriptionWasDisposed = false;
var underlying = Observable.Create<int>(observer => Disposable.Create(() => underlyingSubscriptionWasDisposed= true ));
var buffer = Buffer<int>.StartBuffering(underlying);
buffer.Dispose();
Assert.True(underlyingSubscriptionWasDisposed);
}
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