FX Trading & Reactive Extensions (Rx) – Part 1 – Getting a Feel

My current contract is within FX trading, supporting a front-office team with high-performance, low latency applications.

We are currently doing a refactoring exercise around our currency pair data feeds, and we are looking to code better data consumption logic through implementations of IObsrevable and IObserver, courtesy of the Reactive Extensions library.

Form more information about Reactive Extensions, you should visit the Microsoft Reactive Extensions site (http://msdn.microsoft.com/en-us/data/gg577609) or read Lee Campbell’s excellent (free) eBook (http://www.amazon.co.uk/Introduction-to-Rx-ebook/dp/B008GM3YPM/)

Firstly I used LinqPad (http://www.linqpad.net/) to play around with potential candidates for an approach.
Firstly, I thought I’d create a fake currency rate ticker and observe it.

var rand = new Random(Guid.NewGuid().GetHashCode()); 
var currencyTick = Observable.Interval(TimeSpan.FromMilliseconds(500))
    .Scan(new[] { 
            new { CurrencyPair = "AUD/GBP", Rate = 0.665000m}, 
            new { CurrencyPair = "USD/EUR", Rate = 0.775000m}, 
            new { CurrencyPair = "NOK/EUR", Rate = 0.130000m}
            }, (r,i) => 
        r.Select(s => new {CurrencyPair = s.CurrencyPair, 
                Rate = s.Rate + rand.Next(-100,100)/1000000m}).ToArray())
    .Publish()
    .RefCount();
    
var disp = currencyTick.Subscribe(s => Console.WriteLine(string.Join("|",
    s.Select(i => string.Format("{0}:{1}",i.CurrencyPair, 
    i.Rate.ToString())).ToArray())));
Console.ReadLine();
disp.Dispose();

In the trivial code above I simply create a 500 millisecond tick, which gets pipelined into a scan (which takes a seed and then generates new values for every tick). The scan gets published to create a hot observable, which is finally pipelined into the refcount – which gives the observable automatic connect and disconnect behavior.

The end result is currency pair data ticking into our console on LinqPad.

OK, the result of this exercise is that we have a good idea that we want to publish our data feed through a observable, and the publishing and subscribing mechanisms are in-line with our desired end-result.

Step 2 – Get this to work in WPF