Scott Weinstein on .Net

CEP Style Sliding windows in the RX – Take 2

The bug I mentioned in my first attempt at a sliding window was the minor issue that the aggegates never went down to 0, even if the window had emptied out.

The problem line of code was cur.GroupBy(tsst => tsst.Value.Symbol) – if the window is empty, there is nothing to group – and as a result the aggregates don’t get computed.

Here’s the fix:

public IObservable<VWAPItem> GetVWAPWS(IObservable<Timestamped<StockTick>> oticks)
{
    var existingWindows = new ConcurrentDictionary<string,int>();
    return oticks
              .ToSlidingWindow(new TimeSpan(0, 0, 0, 30), new TimeSpan(0, 0, 0, 0, 500))
              .Select(sl => sl.Current)
              .SelectMany(cur =>
                  {
                      IEnumerable<VWAPItem> grouped = cur.GroupBy(tsst => tsst.Value.Symbol)
                          .Select(grp =>
                              {
                                  IEnumerable<StockTick> ticks = grp.Select(tsst2 => tsst2.Value);
                                  var totalAmount = ticks.Sum(tk => tk.Size * tk.Price);
                                  var totalVolume = ticks.Sum(tk => tk.Size);
                                  return new VWAPItem(grp.Key, totalAmount, 
								totalVolume, 
								totalAmount / totalVolume);
                              });
                      foreach (var grpd in grouped)
                      {
                          existingWindows[grpd.Symbol] = 1;
                      } 
                     IEnumerable< IEnumerable<VWAPItem>> outerJoin = existingWindows
                                                        .GroupJoin(grouped, 
                                                            key => key.Key, 
                                                            grped => grped.Symbol,
                                                            (key, item) => 
								item.DefaultIfEmpty(new VWAPItem(key.Key, 0, 0, 0)));
                     return outerJoin.SelectMany(x => x);
                  });
 
}