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    <p>Given you have:</p> <pre><code>IObservable&lt;string&gt; UnparsedMessages = ...; Func&lt;string, Message&gt; ParseMessage = ...; </code></pre> <p>Then you could use a <code>SelectAsync</code> extension method like so:</p> <pre><code>IObservable&lt;Message&gt; ParsedMessages = UnparsedMessages.SelectAsync(ParseMessage); </code></pre> <p>The <code>SelectAsync</code> extension method processes each unparsed message asynchronously and ensures that the results come back in the order they arrived.</p> <p>Let me know if this does what you need.</p> <p>Here's the code:</p> <pre><code>public static IObservable&lt;U&gt; SelectAsync&lt;T, U&gt;(this IObservable&lt;T&gt; source, Func&lt;T, U&gt; selector) { var subject = new Subject&lt;U&gt;(); var queue = new Queue&lt;System.Threading.Tasks.Task&lt;U&gt;&gt;(); var completing = false; var subscription = (IDisposable)null; Action&lt;Exception&gt; onError = ex =&gt; { queue.Clear(); subject.OnError(ex); subscription.Dispose(); }; Action dequeue = () =&gt; { lock (queue) { var error = false; while (queue.Count &gt; 0 &amp;&amp; queue.Peek().IsCompleted) { var task = queue.Dequeue(); if (task.Exception != null) { error = true; onError(task.Exception); break; } else { subject.OnNext(task.Result); } } if (!error &amp;&amp; completing &amp;&amp; queue.Count == 0) { subject.OnCompleted(); subscription.Dispose(); } } }; Action&lt;T&gt; enqueue = t =&gt; { if (!completing) { var task = new System.Threading.Tasks.Task&lt;U&gt;(() =&gt; selector(t)); queue.Enqueue(task); task.ContinueWith(tu =&gt; dequeue()); task.Start(); } }; subscription = source.Subscribe( t =&gt; { lock(queue) enqueue(t); }, x =&gt; { lock(queue) onError(x); }, () =&gt; { lock(queue) completing = true; }); return subject.AsObservable(); } </code></pre> <hr> <p>I ended up needing to revisit this for work and wrote a more robust version of this code (based also on Richard's answer.)</p> <p>The key advantage to this code is the absence of any explicit queue. I'm purely using task continuations to put the results back in order. Works like a treat!</p> <pre><code>public static IObservable&lt;U&gt; ForkSelect&lt;T, U&gt;(this IObservable&lt;T&gt; source, Func&lt;T, U&gt; selector) { return source.ForkSelect&lt;T, U&gt;(t =&gt; Task&lt;U&gt;.Factory.StartNew(() =&gt; selector(t))); } public static IObservable&lt;U&gt; ForkSelect&lt;T, U&gt;(this IObservable&lt;T&gt; source, Func&lt;T, Task&lt;U&gt;&gt; selector) { if (source == null) throw new ArgumentNullException("source"); if (selector == null) throw new ArgumentNullException("selector"); return Observable.CreateWithDisposable&lt;U&gt;(observer =&gt; { var gate = new object(); var onNextTask = Task.Factory.StartNew(() =&gt; { }); var sourceCompleted = false; var taskErrored = false; Action&lt;Exception&gt; onError = ex =&gt; { sourceCompleted = true; onNextTask = onNextTask.ContinueWith(t =&gt; observer.OnError(ex)); }; Action onCompleted = () =&gt; { sourceCompleted = true; onNextTask = onNextTask.ContinueWith(t =&gt; observer.OnCompleted()); }; Action&lt;T&gt; onNext = t =&gt; { var task = selector(t); onNextTask = Task.Factory.ContinueWhenAll(new[] { onNextTask, task }, ts =&gt; { if (!taskErrored) { if (task.IsFaulted) { taskErrored = true; observer.OnError(task.Exception); } else { observer.OnNext(task.Result); } } }); }; var subscription = source .AsObservable() .Subscribe( t =&gt; { if (!sourceCompleted) lock (gate) onNext(t); }, ex =&gt; { if (!sourceCompleted) lock (gate) onError(ex); }, () =&gt; { if (!sourceCompleted) lock (gate) onCompleted(); }); var @return = new CompositeDisposable(subscription); return @return; }); } </code></pre> <p>And the <code>SelectMany</code> overloads to allow LINQ to be used are:</p> <pre><code>public static IObservable&lt;U&gt; SelectMany&lt;T, U&gt;(this IObservable&lt;T&gt; source, Func&lt;T, Task&lt;U&gt;&gt; selector) { return source.ForkSelect&lt;T, U&gt;(selector); } public static IObservable&lt;V&gt; SelectMany&lt;T, U, V&gt;(this IObservable&lt;T&gt; source, Func&lt;T, Task&lt;U&gt;&gt; taskSelector, Func&lt;T, U, V&gt; resultSelector) { if (source == null) throw new ArgumentNullException("source"); if (taskSelector == null) throw new ArgumentNullException("taskSelector"); if (resultSelector == null) throw new ArgumentNullException("resultSelector"); return source.Zip(source.ForkSelect&lt;T, U&gt;(taskSelector), (t, u) =&gt; resultSelector(t, u)); } </code></pre> <p>So these methods can now be used like this:</p> <pre><code>var observableOfU = observableOfT.ForkSelect(funcOfT2U); </code></pre> <p>Or:</p> <pre><code>var observableOfU = observableOfT.ForkSelect(funcOfT2TaskOfU); </code></pre> <p>Or:</p> <pre><code>var observableOfU = from t in observableOfT from u in funcOfT2TaskOfU(t) select u; </code></pre> <p>Enjoy!</p>
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    1. COLooks good! I would recommend removing the subject and wrapping the code in `Observable.CreateWithDisposable` to avoid a race condition. You can also then return `subscription` and it will automatically be disposed `OnCompleted/OnError`, so you can remove that code too. You can also forego all your method order protection (eg. onCompleted after onError) in favour of subscribing to `source.AsObservable()` as that will enforce order for you.
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    2. COAdditionally, when assigning a subscription to a local variable and then using that variable from the observer, I'd recommend using a `MutableDisposable` to prevent a race condition that could result in a `NullReferenceException`
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    3. COAnd finally (sorry), if you are using .NET 4 you could support `CancellationTokenSource` via `Disposable.Create` (and combine with the source subscription using `CompositeDisposable`) to allow for cancellation of other tasks if one errors.
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