IConnectableObservable represents a pending hot observable that can be shared with multiple subscribers. Calling
IConnectableObservable.Connect() causes the change to hot (subscribes to the cold source observable)
A cold observable (like
Observable.Range) replays the sequence for each subscriber. It's analagous to a stopwatch, where every subscriber is given their own stopwatch. The subscriber starts the stopwatch by subscribing, and the stopwatch stops (and resets) once the observer stops observing.
A hot observable shares the sequence between all subscribers. It's analagous to there being one stopwatch and all subscribers are given the same time readout, regardless of when they started watching.
IObservable.Publish converts a cold observable into a hot observable, but returns an
IConnectableObservable. This enables subscribers to subscribe to the (single) stopwatch before it starts. Calling
IConnectableObservable.Connect() starts the stopwatch. Disposing the
Connect() return value stops the stopwatch.
It's worth noting that some observable sources are hot by nature. For example, mouse events can fire regardless of whether we are subscribed to them. All a connectable observable would do in this scenario is a share a single event subscription.