So here are my findings regarding to the compression problem.
- With a WCF Data Service in a Windows Service, you cannot create compression because you cannot modify the output as there is no HTTPContext - it is a property of the ASP context that can be found only in IIS (Express)
- You need an IIS for compressing the data - it is easy that way
- Much to my astonishment, the compressed data could be read by odata4j without any modification
- It is good to know that the decompressing of the incoming data takes notable time, comparable to the time gained by transferring less data
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