Of course, the constructor of your object (especially if you use the Singleton style). I apologize for the shameless self-promotion, but I wrote two articles on how to get started with the WCF client / server system (Net.Tcp) ... The first is non-IIS (to which the service starts on your own terms), the last is how to change the first one to be hosted in IIS, to which my first anti-aliasing applies:
1) Programming the client server with WCF
2) Duplex WCF services hosted in IIS using Net.Tcp
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