Global.asax.cs

public class Global : System.Web.HttpApplication {

    protected void Application_Start(object sender, EventArgs e) {

        GlobalHost.Something.Add(new TheThingsThatRunsOnEverRequestBeforeHubs());
    }
}

TheThingThatRunsOnEverRequestBeforeHubs.cs

//Just like Web API message handlers
public class TheThingThatRunsOnEverRequestBeforeHubs : Something { 
    
    public Task Execute(SomeSortofRequestContext context) { 
        
        //I would like to do something here as in Web API message handlers
        
        //For example, I want to see if the user has the right auth credintials or not.
        //if so, I would like to populate the CurrentPrincipal.
        //if not, I would like to send back an unauth response
    }
}