Add Http request_order_book_snapshot method

[graceyangfan]

Feature Request

Due to the high cost of subscribing to the order book, especially for strategies that run multiple instruments and are not high-frequency, it is important to consider the utility of micro-level order book data for strategies. Therefore, adding an HTTP method to fetch order book snapshots should be considered. I request the addition of a request_order_book_snapshot method to obtain this data within the model.

Example usage:

def on_historical_data(self, data):
    if isinstance(data, OrderBookDeltas):
        self.deltas = data

def on_bar(self, bar: Bar):
    self.request_order_book_snapshot(
        instrument_id=self.instrument_id,
        limit=5
    )
    # Process deltas 

[cjdsellers]

Hi @graceyangfan

Thanks for the contribution here.

I think this makes sense, that a trader may require a snapshot at some arbitrary frequency and depth - but not necessarily be maintaining a book the entire time with deltas.

Thankfully this wasn't too much trouble to implement with the flexible messaging system.

The only thing left here from what I can see is to add some test coverage for the DataEngine. You could use the TestDataProvider.order_book_snapshot(...) method.

Do you have an adapter implementation for Binance?

I can handle Databento and docs.

[cjdsellers]

Hey @graceyangfan

Did you end up getting your use case working for Binance?

[graceyangfan]

@cjdsellers it is now working normally on Binance. The extension to other exchanges might have to rely on other developers.