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📝 Summary

This PR replace the old way of getting orders historical. Before, DataSources would give DatasourceData which had all the order replacement done for a specific (a little hidden) timestamp.
Now DataSources also give FullSlotDatasourceData (via get_full_slot_data) which contains all the history of order commands (includes replacements/cancellations) for later filtering.
The changed is propagated to the sqlite order DB we use (HistoricalDataStorage) and HistoricalDataFetcher.
Ideally, backtesting and refund calculations should start using FullSlotBlockData which allows to take a snapshot of the orders at any given point (snapshot_including_landed/snapshot).

To allow backwards compatibility the old way is still present.

💡 Motivation and Context

Allow better backtesting.


✅ I have completed the following steps:

  • Run make lint
  • Run make test
  • Added tests (if applicable)

@ZanCorDX ZanCorDX requested a review from dvush as a code owner June 18, 2025 19:38
@ZanCorDX ZanCorDX merged commit d05c0ed into develop Jun 24, 2025
2 of 3 checks passed
@ZanCorDX ZanCorDX deleted the fetch-all-order-versions branch June 24, 2025 10:33
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2 participants