Fetch all order versions for backtesting #645
Merged
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📝 Summary
This PR replace the old way of getting orders historical. Before,
DataSource
s would giveDatasourceData
which had all the order replacement done for a specific (a little hidden) timestamp.Now
DataSource
s also giveFullSlotDatasourceData
(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
) andHistoricalDataFetcher
.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:
make lint
make test