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In cases where I need to look at the last several asks/bids for a given moment, there doesn't seem to be a viable way to do this currently due to data restrictions as I understand.
I can however make API requests to Tradier to get this information. I even see a Tradier Http client in the code base (QuantConnect.Brokerages.Tradier.TradierBrokerage) that can make requests to "markets/timesales" which is pretty much exactly what I need. Although the Algorithm Assembly doesn't have access to this namespace.
I have thought about including a simple client to effectively do the same thing, but then I got to wondering how Backtesting would affect API limits & performance.
Is there any guidance or restrictions around integrating API requests in an Algorithm?
Jared Broad
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Levitikon
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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