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?