Data Collection/Recording

[netomenoci]

Hi guys,

What is the recommended way to store exchange's data in a format compatible with the backtester?

I have looked into the example examples/backtest/betfair_backtest_orderbook_imbalance.py, and I can see that the backtester expects the messages in raw format (for example, the data in tests/test_data/betfair/1-166564490.bz2).

I imagine I could just modify the functions:

nautilus_trader/adapters/betfair/data.py : def on_market_update(self, raw: bytes) -> None:
and
nautilus_trader/adapters/betfair/execution.py def handle_order_stream_update(self, raw: bytes) -> None:

to store these messages in a file.

Is that the recommended way? Or is there an easier way, eg, storing everything thorugh some already existing cache?

Thanks a lot