Live Trading with Interactive Broker with a long lookback window during engine warm up

[xlabsio]

Hi,

I have a strategy that requires 3 months+ of minute data look back. The Interactive Broker does not provide such a long look back window during historical data query. Hence I am planning to supplement that with a Parquet file during the NautilusTrade engine start up. I have not been able to find an example snippet that stitches my historical minute data and the live Interactive Broker OHLC bars. What is a general approach for this please?

[xlabsio]

Found this page in the documentation. Looks like the pattern is to write a DataClient that can support long look back and real-time. The framework does distinguish the historical and real-time callbacks.

So maybe I shall create a new DataClient like the out-of-box IB Data Client, and add long history ingestion feature.

https://nautilustrader.io/docs/nightly/concepts/actors/