but: you should never access a trade site directly! Most of them have strict rules how often you are allowed to make requests per second/minute/. Problem is, that you might have x bots running and you don't know what bot requests which data at which time. That's why I have a central ChartProvider class (not complete though), that controls those requests and also caches the results, so 2 bots requesting the depth for pair ab might actually only trigger 1 request to the actual exchange.
Yes, you want local copies of remote state. All exchanges currently use HTTP as a transport protocol which is incredibly inefficient. If you look at some of data loads of the requests there is a lot of room for optimization. Standardizing all of this is some hard work. It would also be nice to have a public data store for historic (tick) data, as well as some standardized performance measurements. The only project which has ever done opensource Algo trading, at least that I know of, is marketcetera. They had 300kLOC at some time, although I suspect the quality of the code base is mediocre (
http://code.marketcetera.org/ ). Traditionally this kind of software costed mid 6 figures. Doing proper strategy containers, performance reporting, order execution, ... is not easy to get right.