Clickhouse is excellent btw. I took it for a spin, loading a few TB of orderbook changes into it as entire snapshots. The double compression (type-aware and generic) does wonders. It's amazing how you get both the benefit of small size and quick querying, with minimal tweaks. I don't think I changed any system level defaults, yet I can aggregate through the entire few billion snapshots in a few minutes.
By snapshots do you mean the entire orderbook in a specific point in time or the entire history that gets instiantiated?
At each point in time, the entire orderbook at that time.
So you could replay the entire history of the book just by stepping through the rows.