Test qlib from source

download orderbook data (#1754) #1316

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Run time

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Job	Run time
build (windows-latest, 3.7)	23m 9s
build (windows-latest, 3.8)	21m 14s
build (ubuntu-20.04, 3.7)	12m 59s
build (ubuntu-20.04, 3.8)	13m 32s
build (ubuntu-22.04, 3.7)	13m 39s
build (ubuntu-22.04, 3.8)	14m 21s
build (macos-11, 3.7)	39m 8s
build (macos-11, 3.8)	34m 6s
build (macos-latest, 3.7)	18m 11s
build (macos-latest, 3.8)	17m 55s
	3h 28m 14s