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Instrument SQLAlchemy engine connection phase #1133

@shahargl

Description

@shahargl

** Is your feature request related to a problem? **
The SQLAlchemy instrumentation does not trace the actual connection to the database

Describe the solution you'd like
I want that connect function will also be traced

Describe alternatives you've considered
Which alternative solutions or features have you considered?

Additional context
We are working with SQLAlchemy (snowflake db) and we implemented a solution where we can see the connect span also as attached in the screenshot (the span is database-connect)
image

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