Book Imbalance Backtest (Betfair)

:::note This is a Rust-only v2 system tutorial. It drives the Rust BacktestEngine directly with raw Betfair streaming data, bypassing the Python and Parquet paths. :::

This tutorial backtests a BookImbalanceActor on a Betfair MATCH_ODDS market. It loads a raw historical streaming .gz file, feeds it through the Rust BacktestEngine, and tracks the bid/ask quoted-volume imbalance per runner.

Introduction

Betfair is a sports betting exchange where participants back (bid) and lay (ask) outcomes at decimal odds. Each runner has its own L2 order book that behaves like a financial order book.

The actor reads OrderBookDeltas for every runner and accumulates two running totals per side: bid volume (back orders) and ask volume (lay orders). Per-batch and cumulative imbalance are computed as:

imbalance = (bid_volume - ask_volume) / (bid_volume + ask_volume)

A positive value means the market is leaning toward backing the outcome. Sports traders use this as a starting block, often combined with price momentum or market-wide features.

A release build processes about three million data points per second with full order book maintenance in the matching engine.

flowchart LR
    subgraph Inputs ["Source"]
        F["Betfair .gz MCM file"]
    end

    subgraph Loader ["BetfairDataLoader"]
        I["Instrument"]
        DLT["Deltas (L2 snap/update)"]
        TR["Trade ticks"]
        ICL["InstrumentClose"]
    end

    subgraph Engine ["BacktestEngine"]
        BK["Per-runner OrderBook (L2)"]
        ME["Matching engine"]
    end

    subgraph Actor ["BookImbalanceActor"]
        AC["Aggregate batch bid_vol / ask_vol"]
        SUM["Cumulative volume per runner"]
        IMB["imbalance = (bid - ask) / (bid + ask)"]
    end

    F --> I
    F --> DLT
    F --> TR
    F --> ICL
    DLT --> BK
    BK --> ME
    BK --> AC
    AC --> SUM --> IMB

Prerequisites

• A working Rust toolchain (rustup.rs).
• The NautilusTrader repository cloned and building.
• A Betfair historical .gz file containing MCM (Market Change Message) data. Source it from Betfair historic data, a third-party archive, or by recording the Exchange Streaming API yourself.

Place the file at:

tests/test_data/local/betfair/1.253378068.gz

This path is gitignored and not shipped with the repository. The bundled example dataset is a football MATCH_ODDS market with 3 runners and around 82,000 MCM lines recorded over 18 days.

Loading the data

BetfairDataLoader reads gzip-compressed Betfair Exchange Streaming API files and parses each line into Nautilus domain objects:

use nautilus_betfair::loader::{BetfairDataItem, BetfairDataLoader};
use nautilus_model::types::Currency;

let mut loader = BetfairDataLoader::new(Currency::GBP(), None);
let items = loader.load(&filepath)?;

The loader returns a Vec<BetfairDataItem>:

The backtest engine accepts the Data enum, so we map the variants we need and skip the Betfair-specific types:

use nautilus_model::data::{Data, OrderBookDeltas_API};

let mut instruments = AHashMap::new();
let mut data: Vec<Data> = Vec::new();

for item in items {
    match item {
        BetfairDataItem::Instrument(inst) => {
            instruments.insert(inst.id(), *inst);
        }
        BetfairDataItem::Deltas(d) => {
            data.push(Data::Deltas(OrderBookDeltas_API::new(d)));
        }
        BetfairDataItem::Trade(t) => {
            data.push(Data::Trade(t));
        }
        BetfairDataItem::InstrumentClose(c) => {
            data.push(Data::InstrumentClose(c));
        }
        _ => {}
    }
}

OrderBookDeltas_API is a thin FFI wrapper around OrderBookDeltas required by the Data enum.

Instruments are re-emitted on every market definition update in the stream, so the map deduplicates them by keeping the latest version.

:::warning The Status variant carries market status transitions (PreOpen, Trading, Suspended, Closed) but the Data enum has no variant for it. This example does not replay status transitions. If you extend this into a strategy that places orders, the matching engine will not see market suspensions or closures from the stream. Subscribe to instrument status separately or add status routing to the engine. :::

The actor

NautilusTrader ships BookImbalanceActor in the trading crate's examples module. The example wires it up with a per-runner instrument list and a log interval:

use nautilus_trading::examples::actors::BookImbalanceActor;

let actor = BookImbalanceActor::new(instrument_ids, 5000, None);
engine.add_actor(actor)?;

The second argument is the log interval: print a progress line every 5,000 updates per runner. The example reads IMBALANCE_LOG_INTERVAL from the environment, so set it to a smaller value (200) when you want to capture finer-grained data for the panels at the end of this tutorial.

The full source is at crates/trading/src/examples/actors/imbalance/actor.rs.

How it works

A DataActor in Rust needs three pieces:

1. A struct holding a DataActorCore field plus your own state.
2. nautilus_actor!(YourType) to wire up the core, plus a Debug implementation.
3. The DataActor trait implementation with your callbacks.

The framework provides blanket Actor and Component implementations for any type that implements DataActor + Debug, so you do not need to implement those manually.

On start the actor subscribes to OrderBookDeltas for each instrument. On each update it sums per-side volume from the individual deltas and accumulates running totals. On stop it prints a per-instrument summary.

Setting managed: false in subscribe_book_deltas means the data engine does not maintain a separate order book copy in the cache for the actor. The exchange-side matching engine still maintains its own book through book.apply_delta() on every delta. Set managed: true if your actor needs to read the full book state from self.cache().order_book(&instrument_id).

Backtest engine setup

Create the engine and venue

Betfair is a cash-settled betting exchange. The venue uses AccountType::Cash, OmsType::Netting, and BookType::L2_MBP:

let mut engine = BacktestEngine::new(BacktestEngineConfig::default())?;

engine.add_venue(
    SimulatedVenueConfig::builder()
        .venue(Venue::from("BETFAIR"))
        .oms_type(OmsType::Netting)
        .account_type(AccountType::Cash)
        .book_type(BookType::L2_MBP)
        .starting_balances(vec![Money::from("1_000_000 GBP")])
        .build(),
)?;

Add instruments, actor, and data

for instrument in instruments.values() {
    engine.add_instrument(instrument)?;
}

let actor = BookImbalanceActor::new(instrument_ids, 5000, None);
engine.add_actor(actor)?;

engine.add_data(data, None, true, true)?;

The add_data parameters are (data, client_id, validate, sort). With validate: true the engine checks the first element's instrument is registered (the batch is assumed homogeneous). With sort: true it sorts by timestamp.

Run

engine.run(None, None, None, false)?;

The four parameters are (start, end, run_config_id, streaming). Passing None for start/end uses the full time range of the loaded data.

What happens during the run

For each data point in timestamp order the engine:

1. Advances the clock to the data timestamp.
2. Routes the data to the simulated exchange, which applies each delta to the per-instrument OrderBook and runs the matching engine cycle.
3. Publishes the data through the data engine and message bus, triggering the actor's on_book_deltas callback.
4. Drains command queues and settles venues (processes any pending orders).

The matching engine maintains a full order book per instrument. The example has no orders to match, so the book state is ready to use as soon as it is swapped for a Strategy.

Results

The bundled MATCH_ODDS dataset has three runners and 143,098 data points; a release build completes in about 48 ms:

--- Book imbalance summary ---
  1.253378068-2426.BETFAIR   updates: 53197  bid_vol: 212225339.34  ask_vol: 117422531.85  imbalance:  0.2876
  1.253378068-48783.BETFAIR  updates: 36475  bid_vol:  52506905.49  ask_vol:  19104694.72  imbalance:  0.4664
  1.253378068-58805.BETFAIR  updates: 25426  bid_vol:  24295351.82  ask_vol:  25692733.11  imbalance: -0.0280

Runner 2426 (the eventual winner, settled at BSP 2.22) ends at +0.288: backing flow dominates lay flow throughout the market. Runner 48783 shows even stronger backing pressure (+0.466) over fewer updates, while 58805 ends close to neutral (-0.028).

Figure 1. Cumulative (bid - ask) / (bid + ask) per runner across the ~143k updates of the market lifetime. Dashed lines mark each runner's final imbalance.

Figure 2. Distribution of per-batch signed flow ratio (bid - ask) / (bid + ask) over IMBALANCE_LOG_INTERVAL=200 batches per runner. The shape of each runner's batch distribution is a sharper signal than the cumulative imbalance.

Figure 3. Cumulative back (bid) and lay (ask) volume per runner. Both sides are non-monotonic: lay flow occasionally outpaces back flow within short bursts even when cumulative imbalance stays positive.

Regenerate the panels

The actor logs [runner] update #N: batch bid=B ask=A cumulative imbalance=I on every Nth update. The renderer parses those lines and writes static PNGs using the nautilus_dark tearsheet theme.

IMBALANCE_LOG_INTERVAL=200 cargo run -p nautilus-betfair --features examples --release \
    --example betfair-backtest > /tmp/betfair.log 2>&1

uv sync --extra visualization
BETFAIR_LOG=/tmp/betfair.log \
    python3 docs/tutorials/assets/backtest_book_imbalance_betfair/render_panels.py

Running the example

# Debug build
cargo run -p nautilus-betfair --features examples --example betfair-backtest

# Release build (recommended)
cargo run -p nautilus-betfair --features examples --release --example betfair-backtest

# Custom data file
cargo run -p nautilus-betfair --features examples --release --example betfair-backtest -- path/to/file.gz

Complete source

The complete example is at crates/adapters/betfair/examples/betfair_backtest.rs.

Next steps

• Add a strategy. Replace the actor with a Strategy implementation that places back/lay orders based on the imbalance signal. See the EmaCross example in crates/trading/src/examples/strategies/ema_cross/strategy.rs for the pattern.
• Use managed books. Set managed: true in subscribe_book_deltas and read the full book via self.cache().order_book(&id) for richer signals like top-of-book spread, depth ratios, or weighted mid-price.
• Multiple markets. Load several .gz files and run them through the same engine to test cross-market signals.
• Compare with Python. Run the same backtest from Python using the BacktestEngine Python API. The Rust engine processes the same data pipeline at roughly six times the throughput of the Python/Cython path.