Backtest Data and Venues

Data

Historical data advances the backtest clock, updates simulated market state, and drives strategy callbacks. The venue's book_type determines which data can update the matching book, so the configuration must match the available data.

Order book data exposes more execution detail than quotes, trades, or bars, but even a recorded book cannot show how a simulated order would have changed the market. NautilusTrader supports the following data in descending order of detail:

flowchart LR
    L3["L3 Order Book
(market-by-order)"]
    L2["L2 Order Book
(market-by-price)"]
    L1["L1 Quotes
(top of book)"]
    T["Trades"]
    B["Bars"]

    L3 --> L2 --> L1 --> T --> B

    style L3 fill:#2d5a3d,color:#fff
    style L2 fill:#3d6a4d,color:#fff
    style L1 fill:#4d7a5d,color:#fff
    style T fill:#5d8a6d,color:#fff
    style B fill:#6d9a7d,color:#fff

More granular data exposes more of the recorded queue and depth, while less granular data requires more simulation assumptions.

• L3 order book data (market-by-order): Individual orders at each recorded price level.
• L2 order book data (market-by-price): Aggregate size at each recorded price level.
• L1 quote ticks (market-by-price): Best bid and ask prices and sizes.
• Trade ticks: Recorded executions.
• Bars: Aggregated price and volume over fixed intervals.

Choosing data: cost vs. accuracy

Bar data can be sufficient for early strategy development and is often cheaper and easier to obtain than tick or order book data. It cannot establish intrabar price order, spread, depth, or queue position, so execution-sensitive strategies need more granular validation.

:::tip Start with bars to test the core signal when appropriate. Move to quotes, trades, or depth data before relying on results that depend on spread, exact intrabar order, tight exits, or queue position. :::

Venues

When initializing a venue for backtesting, you must specify its internal order book_type for execution processing from the following options:

• L1_MBP: Level 1 market-by-price (default). Only the top level of the order book is maintained.
• L2_MBP: Level 2 market-by-price. Order book depth is maintained, with a single order aggregated per price level.
• L3_MBO: Level 3 market-by-order. Order book depth is maintained, with all individual orders tracked as provided by the data.

The book_type determines which data updates book state and drives matching. Data that does not apply to the selected book is ignored for book and price updates, but the outer backtest clock still advances. Strategies continue to receive subscribed data through the data engine. Precision validation depends on the matching path; for example, a bar ignored by an L2 or L3 venue returns before executable-bar precision checks.

:::note The granularity of the data must match the specified order book_type. Nautilus cannot generate higher granularity data (L2 or L3) from lower-level data such as quotes, trades, or bars. :::

:::warning If you specify L2_MBP or L3_MBO as the venue's book_type, quotes and bars will not update the book. Ensure you provide order book delta data, otherwise orders may appear as though they are never filled. :::

:::warning When using L1_MBP (the default), order book deltas are ignored by the matching engine. If you subscribe to order book deltas, set the venue book_type to L2_MBP or L3_MBO. This also applies to sandbox execution, where the matching engine uses the same book_type configuration. :::