Crypto Order Book Imbalance Backtest

Code NautilusTrader

Summary

This example sets up a backtest for a Bitcoin to USDT market on Binance using level two market-by-price order book snapshots and updates. It configures a cash account with BTC and USDT balances, a maker taker fee model, and an order book imbalance strategy. The strategy configuration includes a maximum trade size, a minimum trigger size, an imbalance ratio threshold, a minimum delay between triggers, and the book type.

The script assembles and sorts order book deltas, runs the engine, then requests account, fills, and positions reports. It illustrates how to connect order book data and fees to a strategy backtest, but the excerpt does not describe the imbalance calculation, entry and exit logic, dataset dates, or any resulting performance. The configured thresholds are example settings, not evidence of profitability, and conclusions would depend on data quality, execution assumptions, and the omitted strategy implementation.

Key ideas

The example backtests a Bitcoin to USDT order book strategy on Binance using level two book data.
It configures starting balances, trading fees, and a cash account before running the simulation.
Strategy triggers use minimum size, imbalance ratio, trade size, and time spacing parameters.
The script produces account, fill, and position reports after the run.
The excerpt provides no performance results or full explanation of the strategy logic.

Tags

Crypto Market microstructure Backtesting Execution

Full text

# crypto_orderbook_imbalance.py


```py
#!/usr/bin/env python3
# -------------------------------------------------------------------------------------------------
#  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
#  https://nautechsystems.io
#
#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
#  You may not use this file except in compliance with the License.
#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
#
#  Unless required by applicable law or agreed to in writing, software
#  distributed under the License is distributed on an "AS IS" BASIS,
#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#  See the License for the specific language governing permissions and
#  limitations under the License.
# -------------------------------------------------------------------------------------------------
"""
Example of crypto orderbook imbalance.
"""

import sys
from decimal import Decimal
from pathlib import Path

import pandas as pd

from nautilus_trader.adapters.binance import BINANCE_VENUE
from nautilus_trader.adapters.binance import load_binance_order_book_deltas
from nautilus_trader.backtest import BacktestEngine
from nautilus_trader.config import BacktestEngineConfig
from nautilus_trader.execution import MakerTakerFeeModel
from nautilus_trader.model import AccountType
from nautilus_trader.model import BookType
from nautilus_trader.model import Currency
from nautilus_trader.model import Money
from nautilus_trader.model import OmsType
from nautilus_trader.model import TraderId
from nautilus_trader.testkit.providers import TestInstrumentProvider


sys.path.insert(0, str(Path(__file__).resolve().parents[2] / "docs" / "tutorials"))

from orderbook_data import deltas_from_frame
from orderbook_imbalance import OrderBookImbalance
from orderbook_imbalance import OrderBookImbalanceConfig


if __name__ == "__main__":
    engine = BacktestEngine(
        BacktestEngineConfig(trader_id=TraderId.from_str("BACKTESTER-001")),
    )
    BTC = Currency.from_str("BTC")
    USDT = Currency.from_str("USDT")
    engine.add_venue(
        venue=BINANCE_VENUE,
        oms_type=OmsType.NETTING,
        account_type=AccountType.CASH,
        base_currency=None,
        starting_balances=[Money(100, BTC), Money(1_000_000, USDT)],
        book_type=BookType.L2_MBP,
        fee_model=MakerTakerFeeModel(
            maker_rate=Decimal("0.001"),
            taker_rate=Decimal("0.001"),
        ),
    )

    BTCUSDT_BINANCE = TestInstrumentProvider.btcusdt_binance()
    engine.add_instrument(BTCUSDT_BINANCE)

    data_dir = Path(__file__).resolve().parents[2] / "test_data" / "binance"
    snapshot = load_binance_order_book_deltas(data_dir / "btcusdt-depth-snap.csv")
    updates = load_binance_order_book_deltas(data_dir / "btcusdt-depth-update.csv")
    deltas = deltas_from_frame(snapshot, BTCUSDT_BINANCE)
    deltas += deltas_from_frame(updates, BTCUSDT_BINANCE)
    deltas.sort(key=lambda delta: delta.ts_init)
    engine.add_data(deltas)

    strategy = OrderBookImbalance(
        OrderBookImbalanceConfig(
            instrument_id=str(BTCUSDT_BINANCE.id),
            max_trade_size="1.000",
            trigger_min_size=20.0,
            trigger_imbalance_ratio=0.20,
            min_seconds_between_triggers=1.0,
            book_type="L2_MBP",
        ),
    )
    engine.add_strategy(strategy)
    engine.run()

    with pd.option_context(
        "display.max_rows",
        100,
        "display.max_columns",
        None,
        "display.width",
        300,
    ):
        print(engine.generate_account_report(BINANCE_VENUE))
        print(engine.generate_order_fills_report())
        print(engine.generate_positions_report())

    engine.reset()
    engine.dispose()

```

Shown in full with attribution under the source's licence. Licence: LGPL-3.0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.

Backtesting a Crypto Order Book Imbalance Strategy

Summary

Key ideas

Tags