Replaying Order Book Deltas in an L3 Backtest with a Book Imbalance Actor
Summary
This example demonstrates a backtest workflow for market-by-order data. It loads instrument definitions and a short sample of order book deltas, configures a margin account with an L3 market-by-order book, and feeds the data into the engine. A built-in book imbalance actor is attached to one instrument and configured to log at a fixed interval. The example then runs the backtest and prints its summary.
The sample illustrates data loading, venue setup, and replay of order book events through a matching engine; it does not define a trading rule or report an imbalance-based strategy result. The configured maker and taker fees are both zero, and the sample covers only a brief interval, limiting what could be inferred about costs or market behavior. No output or performance statistics are included, so this is best read as an implementation example rather than evidence that book imbalance is profitable.
Key ideas
- The example loads instrument definitions and market-by-order book deltas for a backtest.
- It configures the simulated venue to maintain an L3 order book.
- A book imbalance actor processes one instrument and logs periodically.
- The example sets both maker and taker fees to zero.
- It reports no trading signals or strategy performance results.
Tags
Full text
# databento_test_order_book_deltas.py
```py
"""
Example of databento test order book deltas.
"""
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# # Databento order-book deltas
#
# Load the tracked ESM4 MBO sample and replay it through the Rust-native book
# imbalance actor with an L3 matching engine.
# %%
from decimal import Decimal
from pathlib import Path
from nautilus_trader.adapters.databento import DatabentoDataLoader
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.model import Venue
from nautilus_trader.trading import BookImbalanceActorConfig
# %%
if __name__ == "__main__":
repo_root = Path(__file__).resolve().parents[3]
data_dir = repo_root / "test_data" / "databento" / "order_book_deltas_catalog" / "databento"
loader = DatabentoDataLoader(
repo_root / "crates" / "adapters" / "databento" / "publishers.json",
)
instruments = loader.load_instruments(
data_dir / "orderbooks_definition.dbn.zst",
use_exchange_as_venue=True,
)
deltas = loader.load_order_book_deltas(
data_dir / "orderbooks_mbo_2024-05-08T00-00-00_2024-05-08T00-00-02.dbn.zst",
)
engine = BacktestEngine(
BacktestEngineConfig(trader_id=TraderId.from_str("BACKTESTER-001")),
)
XCME = Venue("XCME")
USD = Currency.from_str("USD")
engine.add_venue(
venue=XCME,
oms_type=OmsType.NETTING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
book_type=BookType.L3_MBO,
fee_model=MakerTakerFeeModel(
maker_rate=Decimal(0),
taker_rate=Decimal(0),
),
)
for instrument in instruments:
engine.add_instrument(instrument)
engine.add_data(deltas)
engine.add_builtin_actor(
"BookImbalanceActor",
BookImbalanceActorConfig(
instrument_ids=[instruments[0].id],
log_interval=1_000,
),
)
engine.run()
print(engine.get_result().summary)
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.