Backtest with Order Book Depth Data (Binance)

Replay Binance T_DEPTH order book deltas through BacktestNode and run an imbalance strategy that fires fill-or-kill (FOK) limit orders when one side of the book is much thicker than the other. The same pattern works against any venue's L2 delta feed.

View source on GitHub.

Introduction

Top-of-book imbalance is a microstructure signal: when the smaller resting side at the BBO drops well below the larger side, the book is leaning. The OrderBookImbalance strategy ships in nautilus_trader.examples and works in two stages on every order book update:

• Compute min(bid_size, ask_size) / max(bid_size, ask_size). Higher means balanced; lower means leaning.
• When the larger side is at least trigger_min_size and the ratio is below trigger_imbalance_ratio, fire a single FOK limit order against the thicker side. A trigger cooldown of min_seconds_between_triggers prevents the strategy from re-firing on every micro-update.

The strategy is intentionally simple and has no edge.

Prerequisites

• Python 3.12+
• NautilusTrader installed (pip install nautilus_trader)
• Binance T_DEPTH CSVs for the day you want to replay. The bundled tutorial uses BTCUSDT 2022-11-01 from data.binance.vision. Place them under the directory in NAUTILUS_DATA_DIR/Binance/.

import os
import shutil
from decimal import Decimal
from pathlib import Path

import pandas as pd

from nautilus_trader.adapters.binance import load_binance_order_book_deltas
from nautilus_trader.backtest.node import BacktestDataConfig
from nautilus_trader.backtest.node import BacktestEngineConfig
from nautilus_trader.backtest.node import BacktestNode
from nautilus_trader.backtest.node import BacktestRunConfig
from nautilus_trader.backtest.node import BacktestVenueConfig
from nautilus_trader.config import ImportableStrategyConfig
from nautilus_trader.config import LoggingConfig
from nautilus_trader.core.datetime import dt_to_unix_nanos
from nautilus_trader.model import OrderBookDelta
from nautilus_trader.persistence.catalog import ParquetDataCatalog
from nautilus_trader.persistence.wranglers import OrderBookDeltaDataWrangler
from nautilus_trader.test_kit.providers import TestInstrumentProvider

Loading data

Each row of _depth_snap.csv and _depth_update.csv is a single L2 level event. The Binance loader maps them to NautilusTrader OrderBookDelta objects with update_type="snap" for snapshots and set / delete for updates. The full update file for BTCUSDT 2022-11-01 is ~12 GB (~110 million rows), so the tutorial caps the read at 1,000,000 rows.

DATA_DIR = Path(os.environ.get("NAUTILUS_DATA_DIR", "~/Downloads/Data")).expanduser() / "Binance"

data_path = DATA_DIR
raw_files = [f for f in data_path.iterdir() if f.is_file()]
assert raw_files, f"Unable to find any data files in directory {data_path}"
raw_files

# Initial L2 snapshot of the book at session open.
path_snap = data_path / "BTCUSDT_T_DEPTH_2022-11-01_depth_snap.csv"
df_snap = load_binance_order_book_deltas(path_snap)
df_snap.head()

# Per-level deltas for the day; capped to 1M rows for a reasonable run time.
path_update = data_path / "BTCUSDT_T_DEPTH_2022-11-01_depth_update.csv"
nrows = 1_000_000
df_update = load_binance_order_book_deltas(path_update, nrows=nrows)
df_update.head()

Process deltas using a wrangler

OrderBookDeltaDataWrangler tags each level event with the instrument ID and emits an OrderBookDelta ready for the engine. Sort by ts_init so the data engine sees deltas in true publication order regardless of how the snap and update files interleave.

BTCUSDT_BINANCE = TestInstrumentProvider.btcusdt_binance()
wrangler = OrderBookDeltaDataWrangler(BTCUSDT_BINANCE)

deltas = wrangler.process(df_snap)
deltas += wrangler.process(df_update)
deltas.sort(key=lambda x: x.ts_init)
deltas[:10]

Set up the data catalog

Persist the instrument and deltas to a fresh ParquetDataCatalog so the BacktestNode can lazy-load by time range. Re-running the tutorial wipes any prior catalog at the same path.

CATALOG_PATH = Path.cwd() / "catalog"
if CATALOG_PATH.exists():
    shutil.rmtree(CATALOG_PATH)
CATALOG_PATH.mkdir()

catalog = ParquetDataCatalog(CATALOG_PATH)

catalog.write_data([BTCUSDT_BINANCE])
catalog.write_data(deltas)

catalog.instruments()

start = dt_to_unix_nanos(pd.Timestamp("2022-11-01", tz="UTC"))
end = dt_to_unix_nanos(pd.Timestamp("2022-11-04", tz="UTC"))

deltas = catalog.order_book_deltas(start=start, end=end)
print(len(deltas))
deltas[:10]

Configure the backtest

BacktestNode ingests data from the catalog and builds a BacktestEngine per BacktestRunConfig. The venue book type must match the data: deltas carry full L2 information so we use L2_MBP.

instrument = catalog.instruments()[0]
book_type = "L2_MBP"

data_configs = [
    BacktestDataConfig(
        catalog_path=str(CATALOG_PATH),
        data_cls=OrderBookDelta,
        instrument_id=instrument.id,
    ),
]

venues_configs = [
    BacktestVenueConfig(
        name="BINANCE",
        oms_type="NETTING",
        account_type="CASH",
        base_currency=None,
        starting_balances=["20 BTC", "100000 USDT"],
        book_type=book_type,
    ),
]

strategies = [
    ImportableStrategyConfig(
        strategy_path="nautilus_trader.examples.strategies.orderbook_imbalance:OrderBookImbalance",
        config_path="nautilus_trader.examples.strategies.orderbook_imbalance:OrderBookImbalanceConfig",
        config={
            "instrument_id": instrument.id,
            "book_type": book_type,
            "max_trade_size": Decimal("1.000"),
            "min_seconds_between_triggers": 1.0,
        },
    ),
]

config = BacktestRunConfig(
    engine=BacktestEngineConfig(
        strategies=strategies,
        logging=LoggingConfig(log_level="ERROR"),
    ),
    data=data_configs,
    venues=venues_configs,
)

config

Run the backtest

node = BacktestNode(configs=[config])

result = node.run()

result

from nautilus_trader.backtest.engine import BacktestEngine
from nautilus_trader.model import Venue


engine: BacktestEngine = node.get_engine(config.id)

engine.trader.generate_order_fills_report()

engine.trader.generate_positions_report()

engine.trader.generate_account_report(Venue("BINANCE"))

What the run produces

With one million updates the data spans roughly the first eleven minutes of the trading day after the initial snapshot is rebuilt. The renderer below uses three million updates (~25 minutes) so the panels show enough trigger events to be informative; the strategy fires the same way on the smaller default window.

Across the active update window the strategy submits 47 FOK limit orders and accumulates a net 14 BTC short. Every trigger lands on the bid side, implying ask size dominated bid size for nearly every imbalance event in the recorded window.

Figure 1. BTCUSDT mid, best bid, and best ask during the FOK trigger window. Triangles down are short entries at the bid; the cross is the closing fill. The strategy is on the bid side throughout.

Figure 2. smaller / larger ratio across all sampled top-of-book snapshots, with the 0.20 trigger threshold marked. The mass left of the threshold is the addressable trigger region.

Figure 3. Mid price (top) and best bid/ask size in BTC (bottom) across the active update window. Top-of-book sizes oscillate over a wide range while the mid drifts in a narrow band.

Figure 4. Cumulative signed BTC across the FOK fill sequence. Each marker is a fill; orange is a sell, blue is a buy. The strategy ramps into a -14 BTC short over 25 minutes.

Regenerate the panels

A self-contained renderer re-runs the backtest with a sampling actor that captures top of book once per second, then writes PNG panels to the asset directory using the shared nautilus_dark tearsheet theme.

uv sync --extra visualization
NAUTILUS_DATA_DIR=tests/test_data/local \
    python3 docs/tutorials/assets/backtest_orderbook_binance/render_panels.py

Set NAUTILUS_DATA_DIR to wherever your Binance/ data directory lives.

Next steps

• Tighter trigger. Drop trigger_imbalance_ratio to 0.10 to require a ten-to-one lean before firing. Expect far fewer entries and lower hit rate.
• Longer window. Bump nrows to ten or twenty million to replay several hours and see the strategy stress against more diverse sessions.
• Quote ticks instead of deltas. Set use_quote_ticks=True in the strategy config and feed the engine a quote-tick dataset for an L1 view that costs less to source.