Implementing the BBE Agent-Based Model of a Sports-Betting Exchange

TL;DR

This paper presents three implementations of the Bristol Betting Exchange (BBE), an agent-based model simulating a sports-betting exchange to generate synthetic data for developing betting strategies, with significant speed improvements using GPU acceleration.

Contribution

The paper introduces multiple implementations of the BBE model, including a GPU-accelerated version that is approximately 1000 times faster than the single-threaded Python version.

Findings

GPU implementation runs 1000x faster than Python

Multiple implementations demonstrate flexibility and performance

Synthetic data can aid in developing betting strategies

Abstract

We describe three independent implementations of a new agent-based model (ABM) that simulates a contemporary sports-betting exchange, such as those offered commercially by companies including Betfair, Smarkets, and Betdaq. The motivation for constructing this ABM, which is known as the Bristol Betting Exchange (BBE), is so that it can serve as a synthetic data generator, producing large volumes of data that can be used to develop and test new betting strategies via advanced data analytics and machine learning techniques. Betting exchanges act as online platforms on which bettors can find willing counterparties to a bet, and they do this in a way that is directly comparable to the manner in which electronic financial exchanges, such as major stock markets, act as platforms that allow traders to find willing counterparties to buy from or sell to: the platform aggregates and anonymises orders from multiple participants, showing a summary of the market that is updated in real-time. In the first instance, BBE is aimed primarily at producing synthetic data for in-play betting (also known as in-race or in-game betting) where bettors can place bets on the outcome of a track-race event, such as a horse race, after the race has started and for as long as the race is underway, with betting only ceasing when the race ends. The rationale for, and design of, BBE has been described in detail in a previous paper that we summarise here, before discussing our comparative results which contrast a single-threaded implementation in Python, a multi-threaded implementation in Python, and an implementation where Python header-code calls simulations of the track-racing events written in OpenCL that execute on a 640-core GPU -- this runs approximately 1000 times faster than the single-threaded Python. Our source-code for BBE is freely available on GitHub.