Betfair gives you access to the order book and you can get historical data relatively cheaply. Pretty much any liquid market on Betfair will do (in-play sports events tend to be good). Betfair markets to tend to show a lot of the same patterns as "real markets', although obviously there are differences. But it's a decent place to learn the fundamentals.

You're right that potential returns are much higher on real markets, purely because there's far more money traded on real markets. On the other hand entry to "real markets" is much more expensive, Betfair is fairly cheap to enter and don't charge a per-trade commission. Plus there are more market inefficiency on Betfair that don't exist in more developed markets.

If it wouldn't trouble you to do so, could you go into more detail please? Do you have experience with this?

You are saying that any sport event, in particular those that are in play actually have some statistical mineable property with profitably exploitable strategies? If this is the case, with such a low barrier should this not be a game with zero expectation in the long run (maybe negative if there are minimum bet rules)? Whatever distribution that can be learned would have much higher variance than your typical intra day trades no? And while these techniques may be similar in spirit, do the fundamentals map sufficiently? As they say, the devil is in the details. but I speak from ignorance.

I've messed around a little bit with it, but I know some of my quant friends do it more seriously. There's definitely ways of making money of betfair, you even occasionally have arbitrage opportunities across the different markets on betfair.

I think the fundamentals are close enough that it's a useful place to learn. You're not going to be able to take a method that works on Betfair and apply it to a real market, but a lot of the statistical mining/predictions techniques you can use of betfair are exactly the same as those used in real markets.

Betfair isn't just for gambling. You can trade betting positions. In that sense, it's a marketplace amenable to algorithmic trading like any other, entirely without relying on having a gambling advantage.