Although Internet gambling is becoming more common, few studies have been done to understand online gambling behaviour using real-world gambling data. The authors reviewed 55 research studies published between 2000 and 2017. Their review shows that the use of behavioural tracking data has greatly contributed to the field of gambling research. Although the authors identify benefits to using real-world data to explore gambling behaviour, they also outline limitations to the use of such data. The authors suggest several areas that need more research.