The Festival: Achievement STEAM of Assassin's Creed Origins

This side quest takes place in the region 'Lake Mareotis'. It's the second region you visit in the game. When reaching this area you automatically have some quests marked in your quest log. Follow this level 7 quest line. After doing side quest 'Ulterior Votive' the 'Lady of Slaughter' automatically starts. This quest ends in an arena fight against a boss enemy.
Can still be done after the story, you can go back here at any time to mop up the side quests in the area. Because this quest line is automatically marked in your quest log it would be hard to miss.