ByBit Order Book Backtester

End-to-end pipeline: download → process → backtest → report.

Dependencies

pip install undetected-chromedriver selenium pandas numpy pyarrow --break-system-packages

Chrome/Chromium must be installed for Selenium.

Workflow

The pipeline has 3 stages. Run them sequentially, or skip to later stages if data is already available.

Stage 1: Download Order Book Data

Prompt the user for:

• Symbol (default: BTCUSDT)
• Date range (default: last 30 days)

python scripts/download_orderbook.py \
  --symbol BTCUSDT \
  --start 2024-06-01 --end 2024-06-30 \
  --output ./data/raw

Key details:

• Downloads from https://www.bybit.com/derivatives/en/history-data
• Automatically chunks into 7-day windows (ByBit's limit)
• Uses undetected-chromedriver for Cloudflare bypass
• Outputs: ZIP files in ./data/raw/ named {date}_{symbol}_ob500.data.zip
• For data format details: see references/bybit_data_format.md

Stage 2: Process & Filter to Depth 50

Run scripts/process_orderbook.py:

python scripts/process_orderbook.py \
  --input ./data/raw \
  --output ./data/processed \
  --depth 50 \
  --sample-interval 1s

What it does:

• Reads JSONL from ZIPs (each line = full 500-level L2 snapshot)
• Filters to top 50 bid/ask levels
• Computes derived features: mid_price, spread, volume_imbalance, microprice
• Optionally downsamples (e.g., 1s, 5s, 1min) — recommended for faster backtests
• Outputs: Parquet files in ./data/processed/

Stage 3: Backtest Strategies

Run scripts/backtest.py:

# Run all 10 strategies
python scripts/backtest.py \
  --input ./data/processed/BTCUSDT_ob50.parquet \
  --output ./reports

# Run specific strategies
python scripts/backtest.py \
  --input ./data/processed/BTCUSDT_ob50.parquet \
  --strategies imbalance,breakout,market_making \
  --output ./reports

# Quick test with limited rows
python scripts/backtest.py \
  --input ./data/processed/BTCUSDT_ob50.parquet \
  --max-rows 100000 \
  --output ./reports

Strategy keys: imbalance, breakout, false_breakout, scalping, momentum, reversal, spoofing, optimal_execution, market_making, latency_arb

Outputs in ./reports/:

• {SYMBOL}_backtest_report.json — Full results with equity curves
• {SYMBOL}_backtest_report.md — Comparison table and detailed metrics

For strategy logic and tunable parameters: see references/strategies.md

Customization

To modify strategy parameters, edit the __init__ method of any strategy class in scripts/backtest.py. Each strategy's self.params dict contains all tunables.

To add a new strategy:

• Subclass Strategy in scripts/backtest.py
• Implement on_snapshot(self, row, idx, df) with entry/exit logic
• Register in STRATEGY_MAP

Troubleshooting

Selenium can't load ByBit page: ByBit uses Cloudflare. Ensure undetected-chromedriver is up to date. Try --no-headless to debug visually. Fall back to manual download.

Out of memory on processing: Use --sample-interval 1s or larger. Process one day at a time.

No trades generated: Strategy thresholds may be too tight for the data period. Relax parameters (lower thresholds, shorter lookbacks) in references/strategies.md.