ByBit Order Book Backtester

---

name: bybit-orderbook-backtester

description: >

Download, process, and backtest ByBit derivatives historical order book data. Use this skill when

the user wants to: (1) download historical order book snapshots from ByBit's derivatives history-data

page using Selenium automation, (2) process/unzip ob500 JSONL files and filter to depth 50, (3) run

any of 10 order-book-based trading strategies (Order Book Imbalance, Breakout, False Breakout,

Scalping, Momentum, Reversal, Spoofing Detection, Optimal Execution, Market Making, Latency

Arbitrage) against the data, or (4) generate full backtest performance reports with PnL, Sharpe

ratio, win rate, max drawdown, and strategy comparison. Triggers on: "bybit order book", "order book

backtest", "download bybit data", "ob500", "order book imbalance", "spoofing detection strategy",

"market making backtest", "crypto order book", "depth of book backtest", "bybit historical data".

---

# 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:

Run `scripts/download_orderbook.py`:

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

Key details:

**If Selenium fails** (Cloudflare blocks, UI changes): Instruct the user to manually download from the ByBit page and place ZIPs in `./data/raw/`.

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:

**Without downsampling**: ~860K snapshots/day, ~300 MB Parquet per day per symbol.

**With 1s downsampling**: ~86K snapshots/day, ~5 MB per day — much more practical.

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/`:

Report metrics per strategy: total trades, winners/losers, win rate, cumulative PnL, Sharpe ratio, max drawdown (absolute and %), avg PnL per trade, avg hold time, profit factor, best/worst trade, equity curve.

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:

1. Subclass `Strategy` in `scripts/backtest.py`

2. Implement `on_snapshot(self, row, idx, df)` with entry/exit logic

3. 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`.