Converting Bybit Depth Data for Market-Making Backtests

Summary

This example demonstrates a basic workflow for preparing Bybit order book data and running it through a market-making backtest. It shows two conversion paths: a fused conversion for multi-level depth data and a conversion that selects a single depth level. The resulting data is attached to a backtest asset configured with linear pricing, a probabilistic queue model, fee assumptions, tick and lot sizes, and an exchange model that disallows partial fills.

The sample strategy advances the simulated clock in intervals and reads the current best bid and offer, printing them with the timestamp. This is a market data inspection loop, not a complete quoting strategy: it submits no orders and presents no profitability, fill, or risk results. The example illustrates data handling and simulator configuration, but it does not explain how to validate the queue model, choose realistic fees, or assess whether the historical data and assumptions represent live Bybit execution.

Key ideas

• Bybit depth data can be converted for multi-level or selected single-level processing.
• A backtest asset combines data with pricing, queue, fee, tick-size, and lot-size assumptions.
• The sample loop reads and prints the simulated best bid and offer over time.
• The example does not submit market-making orders or report strategy performance.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.