Bybit Market Data Collector

This repository serves as a collection point for market data from the Bybit cryptocurrency exchange, aimed at facilitating further analysis or model creation using AI techniques.

Overview

• Data Collection
  • Tickers
  • Order Book
  • Trades
  • Liquidations
• Data Storage
• JSONL Structure
• Usage
• Disclaimer
• Contributing
• License

The data collected includes various types of market events such as trades, liquidations, ticker informations, and order book updates. All the data is sourced from the public Bybit WebSocket.

Currently, the data is available for BTC, ETH, and SOL on the Future market. Data is logged every second, ensuring a high level of granularity. The data is stored in JSONL format. Data is uploaded every few days to ensure the data is up to date.

Data Collection

Start date: 12th February 2024: 1707755825000

The data is collected through the public Bybit WebSocket connected to the Future market (wss: //stream.bybit.com/v5/public/linear)

Tickers

The ticker data is collected from the tickers.{symbol} channel, which provides the following information:

• symbol: the trading pair
• tickDirection: the direction of the last tick
• price24hPcnt: the percentage change in price over the last 24 hours
• lastPrice: the last traded price
• prevPrice24h: the price 24 hours ago
• highPrice24h: the highest price over the last 24 hours
• lowPrice24h: the lowest price over the last 24 hours
• prevPrice1h: the price 1 hour ago
• markPrice: the mark price
• indexPrice: the index price
• openInterest: the open interest
• openInterestValue: the open interest value
• turnover24h: the turnover over the last 24 hours
• volume24h: the volume over the last 24 hours
• nextFundingTime: the next funding time
• fundingRate: the funding rate
• bid1Price: the best bid price
• bid1Size: the best bid size
• ask1Price: the best ask price
• ask1Size: the best ask size

Example

The following JSON data is dumped in the JSONL file every second with the updated ticker information:

{
  "t": 1707751741002,
  "d": {
    "symbol": "BTCUSDT",
    "tickDirection": "PlusTick",
    "price24hPcnt": "0.019519",
    "lastPrice": "49004.10",
    "prevPrice24h": "48065.90",
    "highPrice24h": "49259.70",
    "lowPrice24h": "47712.80",
    "prevPrice1h": "48179.80",
    "markPrice": "49004.50",
    "indexPrice": "48987.28",
    "openInterest": "63082.064",
    "openInterestValue": "3091305005.29",
    "turnover24h": "5924202545.7277",
    "volume24h": "122568.8290",
    "nextFundingTime": "1707753600000",
    "fundingRate": "0.0001",
    "bid1Price": "49004.00",
    "bid1Size": "0.106",
    "ask1Price": "49004.10",
    "ask1Size": "6.035"
  }
}

Order Book

The order book data is collected from the orderbook.{depth}.{symbol} channel, using a depth of 200. The data provides the following information:

• b: the bid side of the order book
• a: the ask side of the order book

Example

The following JSON data is dumped in the JSONL file every second with the updated order book information:

{
  "t": 1707752086000,
  "d": {
    "b": {
      "49400.00": "10.749",
      "49396.80": "0.020",
      "49392.60": "0.001",
      "49392.50": "0.342"
      " ... {200 entries}": ""
    },
    "a": {
      "49400.10": "0.001",
      "49400.20": "0.001",
      "49400.30": "0.001",
      "49400.40": "0.001",
      " ... {200 entries}": ""
    }
  }
}

Trades

The trade data is collected from the trade.{symbol} channel, which provides the following information:

• T: the timestamp of the trade
• s: the trading pair
• S: the side of the trade (Buy or Sell)
• v: the quantity of the trade
• p: the price of the trade
• L: the tick direction of the trade
• i: the trade ID
• BT: whether the trade is a block trade

Example

The following JSON data is dumped in the JSONL file every second with the updated trade information of the last second:

{
  "t": 1707752085000,
  "d": [
    {
      "T": 1707752083964,
      "s": "BTCUSDT",
      "S": "Sell",
      "v": "0.003",
      "p": "49407.90",
      "L": "ZeroMinusTick",
      "i": "2c994d6a-0804-52dd-94db-091619469f02",
      "BT": false
    },
    {
      " ... all trades in the last second": ""
    }
  ]
}

Liquidations

The liquidation data is collected from the liquidation.{symbol} channel, which provides the following information:

• updateTime: the timestamp of the liquidation
• symbol: the trading pair
• side: the side of the liquidation (Buy or Sell). Buy liquidations are long positions being liquidated.
• size: the quantity of the liquidation
• price: the price of the liquidation

Example

The following JSON data is dumped in the JSONL file every second with the updated liquidation information of the last second:

{
  "t": 1707752085000,
  "d": [
    {
      "updateTime": 1707752083964,
      "symbol": "BTCUSDT",
      "side": "Buy",
      "size": "0.003",
      "price": "49407.90"
    },
    {
      " ... all liquidations in the last second": ""
    }
  ]
}

Data Storage

The collected data is stored in JSONL format, with each day's data organized into separate directories. The data is logged every second, ensuring a high level of granularity.

Directory Structure

• /data
  • /COIN
    • /DAY
      • zipped jsonl files

JSONL Structure

Each JSONL entry follows a structure where:

• t: represents the timestamp of the event
• d: contains the event data

Known Issues

Date	Timestamp	Nbr Ticks	Details
2024-02-12	1707772970001 1707773030020	61	Data is potentially incomplete due to a network issue
2024-02-22	All day	All day	Lost data
2024-02-25	1708827432002 1708828412000	981	Data is potentially incomplete due to a network issue
2024-02-28	1709099834000 1709100721001	888	Data is potentially incomplete due to a network issue
2024-03-04	1709512392001 1709512967001	576	Data is potentially incomplete due to a network issue
2024-03-06	1709692315001 1709693284000	970	Data is potentially incomplete due to a network issue
2024-03-21	1710983701000 1710984640000	940	Data is potentially incomplete due to a network issue
2024-03-21	1711034885002 1711035136001	252	Data is potentially incomplete due to a network issue
2024-03-24	1711247020000 1711248009000	990	Data is potentially incomplete due to a network issue
2024-03-24	1711238975001 1711239321002	347	Data is potentially incomplete due to a network issue
2024-03-26	1711414123000 1711414239001	117	Data is potentially incomplete due to a network issue
2024-03-26	1711464233001 1711464275000	43	Data is potentially incomplete due to a network issue
2024-03-27	1711500402000 1711500521001	120	Data is potentially incomplete due to a network issue
2024-03-29	1711679154000 1711680133001	980	Data is potentially incomplete due to a network issue
2024-03-29	1711671054001 1711671400001	347	Data is potentially incomplete due to a network issue
2024-03-31 - 2024-05-06	All days	All days	Lost data
2024-05-06	1715037365002 1715038229000	865	Data is potentially incomplete due to a network issue
2024-05-08	1715181908001 1715184785001	34	Data is potentially incomplete due to a network issue
2024-05-09	1715261548004 1715268563000	40	Data is potentially incomplete due to a network issue
2024-05-10	1715343521002 1715376321000	48	Data is potentially incomplete due to a network issue
2024-05-13	1715642017001 1715642363001	347	Data is potentially incomplete due to a network issue
2024-05-15	1715751502001 1715752472000	971	Data is potentially incomplete due to a network issue
2024-05-15	1715784042001 1715784099001	58	Data is potentially incomplete due to a network issue
2024-05-15	1715791437001 1715791486001	50	Data is potentially incomplete due to a network issue
2024-05-19	1716097200000 1716098182999	984	Data is potentially incomplete due to a network issue
2024-05-21	1716280086000 1716280142001	57	Data is potentially incomplete due to a network issue
2024-05-23	1716500027001 1716505871001	5845	Data is potentially incomplete due to a network issue
2024-05-24	1716544538001 1716544884001	347	Data is potentially incomplete due to a network issue
2024-05-24	1716543266001 1716543487001	222	Data is potentially incomplete due to a network issue
2024-05-24	1716541888000 1716541943001	56	Data is potentially incomplete due to a network issue
2024-05-24	1716541644001 1716541674001	31	Data is potentially incomplete due to a network issue
2024-05-25	1716680412001 1716680753999	343	Data is potentially incomplete due to a network issue
2024-05-29	1717026157001 1717026503001	347	Data is potentially incomplete due to a network issue

Usage

To use the data collected in this repository, simply clone or download the repository and access the relevant JSONL files stored in the /data directory.

Disclaimer

This repository is provided for educational and research purposes only. The data collected from Bybit exchange is publicly available, and usage should comply with Bybit's terms of service and any relevant regulations.

Contributing

Contributions to improve the data collection process or enhance the repository's functionality are welcome. Please open an issue or pull request to discuss any proposed changes.