Bybit Options Data Collector

This script discovers all available options for a given underlying asset (e.g., BTC) on Bybit, subscribes to their quote and orderbook data, and stores the data in parquet files.

Features

Automatic Discovery: Connects to Bybit and discovers all available options for the specified underlying asset.
Complete Data Collection: Fetches both quote ticks and orderbook deltas for all discovered options.
Spot Data: Also collects data for the underlying spot instrument.
Organized Storage: Saves data in a hierarchical directory structure with separate files for each instrument.
Real-time Processing: Processes and stores data in real-time with configurable batch sizes.
Comprehensive Logging: Provides detailed logging of discovered instruments and data collection statistics.

Requirements

Python 3.8+
NautilusTrader
Bybit API credentials (for live data access)

Setup

Set your Bybit API credentials as environment variables:

bash

export BYBIT_API_KEY="your_api_key"
export BYBIT_API_SECRET="your_api_secret"

Run the script:

bash

python examples/live/bybit/bybit_options_data_collector.py

Configuration

The script can be configured by modifying the BybitOptionsDataCollectorConfig in the script:

python

strategy_config = BybitOptionsDataCollectorConfig(
    underlying_asset="BTC",  # The underlying asset to collect options for
    spot_instrument_id=InstrumentId.from_str("BTCUSDT-SPOT.BYBIT"),
    depth=25,  # Orderbook depth (25 or 100 levels)
    batch_size=1000,  # Records to batch before writing to parquet
    data_dir="data",  # Directory to store parquet files
    log_interval=60.0,  # Log and save data every N seconds
)

Data structure

The script creates the following directory structure:

data/
└── BTC/
    └── USDT/
        ├── spot/
        │   ├── BTCUSDT-SPOT_BYBIT_quote.parquet
        │   └── BTCUSDT-SPOT_BYBIT_orderbook.parquet
        └── options/
            ├── BTC-15SEP26-45000-C-USDT-OPTION_BYBIT_quote.parquet
            ├── BTC-15SEP26-45000-C-USDT-OPTION_BYBIT_orderbook.parquet
            ├── BTC-15SEP26-45000-P-USDT-OPTION_BYBIT_quote.parquet
            ├── BTC-15SEP26-45000-P-USDT-OPTION_BYBIT_orderbook.parquet
            └── ... (one file pair per option)

Data formats

Quote ticks data

Each quote tick record contains:

timestamp: When the data was received
instrument_id: The instrument identifier
bid_price: Best bid price
ask_price: Best ask price
bid_size: Best bid size
ask_size: Best ask size
ts_event: Event timestamp
ts_init: Initialization timestamp

Orderbook deltas data

Each orderbook delta record contains:

timestamp: When the data was received
instrument_id: The instrument identifier
sequence: Sequence number
delta_count: Number of deltas in this update
best_bid: Best bid price after applying deltas
best_ask: Best ask price after applying deltas
bid_size: Best bid size after applying deltas
ask_size: Best ask size after applying deltas

Usage examples

Basic usage

bash

# Collect data for all BTC options
python examples/live/bybit/bybit_options_data_collector.py

Custom configuration

You can modify the script to:

Change the underlying asset (e.g., ETH instead of BTC).
Adjust the orderbook depth.
Change the data storage directory.
Modify the logging interval.

Monitoring

The script provides real-time monitoring through logs:

Discovery phase: Shows all found options grouped by expiry.
Data collection: Shows statistics every 60 seconds (configurable).
File operations: Logs when data is written to parquet files.

Output example

2025-07-31T14:47:55.003958000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: Discovering all available BTC options...
2025-07-31T14:47:55.004032000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: Found 150 BTC options instruments
2025-07-31T14:47:55.004097000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: BTC options grouped by expiry (8 expiry dates):
2025-07-31T14:47:55.004159000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector:   15SEP26: 25 options
2025-07-31T14:47:55.004247000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector:   15OCT26: 25 options
2025-07-31T14:47:55.004300000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector:   15NOV26: 25 options
...
2025-07-31T14:47:55.004357000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: Total BTC options to monitor: 150
2025-07-31T14:47:55.004413000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: === 60.0 SECOND UPDATE ===
2025-07-31T14:47:55.004470000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: BTC-15SEP26-45000-C-USDT-OPTION.BYBIT: 150 quotes, 41 deltas
2025-07-31T14:47:55.004503000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: BTC-15SEP26-45000-P-USDT-OPTION.BYBIT: 148 quotes, 137 deltas
...
2025-07-31T14:47:55.004515000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: BTCUSDT-SPOT.BYBIT: 1076 quotes, 523 deltas
2025-07-31T14:47:55.006441000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: TOTAL: 15000 quotes, 8000 deltas
2025-07-31T14:47:55.006517000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: OPTIONS: 13924 quotes, 7477 deltas
2025-07-31T14:47:55.006522000Z [INFO] OPTIONS-COLLECTOR-001.BybitOptionsDataCollector: SPOT: 1076 quotes, 523 deltas

Notes

The script will automatically discover and subscribe to all available options for the specified underlying asset.
Data is stored in parquet format for efficient storage and querying.
The script handles connection issues and will attempt to reconnect.
All data is timestamped and can be used for backtesting or analysis.
The script can be stopped with Ctrl+C and will save any remaining data before exiting.

Troubleshooting

No options found: Check that the underlying asset is correct and that Bybit has options available for that asset.
Connection issues: Verify your API credentials and internet connection.
Memory issues: Reduce the batch_size if collecting data for many options.
Disk space: Monitor disk usage as the script can generate large amounts of data.