Bybit converter

[inheritag]

From issue: #261

Confirmed visually via the example script:

Correcting the latency
Correcting the event order
current_timestamp: 1758845430295000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845430545000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845430795000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845431045000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845431295000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845431545000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845431795000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845432045000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845432295000000 , best_bid: nan , best_ask: nan
current_timestamp: 1758845432545000000 , best_bid: 109147.8 , best_ask: 109147.9
current_timestamp: 1758845432795000000 , best_bid: 109147.8 , best_ask: 109147.9
current_timestamp: 1758845433045000000 , best_bid: 109147.8 , best_ask: 109147.9
current_timestamp: 1758845433295000000 , best_bid: 109147.8 , best_ask: 109147.9
current_timestamp: 1758845433545000000 , best_bid: 109147.8 , best_ask: 109147.9
current_timestamp: 1758845433795000000 , best_bid: 109147.8 , best_ask: 109147.9
current_timestamp: 1758845434045000000 , best_bid: 109147.8 , best_ask: 109147.9
...

[inheritag]

Codacy Static Code Analysis issue with complexity of convert function, but honestly I just followed the pattern of the other convertors in the codebase.

[nkaz001]

Thank you for your contribution! When multiple depth levels exist in one file, they must be fused for proper handling, or only a single depth level should be processed. Please refer to https://github.com/nkaz001/hftbacktest/blob/master/py-hftbacktest/hftbacktest/data/utils/tardis.py#L477

[inheritag]

Thank you for your contribution! When multiple depth levels exist in one file, they must be fused for proper handling, or only a single depth level should be processed. Please refer to https://github.com/nkaz001/hftbacktest/blob/master/py-hftbacktest/hftbacktest/data/utils/tardis.py#L477

Ah makes sense, thanks. Will do

[inheritag]

Thank you for your contribution! When multiple depth levels exist in one file, they must be fused for proper handling, or only a single depth level should be processed. Please refer to https://github.com/nkaz001/hftbacktest/blob/master/py-hftbacktest/hftbacktest/data/utils/tardis.py#L477

Thanks done in 7e57100

Two functions:

def convert_fused(
    input_filename: str,
    output_filename: Optional[str] = None,
    base_latency: float = 0,
    buffer_size: int = 100_000_000,
    tick_size: float = 0.01,
    lot_size: float = 0.001,
) -> NDArray: # using FuseMarketDepth for multi level fusion conversion. 


def convert_depth(
    input_filename: str,
    output_filename: Optional[str] = None,
    base_latency: float = 0,
    buffer_size: int = 100_000_000,
    single_depth_level: BybitDepthLevel = BybitDepthLevel.LEVEL_50,
) -> NDArray: # using single depth level for conversion. 

Let me know if this is what you had in mind, thanks.