{"record":{"id":"644706192b56e92f","repo":"nautechsystems/nautilus_trader","slug":"python-on-book-deltas-failed-e-644706","errorCode":null,"errorMessage":"Python on_book_deltas failed: {e}","messagePattern":"Python on_book_deltas failed: (.+?)","errorType":"exception","errorClass":null,"httpStatus":null,"severity":"error","filePath":"crates/trading/src/python/strategy.rs","lineNumber":1160,"sourceCode":"\n    fn on_quote(&mut self, quote: &QuoteTick) -> anyhow::Result<()> {\n        self.dispatch_on_quote(*quote)\n            .map_err(|e| anyhow::anyhow!(\"Python on_quote failed: {e}\"))\n    }\n\n    fn on_trade(&mut self, tick: &TradeTick) -> anyhow::Result<()> {\n        self.dispatch_on_trade(*tick)\n            .map_err(|e| anyhow::anyhow!(\"Python on_trade failed: {e}\"))\n    }\n\n    fn on_bar(&mut self, bar: &Bar) -> anyhow::Result<()> {\n        self.dispatch_on_bar(*bar)\n            .map_err(|e| anyhow::anyhow!(\"Python on_bar failed: {e}\"))\n    }\n\n    fn on_book_deltas(&mut self, deltas: &OrderBookDeltas) -> anyhow::Result<()> {\n        self.dispatch_on_book_deltas(deltas)\n            .map_err(|e| anyhow::anyhow!(\"Python on_book_deltas failed: {e}\"))\n    }\n\n    fn on_book_depth(&mut self, depth: &OrderBookDepth10) -> anyhow::Result<()> {\n        self.dispatch_on_book_depth(depth)\n            .map_err(|e| anyhow::anyhow!(\"Python on_book_depth failed: {e}\"))\n    }\n\n    fn on_book(&mut self, order_book: &OrderBook) -> anyhow::Result<()> {\n        self.dispatch_on_book(order_book)\n            .map_err(|e| anyhow::anyhow!(\"Python on_book failed: {e}\"))\n    }\n\n    fn on_mark_price(&mut self, mark_price: &MarkPriceUpdate) -> anyhow::Result<()> {\n        self.dispatch_on_mark_price(*mark_price)\n            .map_err(|e| anyhow::anyhow!(\"Python on_mark_price failed: {e}\"))\n    }\n\n    fn on_index_price(&mut self, index_price: &IndexPriceUpdate) -> anyhow::Result<()> {","sourceCodeStart":1142,"sourceCodeEnd":1178,"githubUrl":"https://github.com/nautechsystems/nautilus_trader/blob/18893faf8b356be3320add8de2f861b0b647cf06/crates/trading/src/python/strategy.rs#L1142-L1178","documentation":"Wraps a Python exception raised inside the strategy's `on_book_deltas` handler. `dispatch_on_book_deltas` invokes the user's Python `on_book_deltas(self, deltas)` for `OrderBookDeltas` updates; any unhandled exception becomes this anyhow error. It means user strategy code failed while processing an L2/L3 book delta batch.","triggerScenarios":"Unhandled Python exception in `on_book_deltas`: assuming every delta has a non-null order_id (market-by-price vs market-by-order), applying deletes to a local dict missing the level, iterating `deltas.deltas` with wrong assumptions about the action enum, or clear/final flag handling bugs.","commonSituations":"Strategies maintaining a local book snapshot that desyncs after a snapshot/clear delta; venues that send clear actions or deletes for unknown levels; confusing delta handlers with the depth10 handler when switching subscriptions.","solutions":["Read the chained `{e}` traceback to find the failing line in `on_book_deltas`.","Handle all delta actions (ADD/UPDATE/DELETE/CLEAR) defensively; use `.get()` on local level maps.","Guard order_id/price being None depending on record type.","Re-run against a recorded book stream from the failing venue to reproduce."],"exampleFix":"# before\ndef on_book_deltas(self, deltas):\n    for d in deltas.deltas:\n        del self.levels[d.price]  # KeyError on DELETE for unknown level\n\n# after\ndef on_book_deltas(self, deltas):\n    for d in deltas.deltas:\n        if d.action == BookAction.CLEAR:\n            self.levels.clear()\n        elif d.action == BookAction.DELETE:\n            self.levels.pop(d.price, None)\n        else:\n            self.levels[d.price] = d.size","handlingStrategy":"type-guard","validationCode":"def handle_delta_safely(levels, d):\n    if d.action == BookAction.DELETE:\n        return levels.pop(d.price, None)\n    if d.action == BookAction.CLEAR:\n        return levels.clear()\n    return levels.__setitem__(d.price, d.size)","typeGuard":"def delta_applicable(d):\n    return d.price is not None and d.action in (BookAction.ADD, BookAction.UPDATE, BookAction.DELETE, BookAction.CLEAR)","tryCatchPattern":"def on_book_deltas(self, deltas):\n    try:\n        self._apply_deltas(deltas)\n    except Exception as e:\n        self.log.error(f\"on_book_deltas failed for {deltas.instrument_id}: {e}\", exc_info=True)","preventionTips":["Handle ADD, UPDATE, DELETE and CLEAR actions; never assume only adds","Use dict.pop(price, None) for deletes so unknown levels are tolerated","Treat order_id as possibly None in market-by-price feeds","Test snapshot-then-delta sequences including reconnects"],"tags":["python","strategy","callback","order-book"],"backgroundTag":"python-strategy-callback-failed","analyzedSha":"18893faf8b356be3320add8de2f861b0b647cf06","analyzedAt":"2026-09-08T20:49:34.690Z","contentChangedAt":"2026-09-08T20:49:34.690Z","schemaVersion":2},"datasetVersion":"2026-09-14T00:17:10.932Z"}