microsoft/qlib · error · ValueError

Unsupported deal_price_type: {self.deal_price_type}

Error message

Unsupported deal_price_type: {self.deal_price_type}

What it means

get_deal_price (qlib/rl/data/pickle_styled.py:141) supports exactly three deal_price_type values: 'close' (column $close0), 'bid_or_ask', and 'bid_or_ask_fill'. Any other string (typos like 'bid_or_close', 'mid', 'vwap', empty string) falls to the else branch and raises ValueError('Unsupported deal_price_type: <value>').

Source

Thrown at qlib/rl/data/pickle_styled.py:141

            return f"{self.__class__.__name__}({self.data})"

    def __len__(self) -> int:
        return len(self.data)

    def get_deal_price(self) -> pd.Series:
        """Return a pandas series that can be indexed with time.
        See :attribute:`DealPriceType` for details."""
        if self.deal_price_type in ("bid_or_ask", "bid_or_ask_fill"):
            if self.order_dir is None:
                raise ValueError("Order direction cannot be none when deal_price_type is not close.")
            if self.order_dir == OrderDir.SELL:
                col = "$bid0"
            else:  # BUY
                col = "$ask0"
        elif self.deal_price_type == "close":
            col = "$close0"
        else:
            raise ValueError(f"Unsupported deal_price_type: {self.deal_price_type}")
        price = self.data[col]

        if self.deal_price_type == "bid_or_ask_fill":
            if self.order_dir == OrderDir.SELL:
                fill_col = "$ask0"
            else:
                fill_col = "$bid0"
            price = price.replace(0, np.nan).fillna(self.data[fill_col])

        return price

    def get_volume(self) -> pd.Series:
        """Return a volume series that can be indexed with time."""
        return self.data["$volume0"]

    def get_time_index(self) -> pd.DatetimeIndex:
        return cast(pd.DatetimeIndex, self.data.index)

View on GitHub (pinned to 79633dd950)

Solutions

  1. Use one of the supported values exactly: 'close', 'bid_or_ask', or 'bid_or_ask_fill'
  2. Normalize/validate the config string (strip whitespace, lower-case) before passing it
  3. For custom price columns, subclass and override get_deal_price instead of inventing a new type string

Example fix

# before
data = process_data(deal_price_type='bid/ask')  # ValueError

# after
deal_price_type = 'bid_or_ask'
assert deal_price_type in ('close', 'bid_or_ask', 'bid_or_ask_fill')
data = process_data(deal_price_type=deal_price_type)
Defensive patterns

Strategy: validation

Validate before calling

assert deal_price_type in ('close', 'bid_or_ask', 'bid_or_ask_fill'), f'unsupported deal_price_type: {deal_price_type!r}'

Type guard

def is_valid_deal_price_type(t: str) -> bool:
    return t in ('close', 'bid_or_ask', 'bid_or_ask_fill')

Try / catch

try:
    price = data.get_deal_price()
except ValueError as e:
    if 'Unsupported deal_price_type' in str(e):
        raise ValueError("deal_price_type must be 'close'/'bid_or_ask'/'bid_or_ask_fill'") from e
    raise

Prevention

When it happens

Trigger: Constructing pickle-styled data/order objects with deal_price_type not in {'close', 'bid_or_ask', 'bid_or_ask_fill'}; copy-pasted configs with typos; passing 'bid/ask' or 'bidask' variants.

Common situations: Config-driven backtests where the deal_price_type string comes from YAML; users attempting to add custom price types without subclassing; whitespace/case differences ('Close' vs 'close').

Related errors

AI-assisted analysis of microsoft/qlib@79633dd950 (2026-08-15). Data as JSON: /api/errors/b4b4a95ae09c8bb2. Report an issue: GitHub.