nautechsystems/nautilus_trader · error · anyhow::Error

Binance Futures L1_MBP supports depth 1 only

Error message

Binance Futures L1_MBP supports depth 1 only

What it means

For Binance Futures, L1_MBP (top-of-book) order book subscriptions must use depth exactly 1. The handler explicitly rejects any SubscribeBookDeltas with BookType::L1_MBP and a depth other than 1 (or missing-depth values that aren't 1), because the underlying book-ticker stream only provides best bid/ask.

Solutions

1. Set depth to 1 (or leave None, which passes the is_none_or check) when subscribing L1_MBP on Binance Futures
2. Use BookType::L2_MBP if you actually need deeper levels
3. Adjust per-venue config so depth values are venue-appropriate

Example fix

// before
SubscribeBookDeltas { book_type: L1_MBP, depth: Some(10), .. }
// after
SubscribeBookDeltas { book_type: L1_MBP, depth: Some(1), .. } // or depth: None

fn valid_l1_depth(depth: Option<Depth>) -> bool {
    depth.map_or(true, |d| d.get() == 1)
}

fn is_l1_depth_valid(cmd: &SubscribeBookDeltas) -> bool {
    cmd.book_type != BookType::L1_MBP || cmd.depth.is_none_or(|d| d.get() == 1)
}

match client.subscribe_book_deltas(cmd) {
    Err(e) if e.to_string().contains("L1_MBP supports depth 1 only") => {
        // downgrade: resubmit with depth 1
        let cmd = SubscribeBookDeltas { depth: Some(Depth::new(1)?), ..cmd };
        client.subscribe_book_deltas(cmd)?;
    }
    r => r?,
}

When it happens

Trigger: Calling SubscribeBookDeltas with book_type L1_MBP and depth set to e.g. 5, 10, 20 on a Binance Futures instrument.

Common situations: Reusing generic strategy code that requests depth-10 L1 snapshots across venues; copying L2 depth settings into an L1 subscription; config-driven depth values not adapted per venue.

Understand the failure class

Background: "value must be between 0 and 1" / "out of range" / "must not be negative" errors: fixing range-validation failures across open-source libraries — this error's family across 42 libraries.

Related errors

• invalid Binance Futures order-book depth
• Invalid depth for Binance Futures order book. Valid values
• invalid depth ; supported depths
• Binance Futures does not support second-level kline…
• Binance Spot order-book depth must be between 1 and 5000

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/8c7d0a0379a77443. Report an issue: GitHub.

Appendix: source

Thrown at crates/adapters/binance/src/futures/data.rs:1969

    }

    fn subscribe_instruments(&mut self, _cmd: SubscribeInstruments) -> anyhow::Result<()> {
        log::debug!(
            "subscribe_instruments: Binance Futures instruments are fetched via HTTP on connect"
        );
        Ok(())
    }

    fn subscribe_instrument(&mut self, _cmd: SubscribeInstrument) -> anyhow::Result<()> {
        log::debug!(
            "subscribe_instrument: Binance Futures instruments are fetched via HTTP on connect"
        );
        Ok(())
    }

    fn subscribe_book_deltas(&mut self, cmd: SubscribeBookDeltas) -> anyhow::Result<()> {
        if cmd.book_type == BookType::L1_MBP {
            anyhow::ensure!(
                cmd.depth.is_none_or(|depth| depth.get() == 1),
                "Binance Futures L1_MBP supports depth 1 only"
            );
            anyhow::ensure!(
                !self.book_subscriptions.contains_key(&cmd.instrument_id),
                "cannot subscribe L1_MBP and L2_MBP for the same Binance Futures instrument"
            );
            self.l1_book_subscriptions.rcu(|subscriptions| {
                *subscriptions.entry(cmd.instrument_id).or_insert(0) += 1;
            });
            self.subscribe_top_of_book(cmd.instrument_id);
            return Ok(());
        }

        if cmd.book_type != BookType::L2_MBP {
            anyhow::bail!("Binance Futures supports L1_MBP and L2_MBP order book subscriptions");
        }
        anyhow::ensure!(

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