nautechsystems/nautilus_trader · error · anyhow::Error

BitMEX only supports L2_MBP order book deltas

Error message

BitMEX only supports L2_MBP order book deltas

What it means

subscribe_book_deltas capability check: BitMEX's WebSocket book feed only provides L2 market-by-price data, so a SubscribeBookDeltas command with any other BookType (e.g. L1_MBP or L3_MBO) is rejected at subscription time.

Source

Thrown at crates/adapters/bitmex/src/data.rs:784

        log::warn!("Instrument {instrument_id} not found in BitMEX cache");

        let ws = self.ws_client()?.clone();
        self.spawn_ws(
            async move {
                ws.subscribe_instrument(instrument_id)
                    .await
                    .map_err(|e| anyhow::anyhow!(e))
            },
            "BitMEX instrument subscription",
        );

        Ok(())
    }

    fn subscribe_book_deltas(&mut self, cmd: SubscribeBookDeltas) -> anyhow::Result<()> {
        if cmd.book_type != BookType::L2_MBP {
            anyhow::bail!("BitMEX only supports L2_MBP order book deltas");
        }

        let instrument_id = cmd.instrument_id;
        let depth = cmd.depth.map_or(0, |d| d.get());
        let channel = if depth > 0 && depth <= 25 {
            if depth != 25 {
                log::debug!(
                    "BitMEX only supports depth 25 for L2 deltas, using L2_25 for requested depth {depth}"
                );
            }
            BitmexBookChannel::OrderBookL2_25
        } else {
            BitmexBookChannel::OrderBookL2
        };

        let ws = self.ws_client()?.clone();
        let book_channels = Arc::clone(&self.book_channels);

View on GitHub (pinned to 18893faf8b)

Solutions

1. Set book_type to L2_MBP in the subscription request / data client config for BitMEX
2. Request a supported depth (<=25 selects the orderBookL2_25 channel, otherwise orderBook10)
3. Route L3_MBO subscriptions to a venue that supports them instead of BitMEX

Example fix

// before
client.subscribe_book_deltas(SubscribeBookDeltas { book_type: BookType::L3_MBO, ... })
// after
client.subscribe_book_deltas(SubscribeBookDeltas { book_type: BookType::L2_MBP, ... })

if book_type != BookType::L2_MBP {
    return Err("BitMEX data subscriptions require BookType::L2_MBP");
}

fn is_l2_mbp(bt: BookType) -> bool { matches!(bt, BookType::L2_MBP) }

When it happens

Trigger: Calling subscribe_book_deltas with cmd.book_type != BookType::L2_MBP, e.g. requesting L3_MBO order book data from the BitMEX data client.

Common situations: Configs that request L3 data because another venue adapter supports it, or depth/book-type defaults carried over from a different venue's data client configuration.

Related errors

• Binance Futures supports L1_MBP and L2_MBP order book subscr
• Deribit only supports L2_MBP order book deltas
• Deribit only supports L2_MBP order book depth
• Derive only supports L2_MBP order book deltas
• Derive only supports L2_MBP order book depth

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/5e075a57789aa03e. Report an issue: GitHub.