nautechsystems/nautilus_trader · error

CFD swap diagnostic total overflow

Error message

CFD swap diagnostic total overflow

What it means

Raised when accumulating an applied CFD swap adjustment into the per-currency diagnostic `swap_totals` would overflow the Decimal total. The totals are diagnostic aggregates; a checked_add failure stops the run rather than silently corrupting the reported totals.

Source

Thrown at crates/backtest/src/modules/cfd_swap.rs:485

                .pending_adjustments
                .take()
                .ok_or_else(|| anyhow::anyhow!("no completed CFD swap batch to acknowledge"))?;
            let end_date = day
                .pending_end_date
                .ok_or_else(|| anyhow::anyhow!("CFD swap batch end date was not recorded"))?;
            (adjustments, end_date)
        };

        let mut failed = Vec::new();

        for (adjustment, outcome) in adjustments.into_iter().zip(outcomes) {
            match outcome {
                AccountAdjustmentOutcome::Applied => {
                    let mut totals = self.swap_totals.borrow_mut();
                    let total = totals.entry(adjustment.amount.currency).or_default();
                    *total = total
                        .checked_add(adjustment.amount.as_decimal())
                        .ok_or_else(|| anyhow::anyhow!("CFD swap diagnostic total overflow"))?;
                }
                AccountAdjustmentOutcome::Failed(error) if error.is_retryable() => {
                    log::warn!(
                        "Cannot apply CFD swap adjustment for {} on {}: {error}",
                        adjustment.amount.currency,
                        adjustment.booking_date
                    );
                    failed.push(adjustment);
                }
                AccountAdjustmentOutcome::Failed(error) => {
                    log::warn!(
                        "CFD swap adjustment {} on {} is recorded as unapplied: {error}",
                        adjustment.amount,
                        adjustment.booking_date
                    );
                    let mut totals = self.unapplied_swap_totals.borrow_mut();
                    let total = totals.entry(adjustment.amount.currency).or_default();
                    *total = total

View on GitHub (pinned to 18893faf8b)

Solutions

1. Validate swap rate inputs and account sizes before the run so per-day adjustments are within realistic bounds.
2. Shorten the backtest window or periodically reset/emit diagnostic totals if running over decades of simulated days.
3. Sanitize the rates data source for outlier values (e.g. rates entered as 5250 instead of 5.25).

Example fix

// before
let rate = parse_rate(raw)?; // raw "5250" taken literally

// after
let rate = parse_rate(raw)?;
anyhow::ensure!(rate.abs() < 100.0, "implausible swap rate {rate}");

anyhow::ensure!(swap_rate.abs() < 100.0, "swap rate out of plausible range: {swap_rate}");
anyhow::ensure!(notional.is_finite() && notional.abs() < Decimal::from(1_000_000_000), "notional too large");

fn plausible_rate(v: f64) -> bool { v.is_finite() && v.abs() < 100.0 }

if let Err(e) = engine.acknowledge(&outcomes) {
    if e.to_string().contains("total overflow") {
        log::error!("diagnostic totals overflowed; shorten run or fix inputs");
    } else { return Err(e); }
}

When it happens

Trigger: Accumulating swap amounts whose sum exceeds the Decimal precision/maximum for the accumulator over a long backtest or with extremely large swap amounts (huge notional or swap rate inputs).

Common situations: Very long backtests with daily swaps in one currency; bad swap-rate data files containing implausibly large rates; misconfigured account balances/instrument sizes feeding the adjustment amounts.

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

• unapplied CFD swap total overflow
• cannot calculate CFD swap for {instrument_id}: midpoint over
• cannot calculate CFD swap for position {}: adjustment overfl
• cannot calculate CFD swap for position {}: currency conversi
• Simulation module {module_index} log_diagnostics failed: {e:

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/886edf17ef89ceff. Report an issue: GitHub.