nautechsystems/nautilus_trader · error

Coinbase only supports L2_MBP order book deltas

Error message

Coinbase only supports L2_MBP order book deltas

What it means

Coinbase's adapter only supports L2_MBP (market-by-price level 2) order books. subscribe_book_deltas rejects any SubscribeBookDeltas command whose book_type is not BookType::L2_MBP, because Coinbase's WS feed delivers level-2 price-level deltas only.

Source

Thrown at crates/adapters/coinbase/src/data/mod.rs:545

        let instruments = self.instruments.load();

        if let Some(instrument) = instruments.get(&cmd.instrument_id) {
            if let Err(e) = self
                .data_sender
                .send(DataEvent::Instrument(instrument.clone()))
            {
                log::error!("Failed to send instrument {}: {e}", cmd.instrument_id);
            }
        } else {
            log::warn!("Instrument {} not found in cache", cmd.instrument_id);
        }

        Ok(())
    }

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

        let ws = self.ws_client.clone();
        let subscribed_id = Self::product_id(subscription.instrument_id);
        let wire_id = self.resolve_wire_product_id(subscribed_id);
        if wire_id != subscribed_id {
            ws.register_subscription_alias(wire_id, subscribed_id);
        }

        self.spawn_command(async move {
            if let Err(e) = ws.subscribe(CoinbaseWsChannel::Level2, &[wire_id]).await {
                log::error!("Failed to subscribe to book deltas: {e:?}");
            }
        });

        Ok(())
    }

View on GitHub (pinned to 18893faf8b)

Solutions

1. Set the subscription's BookType to BookType::L2_MBP
2. If you need L1, subscribe to quotes/ticker data instead of book deltas
3. If you need L3 (order-by-order) data, use a venue that publishes it; Coinbase does not
4. Verify the DataEngine/book config that builds the SubscribeBookDeltas command

Example fix

// before
let cmd = SubscribeBookDeltas { book_type: BookType::L3_MBP, .. };
client.subscribe_book_deltas(cmd)?;

// after
let cmd = SubscribeBookDeltas { book_type: BookType::L2_MBP, .. };
client.subscribe_book_deltas(cmd)?;

if subscription.book_type != BookType::L2_MBP {
    return Err(anyhow!("Coinbase requires L2_MBP book type"));
}

When it happens

Trigger: Subscribing to order book deltas with BookType::L1_MBP or L3_MBP via subscribe_book_deltas on the Coinbase data client.

Common situations: Porting a strategy configured for another venue's L3 data; reusing a shared book config across adapters; defaulting book_type to L1 for top-of-book strategies.

Related errors

• Binance Spot supports L1_MBP and L2_MBP order book subscript
• Invalid config type for AxExecutionClientFactory. Expected A
• `InstrumentId` not applicable to `Block`
• Invalid factory address for DEX {name} on chain {chain} for
• {e}

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/4f91bb7f7278a560. Report an issue: GitHub.