Derive candles are trade-based; only PriceType::Last is supp

Error message

Derive candles are trade-based; only PriceType::Last is supported (got {bar_type})

What it means

Derive's candle endpoints are trade-based, so `request_bars` only accepts bars whose price type is `PriceType::Last`. Via `anyhow::ensure!` it rejects bar specs using bid/ask/mid/other price types, which Derive cannot source.

Source

Thrown at crates/adapters/derive/src/data.rs:1322

            ));

            if let Err(e) = sender.send(DataEvent::Response(response)) {
                log::error!("Failed to send Derive funding rates response: {e}");
            }
            Ok(())
        });

        Ok(())
    }

    fn request_bars(&self, request: RequestBars) -> anyhow::Result<()> {
        let bar_type = request.bar_type;
        anyhow::ensure!(
            bar_type.aggregation_source() == AggregationSource::External,
            "Derive only supports EXTERNAL aggregation source (got {bar_type})",
        );
        let spec = bar_type.spec();
        anyhow::ensure!(
            spec.price_type == PriceType::Last,
            "Derive candles are trade-based; only PriceType::Last is supported (got {bar_type})",
        );

        let instrument_id = bar_type.instrument_id();
        let instrument = self
            .instruments
            .get_cloned(&instrument_id)
            .ok_or_else(|| InstrumentLookupError::not_found(instrument_id))?;
        let venue_symbol = format_venue_symbol(&instrument_id)?.to_string();
        let price_precision = instrument.price_precision();
        let size_precision = instrument.size_precision();

        let period = bar_spec_to_derive_period(spec.aggregation, spec.step.get() as u64)
            .with_context(|| format!("unsupported Derive bar spec for {bar_type}"))?;

        let http_client = self.http_client.clone();
        let sender = self.data_sender.clone();

View on GitHub (pinned to 18893faf8b)

Solutions

Change the bar specification's price type to `PriceType::Last`, e.g. `BarSpecification::new(1, BarAggregation::Minute, PriceType::Last)`.
Audit strategy config bar definitions and replace bid/ask/mid specs with last-trade specs.
If quote-based bars are needed, collect Derive quotes and aggregate internally rather than via request_bars.
Check the bar_type echoed in the error message to identify the offending spec quickly.

Example fix

// before
let spec = BarSpecification::new(1, BarAggregation::Minute, PriceType::Mid);
// after
let spec = BarSpecification::new(1, BarAggregation::Minute, PriceType::Last);

Defensive patterns

Strategy: validation

Validate before calling

// Rust
if bar_type.spec().price_type != PriceType::Last {
    return Err(anyhow!("Derive bars require PriceType::Last: {bar_type}"));
}

Try / catch

if let Err(e) = client.request_bars(req) {
    if e.to_string().contains("PriceType::Last") {
        // rebuild spec with PriceType::Last
    }
}

Prevention

Always use PriceType::Last in Derive bar specifications.
Audit configs copied from bid/ask-driven venues.
Add a validation step that checks price type before requests.
Document adapter bar constraints next to strategy config schema.

When it happens

Trigger: Calling `request_bars` with a BarType whose `BarSpecification` price type is `Bid`, `Ask`, or `Mid` (e.g. 1-minute bid bars), which would need quote-based aggregation Derive does not provide.

Common situations: Strategy configs built for FX/quotes-driven venues requesting bid/ask bars; generic bar setup helpers defaulting to Mid; copying bar specs between adapters without adjusting price type.

Understand the failure class

Background: Invalid enum value errors: "Unknown type", "Invalid scope", "must be one of" — when a string is not on the library's allowed list — this error's family across 23 libraries.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/df8b96e7cb742de6. Report an issue: GitHub.