nautechsystems/nautilus_trader · error · anyhow::Error

dYdX only supports L2_MBP order book deltas, received {:?}

Error message

dYdX only supports L2_MBP order book deltas, received {:?}

What it means

dYdX's WebSocket order book stream provides only depth-2 market-by-price (L2_MBP) data. subscribe_book_deltas validates the requested BookType and bails if the client asks for L3_MBP, ensuring the adapter never subscribes to a book depth the exchange cannot deliver.

Source

Thrown at crates/adapters/dydx/src/data.rs:518

    fn subscribe_instrument(&mut self, cmd: SubscribeInstrument) -> anyhow::Result<()> {
        if let Some(instrument) = self.instrument_cache.get(&cmd.instrument_id) {
            log::debug!("Sending cached instrument for {}", cmd.instrument_id);
            if let Err(e) = self.data_sender.send(DataEvent::Instrument(instrument)) {
                log::warn!("Failed to send instrument {}: {e}", cmd.instrument_id);
            }
        } else {
            log::warn!(
                "Instrument {} not found in cache (available: {})",
                cmd.instrument_id,
                self.instrument_cache.len()
            );
        }
        Ok(())
    }

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

        self.ensure_order_book(cmd.instrument_id, BookType::L2_MBP);
        self.active_delta_subs.insert(cmd.instrument_id);

        let ws = self.ws_client.clone();
        let instrument_id = cmd.instrument_id;

        self.spawn_ws(
            async move {
                ws.subscribe_orderbook(instrument_id)
                    .await
                    .context("orderbook subscription")
            },
            "dYdX orderbook subscription",

View on GitHub (pinned to 18893faf8b)

Solutions

1. Set the book type to L2_MBP for dYdX order book subscriptions
2. Remove L3 book subscriptions for dYdX instruments
3. Use a different data source if L3 depth is required

Example fix

// before
let cmd = SubscribeBookDeltas { book_type: BookType::L3_MBP, .. };
// after
let cmd = SubscribeBookDeltas { book_type: BookType::L2_MBP, .. };

if book_type != BookType::L2_MBP {
    return Err(format!("dYdX requires L2_MBP, got {book_type:?}"));
}

When it happens

Trigger: Subscribing to order book deltas for a dYdX instrument with a SubscriptionBookType/book_type other than BookType::L2_MBP (e.g. L3_MBP).

Common situations: Copying an order book subscription config from a venue that supports L3 depth; a config file specifying full-depth books for all venues.

Understand the failure class

Background: UnsupportedOperationException and "is not supported" errors: when a library deliberately refuses a call — this error's family across 30 libraries.

Related errors

• {e}
• Binance Spot supports L1_MBP and L2_MBP order book subscript
• Bybit only supports L2_MBP order book deltas
• Coinbase only supports L2_MBP order book deltas
• Unsupported bar aggregation: {:?}

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/7369a724fcd55ccd. Report an issue: GitHub.