nautechsystems/nautilus_trader · error

Empty order book: no liquidity available for market order

Error message

Empty order book: no liquidity available for market order

What it means

calculate_market_price walks an order book to price a market order; it rejects the request up front when book_levels is empty, because there is no liquidity at all from which to derive a fill price. This is a fail-fast guard before any level parsing or sorting.

Source

Thrown at crates/adapters/polymarket/src/execution/parse.rs:749

/// Sorts levels deterministically before walking:
/// - BUY (asks): ascending by price, best (lowest) ask first
/// - SELL (bids): descending by price, best (highest) bid first
///
/// This ensures correct results regardless of the CLOB API's response ordering.
///
/// For BUY: walks asks best-first, accumulates `size * price` (pUSD) until >= amount.
///          Also accumulates the exact shares at each level for precise base qty.
/// For SELL: walks bids best-first, accumulates `size` (shares) until >= amount.
///
/// Returns the crossing price and expected base quantity. If insufficient liquidity,
/// uses all available levels. If the book side is empty, returns an error.
pub fn calculate_market_price(
    book_levels: &[ClobBookLevel],
    amount: Decimal,
    side: PolymarketOrderSide,
) -> anyhow::Result<MarketPriceResult> {
    if book_levels.is_empty() {
        anyhow::bail!("Empty order book: no liquidity available for market order");
    }

    // Parse and sort levels deterministically so we never depend on API ordering.
    // BUY: asks ascending (best/lowest first). SELL: bids descending (best/highest first).
    anyhow::ensure!(amount > Decimal::ZERO, "market amount must be positive");
    let mut parsed_levels = Vec::with_capacity(book_levels.len());
    for level in book_levels {
        let price = parse_decimal_exact(&level.price).context("invalid market-book price")?;
        let size = parse_decimal_exact(&level.size).context("invalid market-book size")?;
        anyhow::ensure!(
            price > Decimal::ZERO && price < Decimal::ONE,
            InvalidMarketPriceError("market-book price must be in (0, 1)".to_string())
        );
        anyhow::ensure!(
            size >= Decimal::ZERO,
            "market-book size must be non-negative"
        );

View on GitHub (pinned to 18893faf8b)

Solutions

  1. Check the book is non-empty before calling, and surface 'no liquidity' to the user instead of attempting the order.
  2. Re-fetch the book — an empty snapshot may be transient; add a short retry with backoff.
  3. Verify the correct asset_id/token_id is being used to fetch the book for the intended outcome.
  4. Halt trading on that market if empty books persist; it may be delisted or paused.

Example fix

// before
let mp = calculate_market_price(&book.levels, amount, side)?;
// after
if book.levels.is_empty() {
    eprintln!("no liquidity for {symbol:?}; skipping market order");
    return Ok(None);
}
let mp = calculate_market_price(&book.levels, amount, side)?;
Defensive patterns

Strategy: try-catch

Validate before calling

if book_levels.is_empty() {
    return Ok(None); // no liquidity — skip instead of erroring
}

Try / catch

match calculate_market_price(&book.levels, amount, side) {
    Ok(mp) => mp,
    Err(e) if e.to_string().contains("Empty order book") => {
        // no liquidity: back off and retry later
        schedule_refetch();
        return Ok(None);
    }
    Err(e) => return Err(e),
}

Prevention

When it happens

Trigger: Calling calculate_market_price with an empty slice of ClobBookLevel — e.g. the CLOB API returned an empty book payload, the market just opened/closed, or a fetch bug returned no levels — for either Buy or Sell market orders.

Common situations: Polling a newly listed or nearly-closed market whose book has been cleared; an upstream API outage returning empty book snapshots; a symbol/token-id mix-up querying a book that has no levels.

Understand the failure class

Background: EmptyResultError / "no results found": when an API or scraper succeeds but returns zero rows — this error's family across 9 libraries.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/63f9e3711fb56f15. Report an issue: GitHub.