Failed to convert quote-to-base quantity for ord_id={}, sz={

Error message

Failed to convert quote-to-base quantity for ord_id={}, sz={sz}, price={price}, quantity_dec={quantity_dec}: {e}

What it means

For quote-currency orders with a valid non-zero price, parse_order_status_report converts sz (quote ccy) to base quantity as sz / price and rounds it to the instrument's size precision via Quantity::from_decimal_dp. This error is raised when that conversion or rounding fails (e.g. result is negative, zero-precision violation, or exceeds Quantity bounds).

Source

Thrown at crates/adapters/okx/src/common/parse.rs:770

        // Convert quote quantity to base: quantity_base = sz_quote / price
        let quantity_base = if let (Some(sz), Some(price)) = (sz_quote_dec, conversion_price_dec) {
            if price.is_zero() {
                log::warn!(
                    "Cannot convert quote quantity with zero price: ord_id={}, sz={}, using sz as-is",
                    order.ord_id.as_str(),
                    order.sz
                );
                Quantity::from_str(&order.sz).map_err(|e| {
                    anyhow::anyhow!(
                        "Failed to parse fallback quantity for ord_id={}, sz='{}': {e}",
                        order.ord_id.as_str(),
                        order.sz
                    )
                })?
            } else {
                let quantity_dec = sz / price;
                Quantity::from_decimal_dp(quantity_dec, size_precision).map_err(|e| {
                    anyhow::anyhow!(
                        "Failed to convert quote-to-base quantity for ord_id={}, sz={sz}, price={price}, quantity_dec={quantity_dec}: {e}",
                        order.ord_id.as_str()
                    )
                })?
            }
        } else {
            log::warn!(
                "Cannot convert quote quantity to base without price, using raw sz: \
                 ord_id={}, sz={}, px='{}', avg_px='{}'",
                order.ord_id.as_str(),
                order.sz,
                order.px,
                order.avg_px
            );
            Quantity::from_str(&order.sz).map_err(|e| {
                anyhow::anyhow!(
                    "Failed to parse fallback quantity for ord_id={}, sz='{}': {e}",
                    order.ord_id.as_str(),

View on GitHub (pinned to 18893faf8b)

Solutions

Verify the instrument definition's size_precision matches the OKX instrument's lot size (lotSz)
Log sz, price and the computed quantity_dec to check which bound was violated
Reject/handle dust orders whose converted base quantity is below min size precision
Upgrade or patch the adapter if OKX instruments require finer precision than configured

Example fix

// before
let report = parse_order_status_report(&order, &instrument, ...)?;
// after
assert_eq!(instrument.size_precision as u32, okx_lot_sz_dec.fract_digits(), "size_precision must match OKX lotSz");
let report = parse_order_status_report(&order, &instrument, ...)?;

Defensive patterns

Strategy: validation

Validate before calling

let sz = Decimal::from_str(&order.sz)?;
let price = Decimal::from_str(&order.px)?;
let qty = sz / price;
if qty < Decimal::ZERO || qty.mantissa().unsigned_abs() > u64::MAX as u128 { /* reject before calling */ }

Type guard

fn converts_to_quantity(sz: Decimal, price: Decimal, precision: u8) -> bool {
    price > Decimal::ZERO && Quantity::from_decimal_dp(sz / price, precision).is_ok()
}

Try / catch

match parse_order_status_report(&order, &instrument, ts_init) {
    Ok(r) => handle(r),
    Err(e) if e.to_string().contains("quote-to-base quantity") => log::warn!("conversion failed for {}: {e}", order.ord_id),
    Err(e) => return Err(e),
}

Prevention

Match size_precision to OKX lotSz for every instrument
Reject dust orders whose converted quantity is below precision
Validate price > 0 and sz >= 0 before conversion
Re-generate instrument definitions when OKX updates instrument specs

When it happens

Trigger: A quote-quantity order where sz/price yields a value that cannot be represented as a Quantity at the given size_precision: negative sz, price so small that the quotient overflows, or more decimals than size_precision allows without valid rounding.

Common situations: Wrong instrument definition (size_precision too small for OKX lot sizes); tiny dust orders producing sub-precision quantities; corrupted price or sz values from OKX; using the wrong instrument_id mapping so precision mismatches.

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

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/20cb37e14d9b14fc. Report an issue: GitHub.