nautechsystems/nautilus_trader · error

Failed to parse fallback quantity for ord_id={}, sz='{}': {e

Error message

Failed to parse fallback quantity for ord_id={}, sz='{}': {e}

What it means

In parse_order_status_report, when a quote-currency order has a zero conversion price, the parser falls back to using the raw sz string as the base quantity. If that string cannot be parsed into a Quantity, this error is raised. It means OKX returned an sz value that is not a valid decimal number.

Source

Thrown at crates/adapters/okx/src/common/parse.rs:761

            log::warn!(
                "No price available for conversion: ord_id={}, px='{}', avg_px='{}'",
                order.ord_id.as_str(),
                order.px,
                order.avg_px
            );
            None
        };

        // 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='{}'",

View on GitHub (pinned to 18893faf8b)

Solutions

1. Log order.sz, order.px and order.avg_px for the failing ord_id to see the raw payload
2. Check the OKX order record for empty/placeholder sz and skip such orders before parsing
3. Upgrade the nautilus OKX adapter so empty/zero-price quote orders are handled upstream
4. If sz uses an unexpected format, file an issue with the raw response and handle the format in a preprocessing step

Example fix

// before
let report = parse_order_status_report(&order, ...)?;
// after
if order.sz.trim().is_empty() {
    log::warn!("Skipping order {} with empty sz", order.ord_id);
    return Ok(None);
}
let report = parse_order_status_report(&order, ...)?;

fn is_valid_decimal_string(s: &str) -> bool { !s.trim().is_empty() && rust_decimal::Decimal::from_str(s.trim()).is_ok() }
// call before: if !is_valid_decimal_string(&order.sz) { skip }

fn parseable_quantity(s: &str) -> Option<Quantity> { Quantity::from_str(s).ok() }

match parse_order_status_report(&order, &instrument, ts_init) {
    Ok(r) => handle(r),
    Err(e) if e.to_string().contains("fallback quantity") => log::warn!("unparseable sz for {}: {e}", order.ord_id),
    Err(e) => return Err(e),
}

When it happens

Trigger: A quote-quantity order (tgt_ccy=QuoteCcy, or spot/margin BUY market order per the heuristic) where px and avg_px are empty/zero, AND order.sz contains a non-numeric, empty, or malformed string (e.g. "", "1,000", scientific notation out of range).

Common situations: Cancelled or unfilled market orders with no price yet; OKX returning empty strings for fields on cancelled orders; locale-formatted numbers copied in custom responses; new OKX API versions changing field formats.

Understand the failure class

Background: "Invalid ... format", "must be in format X", "does not look like a ..." — invalid argument format errors across CLI tools and libraries — this error's family across 17 libraries.

• Parsing and encoding errors: unexpected token, malformed input — why parsers reject input and how to find the real culprit.

Related errors

• Failed to parse filled quantity for ord_id={}, acc_fill_sz='
• Failed to parse base quantity for ord_id={}, sz='{}': {e}
• invalid quantity `{value}`: {e}
• Failed to convert quote-to-base quantity for ord_id={}, sz={
• Failed to parse liab '{liab_str}': {e}

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/45cd78d7de08652b. Report an issue: GitHub.