nautechsystems/nautilus_trader · error · anyhow::Error

Failed to parse sz='{}' as quote quantity: {}

Error message

Failed to parse sz='{}' as quote quantity: {}

What it means

For quote-quantity orders (tgt_ccy=QuoteCcy, or the SPOT/BUY market-order heuristic), the parser treats msg.sz as a quote-currency amount and must parse it as a Decimal before dividing by a conversion price. If the sz string is not a valid decimal number, this error is raised. It indicates a malformed or non-numeric sz field on the OKX order message.

Source

Thrown at crates/adapters/okx/src/websocket/parse.rs:1788

    // OKX always returns acc_fill_sz in base currency, but sz depends on tgt_ccy

    // Determine if this is a quote-quantity order
    // Method 1: Explicit tgt_ccy field set to QuoteCcy
    let is_quote_qty_explicit = msg.tgt_ccy == Some(OKXTargetCurrency::QuoteCcy);

    // Method 2: Use OKX defaults when tgt_ccy is None (old orders or missing field)
    // OKX API defaults for SPOT market orders: BUY orders use quote_ccy, SELL orders use base_ccy
    // Note: tgtCcy only applies to SPOT market orders (not limit orders)
    // For limit orders, sz is always in base currency regardless of side
    let is_quote_qty_heuristic = msg.tgt_ccy.is_none()
        && (msg.inst_type == OKXInstrumentType::Spot || msg.inst_type == OKXInstrumentType::Margin)
        && msg.side == OKXSide::Buy
        && order_type == OrderType::Market;

    let (quantity, filled_qty) = if is_quote_qty_explicit || is_quote_qty_heuristic {
        // Quote-quantity order: sz is in quote currency, need to convert to base
        let sz_quote_dec = Decimal::from_str(&msg.sz).map_err(|e| {
            anyhow::anyhow!("Failed to parse sz='{}' as quote quantity: {}", msg.sz, e)
        })?;

        // Determine the price to use for conversion
        // Priority: 1) limit price (px) for limit orders, 2) avg_px for market orders
        let conversion_price_dec =
            if !is_market_price(&msg.px) {
                // Limit order: use the limit price (msg.px)
                Some(
                    Decimal::from_str(&msg.px)
                        .map_err(|e| anyhow::anyhow!("Failed to parse px='{}': {}", msg.px, e))?,
                )
            } else if !msg.avg_px.is_empty() && msg.avg_px != "0" {
                // Market order with fills: use average fill price
                Some(Decimal::from_str(&msg.avg_px).map_err(|e| {
                    anyhow::anyhow!("Failed to parse avg_px='{}': {}", msg.avg_px, e)
                })?)
            } else {
                None

View on GitHub (pinned to 18893faf8b)

Solutions

1. Log the raw msg.sz and surrounding message JSON to see the actual value received.
2. Guard before parsing: skip conversion (treat as base quantity via parse_quantity) when sz is empty or non-numeric.
3. Normalize the string (trim whitespace, strip separators) before Decimal::from_str.
4. Check for an OKX API format change and update the deserialization/model accordingly.

Example fix

// before (parse.rs:1787)
let sz_quote_dec = Decimal::from_str(&msg.sz).map_err(|e| {
    anyhow::anyhow!("Failed to parse sz='{}' as quote quantity: {}", msg.sz, e)
})?;

// after
let sz_quote_dec = if msg.sz.is_empty() {
    return Ok(/* fall back to base-quantity parsing or zero quantity */);
} else {
    Decimal::from_str(msg.sz.trim()).map_err(|e| {
        anyhow::anyhow!("Failed to parse sz='{}' as quote quantity: {}", msg.sz, e)
    })?
};

// Rust: validate sz is a non-empty decimal string before processing
fn valid_decimal_str(s: &str) -> bool {
    !s.trim().is_empty() && Decimal::from_str(s.trim()).is_ok()
}
// gate: if quote-quantity path chosen, require valid_decimal_str(&msg.sz)

fn parseable_decimal(s: &str) -> Option<Decimal> {
    Decimal::from_str(s.trim()).ok()
}

match parse_order_status_report(&msg, &instrument, account_id, ts_init) {
    Ok(report) => handle(report),
    Err(e) if e.to_string().contains("Failed to parse sz") => {
        tracing::warn!(ord_id = %msg.ord_id, sz = %msg.sz, "malformed sz on quote-quantity order");
    }
    Err(e) => return Err(e),
}

When it happens

Trigger: A quote-quantity order status update (OKX SPOT market BUY with tgtCcy=quote_ccy, or tgtCcy absent on a SPOT/margin BUY market order) where msg.sz is not parseable by Decimal::from_str — e.g. empty string, scientific notation with unexpected format, thousands separators, or placeholder values from a malformed message.

Common situations: Replaying malformed/hand-edited test fixtures or recorded WebSocket logs with corrupt sz; an OKX API change emitting sz in an unexpected numeric format; deserialization defaulting sz to "" when the field is missing on older messages.

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 px='{}': {}
• Failed to parse avg_px='{}': {}
• instrument update lock poisoned
• option_summary_family_subs mutex poisoned
• Conditional order types must use OKXAlgoOrderType

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/c624be20ebe82a86. Report an issue: GitHub.