nautechsystems/nautilus_trader · error

historical BinanceBar requests require LAST price type

Error message

historical BinanceBar requests require LAST price type

What it means

Binance klines are computed from last-trade prices only, so the custom `BinanceBar` request path enforces `PriceType::Last` on the parsed bar type. Bar types with MID, BID, or ASK price types are rejected before the HTTP fetch is spawned.

Source

Thrown at crates/adapters/binance/src/futures/data.rs:2636

        Ok(())
    }

    /// Requests Binance futures custom data.
    ///
    /// Spawned fetch failures are logged and no response is emitted, matching
    /// the existing request-path behavior for other Binance adapter requests.
    fn request_data(&self, request: RequestCustomData) -> anyhow::Result<()> {
        let data_type = request.data_type.clone();
        let data_type_name = data_type.type_name().to_string();

        if data_type_name == "BinanceBar" {
            let bar_type = parse_binance_bar_type(&data_type)?;
            anyhow::ensure!(
                bar_type.aggregation_source() == AggregationSource::External,
                "historical BinanceBar requests require EXTERNAL aggregation"
            );
            anyhow::ensure!(
                bar_type.spec().price_type == PriceType::Last,
                "historical BinanceBar requests require LAST price type"
            );
            anyhow::ensure!(
                bar_type.spec().is_time_aggregated(),
                "historical BinanceBar requests require time aggregation"
            );
            let http = self.http_client.clone();
            let sender = self.data_sender.clone();
            let request_id = request.request_id;
            let client_id = request.client_id;
            let start = request.start;
            let end = request.end;
            let limit = request.limit.map(|value| value.get() as u32);
            let params = request.params;
            let clock = self.clock;
            let venue = self.venue();
            let start_nanos = datetime_to_unix_nanos(start);

View on GitHub (pinned to a4b06ed870)

Solutions

1. Use a LAST price type bar, e.g. `BTCUSDT-PERP.BINANCE-1-MINUTE-LAST-EXTERNAL`
2. If quote-price bars are required, build them locally from book/quote data (INTERNAL aggregation) rather than requesting them from Binance

Example fix

# before
bar_type = BarType.from_str('BTCUSDT-PERP.BINANCE-1-MINUTE-MID-EXTERNAL')

# after
bar_type = BarType.from_str('BTCUSDT-PERP.BINANCE-1-MINUTE-LAST-EXTERNAL')

from nautilus_trader.model.enums import PriceType

def is_requestable_binance_bar(bar_type) -> bool:
    return bar_type.spec.price_type == PriceType.LAST

if not is_requestable_binance_bar(bar_type):
    raise ValueError(f'{bar_type} uses {bar_type.spec.price_type}; Binance klines are LAST price only')

def is_last_price_bar(bar_type) -> bool:
    return bar_type.spec.price_type == PriceType.LAST

try:
    actor.request_custom_data(data_type, ...)
except Exception as e:
    if 'require LAST price type' in str(e):
        raise ValueError('Binance klines are last-trade candles; request a -LAST- bar type or aggregate quote bars locally') from e
    raise

When it happens

Trigger: `request_data` with data type name `BinanceBar` and a bar type like `BTCUSDT-PERP.BINANCE-1-MINUTE-MID-EXTERNAL` or `-BID-EXTERNAL` / `-ASK-EXTERNAL`.

Common situations: Strategies using MID bars ported from venues that serve quote-price klines; reusing a generic bar config (often MID) across venues; assuming Binance serves bid/ask candles.

Related errors

• Binance historical bars require LAST price type
• historical BinanceBar requests require EXTERNAL aggregation
• historical BinanceBar requests require time aggregation
• Binance historical bars require EXTERNAL aggregation
• historical open interest request requires `period` metadata

AI-assisted analysis of nautechsystems/nautilus_trader@a4b06ed870 (2026-08-16). Data as JSON: /api/errors/f623fff7b8170706. Report an issue: GitHub.