nautechsystems/nautilus_trader · error

invalid candle high: {e}

Error message

invalid candle high: {e}

What it means

parse_ws_bar converts the candle's high decimal into a Price at the instrument's price_precision via Price::from_decimal_dp. When that conversion fails the error is wrapped as 'invalid candle high', indicating the venue value cannot be represented at the configured precision.

Source

Thrown at crates/adapters/lighter/src/websocket/parse.rs:402

/// Parses a Lighter WebSocket candle into a Nautilus [`Bar`] with `ts_event` set to the bar open.
///
/// # Errors
///
/// Returns an error if the OHLCV decimals overflow the instrument's precision, or if the
/// timestamp cannot be converted.
pub fn parse_ws_bar(
    instrument: &InstrumentAny,
    candle: &LighterWsCandle,
    resolution: LighterCandleResolution,
    ts_init: UnixNanos,
) -> anyhow::Result<Bar> {
    let price_precision = instrument.price_precision();
    let size_precision = instrument.size_precision();

    let open = Price::from_decimal_dp(candle.o, price_precision)
        .map_err(|e| anyhow::anyhow!("invalid candle open: {e}"))?;
    let high = Price::from_decimal_dp(candle.h, price_precision)
        .map_err(|e| anyhow::anyhow!("invalid candle high: {e}"))?;
    let low = Price::from_decimal_dp(candle.l, price_precision)
        .map_err(|e| anyhow::anyhow!("invalid candle low: {e}"))?;
    let close = Price::from_decimal_dp(candle.c, price_precision)
        .map_err(|e| anyhow::anyhow!("invalid candle close: {e}"))?;
    let volume = Quantity::from_decimal_dp(candle.v, size_precision)
        .map_err(|e| anyhow::anyhow!("invalid candle volume: {e}"))?;

    let t_ms = u64::try_from(candle.t)
        .map_err(|_| anyhow::anyhow!("negative candle timestamp: {}", candle.t))?;
    let ts_event = parse_millis_to_nanos(t_ms)?;

    let bar_type = BarType::new(
        instrument.id(),
        resolution.to_bar_spec(),
        AggregationSource::External,
    );

    Bar::new_checked(bar_type, open, high, low, close, volume, ts_event, ts_init)

View on GitHub (pinned to 18893faf8b)

Solutions

  1. Align instrument price_precision with the venue's real precision
  2. Pre-round candle.h to price_precision before conversion
  3. Inspect candle.h and the wrapped error to find the bad value
  4. Verify the instrument registration matches the subscribed market

Example fix

// before
let high = Price::from_decimal_dp(candle.h, price_precision)?;
// after
let high = Price::from_decimal_dp(candle.h.round_dp(price_precision as u32), price_precision)?;
Defensive patterns

Strategy: validation

Validate before calling

let high = candle.h.round_dp(instrument.price_precision() as u32);

Try / catch

match parse_ws_bar(candle, instrument, ...) {
    Err(e) if e.to_string().contains("invalid candle high") => {
        log::warn!("bad candle high {}, skipping bar: {e}", candle.h);
    }
    other => other?,
}

Prevention

When it happens

Trigger: Candle high decimal with more fractional digits than price_precision, or otherwise invalid (negative/malformed) high value in the WebSocket candle message.

Common situations: Instrument precision configured too low; venue changing tick formatting; wrong instrument mapped to the candle stream.

Understand the failure class

Background: "Must be a positive integer", "Invalid value", "Unsupported": the invalid-argument-value error family, when a library rejects the value you pass — this error's family across 35 libraries.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/15f0989aaa18bb54. Report an issue: GitHub.