Lighter does not support historical order book depth request

Error message

Lighter does not support historical order book depth requests for {}; use request_book_snapshot for an L2 snapshot or subscribe_book_depth10 for live depth10

What it means

The Lighter data client does not support historical (streamed/replayed) order book depth requests. Depth is available either as a one-shot L2 snapshot via request_book_snapshot or as live depth10 via subscribe_book_depth10; request_book_depth always bails with this guidance message naming the instrument.

Source

Thrown at crates/adapters/lighter/src/data/mod.rs:1808

                        ts_init,
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send book snapshot response: {e}");
                    }
                }
                Err(e) => {
                    log::error!("Lighter book snapshot request failed for {instrument_id}: {e:?}");
                }
            }
        });

        Ok(())
    }

    fn request_book_depth(&self, request: RequestBookDepth) -> anyhow::Result<()> {
        anyhow::bail!(
            "Lighter does not support historical order book depth requests for {}; \
             use request_book_snapshot for an L2 snapshot or subscribe_book_depth10 for live depth10",
            request.instrument_id,
        )
    }
}

fn retain_trade_ticks_in_range(
    trades: &mut Vec<TradeTick>,
    start_nanos: Option<UnixNanos>,
    end_nanos: Option<UnixNanos>,
) {
    trades.retain(|trade| trade_tick_in_range(trade.ts_event, start_nanos, end_nanos));
    trades.sort_by_key(|trade| trade.ts_event);
}

fn trade_tick_in_range(
    ts_event: UnixNanos,

View on GitHub (pinned to 18893faf8b)

Solutions

Use request_book_snapshot for the current L2 snapshot.
Use subscribe_book_depth10 for continuous live depth10 updates.
Record depth via the depth10 subscription into your own store if you need history.
Skip request_book_depth calls for the Lighter venue in venue-agnostic code paths.

Example fix

// before
data_engine.request(RequestBookDepth::new(instrument_id, depth, start, end))
// after
data_engine.request_book_snapshot(instrument_id, depth)?; // or subscribe_book_depth10(instrument_id, depth)

Defensive patterns

Strategy: fallback

Try / catch

// venue-agnostic path
if request.instrument_id.venue.as_str() == "LIGHTER" {
    data_engine.request_book_snapshot(request.instrument_id, request.depth)?;
    data_engine.subscribe_book_depth10(request.instrument_id, request.depth)?;
} else {
    data_engine.request_book_depth(request)?;
}

Prevention

Use request_book_snapshot or subscribe_book_depth10 for Lighter depth.
Record depth10 streams yourself if historical depth is required.
Branch venue-agnostic depth-history code paths per venue capability.

When it happens

Trigger: Calling request_book_depth (or sending a RequestBookDepth through the DataEngine) for a Lighter instrument, e.g. a strategy requesting historical depth between two timestamps.

Common situations: Cross-venue strategies that request depth history elsewhere; assuming replayed book depth exists because L2 snapshots do; backfill pipelines requesting depth ranges.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/be29218e2292d683. Report an issue: GitHub.