nautechsystems/nautilus_trader · error · anyhow::Error

No price available for {instrument_id}

Error message

No price available for {instrument_id}

What it means

calculate_option_greeks requires the option's own price (plus the underlying's price) to compute greeks. When get_price returns None for the option instrument id, the calculation is aborted with this error. It indicates missing market data for the option contract itself.

Source

Thrown at crates/common/src/greeks.rs:577

            None => flat_interest_rate,
        };
        let dividend_curve = cache.yield_curve(&underlying_instrument_id.to_string());
        drop(cache);

        let mut cost_of_carry = 0.0;

        if let Some(dividend_curve) = dividend_curve {
            cost_of_carry = interest_rate - dividend_curve(expiry_in_years);
        } else if let Some(div_yield) = flat_dividend_yield {
            cost_of_carry = interest_rate - div_yield;
        }

        let multiplier = instrument.multiplier();
        let is_call = instrument.option_kind().unwrap_or(OptionKind::Call) == OptionKind::Call;
        let strike = instrument.strike_price().unwrap_or_default().as_f64();
        let option_price = self
            .get_price(&instrument_id)
            .ok_or_else(|| anyhow::anyhow!("No price available for {instrument_id}"))?;
        let underlying_price = self.get_underlying_price(&underlying_instrument_id)?;

        if let Some(vol_index_id) = vol_index_instrument_id {
            self.get_price(&vol_index_id)
                .ok_or_else(|| anyhow::anyhow!("No price available for {vol_index_id}"))?;
        }
        let greeks = if update_vol {
            let cached_greeks = self.cache.borrow().greeks(&instrument_id);
            match cached_greeks {
                Some(cached_greeks) => refine_vol_and_greeks(
                    underlying_price,
                    interest_rate,
                    cost_of_carry,
                    is_call,
                    strike,
                    expiry_in_years,
                    option_price,
                    cached_greeks.vol,

View on GitHub (pinned to 18893faf8b)

Solutions

1. Subscribe to and wait for the option's quotes/trades before requesting greeks
2. Verify the option instrument id (symbol, expiry, strike, right) matches the cache exactly
3. Provide a fallback price_type (e.g. use last trade or mark price) that exists for the contract
4. Add a pre-check on get_price and skip/log when the option price is missing

Example fix

// before
let greeks = calculator.instrument_greeks(&option_id, None, None, None, None)?;
// after
if calculator.get_price(&option_id).is_none() {
    anyhow::bail!("option {option_id} has no cached price; waiting for data");
}
let greeks = calculator.instrument_greeks(&option_id, None, None, None, None)?;

if calculator.get_price(&option_id).is_none() {
    log::warn!("no price for option {option_id}; skipping greeks");
    return Ok(());
}

match calculator.instrument_greeks(&option_id, None, None, None, None) {
    Ok(g) => g,
    Err(e) if e.to_string().starts_with("No price available") => {
        log::warn!("waiting for option data: {e}");
        return Ok(());
    }
    Err(e) => return Err(e),
}

When it happens

Trigger: Calling instrument_greeks on an option whose cached price is absent — no quote/trade/mark price received for that contract, wrong option instrument id, or data not yet warmed in the cache.

Common situations: Computing greeks at strategy start before option data arrives; illiquid options that rarely quote; instrument id built with wrong expiry/strike formatting; venue not publishing the configured price type.

Understand the failure class

Background: EmptyResultError / "no results found": when an API or scraper succeeds but returns zero rows — this error's family across 9 libraries.

Related errors

• Instrument {instrument_id} has no underlying identifier
• No price available for {vol_index_id}
• option_summary_family_subs mutex poisoned
• Missing data in SetFeeProtocol event log
• Missing data in CollectProtocol event log

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/400a68737664b1f0. Report an issue: GitHub.