nautechsystems/nautilus_trader · error · anyhow::Error

No rate data for {currency} at {monthly_key} or {quarterly_k

Error message

No rate data for {currency} at {monthly_key} or {quarterly_key}

What it means

Lookup miss in FxRolloverInterestRate::lookup_rate: the rate table is keyed monthly (YYYY-MM) with a quarterly (YYYY-Qn) fallback; neither key exists for the requested currency and date, so no interest rate can be determined.

Source

Thrown at crates/backtest/src/modules/fx_rollover.rs:194

        let currency_rates = self
            .rates
            .get(currency)
            .ok_or_else(|| anyhow::anyhow!("No rate data for currency {currency}"))?;

        // Try monthly key first
        let monthly_key = format!("{}-{:02}", date.year(), date.month());
        if let Some(&rate) = currency_rates.get(&monthly_key) {
            return Ok(rate);
        }

        // Fall back to quarterly key
        let quarter = (date.month() - 1) / 3 + 1;
        let quarterly_key = format!("{}-Q{quarter}", date.year());
        if let Some(&rate) = currency_rates.get(&quarterly_key) {
            return Ok(rate);
        }

        anyhow::bail!("No rate data for {currency} at {monthly_key} or {quarterly_key}")
    }
}

/// Simulates FX rollover (swap) interest applied at 5 PM US/Eastern daily.
///
/// When holding FX positions overnight, the interest rate differential
/// between the two currencies is credited or debited. Wednesday and Friday
/// rollovers are tripled (Wednesday for T+2 settlement, Friday for the weekend).
#[derive(Debug, Clone)]
#[cfg_attr(
    feature = "python",
    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.backtest")
)]
#[cfg_attr(
    feature = "python",
    pyo3::pyclass(
        module = "nautilus_trader.backtest",
        extends = PySimulationModule,

View on GitHub (pinned to 18893faf8b)

Solutions

1. Extend the configured rates data to cover the currency and period
2. Use a rates source that provides monthly or quarterly entries for that date

When it happens

Trigger: Thrown at crates/backtest/src/modules/fx_rollover.rs:194 when the library encounters an invalid state.

Common situations: See trigger scenarios.

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/717bcce5c119a5ae. Report an issue: GitHub.