nautechsystems/nautilus_trader · error

OKX does not support {a:?} aggregation

Error message

OKX does not support {a:?} aggregation

What it means

When building OKX bar (candle) requests, the adapter maps Nautilus BarAggregation variants to OKX bar-size strings. Only Second, Minute, Hour, Day, Week, and Month aggregations are supported; any other aggregation (e.g. Tick, Volume) hits a catch-all arm and bails. OKX simply has no candle granularity corresponding to those aggregations.

Source

Thrown at crates/adapters/okx/src/http/client.rs:3576

            return Ok(Vec::new());
        }

        if let Some(e) = end
            && e > now
        {
            end = Some(now);
        }

        let spec = bar_type.spec();
        let step = spec.step.get();
        let bar_param = match spec.aggregation {
            BarAggregation::Second => format!("{step}s"),
            BarAggregation::Minute => format!("{step}m"),
            BarAggregation::Hour => format!("{step}H"),
            BarAggregation::Day => format!("{step}D"),
            BarAggregation::Week => format!("{step}W"),
            BarAggregation::Month => format!("{step}M"),
            a => anyhow::bail!("OKX does not support {a:?} aggregation"),
        };

        let slot_ms: i64 = match spec.aggregation {
            BarAggregation::Second => (step as i64) * 1_000,
            BarAggregation::Minute => (step as i64) * 60_000,
            BarAggregation::Hour => (step as i64) * 3_600_000,
            BarAggregation::Day => (step as i64) * 86_400_000,
            BarAggregation::Week => (step as i64) * 7 * 86_400_000,
            BarAggregation::Month => (step as i64) * 30 * 86_400_000,
            _ => unreachable!("Unsupported aggregation should have been caught above"),
        };
        let slot_ns: i64 = slot_ms * 1_000_000;

        let mode = match (start, end) {
            (None, None) => Mode::Latest,
            (Some(_), None) => Mode::Backward, // Changed: when only start is provided, work backward from now
            (None, Some(_)) => Mode::Backward,
            (Some(_), Some(_)) => Mode::Range,

View on GitHub (pinned to 18893faf8b)

Solutions

  1. Use one of Second/Minute/Hour/Day/Week/Month aggregations in the BarSpec
  2. Aggregate ticks into time bars locally (via an internal aggregator) instead of asking OKX for tick/volume bars
  3. Validate the BarSpec aggregation before submitting the request

Example fix

// before
let spec = BarSpecification::new(step, BarAggregation::Volume, price_type);
// after
let spec = BarSpecification::new(step, BarAggregation::Minute, price_type);
Defensive patterns

Strategy: validation

Validate before calling

match spec.aggregation {
    BarAggregation::Second | BarAggregation::Minute | BarAggregation::Hour
    | BarAggregation::Day | BarAggregation::Week | BarAggregation::Month => {}
    other => return Err(anyhow::anyhow!("OKX does not support {other:?} aggregation")),
}

Type guard

fn okx_supported_aggregation(a: BarAggregation) -> bool {
    matches!(a, BarAggregation::Second | BarAggregation::Minute
        | BarAggregation::Hour | BarAggregation::Day
        | BarAggregation::Week | BarAggregation::Month)
}

Try / catch

if let Err(e) = client.request_bars(bar_type, ...).await {
    log::error!("bar request rejected: {e}");
}

Prevention

When it happens

Trigger: Requesting OKX historical bars (request_bars / bar subscription) with a BarSpec whose aggregation is Tick, Volume, Value, or another unsupported variant.

Common situations: Configuring a bar aggregator or data request with an aggregation type that works on other venues but not OKX; copy-pasted BarSpec from a crypto data provider that supports volume bars.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/f71d0c7e3e93d24b. Report an issue: GitHub.