nautechsystems/nautilus_trader · error

Python on_book_deltas failed: {e}

Error message

Python on_book_deltas failed: {e}

What it means

Wraps a Python exception raised inside the strategy's `on_book_deltas` handler. `dispatch_on_book_deltas` invokes the user's Python `on_book_deltas(self, deltas)` for `OrderBookDeltas` updates; any unhandled exception becomes this anyhow error. It means user strategy code failed while processing an L2/L3 book delta batch.

Source

Thrown at crates/trading/src/python/strategy.rs:1160

    fn on_quote(&mut self, quote: &QuoteTick) -> anyhow::Result<()> {
        self.dispatch_on_quote(*quote)
            .map_err(|e| anyhow::anyhow!("Python on_quote failed: {e}"))
    }

    fn on_trade(&mut self, tick: &TradeTick) -> anyhow::Result<()> {
        self.dispatch_on_trade(*tick)
            .map_err(|e| anyhow::anyhow!("Python on_trade failed: {e}"))
    }

    fn on_bar(&mut self, bar: &Bar) -> anyhow::Result<()> {
        self.dispatch_on_bar(*bar)
            .map_err(|e| anyhow::anyhow!("Python on_bar failed: {e}"))
    }

    fn on_book_deltas(&mut self, deltas: &OrderBookDeltas) -> anyhow::Result<()> {
        self.dispatch_on_book_deltas(deltas)
            .map_err(|e| anyhow::anyhow!("Python on_book_deltas failed: {e}"))
    }

    fn on_book_depth(&mut self, depth: &OrderBookDepth10) -> anyhow::Result<()> {
        self.dispatch_on_book_depth(depth)
            .map_err(|e| anyhow::anyhow!("Python on_book_depth failed: {e}"))
    }

    fn on_book(&mut self, order_book: &OrderBook) -> anyhow::Result<()> {
        self.dispatch_on_book(order_book)
            .map_err(|e| anyhow::anyhow!("Python on_book failed: {e}"))
    }

    fn on_mark_price(&mut self, mark_price: &MarkPriceUpdate) -> anyhow::Result<()> {
        self.dispatch_on_mark_price(*mark_price)
            .map_err(|e| anyhow::anyhow!("Python on_mark_price failed: {e}"))
    }

    fn on_index_price(&mut self, index_price: &IndexPriceUpdate) -> anyhow::Result<()> {

View on GitHub (pinned to 18893faf8b)

Solutions

  1. Read the chained `{e}` traceback to find the failing line in `on_book_deltas`.
  2. Handle all delta actions (ADD/UPDATE/DELETE/CLEAR) defensively; use `.get()` on local level maps.
  3. Guard order_id/price being None depending on record type.
  4. Re-run against a recorded book stream from the failing venue to reproduce.

Example fix

# before
def on_book_deltas(self, deltas):
    for d in deltas.deltas:
        del self.levels[d.price]  # KeyError on DELETE for unknown level

# after
def on_book_deltas(self, deltas):
    for d in deltas.deltas:
        if d.action == BookAction.CLEAR:
            self.levels.clear()
        elif d.action == BookAction.DELETE:
            self.levels.pop(d.price, None)
        else:
            self.levels[d.price] = d.size
Defensive patterns

Strategy: type-guard

Validate before calling

def handle_delta_safely(levels, d):
    if d.action == BookAction.DELETE:
        return levels.pop(d.price, None)
    if d.action == BookAction.CLEAR:
        return levels.clear()
    return levels.__setitem__(d.price, d.size)

Type guard

def delta_applicable(d):
    return d.price is not None and d.action in (BookAction.ADD, BookAction.UPDATE, BookAction.DELETE, BookAction.CLEAR)

Try / catch

def on_book_deltas(self, deltas):
    try:
        self._apply_deltas(deltas)
    except Exception as e:
        self.log.error(f"on_book_deltas failed for {deltas.instrument_id}: {e}", exc_info=True)

Prevention

When it happens

Trigger: Unhandled Python exception in `on_book_deltas`: assuming every delta has a non-null order_id (market-by-price vs market-by-order), applying deletes to a local dict missing the level, iterating `deltas.deltas` with wrong assumptions about the action enum, or clear/final flag handling bugs.

Common situations: Strategies maintaining a local book snapshot that desyncs after a snapshot/clear delta; venues that send clear actions or deletes for unknown levels; confusing delta handlers with the depth10 handler when switching subscriptions.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/644706192b56e92f. Report an issue: GitHub.