nautechsystems/nautilus_trader · error · anyhow::Error

Python on_book_depth failed: {e}

Error message

Python on_book_depth failed: {e}

What it means

Wraps a Python exception raised inside the strategy's `on_book_depth` handler. `dispatch_on_book_depth` calls the user's Python `on_book_depth(self, depth)` for `OrderBookDepth10` updates; any unhandled exception becomes this anyhow error. It indicates user code failed while processing fixed-size top-10 book depth.

Source

Thrown at crates/trading/src/python/strategy.rs:1165

    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<()> {
        self.dispatch_on_index_price(*index_price)
            .map_err(|e| anyhow::anyhow!("Python on_index_price failed: {e}"))
    }

    fn on_funding_rate(&mut self, funding_rate: &FundingRateUpdate) -> anyhow::Result<()> {

View on GitHub (pinned to 18893faf8b)

Solutions

  1. Inspect the chained `{e}` traceback for the failing line in `on_book_depth`.
  2. Filter out None entries: iterate `[(p, s) for p, s in zip(depth.bids, depth.bid_sizes) if p is not None]`.
  3. Avoid assuming exactly 10 valid levels; compute on the trimmed set.
  4. Test against a low-liquidity symbol to cover shallow-book cases.

Example fix

# before
def on_book_depth(self, depth):
    total = sum(size for size in depth.bid_sizes)  # TypeError on None sizes

# after
def on_book_depth(self, depth):
    total = sum(s for p, s in zip(depth.bids, depth.bid_sizes) if p is not None and s is not None)
Defensive patterns

Strategy: type-guard

Validate before calling

def valid_depth_rows(prices, sizes):
    return [(p, s) for p, s in zip(prices, sizes) if p is not None and s is not None]

Type guard

def has_depth(depth):
    return any(p is not None for p in depth.bids) and any(p is not None for p in depth.asks)

Try / catch

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

Prevention

When it happens

Trigger: Unhandled Python exception in `on_book_depth`: indexing the 10-slot bid/ask arrays beyond non-null entries (trailing None levels), zipping bids/asks of mismatched null-padding, or treating null prices as 0 and hitting downstream arithmetic errors.

Common situations: Thin books with fewer than 10 levels per side producing None-padded arrays; strategies ported from full-book (`on_book_deltas`) code assuming dense arrays; venue adapters that zero-pad vs null-pad inconsistently.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/94acc206b2959186. Report an issue: GitHub.