nautechsystems/nautilus_trader · error

Python on_option_greeks failed: {e}

Error message

Python on_option_greeks failed: {e}

What it means

This error wraps any Python exception raised inside the actor's `on_option_greeks` callback when an `OptionGreeks` update is dispatched to the Python subclass. The Rust `PyDataActor` calls the Python method via `call_method1`; the resulting `PyErr` becomes an anyhow error with this message. The underlying exception originates in the user's Python override or the Rust-to-Python conversion of the greeks data.

Source

Thrown at crates/common/src/python/actor.rs:1158

    fn on_funding_rate(&mut self, funding_rate: &FundingRateUpdate) -> anyhow::Result<()> {
        self.dispatch_on_funding_rate(*funding_rate)
            .map_err(|e| anyhow::anyhow!("Python on_funding_rate failed: {e}"))
    }

    fn on_instrument_status(&mut self, data: &InstrumentStatus) -> anyhow::Result<()> {
        self.dispatch_on_instrument_status(*data)
            .map_err(|e| anyhow::anyhow!("Python on_instrument_status failed: {e}"))
    }

    fn on_instrument_close(&mut self, update: &InstrumentClose) -> anyhow::Result<()> {
        self.dispatch_on_instrument_close(*update)
            .map_err(|e| anyhow::anyhow!("Python on_instrument_close failed: {e}"))
    }

    fn on_option_greeks(&mut self, greeks: &OptionGreeks) -> anyhow::Result<()> {
        self.dispatch_on_option_greeks(*greeks)
            .map_err(|e| anyhow::anyhow!("Python on_option_greeks failed: {e}"))
    }

    fn on_option_chain(&mut self, slice: &OptionChainSlice) -> anyhow::Result<()> {
        self.dispatch_on_option_chain(slice.clone())
            .map_err(|e| anyhow::anyhow!("Python on_option_chain failed: {e}"))
    }

    #[cfg(feature = "defi")]
    fn on_block(&mut self, block: &Block) -> anyhow::Result<()> {
        self.dispatch_on_block(block.clone())
            .map_err(|e| anyhow::anyhow!("Python on_block failed: {e}"))
    }

    #[cfg(feature = "defi")]
    fn on_pool(&mut self, pool: &Pool) -> anyhow::Result<()> {
        self.dispatch_on_pool(pool.clone())
            .map_err(|e| anyhow::anyhow!("Python on_pool failed: {e}"))
    }

View on GitHub (pinned to 18893faf8b)

Solutions

  1. Read the appended Python traceback after 'Python on_option_greeks failed:' to locate the raising line.
  2. Validate greeks fields (None/NaN) before aggregating into portfolio risk.
  3. Register option instruments before subscribing to greeks so lookups succeed.
  4. Confirm OptionGreeks attribute names for the installed nautilus_trader version.

Example fix

// before
def on_option_greeks(self, greeks):
    self.portfolio_delta += self.positions[greeks.instrument_id.value] * greeks.delta

// after
def on_option_greeks(self, greeks):
    if greeks.delta is None or greeks.delta != greeks.delta:
        return
    pos = self.positions.get(str(greeks.instrument_id), 0)
    self.portfolio_delta += pos * greeks.delta
Defensive patterns

Strategy: type-guard

Validate before calling

import math
d = getattr(greeks, "delta", None)
if d is None or (isinstance(d, float) and math.isnan(d)):
    return

Type guard

def has_usable_greeks(g):
    def ok(v):
        return v is not None and not (isinstance(v, float) and math.isnan(v))
    return ok(getattr(g, "delta", None)) and ok(getattr(g, "gamma", None))

Try / catch

def on_option_greeks(self, greeks):
    try:
        self._aggregate_greeks(greeks)
    except Exception as e:
        self.log.error(f"on_option_greeks failed: {e}", exc_info=True)

Prevention

When it happens

Trigger: Any exception raised by the user's `on_option_greeks(self, greeks)` override — e.g. arithmetic on None/NaN delta or IV, portfolio-greeks aggregation keyed by a missing option_id, or a raising Rust-to-Python conversion of the OptionGreeks struct.

Common situations: Options market-making/hedging strategies that receive greeks before the corresponding option position is registered; NaN greeks from the provider on illiquid strikes; version upgrades changing OptionGreeks fields.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/3b6902ef21c3f185. Report an issue: GitHub.