nautechsystems/nautilus_trader · error

Python on_quote failed: {e}

Error message

Python on_quote failed: {e}

What it means

Wraps a Python exception raised inside the strategy's `on_quote` handler. The Rust data engine forwards each `QuoteTick` via `dispatch_on_quote`, which calls the user's Python `on_quote(self, quote)`; an unhandled exception there is re-thrown as this anyhow error. It indicates user strategy code failed while processing a top-of-book quote.

Source

Thrown at crates/trading/src/python/strategy.rs:1145

    }

    fn on_socket_state(&mut self, event: &SocketStateChanged) -> anyhow::Result<()> {
        self.dispatch_on_socket_state(event)
            .map_err(|e| anyhow::anyhow!("Python on_socket_state failed: {e}"))
    }

    fn on_instrument(&mut self, instrument: &InstrumentAny) -> anyhow::Result<()> {
        Python::attach(|py| {
            let py_instrument = instrument_any_to_pyobject(py, instrument.clone())
                .map_err(|e| anyhow::anyhow!("Failed to convert InstrumentAny to Python: {e}"))?;
            self.dispatch_on_instrument(py_instrument)
                .map_err(|e| anyhow::anyhow!("Python on_instrument failed: {e}"))
        })
    }

    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<()> {

View on GitHub (pinned to 18893faf8b)

Solutions

  1. Inspect the embedded `{e}` traceback to find the failing line in the Python `on_quote`.
  2. Guard against missing/zero quote sides before computing (check `quote.bid_size`/`ask_size` or None prices).
  3. Wrap the handler body in try/except to skip unusable quotes and log them.
  4. Backtest with a recorded stream of the failing symbol to reproduce the edge case.

Example fix

# before
def on_quote(self, quote):
    mid = (quote.bid_price + quote.ask_price) / 2  # TypeError when bid is None

# after
def on_quote(self, quote):
    if quote.bid_price is None or quote.ask_price is None:
        return
    mid = (quote.bid_price + quote.ask_price) / 2
Defensive patterns

Strategy: validation

Validate before calling

def quote_usable(quote):
    return (quote.bid_price is not None and quote.ask_price is not None
            and quote.bid_price > 0 and quote.ask_price > 0)

Type guard

def has_two_sided_book(quote):
    return quote.bid_size is not None and quote.ask_size is not None and quote.bid_size > 0 and quote.ask_size > 0

Try / catch

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

Prevention

When it happens

Trigger: Any unhandled Python exception in `on_quote`: arithmetic on None bid/ask (no best price available), division by a zero quote, assuming `quote.bid_size > 0`, or state-machine asserts that fire on rapid quote updates.

Common situations: Markets with one-sided books producing None bid or ask; illiquid symbols with zero sizes; strategies written against mocked quotes that always had both sides populated; hot-loop bugs exposed by very high quote rates.

Related errors

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/58c9660ef2f04a62. Report an issue: GitHub.