nautechsystems/nautilus_trader · error

Venue not found for exchange {exchange}: {e}

Error message

Venue not found for exchange {exchange}: {e}

What it means

After extracting the exchange code for a GLBX.MDP3 record, the loader converts it to a Nautilus `Venue` via `Venue::from_code`. If that exchange code is not a known venue the conversion error is re-raised with the exchange value embedded.

Source

Thrown at crates/adapters/databento/src/loader.rs:285

                        .get::<InstrumentDefMsg>()
                        .ok_or_else(|| anyhow::anyhow!("Failed to decode InstrumentDefMsg"))?;

                    let raw_symbol = rec
                        .raw_symbol()
                        .map_err(|e| anyhow::anyhow!("Error decoding `raw_symbol`: {e}"))?;
                    let symbol = Symbol::from(raw_symbol);

                    let publisher = rec
                        .hd
                        .publisher()
                        .map_err(|e| anyhow::anyhow!("Invalid `publisher` for record: {e}"))?;
                    let venue = match publisher {
                        Publisher::GlbxMdp3Glbx if use_exchange_as_venue => {
                            let exchange = rec.exchange().map_err(|e| {
                                anyhow::anyhow!("Missing `exchange` for record: {e}")
                            })?;
                            let venue = Venue::from_code(exchange).map_err(|e| {
                                anyhow::anyhow!("Venue not found for exchange {exchange}: {e}")
                            })?;
                            self.symbol_venue_map.insert(symbol, venue);
                            venue
                        }
                        _ => *self
                            .publisher_venue_map
                            .get(&msg.hd.publisher_id)
                            .ok_or_else(|| {
                                anyhow::anyhow!(
                                    "Venue not found for publisher_id {}",
                                    msg.hd.publisher_id
                                )
                            })?,
                    };
                    let instrument_id = InstrumentId::new(symbol, venue);
                    let ts_init = msg.ts_recv.into();

                    decode_instrument_def_msg(rec, instrument_id, Some(ts_init), decode_config)

View on GitHub (pinned to 18893faf8b)

Solutions

1. Upgrade NautilusTrader to a version whose venue registry knows the exchange code
2. Check the error's embedded exchange string and register/patch the venue mapping if running a custom build
3. Pass `use_exchange_as_venue = false` to use the publisher-based venue mapping instead
4. Confirm the dataset is GLBX; if the data is from another dataset the exchange codes may be foreign

Example fix

// before
let venue = Venue::from_code(exchange).map_err(|e| anyhow::anyhow!("Venue not found for exchange {exchange}: {e}"))?;
// after
let venue = Venue::from_code(exchange).unwrap_or_else(|_| Venue::from_code("GLBX")); // graceful fallback to canonical GLBX venue

// pre-check that every exchange code you expect is a known venue
for code in expected_exchange_codes {
    assert!(Venue::from_code(code).is_ok(), "unknown venue code: {code}");
}

let venue = Venue::from_code(exchange).unwrap_or(VENUE_GLBX); // or map to a default venue on failure

When it happens

Trigger: GLBX.MDP3 definition records whose exchange code (e.g. a new or unusual CME group exchange) has no corresponding registered `Venue` in the loader's `Venue::from_code` mapping.

Common situations: Databento adds a new exchange code after the installed nautilus version was released; loading data from an exotic market within GLBX that the venue registry does not cover.

Understand the failure class

Background: Invalid enum value errors: "Unknown type", "Invalid scope", "must be one of" — when a string is not on the library's allowed list — this error's family across 23 libraries.

Related errors

• Venue not found for exchange {exchange}: {e}
• Venue not found for publisher_id {}
• Unsupported `OrderSide` for Binance: {value:?}
• Unsupported OrderType for conditional orders: {value:?}
• Invalid `OrderType` cannot be represented on OKX: {value:?}

AI-assisted analysis of nautechsystems/nautilus_trader@18893faf8b (2026-09-08). Data as JSON: /api/errors/35fdfae4a5896a00. Report an issue: GitHub.