Data engine _create_new_book failure upon missing instrument

[ryantam626]

Bug Report

Expected Behavior

Creating new book for non-existent instrument should not fail.

Actual Behavior

It fails.

Steps to Reproduce the Problem

Omitted.

Details

nautilus_trader/nautilus_trader/data/engine.pyx

Lines 963 to 968 in fafcc30

	if instrument is None:
	self._log.error(
	f"Cannot subscribe to {instrument.id} <OrderBook> data: "
	f"no instrument found in the cache",
	)
	return

Attempting to use instrument.id when we know it's None.

Specifications

• OS platform: WSL2
• Python version: 3.11.10
• nautilus_trader version: latest develop SHA fafcc30 debug build

[ryantam626]

Works but it's fairly disgusting to pass both ID and instrument itself 😓

From 5dd6ea386776d56731fa125433a1fb0f3d6884e5 Mon Sep 17 00:00:00 2001
From: Ryan Tam <[email protected]>
Date: Thu, 23 Jan 2025 20:46:37 +0000
Subject: [PATCH] fix: Don't blow up when creating book for non-existent
 instrument

---
 nautilus_trader/data/engine.pxd | 2 +-
 nautilus_trader/data/engine.pyx | 8 ++++----
 2 files changed, 5 insertions(+), 5 deletions(-)

diff --git a/nautilus_trader/data/engine.pxd b/nautilus_trader/data/engine.pxd
index 7c1ccd6e0..e32e7a668 100644
--- a/nautilus_trader/data/engine.pxd
+++ b/nautilus_trader/data/engine.pxd
@@ -135,7 +135,7 @@ cdef class DataEngine(Component):
     cpdef void _handle_subscribe_order_book_deltas(self, MarketDataClient client, InstrumentId instrument_id, BookType book_type, uint64_t depth, bint managed, dict params)  # noqa
     cpdef void _handle_subscribe_order_book(self, MarketDataClient client, InstrumentId instrument_id, BookType book_type, uint64_t depth, uint64_t interval_ms, bint managed, dict params)  # noqa
     cpdef void _setup_order_book(self, MarketDataClient client, InstrumentId instrument_id, BookType book_type, uint64_t depth, bint only_deltas, bint managed, dict params)  # noqa
-    cpdef void _create_new_book(self, Instrument instrument, BookType book_type)
+    cpdef void _create_new_book(self, InstrumentId instrument_id, Instrument instrument, BookType book_type)
     cpdef void _handle_subscribe_quote_ticks(self, MarketDataClient client, InstrumentId instrument_id, dict params)
     cpdef void _handle_subscribe_synthetic_quote_ticks(self, InstrumentId instrument_id)
     cpdef void _handle_subscribe_trade_ticks(self, MarketDataClient client, InstrumentId instrument_id, dict params)
diff --git a/nautilus_trader/data/engine.pyx b/nautilus_trader/data/engine.pyx
index 1fc59ffd4..57fbe366c 100644
--- a/nautilus_trader/data/engine.pyx
+++ b/nautilus_trader/data/engine.pyx
@@ -909,10 +909,10 @@ cdef class DataEngine(Component):
                 root = instrument_id.symbol.root()
                 instruments = self._cache.instruments(venue=instrument_id.venue, underlying=root)
                 for instrument in instruments:
-                    self._create_new_book(instrument, book_type)
+                    self._create_new_book(instrument_id, instrument, book_type)
             else:
                 instrument = self._cache.instrument(instrument_id)
-                self._create_new_book(instrument, book_type)
+                self._create_new_book(instrument_id, instrument, book_type)
 
         # Always re-subscribe to override previous settings
         try:
@@ -959,10 +959,10 @@ cdef class DataEngine(Component):
                 priority=10,
             )
 
-    cpdef void _create_new_book(self, Instrument instrument, BookType book_type):
+    cpdef void _create_new_book(self, InstrumentId instrument_id, Instrument instrument, BookType book_type):
         if instrument is None:
             self._log.error(
-                f"Cannot subscribe to {instrument.id} <OrderBook> data: "
+                f"Cannot subscribe to {instrument_id} <OrderBook> data: "
                 f"no instrument found in the cache",
             )
             return
-- 
2.43.0

[cjdsellers]

Hey @ryantam626

Thanks for the report.

I just removed the bug label, because the system is operating within spec here (error is intentional).

Investigating the code though, I think we can relax this to just log a warning for now, as only the instrument_id is actually needed for the book setup. I can understand the use case where you may want to subscribe and have a book ready - but the instrument is not yet in the cache for any reason (per #2238).

For backtests, we already validate that instruments are in the cache for all data, so this change will just make things more flexible for different live workflows/scenarios.

Now improved with 38b7138.