OrderRejected: 'no market for ...'

[bbergua]

Hi all,

I've been reading the documentation and I've been able to run the EMACross example strategy succesfully, loading the input tick data as indicated in https://docs.nautilustrader.io/user_guide/loading_external_data.html

However, when I tried to load as input data, instead of tick data, using M1 bars instead, everything seems to work fine (I can read the bars, the bars are served by the engin to the strategy, the strategy receives the bars in the on_bar() method, and the strategy seems to work). However, when the strategy triggers a signal and tries to submit an order, the order is rejected with the reason 'no market data', see output:

2021-01-04T01:48:00.000000000Z [INF] BACKTESTER-001.SMA21Strategy-000: Bar(EUR/USD.SIM-1-MINUTE-BID-EXTERNAL,1.224990,1.225210,1.224980,1.225210,0,1609724880000000000)
2021-01-04T01:48:00.000000000Z [INF] BACKTESTER-001.SMA21Strategy-000: Entering trade, self.instrument_id=InstrumentId('EUR/USD.SIM') side=<OrderSide.BUY: 1> self.trade_size=Quantity('1000')
2021-01-04T01:48:00.000000000Z [INF] BACKTESTER-001.SMA21Strategy-000: <--[EVT] OrderInitialized(instrument_id=EUR/USD.SIM, client_order_id=O-20210104-014800-001-000-1, side=BUY, type=MARKET, quantity=1_000, time_in_force=GTC, post_only=False, reduce_only=False, options={}, order_list_id=None, contingency_type=NONE, linked_order_ids=None, parent_order_id=None, tags=None).
2021-01-04T01:48:00.000000000Z [INF] BACKTESTER-001.SMA21Strategy-000: [CMD]--> SubmitOrder(instrument_id=EUR/USD.SIM, client_order_id=O-20210104-014800-001-000-1, position_id=None, check_position_exists=True, order=BUY 1_000 EUR/USD.SIM MARKET GTC).
2021-01-04T01:48:00.000000000Z [WRN] BACKTESTER-001.RiskEngine: Cannot check MARKET order risk: no prices for EUR/USD.SIM.
2021-01-04T01:48:00.000000000Z [INF] BACKTESTER-001.SMA21Strategy-000: <--[EVT] OrderSubmitted(account_id=SIM-001, instrument_id=EUR/USD.SIM, client_order_id=O-20210104-014800-001-000-1, ts_event=1609724880000000000).
2021-01-04T01:48:00.000000000Z [WRN] BACKTESTER-001.SMA21Strategy-000: <--[EVT] OrderRejected(account_id=SIM-001, instrument_id=EUR/USD.SIM, client_order_id=O-20210104-014800-001-000-1, reason='no market for EUR/USD.SIM', ts_event=1609724880000000000).

I cannot find any reference in the documention about what does it mean the reason 'no market for ...' I guess that I shoud change something in the configuration, I've tried thousands of combinations but nothing works. Does anybody has a clue about what is going on?

Thanks a lot

[rsmb7z]

Hi @bbergua
I think you have to convert the bars to TradeTick to function it as expected. Also this will be required to use the internal aggregation for higher timeframes. Input dataframes should have datetime index.

from nautilus_trader.backtest.data.wranglers import QuoteTickDataWrangler
wrangler = QuoteTickDataWrangler(instrument)
ticks = wrangler.process_bar_data(
    bid_data=bid_df,
    ask_data=ask_df,
)

Detailed example for converting bar data to Tick is at following link.
https://github.com/nautechsystems/nautilus_trader/blob/395d9c4d960962b77478baf20fc687a8fee8c3eb/tests/performance_tests/test_perf_backtest.py

Let me know if need more information.