Questions about market buy order with quote quantity

[WyldeCat]

  File "nautilus_trader/risk/engine.pyx", line 593, in nautilus_trader.risk.engine.RiskEngine._check_orders_risk
  File "nautilus_trader/risk/engine.pyx", line 593, in nautilus_trader.risk.engine.RiskEngine._check_orders_risk                                                                                                                        
  File "nautilus_trader/risk/engine.pyx", line 666, in nautilus_trader.risk.engine.RiskEngine._check_orders_risk                                                                                                                        
  File "nautilus_trader/model/instruments/base.pyx", line 570, in nautilus_trader.model.instruments.base.Instrument.notional_value                                                                                                      
  File "nautilus_trader/model/objects.pyx", line 946, in nautilus_trader.model.objects.Money.__init__                                                                                                                                   
ValueError: invalid `value` greater than `MONEY_MAX` 9_223_372_036.0, was 881_778_000_000.0

1. Encountering an issue when submitting a market buy order with a quote quantity

•  order: MarketOrder = self.order_factory.market(
            instrument_id=self.instrument_id,
            order_side=OrderSide.BUY,
            quantity=Quantity(6000, 0),
            quote_quantity=True,
        )
  

• (base currency is BTC and quote currency is KRW)
• The error seems to originate from the following line in the risk engine
  • notional = instrument.notional_value(order.quantity, last_px, use_quote_for_inverse=True)
  • https://github.com/nautechsystems/nautilus_trader/blob/develop/nautilus_trader/risk/engine.pyx#L666
• but when order.is_quote_quantity is true
  • the multiplication of order.quantity and last_px results in quote_currency^2, which is incorrect.
• Am I missing something, or is this a bug?

---

2. Why the engine change order's quantity quote to base when order.is_quote_quantity = true?

•  if not instrument.is_inverse and order.is_quote_quantity:
        last_px = self._last_px_for_conversion(order.instrument_id, order.side)
        if last_px is None:
            self._deny_order(order, f"no-price-to-convert-quote-qty {order.instrument_id}")
            return  # Denied
        base_qty = instrument.calculate_base_quantity(order.quantity, last_px)
        self._set_order_base_qty(order, base_qty)
  

• https://github.com/nautechsystems/nautilus_trader/blob/develop/nautilus_trader/execution/engine.pyx#L850
• I noticed that the engine converts a market order's quote quantity into base quantity.
• Many exchanges accept quote quantity directly for market buy orders,
  • so converting it to base quantity feels a bit awkward.
  • This conversion can introduce precision errors due to reliance on last_px.
• What are the advantages of this approach?

[cjdsellers]

Hi @WyldeCat

This is a very delayed response, but thanks for reaching out with the report and your thoughts.

That bug you pointed was fixed aa84613.

In retrospect it wasn't the best design decision to automatically convert orders using quote quantity into base units.
This is now configurable (6f2600e convert_quote_qty_to_base) and also immediately deprecated - will be removed in a future release.