Seeking Guidance on Integrating Custom Data Provider and Handling Unrecognized Data Type Error

[angwong]

Dear Nautilus Trader Team and Community,

Thank you for the incredible work on the Nautilus Trader and the ongoing support from the community. It’s a fantastic tool!

I’m currently working on integrating a new data provider into the system, following the Developer Guide/Adapters and the example code in bybit_request_custom_endpoint.py. I’ve subclassed LiveDataClient, implemented the _request() method, and created a custom data type by subclassing Data.

my custom data:

However, when I attempt to request the custom data in the on_start() method of my strategy, I encounter the following error:

Code:

def on_start(self):
    data_type = DataType(
        type=TimestampValueData,
        metadata={},
    )
    self.request_data(data_type=data_type, client_id=XXXXX)

ERROR message:

2025-04-22T16:53:49.385844000Z [ERROR] TESTER-001.DataEngine: Cannot handle request: unrecognized data type TimestampValueData, RequestData(data_type=TimestampValueData, params={'update_catalog_mode': None}, start=None, end=None, limit=0, client_id=XXXXX, venue=None)

It appears that the DataEngine is unable to route the request to the DataClient, resulting in an error from nautilus_trader/data/engine.pyx:

cpdef void _date_range_client_request(self, DataClient client, RequestData request):
    if client is None:
        self._log_request_error(request)
        return # No client to handle request

    if isinstance(request, RequestBars):
        client.request_bars(request)
    elif isinstance(request, RequestQuoteTicks):
        client.request_quote_ticks(request)
    elif isinstance(request, RequestTradeTicks):
        client.request_trade_ticks(request)
    else:
        try:
            client.request(request)
        except:
            **self._log.error(f"Cannot handle request: unrecognized data type {request.data_type}, {request}")**

I have a couple of questions to better understand the issue:

1. Is it possible that self.request_data() can be used with a custom data type, or am I missing a step, such as registering the custom data type before making the request? If so, how can I properly register it?

2. Is there a more suitable approach to integrate a new data provider that offers multiple REST HTTP endpoints, allowing me to call these endpoints from within the strategy?

Any guidance or suggestions would be greatly appreciated. Thank you for your time and support!