Possibly an issue relating to reconciliation

[pontus-lund]

I have had to resort to turning reconciliation off - I suspect there might be a bug here, because I am pulling down the data from a live account and have not had an opportunity to corrupt it at this point 😉.
I am on 1.169.0.
Bottom line is I have no idea how solve it. Below is the stack trace of the error, I am happy to experiment a bit given some guidance:

Traceback (most recent call last):
  File "/home/pontus/code/trading-nautilus/strats_and_algos/vanilla_perp_futures_mm.py", line 817, in <module>
    node.run()
  File "/home/pontus/code/trading-nautilus/nautilus_trader/live/node.py", line 280, in run
    self.kernel.loop.run_until_complete(self.run_async())
  File "uvloop/loop.pyx", line 1517, in uvloop.loop.Loop.run_until_complete
  File "/home/pontus/code/trading-nautilus/nautilus_trader/live/node.py", line 433, in run_async
    if not await self.kernel.exec_engine.reconcile_state(
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "nautilus_trader/live/execution_engine.pyx", line 431, in reconcile_state
    result = self._reconcile_mass_status(mass_status)
  File "nautilus_trader/live/execution_engine.pyx", line 514, in nautilus_trader.live.execution_engine.LiveExecutionEngine._reconcile_mass_status
    result = self._reconcile_order_report(order_report, trades)
  File "nautilus_trader/live/execution_engine.pyx", line 608, in nautilus_trader.live.execution_engine.LiveExecutionEngine._reconcile_order_report
    fill = self._generate_inferred_fill(order, report, instrument)
  File "nautilus_trader/live/execution_engine.pyx", line 724, in nautilus_trader.live.execution_engine.LiveExecutionEngine._generate_inferred_fill
    cdef Quantity last_qty = instrument.make_qty(report.filled_qty - order.filled_qty)
  File "nautilus_trader/model/instruments/base.pyx", line 492, in nautilus_trader.model.instruments.base.Instrument.make_qty
    return Quantity(float(value), precision=self.size_precision)
  File "nautilus_trader/model/objects.pyx", line 116, in nautilus_trader.model.objects.Quantity.__init__
    raise ValueError(
ValueError: invalid `value` less than `QUANTITY_MIN` 0.0, was -0.007

[rsmb7z]

Hi @pontus-lund
Quantity cannot be less than zero, whereas Data Providers (as in your case as well) set negative volume to indicate it's not available rather setting to zero. You will need to do something like this before feeding to Nautilus:

Quantity(float(max(value,0)), precision=self.size_precision)

[pontus-lund]

I stuck that into the offending line, and it was not the way to go judging from the various problems that followed - is there a spec or similar for what the reconciliation should do? I am happy to try and work it out from there.

[pcgm-team]

I have the same issue. I think the root cause is this error:

[WRN]FILLED -> ACCEPTED, did not apply OrderAccepted(instrument_id=CAT.NYSE, client_order_id=O-20240116-1610-001-000-100, venue_order_id=11446, account_id=ANONYMOUS, ts_event=1705421427303621101)