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?