Whether the usdt_future market supports ‘Synthetic Instruments’?

[willjay97]

I want to synthetic two USDT_FUTURE instruments, but I received the below error:

2024-12-20T16:26:24.863434241Z [WARN] ljj-1221.DataEngine: Cannot calculate synthetic instrument BTC-ETH:BINANCE.SYNTH price, no quotes for ETHUSDT-PERP.BINANCE yet
2024-12-20T16:26:24.863712605Z [INFO] ljj-1221.Indicator: on_tick BTCUSDT-PERP.BINANCE,97629.90,97630.00,2.180,1.968,1734711984836000000 BTCUSDT-PERP.BINANCE
2024-12-20T16:26:24.886414992Z [WARN] ljj-1221.DataEngine: Cannot calculate synthetic instrument BTC-ETH:BINANCE.SYNTH price, no quotes for ETHUSDT-PERP.BINANCE yet
2024-12-20T16:26:24.886528700Z [INFO] ljj-1221.Indicator: on_tick BTCUSDT-PERP.BINANCE,97629.90,97630.00,2.180,1.965,1734711984859000064 BTCUSDT-PERP.BINANCE
2024-12-20T16:26:24.896210142Z [ERROR] ljj-1221.DataEngine: RuntimeError('error calculating BTC-ETH:BINANCE.SYNTH `SyntheticInstrument` price from [97629.9, 3398.82]')

I also tried to syntheticate two SPOT instruments, and they were successful.

Below is my code:

For SPOT:

1. subscribe SPOT data_clients and exec_clients
2. follow the docs https://nautilustrader.io/docs/latest/concepts/advanced/synthetic_instruments#:~:text=from%20nautilus_trader.,._synthetic_id)

For USDT-FUTURE:

1. subscribe USDT_FUTURE data_clients and exec_clients
2. the code is below

def on_start(self):
    btcusdt_binance_id = InstrumentId.from_str("BTCUSDT-PERP.BINANCE")
    ethusdt_binance_id = InstrumentId.from_str("ETHUSDT-PERP.BINANCE")
    self.subscribe_quote_ticks(btcusdt_binance_id)
    self.subscribe_quote_ticks(ethusdt_binance_id)
    
    # Define the synthetic instrument
    synthetic = SyntheticInstrument(
        symbol=Symbol("BTC-ETH:BINANCE"),
        price_precision=8,
        components=[btcusdt_binance_id, ethusdt_binance_id],
        formula=f"{btcusdt_binance_id} - {ethusdt_binance_id}",
        ts_event=self.clock.timestamp_ns(),
        ts_init=self.clock.timestamp_ns(),
    )
    
    # Recommended to store the synthetic instruments ID somewhere
    self._synthetic_id = synthetic.id

    # Add the synthetic instrument for use by other components
    self.add_synthetic(synthetic)
    
    # Subscribe to quotes for the synthetic instrument
    self.subscribe_quote_ticks(self._synthetic_id)
    self.log.info(f"🔔 subscribe quote_ticks: {self._synthetic_id}", LogColor.CYAN)