Add contract expiration order and position closing

Author: cjdsellers

nautilus_trader/backtest/matching_engine.pxd

@@ -79,6 +79,7 @@ cdef class OrderMatchingEngine:
     cdef FillModel _fill_model
     cdef FeeModel _fee_model
     # cdef object _auction_match_algo
+    cdef bint _instrument_has_expiration
     cdef bint _bar_execution
     cdef bint _reject_stop_orders
     cdef bint _support_gtd_orders

nautilus_trader/backtest/matching_engine.pyx

@@ -185,6 +185,7 @@ cdef class OrderMatchingEngine:
         self.account_type = account_type
         self.market_status = MarketStatus.OPEN
 
+        self._instrument_has_expiration = instrument.instrument_class in EXPIRING_INSTRUMENT_TYPES
         self._bar_execution = bar_execution
         self._reject_stop_orders = reject_stop_orders
         self._support_gtd_orders = support_gtd_orders
@@ -678,8 +679,9 @@ cdef class OrderMatchingEngine:
         # Index identifiers
         self._account_ids[order.trader_id] = account_id
 
-        cdef uint64_t now_ns = self._clock.timestamp_ns()
-        if self.instrument.instrument_class in EXPIRING_INSTRUMENT_TYPES:
+        cdef uint64_t
+        if self._instrument_has_expiration:
+            now_ns = self._clock.timestamp_ns()
             if now_ns < self.instrument.activation_ns:
                 self._generate_order_rejected(
                     order,
@@ -1311,6 +1313,31 @@ cdef class OrderMatchingEngine:
         self._target_last = 0
         self._has_targets = False
 
+        # Instrument expiration
+        if self._instrument_has_expiration and timestamp_ns >= self.instrument.expiration_ns:
+            self._log.info(f"{self.instrument.id} reached expiration")
+
+            # Cancel all open orders
+            for order in self.get_open_orders():
+                self.cancel_order(order)
+
+            # Close all open positions
+            for position in self.cache.positions(None, self.instrument.id):
+                order = MarketOrder(
+                    trader_id=position.trader_id,
+                    strategy_id=position.strategy_id,
+                    instrument_id=position.instrument_id,
+                    client_order_id=ClientOrderId(str(uuid.uuid4())),
+                    order_side=Order.closing_side_c(position.side),
+                    quantity=position.quantity,
+                    init_id=UUID4(),
+                    ts_init=self._clock.timestamp_ns(),
+                    reduce_only=True,
+                    tags=[f"EXPIRATION_{self.venue}_CLOSE"],
+                )
+                self.cache.add_order(order, position_id=position.id)
+                self.fill_market_order(order)
+
     cpdef list determine_limit_price_and_volume(self, Order order):
         """
         Return the projected fills for the given *limit* order filling passively

tests/conftest.py

@@ -35,7 +35,7 @@ def bypass_logging() -> None:
 
     """
     init_logging(
-        level_stdout=LogLevel.WARNING,
+        level_stdout=LogLevel.DEBUG,
         bypass=True,  # Set this to False to see logging in tests
     )
 

tests/unit_tests/backtest/test_exchange_glbx.py

@@ -228,3 +228,62 @@ def test_process_order_after_expiration_rejects(self) -> None:
             order.last_event.reason
             == "Contract ESH4.GLBX has expired, expiration 2024-03-15T14:30:00.000Z"
         )
+
+    def test_process_exchange_past_instrument_expiration_cancels_open_order(self) -> None:
+        # Arrange: Prepare market
+        one_nano_past_activation = _ESH4_GLBX.activation_ns + 1
+        tick = TestDataStubs.quote_tick(
+            instrument=_ESH4_GLBX,
+            bid_price=4010.00,
+            ask_price=4011.00,
+            ts_init=one_nano_past_activation,
+        )
+        self.data_engine.process(tick)
+        self.exchange.process_quote_tick(tick)
+
+        order = self.strategy.order_factory.limit(
+            _ESH4_GLBX.id,
+            OrderSide.BUY,
+            Quantity.from_int(10),
+            Price.from_str("4000.00"),
+        )
+
+        self.strategy.submit_order(order)
+        self.exchange.process(one_nano_past_activation)
+
+        # Act
+        self.exchange.get_matching_engine(_ESH4_GLBX.id).iterate(_ESH4_GLBX.expiration_ns)
+
+        # Assert
+        assert self.clock.timestamp_ns() == _ESH4_GLBX.expiration_ns == 1_710_513_000_000_000_000
+        assert order.status == OrderStatus.CANCELED
+
+    def test_process_exchange_past_instrument_expiration_closed_open_position(self) -> None:
+        # Arrange: Prepare market
+        one_nano_past_activation = _ESH4_GLBX.activation_ns + 1
+        tick = TestDataStubs.quote_tick(
+            instrument=_ESH4_GLBX,
+            bid_price=4010.00,
+            ask_price=4011.00,
+            ts_init=one_nano_past_activation,
+        )
+        self.data_engine.process(tick)
+        self.exchange.process_quote_tick(tick)
+
+        order = self.strategy.order_factory.market(
+            _ESH4_GLBX.id,
+            OrderSide.BUY,
+            Quantity.from_int(10),
+        )
+
+        self.strategy.submit_order(order)
+        self.exchange.process(one_nano_past_activation)
+
+        # Act
+        self.exchange.get_matching_engine(_ESH4_GLBX.id).iterate(_ESH4_GLBX.expiration_ns)
+
+        # Assert
+        assert self.clock.timestamp_ns() == _ESH4_GLBX.expiration_ns == 1_710_513_000_000_000_000
+        assert order.status == OrderStatus.FILLED
+        position = self.cache.positions()[0]
+        assert position.is_closed