Add contract activation and expiration handling

cjdsellers · cjdsellers · commit e39591a86645 · 2024-04-24T21:55:58.000+10:00
diff --git a/nautilus_trader/backtest/matching_engine.pyx b/nautilus_trader/backtest/matching_engine.pyx
@@ -31,6 +31,8 @@ from nautilus_trader.common.component cimport TestClock
 from nautilus_trader.common.component cimport is_logging_initialized
 from nautilus_trader.core.correctness cimport Condition
 from nautilus_trader.core.data cimport Data
+from nautilus_trader.core.datetime cimport format_iso8601
+from nautilus_trader.core.datetime cimport unix_nanos_to_dt
 from nautilus_trader.core.rust.model cimport AccountType
 from nautilus_trader.core.rust.model cimport AggressorSide
 from nautilus_trader.core.rust.model cimport BookType
@@ -81,6 +83,7 @@ from nautilus_trader.model.identifiers cimport StrategyId
 from nautilus_trader.model.identifiers cimport TradeId
 from nautilus_trader.model.identifiers cimport TraderId
 from nautilus_trader.model.identifiers cimport VenueOrderId
+from nautilus_trader.model.instruments.base cimport EXPIRING_INSTRUMENT_TYPES
 from nautilus_trader.model.instruments.base cimport Instrument
 from nautilus_trader.model.instruments.equity cimport Equity
 from nautilus_trader.model.objects cimport Money
@@ -675,6 +678,23 @@ 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:
+            if now_ns < self.instrument.activation_ns:
+                self._generate_order_rejected(
+                    order,
+                    f"Contract {self.instrument.id} not yet active, "
+                    f"activation {format_iso8601(unix_nanos_to_dt(self.instrument.activation_ns))}"
+                )
+                return
+            elif now_ns > self.instrument.expiration_ns:
+                self._generate_order_rejected(
+                    order,
+                    f"Contract {self.instrument.id} has expired, "
+                    f"expiration {format_iso8601(unix_nanos_to_dt(self.instrument.expiration_ns))}"
+                )
+                return
+
         cdef:
             Order parent
             Order contingenct_order
diff --git a/nautilus_trader/model/instruments/base.pxd b/nautilus_trader/model/instruments/base.pxd
@@ -27,6 +27,9 @@ from nautilus_trader.model.objects cimport Quantity
 from nautilus_trader.model.tick_scheme.base cimport TickScheme
 
 
+cdef set[InstrumentClass] EXPIRING_INSTRUMENT_TYPES
+
+
 cdef class Instrument(Data):
     cdef TickScheme _tick_scheme
 
diff --git a/nautilus_trader/model/instruments/base.pyx b/nautilus_trader/model/instruments/base.pyx
@@ -37,6 +37,14 @@ from nautilus_trader.model.tick_scheme.base cimport TICK_SCHEMES
 from nautilus_trader.model.tick_scheme.base cimport get_tick_scheme
 
 
+EXPIRING_INSTRUMENT_TYPES = {
+    InstrumentClass.FUTURE,
+    InstrumentClass.FUTURE_SPREAD,
+    InstrumentClass.OPTION,
+    InstrumentClass.OPTION_SPREAD,
+}
+
+
 cdef class Instrument(Data):
     """
     The base class for all instruments.
diff --git a/nautilus_trader/model/orders/base.pxd b/nautilus_trader/model/orders/base.pxd
@@ -50,9 +50,9 @@ from nautilus_trader.model.objects cimport Price
 from nautilus_trader.model.objects cimport Quantity
 
 
-cdef set STOP_ORDER_TYPES
-cdef set LIMIT_ORDER_TYPES
-cdef set LOCAL_ACTIVE_ORDER_STATUS
+cdef set[OrderType] STOP_ORDER_TYPES
+cdef set[OrderType] LIMIT_ORDER_TYPES
+cdef set[OrderStatus] LOCAL_ACTIVE_ORDER_STATUS
 
 
 cdef class Order:
diff --git a/tests/unit_tests/backtest/test_exchange_glbx.py b/tests/unit_tests/backtest/test_exchange_glbx.py
@@ -0,0 +1,230 @@
+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+#  https://nautechsystems.io
+#
+#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+#  You may not use this file except in compliance with the License.
+#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+#
+#  Unless required by applicable law or agreed to in writing, software
+#  distributed under the License is distributed on an "AS IS" BASIS,
+#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#  See the License for the specific language governing permissions and
+#  limitations under the License.
+# -------------------------------------------------------------------------------------------------
+
+from decimal import Decimal
+
+from nautilus_trader.backtest.exchange import SimulatedExchange
+from nautilus_trader.backtest.execution_client import BacktestExecClient
+from nautilus_trader.backtest.models import FillModel
+from nautilus_trader.backtest.models import LatencyModel
+from nautilus_trader.backtest.models import MakerTakerFeeModel
+from nautilus_trader.common.component import MessageBus
+from nautilus_trader.common.component import TestClock
+from nautilus_trader.config import ExecEngineConfig
+from nautilus_trader.config import RiskEngineConfig
+from nautilus_trader.data.engine import DataEngine
+from nautilus_trader.execution.engine import ExecutionEngine
+from nautilus_trader.model.currencies import USD
+from nautilus_trader.model.enums import AccountType
+from nautilus_trader.model.enums import OmsType
+from nautilus_trader.model.enums import OrderSide
+from nautilus_trader.model.enums import OrderStatus
+from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.objects import Money
+from nautilus_trader.model.objects import Price
+from nautilus_trader.model.objects import Quantity
+from nautilus_trader.portfolio.portfolio import Portfolio
+from nautilus_trader.risk.engine import RiskEngine
+from nautilus_trader.test_kit.providers import TestInstrumentProvider
+from nautilus_trader.test_kit.stubs.component import TestComponentStubs
+from nautilus_trader.test_kit.stubs.data import TestDataStubs
+from nautilus_trader.test_kit.stubs.identifiers import TestIdStubs
+from nautilus_trader.trading import Strategy
+
+
+_ESH4_GLBX = TestInstrumentProvider.es_future(2024, 3)
+
+
+class TestSimulatedExchangeGlbx:
+    def setup(self) -> None:
+        # Fixture Setup
+        self.clock = TestClock()
+        self.trader_id = TestIdStubs.trader_id()
+
+        self.msgbus = MessageBus(
+            trader_id=self.trader_id,
+            clock=self.clock,
+        )
+
+        self.cache = TestComponentStubs.cache()
+
+        self.portfolio = Portfolio(
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+        )
+
+        self.data_engine = DataEngine(
+            msgbus=self.msgbus,
+            clock=self.clock,
+            cache=self.cache,
+        )
+
+        self.exec_engine = ExecutionEngine(
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+            config=ExecEngineConfig(debug=True),
+        )
+
+        self.risk_engine = RiskEngine(
+            portfolio=self.portfolio,
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+            config=RiskEngineConfig(debug=True),
+        )
+
+        self.exchange = SimulatedExchange(
+            venue=Venue("GLBX"),
+            oms_type=OmsType.HEDGING,
+            account_type=AccountType.MARGIN,
+            base_currency=USD,
+            starting_balances=[Money(1_000_000, USD)],
+            default_leverage=Decimal(10),
+            leverages={},
+            instruments=[_ESH4_GLBX],
+            modules=[],
+            fill_model=FillModel(),
+            fee_model=MakerTakerFeeModel(),
+            portfolio=self.portfolio,
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+            latency_model=LatencyModel(0),
+        )
+
+        self.exec_client = BacktestExecClient(
+            exchange=self.exchange,
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+        )
+
+        # Wire up components
+        self.exec_engine.register_client(self.exec_client)
+        self.exchange.register_client(self.exec_client)
+
+        self.cache.add_instrument(_ESH4_GLBX)
+
+        # Create mock strategy
+        self.strategy = Strategy()
+        self.strategy.register(
+            trader_id=self.trader_id,
+            portfolio=self.portfolio,
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+        )
+
+        # Start components
+        self.exchange.reset()
+        self.data_engine.start()
+        self.exec_engine.start()
+        self.strategy.start()
+
+    def test_repr(self) -> None:
+        # Arrange, Act, Assert
+        assert (
+            repr(self.exchange)
+            == "SimulatedExchange(id=GLBX, oms_type=HEDGING, account_type=MARGIN)"
+        )
+
+    def test_process_order_within_expiration_submits(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"),
+        )
+
+        # Act
+        self.strategy.submit_order(order)
+        self.exchange.process(one_nano_past_activation)
+
+        # Assert
+        assert self.clock.timestamp_ns() == 1_630_704_600_000_000_001
+        assert order.status == OrderStatus.ACCEPTED
+
+    def test_process_order_prior_to_activation_rejects(self) -> None:
+        # Arrange: Prepare market
+        tick = TestDataStubs.quote_tick(
+            instrument=_ESH4_GLBX,
+            bid_price=4010.00,
+            ask_price=4011.00,
+        )
+        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"),
+        )
+
+        # Act
+        self.strategy.submit_order(order)
+        self.exchange.process(0)
+
+        # Assert
+        assert order.status == OrderStatus.REJECTED
+        assert (
+            order.last_event.reason
+            == "Contract ESH4.GLBX not yet active, activation 2021-09-03T21:30:00.000Z"
+        )
+
+    def test_process_order_after_expiration_rejects(self) -> None:
+        # Arrange: Prepare market
+        one_nano_past_expiration = _ESH4_GLBX.expiration_ns + 1
+
+        tick = TestDataStubs.quote_tick(
+            instrument=_ESH4_GLBX,
+            bid_price=4010.00,
+            ask_price=4011.00,
+            ts_init=one_nano_past_expiration,
+        )
+        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"),
+        )
+
+        # Act
+        self.strategy.submit_order(order)
+        self.exchange.process(one_nano_past_expiration)
+
+        # Assert
+        assert self.clock.timestamp_ns() == 1_710_513_000_000_000_001
+        assert order.status == OrderStatus.REJECTED
+        assert (
+            order.last_event.reason
+            == "Contract ESH4.GLBX has expired, expiration 2024-03-15T14:30:00.000Z"
+        )
