Fix position closing on contract expiration (#1624)

nautechsystems · May 4, 2024 · 0890280 · 0890280
1 parent fa1a3db
commit 0890280
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Showing 2 changed files with 36 additions and 1 deletion.
diff --git a/nautilus_trader/backtest/matching_engine.pyx b/nautilus_trader/backtest/matching_engine.pyx
@@ -1322,7 +1322,7 @@ cdef class OrderMatchingEngine:
                 self.cancel_order(order)
 
             # Close all open positions
-            for position in self.cache.positions(None, self.instrument.id):
+            for position in self.cache.positions_open(None, self.instrument.id):
                 order = MarketOrder(
                     trader_id=position.trader_id,
                     strategy_id=position.strategy_id,

diff --git a/tests/unit_tests/backtest/test_exchange_glbx.py b/tests/unit_tests/backtest/test_exchange_glbx.py
@@ -287,3 +287,38 @@ def test_process_exchange_past_instrument_expiration_closed_open_position(self)
         assert order.status == OrderStatus.FILLED
         position = self.cache.positions()[0]
         assert position.is_closed
+
+    def test_process_exchange_after_expiration_not_raise_exception_when_no_open_position(
+        self,
+    ) -> None:
+        # Arrange: Prepare market
+        tick = TestDataStubs.quote_tick(
+            instrument=_ESH4_GLBX,
+            bid_price=4010.00,
+            ask_price=4011.00,
+            ts_init=_ESH4_GLBX.expiration_ns,
+        )
+        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(_ESH4_GLBX.expiration_ns)
+        self.strategy.close_all_positions(instrument_id=_ESH4_GLBX.id)  # <- Close position for test
+        self.exchange.process(_ESH4_GLBX.expiration_ns)
+
+        # Assert test prerequisite
+        assert self.cache.positions_open_count() == 0
+        assert self.cache.positions_total_count() == 1
+
+        # Act
+        one_nano_past_expiration = _ESH4_GLBX.expiration_ns + 1
+        self.exchange.process(one_nano_past_expiration)
+        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