Add futures expiration schedule

crates/fidc-core/src/engine.rs

@@ -1,4 +1,4 @@
-use std::collections::BTreeSet;
+use std::collections::{BTreeMap, BTreeSet};
 
 use chrono::NaiveDate;
 use serde::Serialize;
@@ -104,6 +104,7 @@ pub struct BacktestEngine<S, C, R> {
     subscriptions: BTreeSet<String>,
     futures_account: Option<FuturesAccountState>,
     next_futures_order_id: u64,
+    futures_expirations: BTreeMap<NaiveDate, BTreeMap<String, f64>>,
 }
 
 impl<S, C, R> BacktestEngine<S, C, R> {
@@ -124,6 +125,7 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             subscriptions: BTreeSet::new(),
             futures_account: None,
             next_futures_order_id: 1,
+            futures_expirations: BTreeMap::new(),
         }
     }
 
@@ -149,6 +151,27 @@ impl<S, C, R> BacktestEngine<S, C, R> {
         self.futures_account.as_mut()
     }
 
+    pub fn with_futures_expiration(
+        mut self,
+        date: NaiveDate,
+        symbol: impl Into<String>,
+        settlement_price: f64,
+    ) -> Self {
+        self.futures_expirations
+            .entry(date)
+            .or_default()
+            .insert(symbol.into(), settlement_price);
+        self
+    }
+
+    pub fn with_futures_expirations(
+        mut self,
+        expirations: BTreeMap<NaiveDate, BTreeMap<String, f64>>,
+    ) -> Self {
+        self.futures_expirations = expirations;
+        self
+    }
+
     pub fn process_event_bus_mut(&mut self) -> &mut ProcessEventBus {
         &mut self.process_event_bus
     }
@@ -1412,6 +1435,8 @@ where
                 &mut settlement_decision,
                 &mut directive_report,
             )?;
+            let futures_expiration_report = self.settle_futures_expirations(execution_date);
+            merge_broker_report(&mut directive_report, futures_expiration_report);
             let dynamic_universe_snapshot = self.dynamic_universe.clone();
             let subscriptions_snapshot = self.subscriptions.clone();
             let management_fee_report = self.apply_management_fee(
@@ -1841,6 +1866,26 @@ where
         report
     }
 
+    fn settle_futures_expirations(&mut self, date: NaiveDate) -> BrokerExecutionReport {
+        let mut report = BrokerExecutionReport::default();
+        let Some(expirations) = self.futures_expirations.remove(&date) else {
+            return report;
+        };
+        let Some(account) = self.futures_account.as_mut() else {
+            report.diagnostics.push(format!(
+                "futures_expiration_skipped date={date} reason=no_future_account count={}",
+                expirations.len()
+            ));
+            return report;
+        };
+        for (symbol, settlement_price) in expirations {
+            let futures_report =
+                account.expire_contract(date, &symbol, settlement_price, "data_driven_expiration");
+            merge_futures_report(&mut report, futures_report);
+        }
+        report
+    }
+
     fn apply_management_fee(
         &mut self,
         execution_date: NaiveDate,