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Fix some incorrect future expirations #9184

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Merged
Martin-Molinero merged 1 commit into from
Jan 2, 2026
+22 −8
Merged

Fix some incorrect future expirations #9184

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16 changes: 8 additions & 8 deletions Common/Securities/Future/FuturesExpiryFunctions.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -158,7 +158,7 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
}

// Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME));
return thirdFriday.Add(new TimeSpan(13,30,0));
})
},
Expand Down Expand Up @@ -217,7 +217,7 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
}

// Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.NASDAQ100EMini, SecurityType.Future, Market.CME));
return thirdFriday.Add(new TimeSpan(13,30,0));
})
},
Expand All @@ -231,7 +231,7 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
}

// Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.Dow30EMini, SecurityType.Future, Market.CBOT));
return thirdFriday.Add(new TimeSpan(13,30,0));
})
},
Expand All @@ -245,7 +245,7 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
}

// Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.Russell2000EMini, SecurityType.Future, Market.CME));
return thirdFriday.Add(new TimeSpan (13,30,0));
})
},
Expand Down Expand Up @@ -3208,7 +3208,7 @@ Dec listed in June
}

// Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month.
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroSP500EMini, SecurityType.Future, Market.CME));
return thirdFriday.Add(new TimeSpan(13,30,0));
})
},
Expand All @@ -3222,7 +3222,7 @@ Dec listed in June
}

// Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month.
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroNASDAQ100EMini, SecurityType.Future, Market.CME));
return thirdFriday.Add(new TimeSpan(13,30,0));
})
},
Expand All @@ -3236,7 +3236,7 @@ Dec listed in June
}

// Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month.
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroRussell2000EMini, SecurityType.Future, Market.CME));
return thirdFriday.Add(new TimeSpan(13,30,0));
})
},
Expand All @@ -3250,7 +3250,7 @@ Dec listed in June
}

// Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time);
var thirdFriday = FuturesExpiryUtilityFunctions.ThirdFriday(time, Symbol.Create(Futures.Indices.MicroDow30EMini, SecurityType.Future, Market.CBOT));
return thirdFriday.Add(new TimeSpan(13,30,0));
})
},
Expand Down
14 changes: 14 additions & 0 deletions Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -319,6 +319,20 @@ public void BankHolidaysAreRespected()
Assert.AreEqual(new DateTime(2025, 2, 14), expiryDate.Date);
}

[TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, "20260302", "20260320")]
[TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, "20260602", "20260618")]
public void ExpirationUsesHolidays(string symbol, string dateStr, string expectedDate)
{
var date = Time.ParseDate(dateStr);
var expected = Time.ParseDate(expectedDate);

var futureSymbol = GetFutureSymbol(symbol, date);
var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));

var actual = func(futureSymbol.ID.Date);
Assert.AreEqual(expected, actual.Date, $"Failed for symbol: {symbol}. Date {dateStr}");
}

// 25th is a sunday
[TestCase(QuantConnect.Securities.Futures.Energy.MicroCrudeOilWTI, "20221001", "20220919")]
[TestCase(QuantConnect.Securities.Futures.Energy.CrudeOilWTI, "20221001", "20220920")]
Expand Down