Add futures expiration settlement

crates/fidc-core/src/futures.rs

@@ -679,6 +679,61 @@ impl FuturesAccountState {
         report
     }
 
+    pub fn expire_contract(
+        &mut self,
+        date: NaiveDate,
+        symbol: &str,
+        settlement_price: f64,
+        reason: impl Into<String>,
+    ) -> FuturesExecutionReport {
+        let reason = reason.into();
+        let keys = self
+            .positions
+            .keys()
+            .filter(|(position_symbol, _)| position_symbol == symbol)
+            .cloned()
+            .collect::<Vec<_>>();
+        let mut combined = FuturesExecutionReport::default();
+        for (position_symbol, direction) in keys {
+            let Some(position) = self.position(&position_symbol, direction) else {
+                continue;
+            };
+            if position.quantity == 0 {
+                continue;
+            }
+            let price = if settlement_price.is_finite() && settlement_price > 0.0 {
+                settlement_price
+            } else {
+                position.last_price
+            };
+            let intent = FuturesOrderIntent::close(
+                position_symbol.clone(),
+                direction,
+                FuturesPositionEffect::Close,
+                FuturesContractSpec::new(
+                    position.contract_multiplier,
+                    position.margin_rate,
+                    position.margin_rate,
+                ),
+                position.quantity,
+                price,
+                0.0,
+                format!("{reason}: futures_expiration_settlement"),
+            );
+            let report = self.execute_order(date, None, intent);
+            combined.order_events.extend(report.order_events);
+            combined.fill_events.extend(report.fill_events);
+            combined.position_events.extend(report.position_events);
+            combined.account_events.extend(report.account_events);
+            combined.diagnostics.extend(report.diagnostics);
+        }
+        combined.diagnostics.push(format!(
+            "futures_expiration_settlement symbol={symbol} closed_orders={}",
+            combined.order_events.len()
+        ));
+        combined
+    }
+
     pub fn mark_price(&mut self, symbol: &str, direction: FuturesDirection, price: f64) {
         if let Some(position) = self.positions.get_mut(&(symbol.to_string(), direction)) {
             position.mark_price(price);

crates/fidc-core/tests/futures_account.rs

@@ -161,3 +161,30 @@ fn futures_open_order_rejects_when_margin_is_insufficient() {
     assert!(account.position("IF2501", FuturesDirection::Long).is_none());
     assert!((account.total_cash() - 10_000.0).abs() < 1e-6);
 }
+
+#[test]
+fn futures_expiration_settlement_closes_all_contract_directions() {
+    let spec = FuturesContractSpec::new(300.0, 0.12, 0.14);
+    let mut account = FuturesAccountState::new(1_000_000.0);
+
+    account.open("IF2501", FuturesDirection::Long, spec, 2, 4000.0, 0.0);
+    account.open("IF2501", FuturesDirection::Short, spec, 1, 4000.0, 0.0);
+
+    let report = account.expire_contract(d(2025, 1, 17), "IF2501", 4010.0, "contract expired");
+
+    assert_eq!(report.order_events.len(), 2);
+    assert_eq!(report.fill_events.len(), 2);
+    assert!(
+        report
+            .order_events
+            .iter()
+            .all(|event| event.status == OrderStatus::Filled)
+    );
+    assert!(account.position("IF2501", FuturesDirection::Long).is_none());
+    assert!(
+        account
+            .position("IF2501", FuturesDirection::Short)
+            .is_none()
+    );
+    assert!((account.total_cash() - 1_003_000.0).abs() < 1e-6);
+}

docs/rqalpha-gap-roadmap.md

@@ -94,7 +94,9 @@ current alignment pass.
       `accounts`)
 - [x] wire futures order intents into the generic `BacktestEngine` execution
       loop for account-level open/close execution
-- [ ] futures intraday matching integration and expiration settlement
+- [x] standalone futures expiration settlement closes all long/short contract
+      positions at settlement price
+- [ ] futures intraday matching integration and data-driven expiration schedule
 
 ## Execution Order
 
@@ -115,4 +117,4 @@ account runtime view, core Portfolio fields, deposit/withdraw, financing
 liability APIs, management-fee callbacks, stock account accessors, and the
 standalone futures account/order execution model plus generic engine runtime
 account visibility and account-level futures order intents; next gap is adding
-futures intraday matching and expiration settlement semantics.
+futures intraday matching and a data-driven expiration schedule.