Fix HSI future expiration function (#8534)

* Fix HSI future expiration function - Fix HSI futures expiration function. Adding unit tests reproducing issue * Minor update to sample test data
QuantConnect · Jan 15, 2025 · c35d6ee · c35d6ee
1 parent 1cb8fcf
commit c35d6ee
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Showing 6 changed files with 26 additions and 11 deletions.
diff --git a/Common/Securities/Future/FuturesExpiryFunctions.cs b/Common/Securities/Future/FuturesExpiryFunctions.cs
@@ -912,16 +912,18 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
             // HSI Index Futures:https://www.hkex.com.hk/Products/Listed-Derivatives/Equity-Index/Hang-Seng-Index-(HSI)/Hang-Seng-Index-Futures?sc_lang=en#&product=HSI
             {Symbol.Create(Futures.Indices.HangSeng, SecurityType.Future, Market.HKFE), (time =>
                 {
-                    // Short-dated Futures: Spot, next calendar month & next two calendar quarter months; and Long-dated Futures: the following 5 December months
+                   // Short-dated Futures:
+                   // Spot, next three calendar month & next three calendar quarter months; and
+                   // Long-dated Futures:
+                   // The three months of June and December plus the next three months of December
 
                     // The Business Day immediately preceding the last Business Day of the Contract Month
                     var lastDay = new DateTime(time.Year, time.Month, DateTime.DaysInMonth(time.Year, time.Month));
 
                     var holidays = FuturesExpiryUtilityFunctions.GetHolidays(Market.HKFE, Futures.Indices.HangSeng);
-                    var lastBusinessDay = FuturesExpiryUtilityFunctions.AddBusinessDaysIfHoliday(lastDay, -1, holidays);
-                    var priorBusinessDay = lastBusinessDay.AddDays(-1);
+                    var lastBusinessDay = FuturesExpiryUtilityFunctions.NthLastBusinessDay(time, 1, holidays);
+                    var priorBusinessDay = FuturesExpiryUtilityFunctions.AddBusinessDays(lastBusinessDay, -1, holidays);
 
-                    priorBusinessDay = FuturesExpiryUtilityFunctions.AddBusinessDaysIfHoliday(priorBusinessDay, -1, holidays);
                     return priorBusinessDay.Add(new TimeSpan(16, 0, 0));
                 })
             },

diff --git a/Data/future/hkfe/daily/hsi_quote.zip b/Data/future/hkfe/daily/hsi_quote.zip
diff --git a/Data/future/hkfe/daily/hsi_trade.zip b/Data/future/hkfe/daily/hsi_trade.zip
diff --git a/Data/future/hkfe/hour/hsi_quote.zip b/Data/future/hkfe/hour/hsi_quote.zip
diff --git a/Data/future/hkfe/hour/hsi_trade.zip b/Data/future/hkfe/hour/hsi_trade.zip
diff --git a/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs b/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs
@@ -69,16 +69,29 @@ public void Init()
             }
         }
 
-        [Test]
-        public void HSIFutures()
+        // last day and previous are holidays
+        [TestCase("20250101", "20250127")]
+        // normal case
+        [TestCase("20250201", "20250227")]
+        [TestCase("20250301", "20250328")]
+        [TestCase("20250401", "20250429")]
+        [TestCase("20250501", "20250529")]
+        [TestCase("20250601", "20250627")]
+        [TestCase("20250701", "20250730")]
+        [TestCase("20250801", "20250828")]
+        [TestCase("20250901", "20250929")]
+        [TestCase("20251001", "20251030")]
+        [TestCase("20251101", "20251127")]
+        [TestCase("20251201", "20251230")]
+        public void HSIFutures(string input, string expectedStr)
         {
+            var date = Time.ParseDate(input);
+            var expected = Time.ParseDate(expectedStr);
+
             var canonical = Symbol.Create("HSI", SecurityType.Future, Market.HKFE);
             var expiration = FuturesExpiryFunctions.FuturesExpiryDictionary[canonical];
-
-            // last day and previous are holidays
-            Assert.AreEqual(new DateTime(2025, 1, 27, 16, 0, 0), expiration(new DateTime(2025, 1, 1)));
-            // normal case
-            Assert.AreEqual(new DateTime(2025, 2, 27, 16, 0, 0), expiration(new DateTime(2025, 2, 1)));
+            var result = expiration(date);
+            Assert.AreEqual(expected, result.Date);
         }
 
         [Test]