Fix HSI future expirations (#8505)

QuantConnect · Jan 6, 2025 · f17726b · f17726b
1 parent 7ee297a
commit f17726b
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Showing 2 changed files with 16 additions and 5 deletions.
diff --git a/Common/Securities/Future/FuturesExpiryFunctions.cs b/Common/Securities/Future/FuturesExpiryFunctions.cs
@@ -916,13 +916,12 @@ public static Func<DateTime, DateTime> FuturesExpiryFunction(Symbol symbol)
 
                     // 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 priorBusinessDay = lastDay.AddDays(-1);
 
                     var holidays = FuturesExpiryUtilityFunctions.GetHolidays(Market.HKFE, Futures.Indices.HangSeng);
-                    while (holidays.Contains(priorBusinessDay) || !priorBusinessDay.IsCommonBusinessDay())
-                    {
-                        priorBusinessDay = priorBusinessDay.AddDays(-1);
-                    }
+                    var lastBusinessDay = FuturesExpiryUtilityFunctions.AddBusinessDaysIfHoliday(lastDay, -1, holidays);
+                    var priorBusinessDay = lastBusinessDay.AddDays(-1);
+
+                    priorBusinessDay = FuturesExpiryUtilityFunctions.AddBusinessDaysIfHoliday(priorBusinessDay, -1, holidays);
                     return priorBusinessDay.Add(new TimeSpan(16, 0, 0));
                 })
             },

diff --git a/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs b/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs
@@ -69,6 +69,18 @@ public void Init()
             }
         }
 
+        [Test]
+        public void HSIFutures()
+        {
+            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)));
+        }
+
         [Test]
         public void FuturesExpiryFunction_MissingSymbol_ShouldThrowArgumentException()
         {