Pull Request

NautilusTrader prioritizes correctness and reliability, please follow existing patterns for validation and testing.

• I have reviewed the CONTRIBUTING.md and followed the established practices

Summary

Summary

This PR introduces a refined market exit process for strategies in nautilus_trader. It provides a mechanism to gracefully stop a strategy by cancelling all open orders and closing all open positions, waiting for all in-flight actions to resolve before finalising the stop.

Changes

• StrategyConfig: Added inflight_check_interval_ms (defaulting to 100ms) to control the frequency of checks during the market exit process.

• Strategy:

  • Added market_exit() method which initiates the cancellation of all orders and closing of all positions.
  • Added on_market_exit() and after_market_exit() lifecycle hooks for custom logic.
  • Implemented _check_market_exit() which uses a timer to iteratively ensure all orders are resolved and positions are closed before stopping the strategy.

• Controller & Trader: Added support for the MarketExitStrategy command and corresponding methods to trigger the exit process from the controller/trader levels.

• MarketExitStrategy: New command message to trigger the exit process.

• Tests: Added comprehensive unit tests in test_strategy.py covering standard market exit and market exit with open positions.

Implementation Details

The market exit process is iterative. Upon initiation, it immediately attempts to cancel all open orders and close all open positions for all instruments the strategy is involved with. A periodic timer is then started to monitor the state. The strategy only transitions to the STOPPED state once the cache reports no open or in-flight orders, and no open positions. If open positions remain without active orders, the process will re-attempt to close them.

Related Issues/PRs

#2876

Type of change

• Bug fix (non-breaking)
• New feature (non-breaking)
• Improvement (non-breaking)
• Breaking change (impacts existing behavior)
• Documentation update
• Maintenance / chore

Breaking change details (if applicable)

Documentation

• Documentation changes follow the style guide (docs/developer_guide/docs.md)

Release notes

• I added a concise entry to RELEASES.md that follows the existing conventions (when applicable)

Testing

Ensure new or changed logic is covered by tests.

• Affected code paths are already covered by the test suite
• I added/updated tests to cover new or changed logic