Skip to content

Refine exit process for Strategy #3425

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
faysou wants to merge 2 commits into
base: develop
Choose a base branch
from
+324 −1
Open

Refine exit process for Strategy #3425

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
1b6a416
Refine exit process for Strategy
faysou Jan 16, 2026
931dc0f
Refine previous commit
faysou Jan 19, 2026
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
9 changes: 9 additions & 0 deletions nautilus_trader/trading/config.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -62,6 +62,13 @@ class StrategyConfig(NautilusConfig, kw_only=True, frozen=True):
If commands should be logged by the strategy.
log_rejected_due_post_only_as_warning : bool, default True
If order rejected events where `due_post_only` is True should be logged as warnings.
inflight_check_interval_ms : int, default 100
The interval in milliseconds to check for in-flight orders and open positions
during a market exit.
market_exit_max_attempts : int, default 100
The maximum number of attempts to wait for orders and positions to close
during a market exit before forcing a stop. Defaults to 100 attempts
(10 seconds at 100ms intervals).

"""

Expand All @@ -76,6 +83,8 @@ class StrategyConfig(NautilusConfig, kw_only=True, frozen=True):
log_events: bool = True
log_commands: bool = True
log_rejected_due_post_only_as_warning: bool = True
inflight_check_interval_ms: int = 100
market_exit_max_attempts: int = 100


class ImportableStrategyConfig(NautilusConfig, frozen=True):
Expand Down
41 changes: 41 additions & 0 deletions nautilus_trader/trading/controller.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -29,6 +29,7 @@
from nautilus_trader.trading.config import StrategyFactory
from nautilus_trader.trading.messages import CreateActor
from nautilus_trader.trading.messages import CreateStrategy
from nautilus_trader.trading.messages import MarketExitStrategy
from nautilus_trader.trading.messages import RemoveActor
from nautilus_trader.trading.messages import RemoveStrategy
from nautilus_trader.trading.messages import StartActor
Expand Down Expand Up @@ -93,6 +94,8 @@ def execute(self, command: Command) -> None:
self.start_strategy_from_id(command.strategy_id)
elif isinstance(command, StopStrategy):
self.stop_strategy_from_id(command.strategy_id)
elif isinstance(command, MarketExitStrategy):
self.market_exit_strategy_from_id(command.strategy_id)
elif isinstance(command, RemoveStrategy):
self.remove_strategy_from_id(command.strategy_id)

Expand Down Expand Up @@ -210,6 +213,25 @@ def stop_strategy(self, strategy: Strategy) -> None:
"""
self._trader.stop_strategy(strategy.id)

def market_exit_strategy(self, strategy: Strategy) -> None:
"""
Market exit the given `strategy`.

Will log a warning if the strategy is not ``RUNNING``.

Parameters
----------
strategy : Strategy
The strategy to market exit.

Raises
------
ValueError
If `strategy` is not already registered with the trader.

"""
self._trader.market_exit_strategy(strategy.id)

def remove_actor(self, actor: Actor) -> None:
"""
Remove the given `actor`.
Expand Down Expand Up @@ -383,6 +405,25 @@ def stop_strategy_from_id(self, strategy_id: StrategyId) -> None:
"""
self._trader.stop_strategy(strategy_id)

def market_exit_strategy_from_id(self, strategy_id: StrategyId) -> None:
"""
Market exit the strategy corresponding to `strategy_id`.

Will log a warning if the strategy is not ``RUNNING``.

Parameters
----------
strategy_id : StrategyId
The ID of the strategy to market exit.

Raises
------
ValueError
If `strategy` is not already registered with the trader.

"""
self._trader.market_exit_strategy(strategy_id)

def remove_actor_from_id(self, actor_id: ComponentId) -> None:
"""
Remove the actor corresponding to `actor_id`.
Expand Down
26 changes: 26 additions & 0 deletions nautilus_trader/trading/messages.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -235,3 +235,29 @@ def __init__(
super().__init__(command_id or UUID4(), ts_init)

self.strategy_id = strategy_id


class MarketExitStrategy(Command):
"""
Represents a command to exit the market for a strategy.

Parameters
----------
strategy_id : StrategyId
The ID of the strategy to exit the market for.
command_id : UUID4
The command ID.
ts_init : int
UNIX timestamp (nanoseconds) when the object was initialized.

"""

def __init__(
self,
strategy_id: StrategyId,
command_id: UUID4 | None = None,
ts_init: int = 0,
) -> None:
super().__init__(command_id or UUID4(), ts_init)

self.strategy_id = strategy_id
6 changes: 6 additions & 0 deletions nautilus_trader/trading/strategy.pxd
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -67,6 +67,8 @@ cdef class Strategy(Actor):
cdef bint _log_events
cdef bint _log_commands
cdef bint _log_rejected_due_post_only_as_warning
cdef bint _is_exiting
cdef int _market_exit_attempts

cdef readonly OrderFactory order_factory
"""The order factory for the strategy.\n\n:returns: `OrderFactory`"""
Expand Down Expand Up @@ -97,6 +99,9 @@ cdef class Strategy(Actor):
)
cpdef void change_id(self, StrategyId strategy_id)
cpdef void change_order_id_tag(self, str order_id_tag)
cpdef void on_market_exit(self)
cpdef void after_market_exit(self)
cpdef void market_exit(self)

# -- ABSTRACT METHODS -----------------------------------------------------------------------------

Expand Down Expand Up @@ -170,6 +175,7 @@ cdef class Strategy(Actor):
cdef str _get_gtd_expiry_timer_name(self, ClientOrderId client_order_id)
cdef void _set_gtd_expiry(self, Order order)
cpdef void _expire_gtd_order(self, TimeEvent event)
cpdef void _check_market_exit(self, TimeEvent event)

# -- EVENTS ---------------------------------------------------------------------------------------

Expand Down
132 changes: 131 additions & 1 deletion nautilus_trader/trading/strategy.pyx
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -25,8 +25,11 @@ attempts to operate without a managing `Trader` instance.

"""

import pandas as pd

from nautilus_trader.trading.config import ImportableStrategyConfig
from nautilus_trader.trading.config import StrategyConfig
from nautilus_trader.trading.messages import MarketExitStrategy

from libc.stdint cimport uint64_t

Expand Down Expand Up @@ -163,6 +166,8 @@ cdef class Strategy(Actor):
self.external_order_claims = self._parse_external_order_claims(config.external_order_claims)
self.manage_contingent_orders = config.manage_contingent_orders
self.manage_gtd_expiry = config.manage_gtd_expiry
self._is_exiting = False
self._market_exit_attempts = 0

# Public components
self.clock = self._clock
Expand Down Expand Up @@ -243,6 +248,29 @@ cdef class Strategy(Actor):
"occur here, such as resetting indicators and other state"
)

cpdef void on_market_exit(self):
"""
Actions to be performed when a market exit has been initiated.

Warnings
--------
Override this method in a subclass to implement custom market exit logic.

"""
# Optionally override in subclass

cpdef void after_market_exit(self):
"""
Actions to be performed after a market exit has been completed.

Warnings
--------
Override this method in a subclass to implement custom logic after
market exit.

"""
# Optionally override in subclass

# -- REGISTRATION ---------------------------------------------------------------------------------

cpdef void register(
Expand Down Expand Up @@ -404,6 +432,10 @@ cdef class Strategy(Actor):
if self._manager:
self._manager.reset()

# Reset market exit state
self._is_exiting = False
self._market_exit_attempts = 0

self.on_reset()

# -- ABSTRACT METHODS -----------------------------------------------------------------------------
Expand Down Expand Up @@ -1664,7 +1696,105 @@ cdef class Strategy(Actor):
self._log.info(f"Expiring GTD order {order.client_order_id}", LogColor.BLUE)
self.cancel_order(order)

# -- HANDLERS -------------------------------------------------------------------------------------
cpdef void market_exit(self):
"""
Initiate an iterative market exit for the strategy.

Will cancel all open orders and close all open positions, and wait for
all in-flight orders to resolve and positions to close before stopping
the strategy.
"""
if self._is_exiting:
return

self._is_exiting = True
self._market_exit_attempts = 0

self._log.info("Initiating market exit...", LogColor.BLUE)
self.on_market_exit()

# Get all instruments the strategy has open orders or positions for
cdef list open_orders = self.cache.orders_open(None, None, self.id)
cdef list open_positions = self.cache.positions_open(None, None, self.id)

cdef set instruments = set()
cdef Order order
for order in open_orders:
instruments.add(order.instrument_id)

cdef Position position
for position in open_positions:
instruments.add(position.instrument_id)

cdef InstrumentId instrument_id
for instrument_id in instruments:
self.cancel_all_orders(instrument_id)
self.close_all_positions(instrument_id)

# Start iterative check
self._log.info(f"Setting market exit timer for {self.id}")
self._clock.set_timer(
f"MARKET-EXIT-CHECK:{self.id}",
pd.Timedelta(milliseconds=self.config.inflight_check_interval_ms),
None,
None,
self._check_market_exit,
True,
False,
)

cpdef void _check_market_exit(self, TimeEvent event):
if self.state != ComponentState.RUNNING:
return

self._market_exit_attempts += 1
self._log.debug(f"Market exit check triggered: {event.name} (attempt {self._market_exit_attempts})")

# Check if max attempts reached
if self._market_exit_attempts >= self.config.market_exit_max_attempts:
timer_name = f"MARKET-EXIT-CHECK:{self.id}"
if timer_name in self._clock.timer_names:
self._clock.cancel_timer(name=timer_name)

self._log.warning(
f"Market exit max attempts ({self.config.market_exit_max_attempts}) reached. "
f"Forcing stop. Open orders: {len(self.cache.orders_open(None, None, self.id))}, "
f"inflight orders: {len(self.cache.orders_inflight(None, None, self.id))}, "
f"open positions: {len(self.cache.positions_open(None, None, self.id))}",
LogColor.YELLOW
)

# Reset before stopping
self._is_exiting = False
self._market_exit_attempts = 0
self.after_market_exit()
self.stop()
return

cdef list open_orders = self.cache.orders_open(None, None, self.id)
cdef list inflight_orders = self.cache.orders_inflight(None, None, self.id)

if open_orders or inflight_orders:
return

cdef list open_positions = self.cache.positions_open(None, None, self.id)
if open_positions:
# If there are open positions but no orders, we should re-send close orders
for position in open_positions:
self.close_position(position)

return

# All clear
timer_name = f"MARKET-EXIT-CHECK:{self.id}"
if timer_name in self._clock.timer_names:
self._clock.cancel_timer(name=timer_name)

# Reset before stopping
self._is_exiting = False
self._market_exit_attempts = 0
self.after_market_exit()
self.stop()

cpdef void handle_event(self, Event event):
"""
Expand Down
28 changes: 28 additions & 0 deletions nautilus_trader/trading/trader.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -635,6 +635,34 @@ def stop_strategy(self, strategy_id: StrategyId) -> None:

strategy.stop()

def market_exit_strategy(self, strategy_id: StrategyId) -> None:
"""
Market exit the strategy with the given `strategy_id`.

Parameters
----------
strategy_id : StrategyId
The strategy ID to market exit.

Raises
------
ValueError
If a strategy with the given `strategy_id` is not found.

"""
PyCondition.not_none(strategy_id, "strategy_id")

strategy = self._strategies.get(strategy_id)

if strategy is None:
raise ValueError(f"Cannot market exit strategy, {strategy_id} not found.")

if not strategy.is_running:
self._log.warning(f"Strategy {strategy_id} not running")
return

strategy.market_exit()

def remove_actor(self, actor_id: ComponentId) -> None:
"""
Remove the actor with the given `actor_id`.
Expand Down
Loading
Loading