Instrument Expiry

Overview

The engine supports both immediate and scheduled expiry of instruments, automatically closing out positions and canceling active orders when the expiry time is reached. This mechanism supports both normal settlement of term futures, and early settlement of perpetual swaps and term futures.

What Happens at Expiry

At expiry:

• Every order on the instrument receives rejection reason InstrumentExpired. Any positions on the instrument are closed at the expiry price.
• The instrument state changes from Live to Expired. The expiry time is stored and returned on future queries.

Scheduled expiry

If an expiryTime is specified when expiring an instrument, the engine will wait until that time to perform the expiry.

• The instrument's lifecycle state remains Live until the expiry time is reached
• All queries and subscriptions return the expiry time that was set, so clients know when the instrument will expire
• The engine will perform expiry once the expiry time is reached

If an instrument already has a pending scheduled expiry and expiry is triggered again:

• If expiryTime is specified, the expiry time is updated to the new time
• If expiryTime is not specified, the instrument is expired immediately

Expiry price

If no price is specified on an instrument expiry request, the engine will use the current price of the instrument (either the mark price, or the last traded price, depending on the instrument's MarkMethod). The exchange is checked for mark price cap before expiry occurs:

expiryPrice	expiryTime	Mark price cap on any instrument	Impact
Specified	Not set	(any)	Instrument is expired now
Not specified	Not set	Not applied	Instrument is expired now
Not specified	Not set	Applied	Rejected (violates mark price cap)
Not specified	Set	Not applied	Instrument is expired at the expiry time
Not specified	Set	Applied	Instrument expiry is delayed until mark price is uncapped

Validation

• Attempting to expire an expired instrument is rejected
• Attempting to schedule expiry in the past is rejected (expiry does not happen immediately)
• Attempting to schedule expiry with a fixed price is rejected