feat: add decision-scoped buy denials to broker submission

crates/fidc-core/src/broker.rs

@@ -380,6 +380,7 @@ pub struct BrokerSimulator<C, R> {
     runtime_intraday_start_time: Cell<Option<NaiveTime>>,
     runtime_intraday_end_time: Cell<Option<NaiveTime>>,
     runtime_decision_date: Cell<Option<NaiveDate>>,
+    runtime_buy_denials: RefCell<BTreeMap<String, String>>,
     runtime_order_created_date: Cell<Option<NaiveDate>>,
     runtime_decision_total_equity: Cell<Option<f64>>,
     runtime_target_position_limit: Cell<Option<usize>>,
@@ -412,6 +413,7 @@ impl<C, R> BrokerSimulator<C, R> {
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
             runtime_decision_date: Cell::new(None),
+            runtime_buy_denials: RefCell::new(BTreeMap::new()),
             runtime_order_created_date: Cell::new(None),
             runtime_decision_total_equity: Cell::new(None),
             runtime_target_position_limit: Cell::new(None),
@@ -448,6 +450,7 @@ impl<C, R> BrokerSimulator<C, R> {
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
             runtime_decision_date: Cell::new(None),
+            runtime_buy_denials: RefCell::new(BTreeMap::new()),
             runtime_order_created_date: Cell::new(None),
             runtime_decision_total_equity: Cell::new(None),
             runtime_target_position_limit: Cell::new(None),
@@ -1385,6 +1388,7 @@ where
         decision: &StrategyDecision,
     ) -> Result<BrokerExecutionReport, BacktestError> {
         let previous_decision_date = self.runtime_decision_date.get();
+        let previous_buy_denials = self.runtime_buy_denials.replace(decision.buy_denials.clone());
         let previous_order_created_date = self.runtime_order_created_date.get();
         let previous_decision_total_equity = self.runtime_decision_total_equity.get();
         self.runtime_decision_date.set(Some(decision_date));
@@ -1393,6 +1397,7 @@ where
         self.runtime_decision_total_equity
             .set(decision_total_equity.filter(|equity| equity.is_finite() && *equity >= 0.0));
         let result = self.execute_with_runtime_dates(date, portfolio, data, decision);
+        self.runtime_buy_denials.replace(previous_buy_denials);
         self.runtime_decision_date.set(previous_decision_date);
         self.runtime_order_created_date
             .set(previous_order_created_date);
@@ -4189,6 +4194,9 @@ where
         if !rule.allowed {
             return rule.reason;
         }
+        if let Some(reason) = self.runtime_buy_denials.borrow().get(symbol) {
+            return Some(reason.clone());
+        }
         match self.market_fillable_quantity(
             snapshot,
             OrderSide::Buy,
@@ -6140,6 +6148,12 @@ where
             data.instrument(symbol),
             algo_request,
         );
+        let rule = if rule.allowed && emit_creation_events {
+            self.runtime_buy_denials.borrow().get(symbol)
+                .map_or(rule, |reason| RuleCheck::reject(reason.clone()))
+        } else {
+            rule
+        };
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
@@ -8204,6 +8218,7 @@ mod tests {
 
     fn next_open_buy_decision() -> StrategyDecision {
         StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::Shares {
                 symbol: "000001.SZ".to_string(),
                 quantity: 100,
@@ -8213,8 +8228,58 @@ mod tests {
         }
     }
 
+    #[test]
+    fn decision_buy_denial_blocks_topup_but_allows_sell_and_does_not_leak() {
+        let first = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let second = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+        let data = DataSet::from_components(
+            vec![limit_test_instrument()],
+            vec![dated_limit_test_snapshot(first), dated_limit_test_snapshot(second)],
+            Vec::new(),
+            vec![dated_limit_test_candidate(first, false, false, true, true),
+                 dated_limit_test_candidate(second, false, false, true, true)],
+            vec![dated_limit_test_benchmark(first), dated_limit_test_benchmark(second)],
+        ).unwrap();
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose);
+        let mut portfolio = PortfolioState::new(100_000.0);
+        broker.execute(first, &mut portfolio, &data, &next_open_buy_decision()).unwrap();
+        assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 100);
+        let mut blocked = StrategyDecision::default();
+        blocked.buy_denials.insert("000001.SZ".to_string(), "strategy_buy_condition_false".to_string());
+        blocked.order_intents.push(OrderIntent::TargetValue {
+            symbol: "000001.SZ".to_string(), target_value: 3_000.0, reason: "topup".to_string(),
+        });
+        let report = broker.execute(second, &mut portfolio, &data, &blocked).unwrap();
+        assert!(report.fills.is_empty());
+        assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 100);
+        assert!(broker.runtime_buy_denials.borrow().is_empty());
+        blocked.order_intents = next_open_sell_decision().order_intents;
+        let report = broker.execute(second, &mut portfolio, &data, &blocked).unwrap();
+        assert_eq!(report.fills.len(), 1);
+        assert_eq!(report.fills[0].side, OrderSide::Sell);
+        assert!(broker.runtime_buy_denials.borrow().is_empty());
+    }
+
+    #[test]
+    fn decision_buy_denial_does_not_rewrite_existing_pending_order() {
+        let date = limit_test_snapshot().date;
+        let data = DataSet::from_components(vec![limit_test_instrument()], vec![limit_test_snapshot()],
+            Vec::new(), vec![limit_test_candidate(true, true)], vec![limit_test_benchmark()]).unwrap();
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose);
+        broker.upsert_open_order(test_open_order(99));
+        let mut decision = StrategyDecision::default();
+        decision.buy_denials.insert("000001.SZ".to_string(), "strategy_buy_condition_false".to_string());
+        let mut portfolio = PortfolioState::new(100_000.0);
+        let report = broker.execute(date, &mut portfolio, &data, &decision).unwrap();
+        assert!(!report.fills.is_empty());
+        assert!(broker.runtime_buy_denials.borrow().is_empty());
+    }
+
     fn next_open_sell_decision() -> StrategyDecision {
         StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::Shares {
                 symbol: "000001.SZ".to_string(),
                 quantity: -100,
@@ -10192,6 +10257,7 @@ mod tests {
         )
         .expect("valid dataset");
         let decision = StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![
                 OrderIntent::TargetValue {
                     symbol: "000002.SZ".to_string(),
@@ -10304,6 +10370,7 @@ mod tests {
             .position_mut("000002.SZ")
             .buy(prev_date, 1_000, 10.0);
         let decision = StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![
                 OrderIntent::TargetValue {
                     symbol: "000001.SZ".to_string(),
@@ -10371,6 +10438,7 @@ mod tests {
             .position_mut("000002.SZ")
             .buy(prev_date, 1_000, 10.0);
         let decision = StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![
                 OrderIntent::TargetValue {
                     symbol: "000003.SZ".to_string(),
@@ -10431,6 +10499,7 @@ mod tests {
             .position_mut("000001.SZ")
             .buy(prev_date, 1_000, 10.0);
         let decision = StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::TargetValue {
                 symbol: "000003.SZ".to_string(),
                 target_value: 9_000.0,
@@ -10595,6 +10664,7 @@ mod tests {
         .with_inactive_limit(false);
         let mut portfolio = PortfolioState::new(20_000.0);
         let decision = StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::TargetValue {
                 symbol: "000001.SZ".to_string(),
                 target_value: 10_000.0,
@@ -10636,6 +10706,7 @@ mod tests {
         .with_inactive_limit(false);
         let mut portfolio = PortfolioState::new(20_000.0);
         let decision = StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::TargetValue {
                 symbol: "000001.SZ".to_string(),
                 target_value: 10_000.0,
@@ -10673,6 +10744,7 @@ mod tests {
         .with_inactive_limit(false);
         let mut portfolio = PortfolioState::new(20_000.0);
         let decision = StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::TargetPortfolioSmart {
                 target_weights: BTreeMap::from([("000001.SZ".to_string(), 0.5)]),
                 order_prices: None,

crates/fidc-core/src/engine.rs

@@ -4856,6 +4856,7 @@ mod tests {
         ) -> Result<StrategyDecision, super::BacktestError> {
             if ctx.decision_date == self.decision_date && ctx.portfolio.position(SYMBOL).is_none() {
                 return Ok(StrategyDecision {
+                    buy_denials: Default::default(),
                     order_intents: vec![OrderIntent::Shares {
                         symbol: SYMBOL.to_string(),
                         quantity: 100,
@@ -4896,6 +4897,7 @@ mod tests {
             );
             if ctx.portfolio.position(SYMBOL).is_none() {
                 return Ok(StrategyDecision {
+                    buy_denials: Default::default(),
                     order_intents: vec![OrderIntent::Shares {
                         symbol: SYMBOL.to_string(),
                         quantity: 100,
@@ -4955,6 +4957,7 @@ mod tests {
             rule: &ScheduleRule,
         ) -> Result<StrategyDecision, super::BacktestError> {
             Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::Shares {
                     symbol: SYMBOL.to_string(),
                     quantity: 100,
@@ -4992,6 +4995,7 @@ mod tests {
                 return Ok(StrategyDecision::default());
             }
             Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::Shares {
                     symbol: SYMBOL.to_string(),
                     quantity: 100,
@@ -5028,6 +5032,7 @@ mod tests {
                 return Ok(StrategyDecision::default());
             }
             Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::TargetPortfolioSmart {
                     target_weights: self.target_weights.clone(),
                     order_prices: None,
@@ -5070,6 +5075,7 @@ mod tests {
                 Vec::new()
             };
             Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents,
                 ..StrategyDecision::default()
             })
@@ -5106,6 +5112,7 @@ mod tests {
                 return Ok(StrategyDecision::default());
             };
             Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::Shares {
                     symbol,
                     quantity: 100,
@@ -5166,6 +5173,7 @@ mod tests {
                     .unwrap_or_default()
             ));
             Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::Shares {
                     symbol: SYMBOL.to_string(),
                     quantity: 100,
@@ -5206,6 +5214,7 @@ mod tests {
                 && ctx.portfolio.position(SYMBOL).is_none()
             {
                 return Ok(StrategyDecision {
+                    buy_denials: Default::default(),
                     order_intents: vec![OrderIntent::Shares {
                         symbol: SYMBOL.to_string(),
                         quantity: 100,
@@ -5217,6 +5226,7 @@ mod tests {
             if ctx.decision_date == self.sell_decision_date {
                 if let Some(position) = ctx.portfolio.position(SYMBOL) {
                     return Ok(StrategyDecision {
+                        buy_denials: Default::default(),
                         order_intents: vec![OrderIntent::Shares {
                             symbol: SYMBOL.to_string(),
                             quantity: -(position.quantity as i32),
@@ -5256,6 +5266,7 @@ mod tests {
                 && ctx.portfolio.position(SYMBOL).is_none()
             {
                 return Ok(StrategyDecision {
+                    buy_denials: Default::default(),
                     order_intents: vec![OrderIntent::Shares {
                         symbol: SYMBOL.to_string(),
                         quantity: 100,
@@ -5267,6 +5278,7 @@ mod tests {
             if ctx.decision_date == self.rebuy_decision_date {
                 if let Some(position) = ctx.portfolio.position(SYMBOL) {
                     return Ok(StrategyDecision {
+                        buy_denials: Default::default(),
                         order_intents: vec![
                             OrderIntent::Shares {
                                 symbol: SYMBOL.to_string(),

crates/fidc-core/src/platform_expr_strategy.rs

@@ -9913,6 +9913,7 @@ impl PlatformExprStrategy {
         )];
         diagnostics.extend(action_diagnostics);
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -12578,6 +12579,7 @@ impl Strategy for PlatformExprStrategy {
                 ));
             }
             return Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols,
@@ -13854,6 +13856,7 @@ impl Strategy for PlatformExprStrategy {
         ];
 
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols,

crates/fidc-core/src/strategy.rs

@@ -977,6 +977,7 @@ fn safe_ratio(numerator: f64, denominator: f64) -> f64 {
 
 #[derive(Debug, Clone, Default)]
 pub struct StrategyDecision {
+    pub buy_denials: BTreeMap<String, String>,
     pub rebalance: bool,
     pub target_weights: BTreeMap<String, f64>,
     pub exit_symbols: BTreeSet<String>,
@@ -988,6 +989,7 @@ pub struct StrategyDecision {
 
 impl StrategyDecision {
     pub fn merge_from(&mut self, mut other: StrategyDecision) {
+        self.buy_denials.append(&mut other.buy_denials);
         self.rebalance |= other.rebalance;
         self.target_weights.append(&mut other.target_weights);
         self.exit_symbols.append(&mut other.exit_symbols);
@@ -998,7 +1000,8 @@ impl StrategyDecision {
     }
 
     pub fn is_empty(&self) -> bool {
-        !self.rebalance
+        self.buy_denials.is_empty()
+            && !self.rebalance
             && self.target_weights.is_empty()
             && self.exit_symbols.is_empty()
             && self.order_intents.is_empty()
@@ -1569,6 +1572,7 @@ impl Strategy for CnSmallCapRotationStrategy {
         if self.config.in_skip_window(ctx.decision_date) {
             self.last_gross_exposure = Some(0.0);
             return Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: true,
                 target_weights: BTreeMap::new(),
                 exit_symbols: ctx.portfolio.positions().keys().cloned().collect(),
@@ -1590,6 +1594,7 @@ impl Strategy for CnSmallCapRotationStrategy {
                     if message.contains("signal series insufficient") =>
                 {
                     return Ok(StrategyDecision {
+                        buy_denials: Default::default(),
                         rebalance: false,
                         target_weights: BTreeMap::new(),
                         exit_symbols: BTreeSet::new(),
@@ -1765,6 +1770,7 @@ impl Strategy for CnSmallCapRotationStrategy {
         self.last_gross_exposure = Some(gross_exposure);
 
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance,
             target_weights,
             exit_symbols,
@@ -2773,6 +2779,7 @@ impl Strategy for OmniMicroCapStrategy {
         let lagged_execution = ctx.is_lagged_execution();
         if self.config.in_skip_window(signal_date) {
             return Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: ctx.portfolio.positions().keys().cloned().collect(),
@@ -2803,6 +2810,7 @@ impl Strategy for OmniMicroCapStrategy {
                     if message.contains("insufficient benchmark") =>
                 {
                     return Ok(StrategyDecision {
+                        buy_denials: Default::default(),
                         rebalance: false,
                         target_weights: BTreeMap::new(),
                         exit_symbols: BTreeSet::new(),
@@ -3013,6 +3021,7 @@ impl Strategy for OmniMicroCapStrategy {
         ];
 
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols,

crates/fidc-core/tests/corporate_actions.rs

@@ -90,6 +90,7 @@ impl Strategy for BuyAndHoldStrategy {
         ctx: &StrategyContext<'_>,
     ) -> Result<StrategyDecision, fidc_core::BacktestError> {
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),

crates/fidc-core/tests/decision_quote_preload.rs

@@ -37,6 +37,7 @@ impl Strategy for DecisionQuoteReader {
         self.day_count += 1;
         if self.day_count == 1 {
             return Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::Value {
                     symbol: "000001.SZ".to_string(),
                     value: 5_000.0,
@@ -626,6 +627,7 @@ impl Strategy for MultiTimeDecisionQuoteReader {
         self.day_count += 1;
         if self.day_count == 1 {
             return Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::Value {
                     symbol: "000001.SZ".to_string(),
                     value: 5_000.0,

crates/fidc-core/tests/delisting.rs

@@ -24,6 +24,7 @@ impl Strategy for BuyThenHoldStrategy {
     ) -> Result<StrategyDecision, fidc_core::BacktestError> {
         if ctx.decision_date == d(2025, 1, 2) && ctx.portfolio.position("000001.SZ").is_none() {
             return Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),

crates/fidc-core/tests/engine_hooks.rs

@@ -295,6 +295,7 @@ impl Strategy for HookProbeStrategy {
             .borrow_mut()
             .push(format!("on_day:{}", ctx.execution_date));
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -334,6 +335,7 @@ impl Strategy for AuctionOrderStrategy {
         _ctx: &StrategyContext<'_>,
     ) -> Result<StrategyDecision, fidc_core::BacktestError> {
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -377,6 +379,7 @@ impl Strategy for FuturesOrderStrategy {
             return Ok(StrategyDecision::default());
         }
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -413,6 +416,7 @@ impl Strategy for FuturesLimitOrderStrategy {
             return Ok(StrategyDecision::default());
         }
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::Futures {
                 intent: FuturesOrderIntent::limit_open(
                     "IF2501",
@@ -444,6 +448,7 @@ impl Strategy for FuturesInvalidTickLimitStrategy {
             return Ok(StrategyDecision::default());
         }
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::Futures {
                 intent: FuturesOrderIntent::limit_open(
                     "IF2501",
@@ -475,6 +480,7 @@ impl Strategy for FuturesClosedPhaseOrderStrategy {
             return Ok(StrategyDecision::default());
         }
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::Futures {
                 intent: FuturesOrderIntent::open(
                     "IF2501",
@@ -506,6 +512,7 @@ impl Strategy for FuturesAboveUpperLimitStrategy {
             return Ok(StrategyDecision::default());
         }
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::Futures {
                 intent: FuturesOrderIntent::limit_open(
                     "IF2501",
@@ -537,6 +544,7 @@ impl Strategy for FuturesDepthLimitOrderStrategy {
             return Ok(StrategyDecision::default());
         }
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             order_intents: vec![OrderIntent::Futures {
                 intent: FuturesOrderIntent::limit_open(
                     "IF2501",
@@ -720,6 +728,7 @@ impl Strategy for LimitCarryStrategy {
         }
         self.issued = true;
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -803,6 +812,7 @@ impl Strategy for UniverseDirectiveStrategy {
             _ => Vec::new(),
         };
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -844,6 +854,7 @@ impl Strategy for MinuteProbeStrategy {
         _ctx: &StrategyContext<'_>,
     ) -> Result<StrategyDecision, fidc_core::BacktestError> {
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -885,6 +896,7 @@ impl Strategy for MinuteProbeStrategy {
         }
         self.ordered = true;
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -987,6 +999,7 @@ impl Strategy for OrderInspectionStrategy {
         _ctx: &StrategyContext<'_>,
     ) -> Result<StrategyDecision, fidc_core::BacktestError> {
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -1030,6 +1043,7 @@ impl Strategy for AccountFlowStrategy {
             return Ok(StrategyDecision::default());
         }
         Ok(StrategyDecision {
+            buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
@@ -4134,6 +4148,7 @@ impl Strategy for BuyMissingRowThenHoldStrategy {
     ) -> Result<StrategyDecision, fidc_core::BacktestError> {
         if ctx.execution_date == d(2025, 5, 26) {
             return Ok(StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),

crates/fidc-core/tests/explicit_order_flow.rs

@@ -209,6 +209,7 @@ fn execute_single_value_order(
             &mut portfolio,
             data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -399,6 +400,7 @@ fn broker_executes_explicit_order_value_buy() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -557,6 +559,7 @@ fn broker_delayed_limit_open_sell_uses_minute_price() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -687,6 +690,7 @@ fn broker_executes_order_shares_and_order_lots() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -806,6 +810,7 @@ fn broker_executes_target_shares_like_order_to() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -981,6 +986,7 @@ fn broker_executes_target_portfolio_smart_with_custom_prices() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1139,6 +1145,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1254,6 +1261,7 @@ fn broker_executes_order_percent_and_target_percent() {
             &mut percent_portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1278,6 +1286,7 @@ fn broker_executes_order_percent_and_target_percent() {
             &mut target_percent_portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1380,6 +1389,7 @@ fn broker_uses_day_open_price_for_open_auction_matching() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1487,6 +1497,7 @@ fn broker_open_auction_uses_auction_volume_without_quote_liquidity() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1590,6 +1601,7 @@ fn broker_cancels_buy_when_open_hits_upper_limit() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1707,6 +1719,7 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1812,6 +1825,7 @@ fn broker_applies_dynamic_slippage_on_snapshot_fills() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -1933,6 +1947,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -2039,6 +2054,7 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -2163,6 +2179,7 @@ fn broker_executes_intraday_last_on_start_quote_with_trade_delta() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -2282,6 +2299,7 @@ fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -2398,6 +2416,7 @@ fn broker_cancels_market_buy_when_minute_has_no_volume() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -2534,6 +2553,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -2707,6 +2727,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -2888,6 +2909,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -3036,6 +3058,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -3172,6 +3195,7 @@ fn broker_uses_best_own_price_for_intraday_matching() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -3290,6 +3314,7 @@ fn broker_uses_best_counterparty_price_for_intraday_matching() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -3461,6 +3486,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: true,
                 target_weights: BTreeMap::from([("000002.SZ".to_string(), 1.0)]),
                 exit_symbols: BTreeSet::new(),
@@ -3657,6 +3683,7 @@ fn rebalance_uses_day_open_for_open_auction_valuation() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: true,
                 target_weights: BTreeMap::from([
                     ("000001.SZ".to_string(), 0.5),
@@ -3841,6 +3868,7 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: true,
                 target_weights: BTreeMap::from([
                     ("000001.SZ".to_string(), 0.2),
@@ -4025,6 +4053,7 @@ fn rebalance_optimizer_does_not_scale_targets_above_requested_weight() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: true,
                 target_weights: BTreeMap::from([
                     ("000001.SZ".to_string(), 0.48),
@@ -4139,6 +4168,7 @@ fn broker_uses_board_specific_min_quantity_and_step_size_for_buy_sizing() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4244,6 +4274,7 @@ fn broker_allows_bjse_quantities_above_minimum_without_round_lot_step() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4350,6 +4381,7 @@ fn broker_allows_full_odd_lot_sell_when_liquidating_position() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4483,6 +4515,7 @@ fn same_day_sell_then_rebuy_is_rejected_by_default() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4627,6 +4660,7 @@ fn same_day_sell_then_rebuy_can_be_allowed_by_policy() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4680,6 +4714,7 @@ fn broker_configured_policy_can_allow_upper_limit_buy() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4726,6 +4761,7 @@ fn broker_configured_policy_can_allow_lower_limit_sell() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4901,6 +4937,7 @@ fn broker_expires_day_limit_buy_at_market_close() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4941,6 +4978,7 @@ fn broker_expires_day_limit_buy_at_market_close() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -4976,6 +5014,7 @@ fn broker_ioc_limit_order_fills_available_quantity_and_cancels_remainder() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::LimitShares {
                         symbol: "000002.SZ".to_string(),
@@ -5014,6 +5053,7 @@ fn broker_persists_daily_volume_consumption_across_execute_calls() {
     .with_liquidity_limit(false);
     let mut portfolio = PortfolioState::new(1_000_000.0);
     let decision = || StrategyDecision {
+        buy_denials: Default::default(),
         order_intents: vec![OrderIntent::Shares {
             symbol: "000002.SZ".to_string(),
             quantity: 100,
@@ -5061,6 +5101,7 @@ fn broker_persists_quote_depth_until_fresh_level_data_arrives() {
     .with_liquidity_limit(true);
     let mut portfolio = PortfolioState::new(1_000_000.0);
     let decision = |quantity| StrategyDecision {
+        buy_denials: Default::default(),
         order_intents: vec![OrderIntent::Shares {
             symbol: symbol.to_string(),
             quantity,
@@ -5078,6 +5119,7 @@ fn broker_persists_quote_depth_until_fresh_level_data_arrives() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::Shares {
                         symbol: symbol.to_string(),
@@ -5182,6 +5224,7 @@ fn broker_persists_quote_volume_participation_until_next_quote() {
     .with_liquidity_limit(false);
     let mut portfolio = PortfolioState::new(1_000_000.0);
     let decision = |quantity| StrategyDecision {
+        buy_denials: Default::default(),
         order_intents: vec![OrderIntent::Shares {
             symbol: symbol.to_string(),
             quantity,
@@ -5264,6 +5307,7 @@ fn broker_day_market_order_cancels_remainder_without_creating_invalid_open_order
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::Shares {
                         symbol: "000002.SZ".to_string(),
@@ -5305,6 +5349,7 @@ fn broker_fok_order_is_atomic_when_liquidity_is_insufficient() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::Shares {
                         symbol: "000002.SZ".to_string(),
@@ -5351,6 +5396,7 @@ fn broker_fok_order_fills_when_full_quantity_is_available() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::Shares {
                         symbol: "000002.SZ".to_string(),
@@ -5388,6 +5434,7 @@ fn broker_gtc_limit_order_survives_close_and_fills_next_day() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::LimitShares {
                         symbol: "000002.SZ".to_string(),
@@ -5439,6 +5486,7 @@ fn broker_gtc_partial_fills_preserve_cumulative_order_and_commission_state() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::LimitShares {
                         symbol: "000002.SZ".to_string(),
@@ -5503,6 +5551,7 @@ fn broker_modifies_gtc_limit_order_without_changing_order_identity() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::LimitShares {
                         symbol: "000002.SZ".to_string(),
@@ -5524,6 +5573,7 @@ fn broker_modifies_gtc_limit_order_without_changing_order_identity() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::ModifyOrder {
                     order_id,
                     new_total_quantity: Some(400),
@@ -5591,6 +5641,7 @@ fn broker_modifies_partially_filled_gtc_total_and_preserves_commission_state() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::LimitShares {
                         symbol: "000002.SZ".to_string(),
@@ -5614,6 +5665,7 @@ fn broker_modifies_partially_filled_gtc_total_and_preserves_commission_state() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::ModifyOrder {
                     order_id,
                     new_total_quantity: Some(200),
@@ -5668,6 +5720,7 @@ fn broker_rejected_modify_has_zero_side_effects() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::LimitShares {
                         symbol: "000002.SZ".to_string(),
@@ -5691,6 +5744,7 @@ fn broker_rejected_modify_has_zero_side_effects() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::ModifyOrder {
                     order_id,
                     new_total_quantity: Some(100),
@@ -5728,6 +5782,7 @@ fn broker_accepted_modify_resets_queue_priority_but_reduction_preserves_it() {
     );
     let mut portfolio = PortfolioState::new(1_000_000.0);
     let create = |reason: &str| StrategyDecision {
+        buy_denials: Default::default(),
         order_intents: vec![
             OrderIntent::LimitShares {
                 symbol: "000002.SZ".to_string(),
@@ -5758,6 +5813,7 @@ fn broker_accepted_modify_resets_queue_priority_but_reduction_preserves_it() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::ModifyOrder {
                     order_id: initial_ids[0],
                     new_total_quantity: Some(200),
@@ -5787,6 +5843,7 @@ fn broker_accepted_modify_resets_queue_priority_but_reduction_preserves_it() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![OrderIntent::ModifyOrder {
                     order_id: initial_ids[0],
                     new_total_quantity: None,
@@ -5828,6 +5885,7 @@ fn broker_rejects_gtc_for_market_order() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 order_intents: vec![
                     OrderIntent::Shares {
                         symbol: "000002.SZ".to_string(),
@@ -5867,6 +5925,7 @@ fn broker_uses_limit_price_slippage_for_limit_orders() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -5905,6 +5964,7 @@ fn broker_rejects_limit_buy_when_final_execution_price_reaches_upper_limit() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -5949,6 +6009,7 @@ fn broker_executes_limit_value_and_limit_percent_intents() {
             &mut value_portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -5974,6 +6035,7 @@ fn broker_executes_limit_value_and_limit_percent_intents() {
             &mut percent_portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -6010,6 +6072,7 @@ fn broker_cancels_open_order_by_order_id() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -6033,6 +6096,7 @@ fn broker_cancels_open_order_by_order_id() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -6080,6 +6144,7 @@ fn broker_emits_cancellation_reject_for_unknown_order() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),
@@ -6188,6 +6253,7 @@ fn broker_reserves_sellable_quantity_for_open_limit_sells() {
             &mut portfolio,
             &data,
             &StrategyDecision {
+                buy_denials: Default::default(),
                 rebalance: false,
                 target_weights: BTreeMap::new(),
                 exit_symbols: BTreeSet::new(),