修正下一开盘目标仓位计算

2026-07-12 14:59:12 +08:00
parent 0ea5fae69d
commit bacb70e327
6 changed files with 444 additions and 77 deletions
@@ -64,6 +64,7 @@ struct TargetConstraint {
    desired_qty: u32,
    provisional_target_qty: u32,
    price: f64,
+    buy_execution_price: f64,
    minimum_order_quantity: u32,
    order_step_size: u32,
 }
@@ -193,6 +194,7 @@ pub struct BrokerSimulator<C, R> {
    runtime_intraday_end_time: Cell<Option<NaiveTime>>,
    runtime_decision_date: Cell<Option<NaiveDate>>,
    runtime_order_created_date: Cell<Option<NaiveDate>>,
+    runtime_decision_total_equity: Cell<Option<f64>>,
    next_order_id: Cell<u64>,
    open_orders: RefCell<Vec<OpenOrder>>,
 }
@@ -210,7 +212,7 @@ impl<C, R> BrokerSimulator<C, R> {
            volume_limit: true,
            inactive_limit: true,
            liquidity_limit: true,
-            strict_value_budget: false,
+            strict_value_budget: true,
            rebalance_cash_mode: RebalanceCashMode::default(),
            sell_then_buy_delay_slippage_rate: 0.0,
            aiquant_execution_rules: false,
@@ -222,6 +224,7 @@ impl<C, R> BrokerSimulator<C, R> {
            runtime_intraday_end_time: Cell::new(None),
            runtime_decision_date: Cell::new(None),
            runtime_order_created_date: Cell::new(None),
+            runtime_decision_total_equity: Cell::new(None),
            next_order_id: Cell::new(1),
            open_orders: RefCell::new(Vec::new()),
        }
@@ -243,7 +246,7 @@ impl<C, R> BrokerSimulator<C, R> {
            volume_limit: true,
            inactive_limit: true,
            liquidity_limit: true,
-            strict_value_budget: false,
+            strict_value_budget: true,
            rebalance_cash_mode: RebalanceCashMode::default(),
            sell_then_buy_delay_slippage_rate: 0.0,
            aiquant_execution_rules: false,
@@ -255,6 +258,7 @@ impl<C, R> BrokerSimulator<C, R> {
            runtime_intraday_end_time: Cell::new(None),
            runtime_decision_date: Cell::new(None),
            runtime_order_created_date: Cell::new(None),
+            runtime_decision_total_equity: Cell::new(None),
            next_order_id: Cell::new(1),
            open_orders: RefCell::new(Vec::new()),
        }
@@ -276,7 +280,11 @@ impl<C, R> BrokerSimulator<C, R> {
    }

    pub fn with_strict_value_budget(mut self, enabled: bool) -> Self {
-        self.strict_value_budget = enabled;
+        assert!(
+            enabled,
+            "strict value budget is mandatory for FIDC order sizing"
+        );
+        self.strict_value_budget = true;
        self
    }

@@ -427,11 +435,11 @@ where
        symbol: &str,
        snapshot: &crate::data::DailyMarketSnapshot,
    ) -> f64 {
-        if self.matching_type == MatchingType::NextBarOpen
-            && snapshot.prev_close.is_finite()
-            && snapshot.prev_close > 0.0
-        {
-            return snapshot.prev_close;
+        if self.matching_type == MatchingType::NextBarOpen {
+            let execution_price = snapshot.price(PriceField::Open);
+            if execution_price.is_finite() && execution_price > 0.0 {
+                return execution_price;
+            }
        }
        if self.aiquant_execution_rules && self.execution_price_field == PriceField::Last {
            let start_cursor = self
@@ -716,16 +724,42 @@ where
        portfolio: &mut PortfolioState,
        data: &DataSet,
        decision: &StrategyDecision,
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        self.execute_with_event_dates_and_decision_equity(
+            date,
+            decision_date,
+            order_created_date,
+            None,
+            portfolio,
+            data,
+            decision,
+        )
+    }
+
+    pub fn execute_with_event_dates_and_decision_equity(
+        &self,
+        date: NaiveDate,
+        decision_date: NaiveDate,
+        order_created_date: NaiveDate,
+        decision_total_equity: Option<f64>,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        decision: &StrategyDecision,
    ) -> Result<BrokerExecutionReport, BacktestError> {
        let previous_decision_date = self.runtime_decision_date.get();
        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));
        self.runtime_order_created_date
            .set(Some(order_created_date));
+        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_decision_date.set(previous_decision_date);
        self.runtime_order_created_date
            .set(previous_order_created_date);
+        self.runtime_decision_total_equity
+            .set(previous_decision_total_equity);
        result
    }

@@ -880,15 +914,42 @@ where
        decision: &StrategyDecision,
        start_time: Option<NaiveTime>,
        end_time: Option<NaiveTime>,
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        self.execute_between_with_event_dates_and_decision_equity(
+            date,
+            decision_date,
+            order_created_date,
+            None,
+            portfolio,
+            data,
+            decision,
+            start_time,
+            end_time,
+        )
+    }
+
+    #[allow(clippy::too_many_arguments)]
+    pub fn execute_between_with_event_dates_and_decision_equity(
+        &self,
+        date: NaiveDate,
+        decision_date: NaiveDate,
+        order_created_date: NaiveDate,
+        decision_total_equity: Option<f64>,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        decision: &StrategyDecision,
+        start_time: Option<NaiveTime>,
+        end_time: Option<NaiveTime>,
    ) -> Result<BrokerExecutionReport, BacktestError> {
        let previous_start_time = self.runtime_intraday_start_time.get();
        let previous_end_time = self.runtime_intraday_end_time.get();
        self.runtime_intraday_start_time.set(start_time);
        self.runtime_intraday_end_time.set(end_time);
-        let result = self.execute_with_event_dates(
+        let result = self.execute_with_event_dates_and_decision_equity(
            date,
            decision_date,
            order_created_date,
+            decision_total_equity,
            portfolio,
            data,
            decision,
@@ -2017,8 +2078,22 @@ where
        target_weights: &BTreeMap<String, f64>,
        valuation_prices: Option<&BTreeMap<String, f64>>,
    ) -> Result<(BTreeMap<String, u32>, Vec<String>), BacktestError> {
-        let equity =
-            self.rebalance_total_equity_at_with_overrides(date, portfolio, data, valuation_prices)?;
+        let equity = if valuation_prices.is_none() {
+            self.target_total_equity_at(date, portfolio, data)?
+        } else {
+            self.runtime_decision_total_equity
+                .get()
+                .filter(|equity| equity.is_finite() && *equity >= 0.0)
+                .map(Ok)
+                .unwrap_or_else(|| {
+                    self.rebalance_total_equity_at_with_overrides(
+                        date,
+                        portfolio,
+                        data,
+                        valuation_prices,
+                    )
+                })?
+        };
        let target_weight_sum = target_weights
            .values()
            .copied()
@@ -2036,15 +2111,33 @@ where
                data,
                valuation_prices,
            )?;
-            let raw_qty = ((equity * weight) / price).floor() as u32;
-            desired_targets.insert(
-                symbol.clone(),
+            let current_qty = portfolio
+                .position(symbol)
+                .map(|position| position.quantity)
+                .unwrap_or(0);
+            let target_value = (equity * weight).max(0.0);
+            let current_value = price * current_qty as f64;
+            let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
+            let order_step_size = self.order_step_size(data, symbol);
+            let desired_qty = if target_value > current_value + f64::EPSILON {
+                let buy_budget = target_value - current_value;
+                current_qty.saturating_add(self.target_buy_quantity_for_budget(
+                    date,
+                    data,
+                    symbol,
+                    buy_budget,
+                    price,
+                    minimum_order_quantity,
+                    order_step_size,
+                ))
+            } else {
                self.round_buy_quantity(
-                    raw_qty,
-                    self.minimum_order_quantity(data, symbol),
-                    self.order_step_size(data, symbol),
-                ),
-            );
+                    (target_value / price).floor() as u32,
+                    minimum_order_quantity,
+                    order_step_size,
+                )
+            };
+            desired_targets.insert(symbol.clone(), desired_qty);
        }

        let mut symbols = BTreeSet::new();
@@ -2087,6 +2180,22 @@ where
                order_step_size,
            );
            let provisional_target_qty = desired_qty.clamp(min_target_qty, max_target_qty);
+            let buy_quantity = provisional_target_qty.saturating_sub(current_qty);
+            let sell_quantity = current_qty.saturating_sub(provisional_target_qty);
+            let buy_execution_price = data
+                .market(date, &symbol)
+                .map(|snapshot| {
+                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(buy_quantity))
+                })
+                .filter(|execution_price| execution_price.is_finite() && *execution_price > 0.0)
+                .unwrap_or(price);
+            let sell_execution_price = data
+                .market(date, &symbol)
+                .map(|snapshot| {
+                    self.snapshot_execution_price(snapshot, OrderSide::Sell, Some(sell_quantity))
+                })
+                .filter(|execution_price| execution_price.is_finite() && *execution_price > 0.0)
+                .unwrap_or(price);
            if desired_qty < current_qty
                && min_target_qty >= current_qty
                && diagnostics.len() < 16
@@ -2132,7 +2241,7 @@ where
            if current_qty > provisional_target_qty && cash_mode != RebalanceCashMode::PreOpenCash {
                projected_cash += self.estimated_sell_net_cash(
                    date,
-                    price,
+                    sell_execution_price,
                    current_qty.saturating_sub(provisional_target_qty),
                );
            }
@@ -2142,6 +2251,7 @@ where
                desired_qty,
                provisional_target_qty,
                price,
+                buy_execution_price,
                minimum_order_quantity,
                order_step_size,
            });
@@ -2186,7 +2296,7 @@ where
                if target_qty > constraint.current_qty {
                    buy_cash_out += self.estimated_buy_cash_out(
                        date,
-                        constraint.price,
+                        constraint.buy_execution_price,
                        target_qty - constraint.current_qty,
                    );
                }
@@ -2445,8 +2555,22 @@ where
        reason: &str,
        report: &mut BrokerExecutionReport,
    ) -> Result<(), BacktestError> {
-        let equity =
-            self.rebalance_total_equity_at_with_overrides(date, portfolio, data, valuation_prices)?;
+        let equity = if valuation_prices.is_none() {
+            self.target_total_equity_at(date, portfolio, data)?
+        } else {
+            self.runtime_decision_total_equity
+                .get()
+                .filter(|equity| equity.is_finite() && *equity >= 0.0)
+                .map(Ok)
+                .unwrap_or_else(|| {
+                    self.rebalance_total_equity_at_with_overrides(
+                        date,
+                        portfolio,
+                        data,
+                        valuation_prices,
+                    )
+                })?
+        };
        for (symbol, weight) in target_weights {
            if weight.abs() <= f64::EPSILON {
                continue;
@@ -4054,7 +4178,7 @@ where
        commission_state: &mut BTreeMap<u64, f64>,
        report: &mut BrokerExecutionReport,
    ) -> Result<(), BacktestError> {
-        let total_equity = self.rebalance_total_equity_at(date, portfolio, data)?;
+        let total_equity = self.target_total_equity_at(date, portfolio, data)?;
        self.process_target_value(
            date,
            portfolio,
@@ -4085,7 +4209,7 @@ where
        commission_state: &mut BTreeMap<u64, f64>,
        report: &mut BrokerExecutionReport,
    ) -> Result<(), BacktestError> {
-        let total_equity = self.rebalance_total_equity_at(date, portfolio, data)?;
+        let total_equity = self.target_total_equity_at(date, portfolio, data)?;
        self.process_limit_target_value(
            date,
            portfolio,
@@ -4324,7 +4448,7 @@ where
        commission_state: &mut BTreeMap<u64, f64>,
        report: &mut BrokerExecutionReport,
    ) -> Result<(), BacktestError> {
-        let total_equity = self.rebalance_total_equity_at(date, portfolio, data)?;
+        let total_equity = self.target_total_equity_at(date, portfolio, data)?;
        self.process_value(
            date,
            portfolio,
@@ -4355,7 +4479,7 @@ where
        commission_state: &mut BTreeMap<u64, f64>,
        report: &mut BrokerExecutionReport,
    ) -> Result<(), BacktestError> {
-        let total_equity = self.rebalance_total_equity_at(date, portfolio, data)?;
+        let total_equity = self.target_total_equity_at(date, portfolio, data)?;
        self.process_limit_value(
            date,
            portfolio,
@@ -4495,7 +4619,7 @@ where
        commission_state: &mut BTreeMap<u64, f64>,
        report: &mut BrokerExecutionReport,
    ) -> Result<(), BacktestError> {
-        let total_equity = self.rebalance_total_equity_at(date, portfolio, data)?;
+        let total_equity = self.target_total_equity_at(date, portfolio, data)?;
        self.process_algo_value(
            date,
            portfolio,
@@ -5343,6 +5467,22 @@ where
        self.rebalance_total_equity_at_with_overrides(date, portfolio, data, None)
    }

+    fn target_total_equity_at(
+        &self,
+        date: NaiveDate,
+        portfolio: &PortfolioState,
+        data: &DataSet,
+    ) -> Result<f64, BacktestError> {
+        if let Some(equity) = self
+            .runtime_decision_total_equity
+            .get()
+            .filter(|equity| equity.is_finite() && *equity >= 0.0)
+        {
+            return Ok(equity);
+        }
+        self.rebalance_total_equity_at(date, portfolio, data)
+    }
+
    fn rebalance_total_equity_at_with_overrides(
        &self,
        date: NaiveDate,
@@ -5443,6 +5583,60 @@ where
        0
    }

+    #[allow(clippy::too_many_arguments)]
+    fn target_buy_quantity_for_budget(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        value_budget: f64,
+        fallback_price: f64,
+        minimum_order_quantity: u32,
+        order_step_size: u32,
+    ) -> u32 {
+        let snapshot = data.market(date, symbol);
+        let mut quantity = self.value_buy_quantity(
+            date,
+            value_budget,
+            fallback_price,
+            minimum_order_quantity,
+            order_step_size,
+        );
+        for _ in 0..8 {
+            let execution_price = snapshot
+                .map(|snapshot| {
+                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(quantity))
+                })
+                .filter(|price| price.is_finite() && *price > 0.0)
+                .unwrap_or(fallback_price);
+            let resolved = self.value_buy_quantity(
+                date,
+                value_budget,
+                execution_price,
+                minimum_order_quantity,
+                order_step_size,
+            );
+            if resolved == quantity {
+                return quantity;
+            }
+            quantity = resolved;
+        }
+        while quantity >= minimum_order_quantity.max(1) {
+            let execution_price = snapshot
+                .map(|snapshot| {
+                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(quantity))
+                })
+                .filter(|price| price.is_finite() && *price > 0.0)
+                .unwrap_or(fallback_price);
+            if self.estimated_buy_cash_out(date, execution_price, quantity) <= value_budget + 1e-6 {
+                return quantity;
+            }
+            quantity =
+                self.decrement_order_quantity(quantity, minimum_order_quantity, order_step_size);
+        }
+        0
+    }
+
    fn decrement_order_quantity(
        &self,
        quantity: u32,
@@ -7154,7 +7348,7 @@ mod tests {
    }

    #[test]
-    fn next_open_target_value_valuation_uses_previous_close() {
+    fn next_open_target_value_valuation_uses_execution_open() {
        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
        let broker = BrokerSimulator::new_with_execution_price(
            ChinaAShareCostModel::default(),
@@ -7181,10 +7375,68 @@ mod tests {

        assert_eq!(
            broker.target_value_valuation_price(date, &data, "000001.SZ", snapshot),
-            10.0
+            11.0
        );
    }

+    #[test]
+    fn next_open_target_value_recomputes_quantity_from_execution_open() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.date = date;
+        snapshot.prev_close = 10.0;
+        snapshot.open = 11.0;
+        snapshot.close = 20.0;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(20_000.0);
+        portfolio.position_mut("000001.SZ").buy(
+            date.pred_opt().expect("previous date"),
+            1_000,
+            10.0,
+        );
+        portfolio.apply_cash_delta(-10_000.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_value(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                5_500.0,
+                "next_open_target_value",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("target value execution");
+
+        assert_eq!(report.fill_events.len(), 1);
+        assert_eq!(report.fill_events[0].price, 11.0);
+        assert_eq!(report.fill_events[0].quantity, 500);
+        assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 500);
+    }
+
    #[test]
    fn target_portfolio_smart_ignores_zero_weight_symbols_without_market_snapshot() {
        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
@@ -7238,6 +7490,51 @@ mod tests {
        );
    }

+    #[test]
+    fn target_weight_buy_quantity_respects_per_symbol_budget_after_slippage_and_fees() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_slippage_model(SlippageModel::PriceRatio(0.002))
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.date = date;
+        snapshot.open = 10.0;
+        snapshot.close = 10.0;
+        snapshot.last_price = 10.0;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let portfolio = PortfolioState::new(100_000.0);
+        let target_weights = BTreeMap::from([("000001.SZ".to_string(), 0.5)]);
+
+        let (targets, _) = broker
+            .target_quantities(date, &portfolio, &data, &target_weights)
+            .expect("target quantities");
+        let quantity = targets["000001.SZ"];
+        let execution_price = 10.0 * 1.002;
+        let allocated_amount = 50_000.0;
+
+        assert_eq!(quantity, 4_900);
+        assert!(broker.estimated_buy_cash_out(date, execution_price, quantity) <= allocated_amount);
+        assert!(
+            broker.estimated_buy_cash_out(date, execution_price, quantity + 100) > allocated_amount
+        );
+    }
+
    #[test]
    fn target_portfolio_smart_records_buy_rejection_when_target_is_blacklisted() {
        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
@@ -7344,7 +7641,7 @@ mod tests {
        let (aiquant_targets, _) = aiquant_broker
            .target_quantities(date, &portfolio, &data, &target_weights)
            .expect("aiquant target quantities");
-        assert_eq!(aiquant_targets.get("000001.SZ").copied(), Some(50_000));
+        assert_eq!(aiquant_targets.get("000001.SZ").copied(), Some(49_900));
    }

    #[test]
@@ -7558,7 +7855,7 @@ mod tests {
    }

    #[test]
-    fn target_portfolio_smart_scales_buys_when_full_targets_exceed_cash_by_fees() {
+    fn target_portfolio_smart_budgets_each_buy_before_cash_optimization() {
        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
        let symbols = ["000001.SZ", "000002.SZ"];
        let instruments = symbols
@@ -7618,20 +7915,7 @@ mod tests {

        assert_eq!(target_quantities.get("000001.SZ").copied(), Some(400));
        assert_eq!(target_quantities.get("000002.SZ").copied(), Some(400));
-        assert!(
-            diagnostics
-                .iter()
-                .any(|line| line.contains("rebalance_safety_scaled")),
-            "{diagnostics:?}"
-        );
-        assert!(
-            diagnostics
-                .iter()
-                .any(|line| line.contains("rebalance_buy_reduced")
-                    && line.contains("provisional=500")
-                    && line.contains("final=400")),
-            "{diagnostics:?}"
-        );
+        assert!(diagnostics.is_empty(), "{diagnostics:?}");
    }

    #[test]
@@ -1728,6 +1728,7 @@ where
            daily_holdings: Vec::new(),
            metrics: BacktestMetrics::default(),
        };
+        let mut stock_equity_by_date = BTreeMap::<NaiveDate, f64>::new();

        for (execution_idx, execution_date) in execution_dates.iter().copied().enumerate() {
            let mut corporate_action_notes = Vec::new();
@@ -1875,8 +1876,12 @@ where
                    process_events: day_process_events,
                });
                result.process_events.append(&mut process_events);
+                stock_equity_by_date.insert(execution_date, portfolio.total_equity());
                continue;
            };
+            let decision_total_equity = (decision_date < execution_date)
+                .then(|| stock_equity_by_date.get(&decision_date).copied())
+                .flatten();
            let mut process_events = Vec::new();
            let mut directive_report = BrokerExecutionReport::default();
            let pre_open_orders = self.open_order_views();
@@ -2073,10 +2078,11 @@ where
                None,
                None,
            )?;
-            let mut report = self.broker.execute_with_event_dates(
+            let mut report = self.broker.execute_with_event_dates_and_decision_equity(
                execution_date,
                decision_date,
                decision_date,
+                decision_total_equity,
                &mut portfolio,
                &self.data,
                &auction_decision,
@@ -2321,10 +2327,11 @@ where
                None,
                None,
            )?;
-            let mut intraday_report = self.broker.execute_with_event_dates(
+            let mut intraday_report = self.broker.execute_with_event_dates_and_decision_equity(
                execution_date,
                decision_date,
                decision_date,
+                decision_total_equity,
                &mut portfolio,
                &self.data,
                &decision,
@@ -2492,10 +2499,13 @@ where
                        Some(minute_time),
                        Some(minute_time),
                    )?;
-                    let mut minute_report = self.broker.execute_between_with_event_dates(
+                    let mut minute_report = self
+                        .broker
+                        .execute_between_with_event_dates_and_decision_equity(
                            execution_date,
                            decision_date,
                            decision_date,
+                            decision_total_equity,
                            &mut portfolio,
                            &self.data,
                            &minute_decision,
@@ -2888,6 +2898,7 @@ where
                process_events: day_process_events,
            });
            result.process_events.extend(process_events);
+            stock_equity_by_date.insert(execution_date, portfolio.total_equity());
        }

        if let Some(last_date) = execution_dates.last().copied() {
@@ -4323,6 +4334,43 @@ mod tests {
        }
    }

+    #[derive(Debug)]
+    struct ScheduledTargetPercentStrategy {
+        first_decision_date: NaiveDate,
+        second_decision_date: NaiveDate,
+    }
+
+    impl Strategy for ScheduledTargetPercentStrategy {
+        fn name(&self) -> &str {
+            "scheduled_target_percent"
+        }
+
+        fn on_day(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+        ) -> Result<StrategyDecision, super::BacktestError> {
+            let order_intents = if ctx.decision_date == self.first_decision_date {
+                vec![OrderIntent::Shares {
+                    symbol: SYMBOL.to_string(),
+                    quantity: 1_000,
+                    reason: "initial_position".to_string(),
+                }]
+            } else if ctx.decision_date == self.second_decision_date {
+                vec![OrderIntent::TargetPercent {
+                    symbol: SYMBOL.to_string(),
+                    target_percent: 0.5,
+                    reason: "frozen_target_percent".to_string(),
+                }]
+            } else {
+                Vec::new()
+            };
+            Ok(StrategyDecision {
+                order_intents,
+                ..StrategyDecision::default()
+            })
+        }
+    }
+
    #[derive(Debug)]
    struct ScheduledEligibleUniverseBuyStrategy {
        rule: ScheduleRule,
@@ -5003,6 +5051,49 @@ mod tests {
        assert_eq!(result.fills[0].quantity, 8_300);
    }

+    #[test]
+    fn next_bar_open_target_percent_freezes_decision_day_equity() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let third = d(2025, 1, 6);
+        let dataset = dataset_from_market_and_candidates(
+            vec![
+                market(first, 10.0, 10.0),
+                market(second, 10.0, 10.0),
+                market(third, 20.0, 20.0),
+            ],
+            vec![candidate(first), candidate(second), candidate(third)],
+        );
+        let config = BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000852.SH".to_string(),
+            start_date: Some(first),
+            end_date: Some(third),
+            decision_lag_trading_days: 1,
+            execution_price_field: PriceField::Open,
+        };
+
+        let result = BacktestEngine::new(
+            dataset,
+            ScheduledTargetPercentStrategy {
+                first_decision_date: first,
+                second_decision_date: second,
+            },
+            scheduled_next_open_broker(FidcRiskControlConfig::default()),
+            config,
+        )
+        .run()
+        .expect("backtest run");
+
+        assert_eq!(result.fills.len(), 2, "fills={:?}", result.fills);
+        assert_eq!(result.fills[0].date, second);
+        assert_eq!(result.fills[0].quantity, 1_000);
+        assert_eq!(result.fills[1].date, third);
+        assert_eq!(result.fills[1].price, 20.0);
+        assert_eq!(result.fills[1].quantity, 1_400);
+        assert_eq!(result.fills[1].decision_date, Some(second));
+    }
+
    #[test]
    fn next_bar_open_executes_last_decision_without_execution_day_factor_snapshot() {
        let first = d(2025, 1, 2);
@@ -315,7 +315,7 @@ fn band_low(index_close) {
            stamp_tax_rate_before_change: None,
            stamp_tax_rate_after_change: None,
            stamp_tax_change_date: None,
-            strict_value_budget: false,
+            strict_value_budget: true,
            rebalance_cash_mode: RebalanceCashMode::default(),
            sell_then_buy_delay_slippage_rate: 0.0,
            risk_config: FidcRiskControlConfig::default(),
@@ -1130,9 +1130,10 @@ fn apply_execution_behavior_overrides(
            cfg.slippage_model = parsed;
        }
    }
-    if let Some(enabled) = strict_value_budget {
-        cfg.strict_value_budget = enabled;
+    if strict_value_budget == Some(false) {
+        return Err("strictValueBudget=false is not supported".to_string());
    }
+    cfg.strict_value_budget = true;
    if let Some(rate) = sell_then_buy_delay_slippage_rate {
        if !rate.is_finite() || !(0.0..1.0).contains(&rate) {
            return Err(
@@ -1886,9 +1887,7 @@ pub fn platform_expr_config_from_spec(
    {
        cfg.minimum_commission = None;
    }
-    if aiquant_profile {
    cfg.strict_value_budget = true;
-    }

    Ok(cfg)
 }
@@ -2767,7 +2766,7 @@ mod tests {
                "matchingType": "current_bar_close",
                "slippageModel": "none",
                "slippageValue": 0.0,
-                "strictValueBudget": false
+                "strictValueBudget": true
            }
        });

@@ -135,7 +135,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
            "AI 生成策略时只能输出完整 engine-script 代码，不输出 Markdown、解释、推理过程、JSON 包装或手册复述。".to_string(),
            "表达式字段以运行时字段为准：市值使用 market_cap，流通市值使用 free_float_cap；不要在策略表达式中使用数据库原始字段 float_market_cap。".to_string(),
            "任意窗口价格均线使用 rolling_mean(\"close\", n) 或 ma(\"close\", n)，任意窗口均量使用 rolling_mean(\"volume\", n) 或 vma(n)；不要使用未列出的 ma60、stock_ma60、signal_ma60 或 benchmark_ma60 变量。".to_string(),
-            "next_bar_open 会用决策日信号生成订单，并在下一可交易开盘撮合；不得把执行日 open/high/low/close 当成下单前已知信息；涨停买入和跌停卖出风控必须用实际 next-open 成交价比较，不能用执行日 close/last 或 next-close。".to_string(),
+            "next_bar_open 会在 T 日收盘冻结目标金额或目标权益，并在下一可交易日按实际 open、滑点、手续费和证券数量步长重算股数；不得把执行日 open/high/low/close 当成下单前已知信息，也不得用 T+1 prev_close 或 T 日估算股数直接成交；涨停买入和跌停卖出风控必须用实际 next-open 成交价比较，不能用执行日 close/last 或 next-close。".to_string(),
            "自定义 fn 必须通过参数传入运行时字段；不要用 fn score() 这类零参数函数直接引用 market_cap、close、ma5 等股票字段。".to_string(),
            "禁止自由 Python/JavaScript 命令式语句，最终必须输出平台 DSL。".to_string(),
        ],
@@ -258,7 +258,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
            },
            ManualSection {
                title: "execution.matching_type / execution.slippage".to_string(),
-                detail: "设置回测全局撮合模式和滑点。日线回测只允许 execution.matching_type(\"current_bar_close\") 或 execution.matching_type(\"next_bar_open\")；current_bar_close 使用决策日当日 close，next_bar_open 使用决策日信号并在下一可交易日 open 撮合，禁止把执行日 open/high/low/close 解释为下单前已知数据；next_bar_open 的涨停买入和跌停卖出判断必须比较实际 open 成交价与涨跌停价，不能用执行日 close/last 或 next-close。分钟线回测使用当前分钟价格成交，只能写 execution.matching_type(\"minute_last\")；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type，这些只属于显式订单或内部撮合能力。日线调仓现金口径由 execution.rebalance_cash_mode(\"sell_then_buy\" | \"same_point_net\" | \"pre_open_cash\") 或页面/API 参数控制，默认 sell_then_buy；sell_then_buy_delay_slippage_rate 只来自页面/API 执行参数，默认 0，不要写进策略表达式。滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(),
+                detail: "设置回测全局撮合模式和滑点。日线回测只允许 execution.matching_type(\"current_bar_close\") 或 execution.matching_type(\"next_bar_open\")；current_bar_close 使用决策日当日 close，next_bar_open 在 T 日收盘冻结目标金额或目标权益，并在下一可交易日按实际 open、滑点、手续费和证券数量步长重算股数，保证执行金额加手续费不超过分配金额；禁止把执行日 open/high/low/close 解释为下单前已知数据，也禁止用 T+1 prev_close 或 T 日估算股数直接成交；next_bar_open 的涨停买入和跌停卖出判断必须比较实际 open 成交价与涨跌停价，不能用执行日 close/last 或 next-close。金额预算始终严格，execution.strict_value_budget(false) 会被拒绝。分钟线回测使用当前分钟价格成交，只能写 execution.matching_type(\"minute_last\")；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type，这些只属于显式订单或内部撮合能力。日线调仓现金口径由 execution.rebalance_cash_mode(\"sell_then_buy\" | \"same_point_net\" | \"pre_open_cash\") 或页面/API 参数控制，默认 sell_then_buy；sell_then_buy_delay_slippage_rate 只来自页面/API 执行参数，默认 0，不要写进策略表达式。滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(),
            },
            ManualSection {
                title: "期货提交校验".to_string(),
@@ -485,6 +485,7 @@ pub fn render_manual_markdown(manual: &StrategyAiManual) -> String {
    out.push_str("- 完整三元表达式 `cond ? a : b` 可在表达式参数中使用；若当前运行环境报 `Unknown operator: '?'`，先重编译并重启回测服务，不要改写策略语义掩盖运行时漂移。\n");
    out.push_str("- `next_bar_open` 的选股、排序和仓位信号来自决策日，订单在下一可交易开盘撮合；不要使用执行日价格作为下单前信号。\n");
    out.push_str("- `next_bar_open` 必须区分信号日、订单创建日和实际成交日：T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断；涨停买入和跌停卖出必须比较实际 next-open 成交价与涨跌停价，不能用执行日 close/last 或 next-close；禁止用 T 日执行状态拦截 T+1 可交易订单。\n");
+    out.push_str("- 日线目标金额、目标比例和目标权重在 `next_bar_open` 下冻结 T 日收盘目标，T+1 按实际 open、滑点、卖后买延迟滑点、手续费和证券数量步长重算股数；禁止用 T+1 prev_close、T 日估算股数或 T+1 开盘后权益替代。金额预算始终严格，不能生成 `execution.strict_value_budget(false)`。\n");
    out.push_str("- `execution.matching_type(...)` 和 `execution.slippage(...)` 必须使用手册列出的合法取值。\n\n");
    out.push_str("## 语句块\n");
    for item in &manual.statement_blocks {
@@ -564,7 +565,7 @@ pub fn build_generation_prompt(
    prompt.push('\n');
    prompt.push_str("- 不要使用手册未列出的字段、函数或外部平台 API 名称。\n\n");
    prompt.push_str("只允许使用这些可编译语句：market、benchmark、signal、rebalance.every_days(...).at([...])、selection.limit、selection.market_cap_band、filter.stock_ma、filter.stock_expr、ordering.rank_by、ordering.rank_expr、allocation.buy_scale、risk.stop_loss、risk.take_profit、risk.index_exposure、risk.policy、risk.blacklist、execution.matching_type、execution.slippage、universe.exclude。universe.exclude 只用于用户明确要求的业务排除项，不能表达 FIDC 基础风控。禁止输出 filter(...)、rank(...)、select.top(...)、weight.equal()、sell_rule(...)、backtest(...)、risk.max_position(...) 这类未支持伪语法。\n");
-    prompt.push_str(&format!("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；rolling_mean、rolling_sum/min/max/stddev/zscore、pct_change、factor_value 等 helper 的第一个参数必须是字段名或字符串字段名，不能传嵌套表达式或另一个 helper 调用；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，不要写 is_st == 0；filter.stock_expr 只写 alpha 或业务过滤条件，不要把 !is_st、!paused、!at_upper_limit、!at_lower_limit 这类基础风控散落在表达式里；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；risk.policy 只写 FIDC 基础风控、成交量和交易成本命名参数，必须覆盖完整默认配置面，例如 {DEFAULT_RISK_POLICY_DSL_PROMPT}，不要用它表达策略择时或收益规则；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；日线回测 execution.matching_type 只能取 current_bar_close 或 next_bar_open，分钟线回测只能取 minute_last；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；next_bar_open 下 T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断；涨停买入和跌停卖出必须用实际 next-open 成交价比较，不能用执行日 close/last 或 next-close；禁止用 T 日执行状态拦截 T+1 可交易订单；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n"));
+    prompt.push_str(&format!("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；rolling_mean、rolling_sum/min/max/stddev/zscore、pct_change、factor_value 等 helper 的第一个参数必须是字段名或字符串字段名，不能传嵌套表达式或另一个 helper 调用；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，不要写 is_st == 0；filter.stock_expr 只写 alpha 或业务过滤条件，不要把 !is_st、!paused、!at_upper_limit、!at_lower_limit 这类基础风控散落在表达式里；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；risk.policy 只写 FIDC 基础风控、成交量和交易成本命名参数，必须覆盖完整默认配置面，例如 {DEFAULT_RISK_POLICY_DSL_PROMPT}，不要用它表达策略择时或收益规则；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；日线回测 execution.matching_type 只能取 current_bar_close 或 next_bar_open，分钟线回测只能取 minute_last；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；next_bar_open 下 T 日只生成订单意图并在收盘冻结目标金额或目标权益，T+1 按实际 open、滑点、手续费和证券数量步长重算股数，不能用 T+1 prev_close 或 T 日估算股数直接成交；涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断；涨停买入和跌停卖出必须用实际 next-open 成交价比较，不能用执行日 close/last 或 next-close；禁止用 T 日执行状态拦截 T+1 可交易订单；金额预算始终严格，禁止 execution.strict_value_budget(false)；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n"));
    prompt.push_str("回测成功但 tradeCount=0 或 holdingCount=0 是无效策略；第一版必须保持稳定买入覆盖率，复杂因子只能在后续优化中逐步加严。\n");
    prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && close > 2)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.policy(");
    prompt.push_str(DEFAULT_RISK_POLICY_DSL_CODE);
@@ -3714,15 +3714,7 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
            .iter()
            .any(|event| event.symbol == "000002.SZ" && event.side == fidc_core::OrderSide::Buy)
    );
-    assert!(
-        report
-            .diagnostics
-            .iter()
-            .any(|line| line.contains("rebalance_safety_scaled")
-                || line.contains("rebalance_buy_reduced")),
-        "expected rebalance diagnostics when cash is tight, got {:?}",
-        report.diagnostics
-    );
+    assert!(report.diagnostics.is_empty(), "{:?}", report.diagnostics);
 }

 #[test]