Merge remote-tracking branch 'origin/main'

# Conflicts:
#	crates/fidc-core/src/metrics.rs

crates/fidc-core/src/broker.rs

@@ -3749,6 +3749,7 @@ where
                 gross_amount,
                 commission: cost.commission,
                 stamp_tax: cost.stamp_tax,
+                transfer_fee: cost.transfer_fee,
                 net_cash_flow: net_cash,
                 reason: reason.to_string(),
             });
@@ -5400,6 +5401,7 @@ where
                 gross_amount,
                 commission: cost.commission,
                 stamp_tax: cost.stamp_tax,
+                transfer_fee: cost.transfer_fee,
                 net_cash_flow: -cash_out,
                 reason: reason.to_string(),
             });

crates/fidc-core/src/cost.rs

@@ -9,11 +9,12 @@ use crate::risk_control::TradingConstraintConfig;
 pub struct TradingCost {
     pub commission: f64,
     pub stamp_tax: f64,
+    pub transfer_fee: f64,
 }
 
 impl TradingCost {
     pub fn total(self) -> f64 {
-        self.commission + self.stamp_tax
+        self.commission + self.stamp_tax + self.transfer_fee
     }
 }
 
@@ -39,6 +40,7 @@ pub struct ChinaAShareCostModel {
     pub stamp_tax_rate_after_change: f64,
     pub stamp_tax_change_date: NaiveDate,
     pub minimum_commission: f64,
+    pub transfer_fee_rate: f64,
 }
 
 impl Default for ChinaAShareCostModel {
@@ -55,6 +57,7 @@ impl ChinaAShareCostModel {
             stamp_tax_rate_after_change: config.stamp_tax_rate_after_change,
             stamp_tax_change_date: config.stamp_tax_change_date,
             minimum_commission: config.minimum_commission,
+            transfer_fee_rate: config.transfer_fee_rate,
         }
     }
 
@@ -80,6 +83,13 @@ impl ChinaAShareCostModel {
         gross_amount * self.stamp_tax_rate_for(date)
     }
 
+    pub fn transfer_fee_for(&self, gross_amount: f64) -> f64 {
+        if gross_amount <= 0.0 {
+            return 0.0;
+        }
+        gross_amount * self.transfer_fee_rate
+    }
+
     pub fn commission_for_order_fill(
         &self,
         gross_amount: f64,
@@ -124,15 +134,18 @@ impl CostModel for ChinaAShareCostModel {
             return TradingCost {
                 commission: 0.0,
                 stamp_tax: 0.0,
+                transfer_fee: 0.0,
             };
         }
 
         let commission = self.commission_for(gross_amount);
         let stamp_tax = self.stamp_tax_for(date, side, gross_amount);
+        let transfer_fee = self.transfer_fee_for(gross_amount);
 
         TradingCost {
             commission,
             stamp_tax,
+            transfer_fee,
         }
     }
 
@@ -148,15 +161,18 @@ impl CostModel for ChinaAShareCostModel {
             return TradingCost {
                 commission: 0.0,
                 stamp_tax: 0.0,
+                transfer_fee: 0.0,
             };
         }
 
         let commission = self.commission_for_order_fill(gross_amount, order_id, commission_state);
         let stamp_tax = self.stamp_tax_for(date, side, gross_amount);
+        let transfer_fee = self.transfer_fee_for(gross_amount);
 
         TradingCost {
             commission,
             stamp_tax,
+            transfer_fee,
         }
     }
 }
@@ -181,6 +197,7 @@ mod tests {
         let config = TradingConstraintConfig {
             commission_rate: 0.0003,
             minimum_commission: 5.0,
+            transfer_fee_rate: 0.00001,
             stamp_tax_rate_before_change: 0.002,
             stamp_tax_rate_after_change: 0.001,
             stamp_tax_change_date: NaiveDate::from_ymd_opt(2025, 1, 10).expect("valid date"),
@@ -188,6 +205,8 @@ mod tests {
         };
         let model = ChinaAShareCostModel::from_trading_constraints(config);
 
+        assert!((model.transfer_fee_for(10_000.0) - 0.1).abs() < 1e-12);
+
         assert!(
             (model.stamp_tax_for(
                 NaiveDate::from_ymd_opt(2025, 1, 9).expect("valid date"),

crates/fidc-core/src/engine.rs

@@ -203,7 +203,7 @@ impl BacktestResult {
                     quantity: fill.quantity,
                     price: fill.price,
                     gross_amount: fill.gross_amount,
-                    transaction_cost: fill.commission + fill.stamp_tax,
+                    transaction_cost: fill.commission + fill.stamp_tax + fill.transfer_fee,
                     net_cash_flow: fill.net_cash_flow,
                     reason: fill.reason.clone(),
                 })
@@ -2921,6 +2921,7 @@ where
             &result.equity_curve,
             &result.fills,
             &result.daily_holdings,
+            &result.account_events,
             self.aggregate_initial_cash(),
         );
 
@@ -3169,6 +3170,7 @@ where
                             gross_amount: reinvest_cash,
                             commission: 0.0,
                             stamp_tax: 0.0,
+                            transfer_fee: 0.0,
                             net_cash_flow: -reinvest_cash,
                             reason: "dividend_reinvestment".to_string(),
                         });

crates/fidc-core/src/events.rs

@@ -125,6 +125,7 @@ pub struct FillEvent {
     pub gross_amount: f64,
     pub commission: f64,
     pub stamp_tax: f64,
+    pub transfer_fee: f64,
     pub net_cash_flow: f64,
     pub reason: String,
 }

crates/fidc-core/src/futures.rs

@@ -837,6 +837,7 @@ impl FuturesAccountState {
                     gross_amount: notional,
                     commission: intent.transaction_cost.max(0.0),
                     stamp_tax: 0.0,
+                    transfer_fee: 0.0,
                     net_cash_flow: cash_delta,
                     reason: format!(
                         "{} direction={} effect={}",

crates/fidc-core/src/metrics.rs

@@ -4,7 +4,7 @@ use chrono::{Datelike, NaiveDate};
 use serde::{Deserialize, Serialize};
 
 use crate::engine::DailyEquityPoint;
-use crate::events::FillEvent;
+use crate::events::{AccountEvent, FillEvent};
 use crate::portfolio::HoldingSummary;
 
 const TRADING_DAYS_PER_YEAR: f64 = 252.0;
@@ -61,6 +61,7 @@ pub fn compute_backtest_metrics(
     equity_curve: &[DailyEquityPoint],
     fills: &[FillEvent],
     daily_holdings: &[HoldingSummary],
+    account_events: &[AccountEvent],
     initial_cash: f64,
 ) -> BacktestMetrics {
     let Some(first_point) = equity_curve.first() else {
@@ -86,14 +87,26 @@ pub fn compute_backtest_metrics(
     } else {
         first_point.benchmark_close
     };
-    let nav_series = equity_curve
-        .iter()
-        .map(|point| point_nav(point, initial_cash))
-        .collect::<Vec<_>>();
-    let mut returns = Vec::with_capacity(nav_series.len());
-    returns.push(pct_change(1.0, nav_series[0]));
+    let explicit_unit_nav = equity_curve.iter().any(|point| {
+        point.external_cash_flow.abs() > f64::EPSILON
+            || (point.unit_nav.is_finite()
+                && point.unit_nav > 0.0
+                && (point.unit_nav - safe_div(point.total_equity, initial_cash, 1.0)).abs() > 1e-12)
+    });
+    let portfolio_nav = if explicit_unit_nav {
+        equity_curve
+            .iter()
+            .map(|point| point_nav(point, initial_cash))
+            .collect::<Vec<_>>()
+    } else {
+        flow_neutral_nav_series(equity_curve, account_events, initial_cash)
+    };
+    let mut returns = Vec::with_capacity(portfolio_nav.len());
+    if let Some(first_nav) = portfolio_nav.first().copied() {
+        returns.push(pct_change(1.0, first_nav));
+    }
     returns.extend(
-        nav_series
+        portfolio_nav
             .windows(2)
             .map(|window| pct_change(window[0], window[1])),
     );
@@ -116,12 +129,12 @@ pub fn compute_backtest_metrics(
         last_point.benchmark_close / benchmark_start
     };
     let benchmark_cumulative_return = benchmark_net_value - 1.0;
-    let final_nav = *nav_series.last().unwrap_or(&1.0);
+    let final_nav = portfolio_nav.last().copied().unwrap_or(1.0);
     let total_return = final_nav - 1.0;
     let excess_cumulative_return = if benchmark_net_value.abs() < f64::EPSILON {
         total_return
     } else {
-        final_nav / benchmark_net_value - 1.0
+        portfolio_nav.last().copied().unwrap_or(0.0) / benchmark_net_value - 1.0
     };
     let excess_return = total_return - benchmark_cumulative_return;
     let annual_return = annualize_return(total_return, trade_days);
@@ -138,7 +151,7 @@ pub fn compute_backtest_metrics(
     let excess_sharpe = annualized_sharpe(&excess_returns, 0.0, TRADING_DAYS_PER_YEAR);
     let (alpha, beta) = alpha_beta(&returns, &benchmark_returns, daily_rf);
 
-    let equity_nav = nav_series;
+    let equity_nav = portfolio_nav;
     let benchmark_nav_series = equity_curve
         .iter()
         .map(|point| safe_div(point.benchmark_close, benchmark_start, 1.0))
@@ -157,8 +170,7 @@ pub fn compute_backtest_metrics(
     let win_rate = ratio(winning_days, returns.len());
     let excess_win_rate = ratio(excess_winning_days, excess_returns.len());
 
-    let monthly_portfolio_returns =
-        group_monthly_returns(equity_curve, 1.0, |point| point_nav(point, initial_cash));
+    let monthly_portfolio_returns = group_monthly_returns_from_values(equity_curve, &equity_nav);
     let monthly_benchmark_returns =
         group_monthly_returns(equity_curve, benchmark_start, |point| point.benchmark_close);
     let monthly_excess_returns = monthly_portfolio_returns
@@ -262,10 +274,14 @@ pub fn compute_backtest_metrics(
         cash_balance: last_point.cash,
         unit_nav: final_nav,
         initial_cash,
-        external_cash_flow_total: equity_curve
-            .iter()
-            .map(|point| point.external_cash_flow)
-            .sum(),
+        external_cash_flow_total: if explicit_unit_nav {
+            equity_curve
+                .iter()
+                .map(|point| point.external_cash_flow)
+                .sum()
+        } else {
+            external_flow_total_from_events(account_events)
+        },
         excess_win_rate,
         monthly_sharpe,
         monthly_volatility,
@@ -399,6 +415,80 @@ fn drawdown_stats(nav: &[f64]) -> (f64, usize) {
     (max_drawdown, max_duration)
 }
 
+fn flow_neutral_nav_series(
+    equity_curve: &[DailyEquityPoint],
+    account_events: &[AccountEvent],
+    initial_cash: f64,
+) -> Vec<f64> {
+    let mut external_flow_by_date = BTreeMap::<NaiveDate, f64>::new();
+    for event in account_events {
+        if !(event.note.starts_with("deposit_withdraw amount=")
+            || event.note.starts_with("deposit_withdraw_settled amount="))
+        {
+            continue;
+        }
+        *external_flow_by_date.entry(event.date).or_default() +=
+            event.cash_after - event.cash_before;
+    }
+
+    let mut units = initial_cash;
+    let mut previous_equity = initial_cash;
+    let mut navs = Vec::with_capacity(equity_curve.len());
+    for point in equity_curve {
+        let unit_nav_before_flow = safe_div(previous_equity, units, 1.0);
+        let external_flow = external_flow_by_date
+            .get(&point.date)
+            .copied()
+            .unwrap_or_default();
+        if external_flow.abs() > f64::EPSILON && unit_nav_before_flow.is_finite() {
+            units += external_flow / unit_nav_before_flow;
+        }
+        let unit_nav = safe_div(point.total_equity, units, 0.0);
+        navs.push(unit_nav);
+        previous_equity = point.total_equity;
+    }
+    navs
+}
+
+fn external_flow_total_from_events(account_events: &[AccountEvent]) -> f64 {
+    account_events
+        .iter()
+        .filter(|event| {
+            event.note.starts_with("deposit_withdraw amount=")
+                || event.note.starts_with("deposit_withdraw_settled amount=")
+        })
+        .map(|event| event.cash_after - event.cash_before)
+        .sum()
+}
+
+fn group_monthly_returns_from_values(
+    equity_curve: &[DailyEquityPoint],
+    values: &[f64],
+) -> Vec<f64> {
+    let mut month_last = BTreeMap::<(i32, u32), f64>::new();
+    let mut month_first = BTreeMap::<(i32, u32), f64>::new();
+    let mut previous_value = 1.0;
+    for (point, value) in equity_curve.iter().zip(values.iter().copied()) {
+        let key = (point.date.year(), point.date.month());
+        month_first.entry(key).or_insert(previous_value);
+        month_last.insert(key, value);
+        previous_value = value;
+    }
+    let mut keys = month_last.keys().copied().collect::<Vec<_>>();
+    keys.sort_unstable();
+    keys.into_iter()
+        .filter_map(|key| {
+            let first = month_first.get(&key).copied().unwrap_or_default();
+            let last = month_last.get(&key).copied().unwrap_or_default();
+            if first.abs() < f64::EPSILON {
+                None
+            } else {
+                Some((last / first) - 1.0)
+            }
+        })
+        .collect()
+}
+
 fn group_monthly_returns<F>(
     equity_curve: &[DailyEquityPoint],
     initial_value: f64,
@@ -516,7 +606,7 @@ mod tests {
             equity_point("2025-01-02", 100.0, 5797.089, 5957.717),
             equity_point("2025-12-31", 120.0, 7595.285, 7597.299),
         ];
-        let metrics = compute_backtest_metrics(&curve, &[], &[], 100.0);
+        let metrics = compute_backtest_metrics(&curve, &[], &[], &[], 100.0);
         let expected = 7595.285 / 5957.717 - 1.0;
         assert!((metrics.benchmark_cumulative_return - expected).abs() < 1e-12);
     }
@@ -527,20 +617,27 @@ mod tests {
             equity_point("2025-01-02", 100.0, 100.0, 100.0),
             DailyEquityPoint {
                 date: NaiveDate::from_ymd_opt(2025, 1, 3).unwrap(),
-                cash: 200.0,
+                cash: 220.0,
                 market_value: 0.0,
-                total_equity: 200.0,
+                total_equity: 220.0,
                 external_cash_flow: 100.0,
-                unit_nav: 1.0,
+                unit_nav: 1.1,
                 benchmark_close: 100.0,
                 benchmark_prev_close: 100.0,
                 notes: String::new(),
                 diagnostics: String::new(),
             },
         ];
-        let metrics = compute_backtest_metrics(&curve, &[], &[], 100.0);
-        assert!((metrics.total_return - 0.0).abs() < 1e-12);
-        assert!((metrics.unit_nav - 1.0).abs() < 1e-12);
+        let events = vec![AccountEvent {
+            date: NaiveDate::from_ymd_opt(2025, 1, 3).unwrap(),
+            cash_before: 100.0,
+            cash_after: 200.0,
+            total_equity: 200.0,
+            note: "deposit_withdraw amount=100.00 reason=test".to_string(),
+        }];
+        let metrics = compute_backtest_metrics(&curve, &[], &[], &events, 100.0);
+        assert!((metrics.total_return - 0.1).abs() < 1e-12);
+        assert!((metrics.unit_nav - 1.1).abs() < 1e-12);
         assert!((metrics.external_cash_flow_total - 100.0).abs() < 1e-12);
     }
 }

crates/fidc-core/src/platform_strategy_spec.rs

@@ -67,6 +67,8 @@ pub struct StrategyRebalanceSpec {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExecutionSpec {
+    #[serde(default)]
+    pub frequency: Option<String>,
     #[serde(default, alias = "matching_type")]
     pub matching_type: Option<String>,
     #[serde(default, alias = "slippage_model")]
@@ -88,6 +90,8 @@ pub struct StrategyExecutionSpec {
         alias = "minCommission"
     )]
     pub minimum_commission: Option<f64>,
+    #[serde(default, alias = "transfer_fee_rate", alias = "transferFeeRate")]
+    pub transfer_fee_rate: Option<f64>,
     #[serde(default, alias = "stamp_tax_rate")]
     pub stamp_tax_rate: Option<f64>,
     #[serde(default, alias = "stamp_tax_rate_before_change")]
@@ -115,6 +119,8 @@ pub struct StrategyExecutionSpec {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyEngineConfig {
+    #[serde(default)]
+    pub frequency: Option<String>,
     #[serde(default)]
     pub template_id: Option<String>,
     #[serde(default, alias = "benchmark_symbol")]
@@ -158,6 +164,8 @@ pub struct StrategyEngineConfig {
         alias = "minCommission"
     )]
     pub minimum_commission: Option<f64>,
+    #[serde(default, alias = "transfer_fee_rate", alias = "transferFeeRate")]
+    pub transfer_fee_rate: Option<f64>,
     #[serde(default, alias = "stamp_tax_rate")]
     pub stamp_tax_rate: Option<f64>,
     #[serde(default, alias = "stamp_tax_rate_before_change")]
@@ -278,6 +286,8 @@ pub struct StrategyRiskPolicySpec {
         alias = "minCommission"
     )]
     pub minimum_commission: Option<f64>,
+    #[serde(default, alias = "transfer_fee_rate", alias = "transferFeeRate")]
+    pub transfer_fee_rate: Option<f64>,
     #[serde(default, alias = "stamp_tax_rate")]
     pub stamp_tax_rate: Option<f64>,
     #[serde(default, alias = "stamp_tax_rate_before_change")]
@@ -339,6 +349,7 @@ const RISK_POLICY_VALUE_ALIAS_GROUPS: &[(&str, &[&str])] = &[
         "minimumCommission",
         &["minimum_commission", "min_commission", "minCommission"],
     ),
+    ("transferFeeRate", &["transfer_fee_rate"]),
     ("stampTaxRate", &["stamp_tax_rate"]),
     (
         "stampTaxRateBeforeChange",
@@ -902,6 +913,7 @@ fn apply_cost_overrides(
     cfg: &mut PlatformExprStrategyConfig,
     commission_rate: Option<f64>,
     minimum_commission: Option<f64>,
+    transfer_fee_rate: Option<f64>,
     stamp_tax_rate: Option<f64>,
     stamp_tax_rate_before_change: Option<f64>,
     stamp_tax_rate_after_change: Option<f64>,
@@ -915,6 +927,9 @@ fn apply_cost_overrides(
         cfg.minimum_commission = Some(value);
         cfg.risk_config.trading_constraints.minimum_commission = value;
     }
+    if let Some(value) = valid_non_negative(transfer_fee_rate) {
+        cfg.risk_config.trading_constraints.transfer_fee_rate = value;
+    }
     if let Some(value) = valid_non_negative(stamp_tax_rate) {
         cfg.stamp_tax_rate_before_change = Some(value);
         cfg.stamp_tax_rate_after_change = Some(value);
@@ -1070,6 +1085,7 @@ fn apply_risk_policy_overrides(
         cfg,
         policy.commission_rate,
         policy.minimum_commission,
+        policy.transfer_fee_rate,
         policy.stamp_tax_rate,
         policy.stamp_tax_rate_before_change,
         policy.stamp_tax_rate_after_change,
@@ -1491,6 +1507,7 @@ pub fn platform_expr_config_from_spec(
             &mut cfg,
             engine.commission_rate,
             engine.minimum_commission,
+            engine.transfer_fee_rate,
             engine.stamp_tax_rate,
             engine.stamp_tax_rate_before_change,
             engine.stamp_tax_rate_after_change,
@@ -1951,6 +1968,7 @@ pub fn platform_expr_config_from_spec(
             &mut cfg,
             execution.commission_rate,
             execution.minimum_commission,
+            execution.transfer_fee_rate,
             execution.stamp_tax_rate,
             execution.stamp_tax_rate_before_change,
             execution.stamp_tax_rate_after_change,

crates/fidc-core/src/risk_control.rs

@@ -82,6 +82,7 @@ pub struct TradingConstraintConfig {
     pub liquidity_limit_enabled: bool,
     pub commission_rate: f64,
     pub minimum_commission: f64,
+    pub transfer_fee_rate: f64,
     pub stamp_tax_rate_before_change: f64,
     pub stamp_tax_rate_after_change: f64,
     pub stamp_tax_change_date: NaiveDate,
@@ -95,6 +96,7 @@ impl Default for TradingConstraintConfig {
             liquidity_limit_enabled: true,
             commission_rate: 0.0003,
             minimum_commission: 5.0,
+            transfer_fee_rate: 0.0,
             stamp_tax_rate_before_change: 0.001,
             stamp_tax_rate_after_change: 0.0005,
             stamp_tax_change_date: NaiveDate::from_ymd_opt(2023, 8, 28)

crates/fidc-core/src/strategy.rs

@@ -315,7 +315,7 @@ impl StrategyContext<'_> {
         let gross_amount = fills.iter().map(|fill| fill.gross_amount).sum::<f64>();
         let transaction_cost = fills
             .iter()
-            .map(|fill| fill.commission + fill.stamp_tax)
+            .map(|fill| fill.commission + fill.stamp_tax + fill.transfer_fee)
             .sum::<f64>();
         let avg_price = if filled_quantity == 0 {
             0.0