修复next-open执行日风控价格

crates/fidc-core/src/engine.rs

@@ -5210,6 +5210,30 @@ mod tests {
         );
     }
 
+    #[test]
+    fn next_bar_open_execution_risk_uses_open_not_close_for_upper_limit_buy() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market_with_state(second, 11.8, 12.0, false, 12.0, 1.0),
+            candidate(first),
+            candidate(second),
+        ));
+
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, second);
+        assert_eq!(result.fills[0].price, 11.8);
+        assert!(
+            result
+                .order_events
+                .iter()
+                .all(|event| !event.reason.contains("upper limit")),
+            "{:?}",
+            result.order_events
+        );
+    }
+
     #[test]
     fn next_bar_open_execution_risk_rejects_execution_day_st_state() {
         let first = d(2025, 1, 2);
@@ -5344,6 +5368,47 @@ mod tests {
         assert_round_trip_sell_canceled_with_reason(&result, "open at or below lower limit");
     }
 
+    #[test]
+    fn next_bar_open_sell_risk_uses_open_not_close_for_lower_limit_sell() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let third = d(2025, 1, 6);
+        let fourth = d(2025, 1, 7);
+        let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
+            dataset_from_market_and_candidates(
+                vec![
+                    market(first, 10.0, 10.5),
+                    market(second, 11.0, 11.5),
+                    market(third, 12.0, 12.5),
+                    market_with_state(fourth, 9.2, 9.0, false, 20.0, 9.0),
+                ],
+                vec![
+                    candidate(first),
+                    candidate(second),
+                    candidate(third),
+                    candidate(fourth),
+                ],
+            ),
+            scheduled_next_open_broker(FidcRiskControlConfig::default()),
+        );
+
+        let sell_fill = result
+            .fills
+            .iter()
+            .find(|fill| fill.side == OrderSide::Sell)
+            .expect("sell should execute when next-open is above lower limit");
+        assert_eq!(sell_fill.date, fourth);
+        assert_eq!(sell_fill.price, 9.2);
+        assert!(
+            result
+                .order_events
+                .iter()
+                .all(|event| !event.reason.contains("lower limit")),
+            "{:?}",
+            result.order_events
+        );
+    }
+
     #[test]
     fn next_bar_open_sell_respects_allow_sell_policy_on_execution_day() {
         let first = d(2025, 1, 2);

crates/fidc-core/src/platform_expr_strategy.rs

@@ -1209,19 +1209,73 @@ impl PlatformExprStrategy {
             .max(1)
     }
 
+    fn projected_execution_price_field(&self) -> PriceField {
+        match self.config.matching_type {
+            MatchingType::OpenAuction => PriceField::DayOpen,
+            MatchingType::CurrentBarClose => PriceField::Close,
+            MatchingType::NextBarOpen => PriceField::Open,
+            MatchingType::MinuteLast
+            | MatchingType::MinuteBestOwn
+            | MatchingType::MinuteBestCounterparty
+            | MatchingType::Vwap
+            | MatchingType::Twap => PriceField::Last,
+        }
+    }
+
     fn projected_execution_price(&self, market: &DailyMarketSnapshot, side: OrderSide) -> f64 {
-        if self.config.aiquant_transaction_cost {
+        let price_field = self.projected_execution_price_field();
+        if self.config.aiquant_transaction_cost && price_field != PriceField::Open {
             let last = market.price(PriceField::Last);
             if last.is_finite() && last > 0.0 {
                 return last;
             }
         }
         match side {
-            OrderSide::Buy => market.buy_price(PriceField::Last),
-            OrderSide::Sell => market.sell_price(PriceField::Last),
+            OrderSide::Buy => market.buy_price(price_field),
+            OrderSide::Sell => market.sell_price(price_field),
         }
     }
 
+    fn projected_risk_check_price(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+        market: &DailyMarketSnapshot,
+        side: OrderSide,
+        execution_time: Option<NaiveTime>,
+    ) -> f64 {
+        if self.config.matching_type == MatchingType::NextBarOpen {
+            return match side {
+                OrderSide::Buy => market.buy_price(PriceField::Open),
+                OrderSide::Sell => market.sell_price(PriceField::Open),
+            };
+        }
+        if self.config.aiquant_transaction_cost {
+            let scheduled_price = match side {
+                OrderSide::Buy => self.aiquant_scheduled_buy_price(ctx, date, symbol),
+                OrderSide::Sell => {
+                    self.aiquant_scheduled_sell_price_at_time(ctx, date, symbol, execution_time)
+                }
+            };
+            return scheduled_price.unwrap_or_else(|| market.price(PriceField::Last));
+        }
+        if side == OrderSide::Buy {
+            let price_field = match self.config.matching_type {
+                MatchingType::NextBarOpen => PriceField::Open,
+                MatchingType::CurrentBarClose => PriceField::Close,
+                MatchingType::OpenAuction
+                | MatchingType::MinuteLast
+                | MatchingType::MinuteBestOwn
+                | MatchingType::MinuteBestCounterparty
+                | MatchingType::Vwap
+                | MatchingType::Twap => PriceField::DayOpen,
+            };
+            return market.buy_price(price_field);
+        }
+        self.projected_execution_price(market, side)
+    }
+
     fn projected_execution_start_cursor(
         &self,
         ctx: &StrategyContext<'_>,
@@ -6018,6 +6072,16 @@ impl PlatformExprStrategy {
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
         factor_date: NaiveDate,
+    ) -> Vec<FidcRiskDecisionAudit> {
+        self.selection_risk_decisions_with_options(ctx, date, factor_date, false)
+    }
+
+    fn selection_risk_decisions_with_options(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        factor_date: NaiveDate,
+        defer_limit_state_selection_risk: bool,
     ) -> Vec<FidcRiskDecisionAudit> {
         let mut decisions = Vec::new();
         for factor in ctx.data.factor_snapshots_on(factor_date) {
@@ -6037,6 +6101,11 @@ impl PlatformExprStrategy {
                 ctx.data.instrument(&factor.symbol),
                 &self.config.risk_config,
             ) {
+                if defer_limit_state_selection_risk
+                    && matches!(decision.rule_code.as_str(), "upper_limit" | "lower_limit")
+                {
+                    continue;
+                }
                 decisions.push(decision);
             }
         }
@@ -6326,12 +6395,14 @@ impl PlatformExprStrategy {
         if !self.config.aiquant_transaction_cost && !candidate.allow_sell {
             return false;
         }
-        let check_price = if self.config.aiquant_transaction_cost {
-            self.aiquant_scheduled_sell_price_at_time(ctx, date, symbol, execution_time)
-                .unwrap_or_else(|| market.price(PriceField::Last))
-        } else {
-            market.price(PriceField::Last)
-        };
+        let check_price = self.projected_risk_check_price(
+            ctx,
+            date,
+            symbol,
+            market,
+            OrderSide::Sell,
+            execution_time,
+        );
         ChinaAShareRiskControl::sell_rejection_reason_with_config(
             date,
             candidate,
@@ -6363,12 +6434,8 @@ impl PlatformExprStrategy {
         {
             return Ok(Some("bjse".to_string()));
         }
-        let upper_limit_check_price = if self.config.aiquant_transaction_cost {
-            self.aiquant_scheduled_buy_price(ctx, date, symbol)
-                .unwrap_or_else(|| market.price(PriceField::Last))
-        } else {
-            market.buy_price(PriceField::DayOpen)
-        };
+        let upper_limit_check_price =
+            self.projected_risk_check_price(ctx, date, symbol, &market, OrderSide::Buy, None);
         if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason_with_config(
             date,
             &candidate,
@@ -6397,8 +6464,17 @@ impl PlatformExprStrategy {
         band_high: f64,
         limit: usize,
     ) -> Result<(Vec<String>, Vec<String>, Vec<FidcRiskDecisionAudit>), BacktestError> {
-        let universe = self.selectable_universe_on(ctx, date, universe_factor_date);
-        let risk_decisions = self.selection_risk_decisions(ctx, date, universe_factor_date);
+        let defer_limit_state_selection_risk = ctx.is_lagged_execution();
+        let universe = if defer_limit_state_selection_risk {
+            self.selectable_universe_on_with_options(ctx, date, universe_factor_date, true)
+        } else {
+            self.selectable_universe_on(ctx, date, universe_factor_date)
+        };
+        let risk_decisions = if defer_limit_state_selection_risk {
+            self.selection_risk_decisions_with_options(ctx, date, universe_factor_date, true)
+        } else {
+            self.selection_risk_decisions(ctx, date, universe_factor_date)
+        };
         let mut diagnostics = Self::selection_risk_decision_diagnostics(
             &risk_decisions,
             date,
@@ -7085,7 +7161,8 @@ impl PlatformExprStrategy {
             ctx,
             date,
             universe_factor_date,
-            self.selection_uses_intraday_quote_fields()
+            ctx.is_lagged_execution()
+                || self.selection_uses_intraday_quote_fields()
                 || quote_usage != StockFilterQuoteUsage::DailyOnly,
         );
         let quote_candidate_limit = self.quote_plan_candidate_limit(selection_limit);
@@ -8620,6 +8697,168 @@ mod tests {
         );
     }
 
+    #[test]
+    fn platform_next_open_projected_execution_price_uses_open_not_close() {
+        let date = d(2025, 1, 2);
+        let market = DailyMarketSnapshot {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp: Some(format!("{date} 15:00:00")),
+            day_open: 10.0,
+            open: 10.0,
+            high: 11.0,
+            low: 9.8,
+            close: 11.0,
+            last_price: 11.0,
+            bid1: 11.0,
+            ask1: 11.0,
+            prev_close: 10.0,
+            volume: 1_000_000,
+            minute_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.matching_type = MatchingType::NextBarOpen;
+        let strategy = PlatformExprStrategy::new(cfg);
+
+        assert_eq!(
+            strategy.projected_execution_price(&market, OrderSide::Buy),
+            10.0
+        );
+        assert_eq!(
+            strategy.projected_execution_price(&market, OrderSide::Sell),
+            10.0
+        );
+
+        let mut aiquant_cfg = PlatformExprStrategyConfig::microcap_rotation();
+        aiquant_cfg.matching_type = MatchingType::NextBarOpen;
+        aiquant_cfg.aiquant_transaction_cost = true;
+        let aiquant_strategy = PlatformExprStrategy::new(aiquant_cfg);
+        assert_eq!(
+            aiquant_strategy.projected_execution_price(&market, OrderSide::Buy),
+            10.0
+        );
+        assert_eq!(
+            aiquant_strategy.projected_execution_price(&market, OrderSide::Sell),
+            10.0
+        );
+    }
+
+    #[test]
+    fn platform_next_open_sell_risk_uses_open_not_close_for_lower_limit() {
+        let prev_date = d(2025, 1, 1);
+        let date = d(2025, 1, 2);
+        let symbol = "000001.SZ";
+        let data = DataSet::from_components(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                timestamp: Some(format!("{date} 15:00:00")),
+                day_open: 9.2,
+                open: 9.2,
+                high: 9.5,
+                low: 9.0,
+                close: 9.0,
+                last_price: 9.0,
+                bid1: 9.0,
+                ask1: 9.01,
+                prev_close: 10.0,
+                volume: 1_000_000,
+                minute_volume: 10_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 8.0,
+                pe_ttm: 12.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            vec![CandidateEligibility {
+                date,
+                symbol: symbol.to_string(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            }],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 999.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let mut portfolio = PortfolioState::new(1_000_000.0);
+        portfolio.position_mut(symbol).buy(prev_date, 1_000, 10.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 1,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.matching_type = MatchingType::NextBarOpen;
+        let strategy = PlatformExprStrategy::new(cfg);
+
+        assert!(
+            strategy.can_sell_position_at_time(&ctx, date, symbol, None),
+            "next-open sell should use open=9.2 instead of close=9.0 for lower-limit risk"
+        );
+
+        let mut aiquant_cfg = PlatformExprStrategyConfig::microcap_rotation();
+        aiquant_cfg.matching_type = MatchingType::NextBarOpen;
+        aiquant_cfg.aiquant_transaction_cost = true;
+        let aiquant_strategy = PlatformExprStrategy::new(aiquant_cfg);
+        assert!(
+            aiquant_strategy.can_sell_position_at_time(&ctx, date, symbol, None),
+            "next-open risk must still use open when compatibility profile enables scheduled quotes"
+        );
+    }
+
     #[test]
     fn platform_selection_kcb_switch_overrides_legacy_universe_exclude() {
         let date = d(2025, 1, 2);
@@ -11952,6 +12191,149 @@ mod tests {
         assert!(selected.is_empty());
     }
 
+    #[test]
+    fn platform_next_open_select_symbols_defers_decision_day_limit_state() {
+        let decision_date = d(2025, 1, 2);
+        let execution_date = d(2025, 1, 3);
+        let signal = "000001.SH";
+        let symbol = "600001.SH";
+        let market =
+            |date: NaiveDate, code: &str, open: f64, close: f64, upper: f64, lower: f64| {
+                DailyMarketSnapshot {
+                    date,
+                    symbol: code.to_string(),
+                    timestamp: Some(format!("{date} 15:00:00")),
+                    day_open: open,
+                    open,
+                    high: close.max(open),
+                    low: close.min(open),
+                    close,
+                    last_price: close,
+                    bid1: close,
+                    ask1: close,
+                    prev_close: 10.0,
+                    volume: 1_000_000,
+                    minute_volume: 10_000,
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    trading_phase: Some("continuous".to_string()),
+                    paused: false,
+                    upper_limit: upper,
+                    lower_limit: lower,
+                    price_tick: 0.01,
+                }
+            };
+        let data = DataSet::from_components(
+            [signal, symbol]
+                .into_iter()
+                .map(|code| Instrument {
+                    symbol: code.to_string(),
+                    name: code.to_string(),
+                    board: if code.ends_with(".SH") { "SH" } else { "SZ" }.to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                })
+                .collect(),
+            vec![
+                market(decision_date, signal, 10.0, 10.1, 11.0, 9.0),
+                market(execution_date, signal, 10.0, 10.1, 11.0, 9.0),
+                market(decision_date, symbol, 10.9, 11.0, 11.0, 9.0),
+                market(execution_date, symbol, 10.5, 10.6, 11.0, 9.0),
+            ],
+            vec![DailyFactorSnapshot {
+                date: decision_date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 12.0,
+                free_float_cap_bn: 8.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            vec![CandidateEligibility {
+                date: decision_date,
+                symbol: symbol.to_string(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            }],
+            [decision_date, execution_date]
+                .into_iter()
+                .map(|date| BenchmarkSnapshot {
+                    date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1000.0,
+                    prev_close: 999.0,
+                    volume: 1_000_000,
+                })
+                .collect(),
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date,
+            decision_date,
+            decision_index: 1,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.matching_type = MatchingType::NextBarOpen;
+        cfg.signal_symbol = signal.to_string();
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "100".to_string();
+        cfg.selection_limit_expr = "1".to_string();
+        cfg.stock_filter_expr = "true".to_string();
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let day = strategy.day_state(&ctx, decision_date).expect("day state");
+
+        let (selected, diagnostics, risk_decisions) = strategy
+            .select_symbols(
+                &ctx,
+                decision_date,
+                decision_date,
+                decision_date,
+                &day,
+                0.0,
+                100.0,
+                1,
+            )
+            .expect("select symbols");
+
+        assert_eq!(selected, vec![symbol.to_string()]);
+        assert!(
+            diagnostics.iter().all(|line| !line.contains("upper_limit")),
+            "{diagnostics:?}"
+        );
+        assert!(
+            risk_decisions
+                .iter()
+                .all(|decision| decision.rule_code != "upper_limit"),
+            "{risk_decisions:?}"
+        );
+    }
+
     #[test]
     fn platform_market_cap_field_uses_storage_unit_without_extra_scaling() {
         let date = d(2025, 4, 8);

crates/fidc-core/src/strategy_ai.rs

@@ -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。".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(),
             "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。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。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 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。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(),
@@ -484,7 +484,7 @@ pub fn render_manual_markdown(manual: &StrategyAiManual) -> String {
     out.push_str("- `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过滤表达式里。\n");
     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，禁止用 T 日执行状态拦截 T+1 可交易订单。\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("- `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 +564,7 @@ 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，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，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("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);