修复迟到成交和换股批次的FIFO与持有期

crates/fidc-core/src/manual_execution/tests.rs

@@ -23,6 +23,200 @@ fn sample() -> ManualExecutionReplay {
 fn reseal(input: &mut ManualExecutionReplay) {
     input.content_sha256 = input.content_digest().unwrap();
 }
+
+fn delayed_buy_replay() -> ManualExecutionReplay {
+    let mut input = sample();
+    let template = input.actions[0].clone();
+    input.actions.clear();
+    for (index, side, executed, observed, price, fee) in [
+        (
+            0,
+            OrderSide::Buy,
+            "2026-09-14T01:30:00Z",
+            "2026-09-14T01:30:01Z",
+            "20",
+            "0.25",
+        ),
+        (
+            1,
+            OrderSide::Buy,
+            "2026-09-11T06:00:00Z",
+            "2026-09-14T01:30:02Z",
+            "10",
+            "0.75",
+        ),
+        (
+            2,
+            OrderSide::Sell,
+            "2026-09-14T01:31:00Z",
+            "2026-09-14T01:31:01Z",
+            "10",
+            "0.5",
+        ),
+        (
+            3,
+            OrderSide::Sell,
+            "2026-09-14T01:32:00Z",
+            "2026-09-14T01:32:01Z",
+            "10",
+            "0.5",
+        ),
+    ] {
+        let executed: DateTime<Utc> = executed.parse().unwrap();
+        let observed: DateTime<Utc> = observed.parse().unwrap();
+        let mut action = template.clone();
+        action.action_id = format!("action-{index}");
+        action.audit_event_ids = vec![format!("audit-{index}")];
+        action.confirmed_at = executed - chrono::Duration::seconds(2);
+        action.confirmation_observed_at = action.confirmed_at;
+        let order = &mut action.orders[0];
+        order.order_id = format!("order-{index}");
+        order.broker_order_id = Some(format!("broker-{index}"));
+        order.side = side;
+        order.order_created_at = executed - chrono::Duration::seconds(1);
+        order.terminal_observed_at = observed;
+        let fill = &mut order.fills[0];
+        fill.trade_id = format!("trade-{index}");
+        fill.observation_event_id = format!("receipt-{index}");
+        fill.observation_sequence = index + 1;
+        fill.fee_observation_event_id = fill.observation_event_id.clone();
+        fill.fee_observation_sequence = fill.observation_sequence;
+        fill.trade_date = executed
+            .with_timezone(&FixedOffset::east_opt(8 * 3600).unwrap())
+            .date_naive();
+        fill.executed_at = executed;
+        fill.observed_at = observed;
+        fill.fee_observed_at = observed;
+        fill.price = price.parse().unwrap();
+        fill.commission = None;
+        fill.stamp_tax = None;
+        fill.transfer_fee = None;
+        fill.total_fee = fee.parse().unwrap();
+        input.actions.push(action);
+    }
+    reseal(&mut input);
+    input.validate().unwrap();
+    input
+}
+
+#[test]
+fn late_buy_retains_the_earliest_opening_and_latest_buy_dates() {
+    let mut cursor = ManualReplayCursor::new(delayed_buy_replay()).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut portfolio = PortfolioState::new(10000.);
+    let applications = cursor
+        .advance(
+            "2026-09-14T01:30:02Z".parse().unwrap(),
+            &mut portfolio,
+            &data,
+            false,
+        )
+        .unwrap();
+    assert_eq!(
+        applications
+            .iter()
+            .map(|row| row.trade_id.as_str())
+            .collect::<Vec<_>>(),
+        ["trade-0", "trade-1"]
+    );
+    let position = portfolio.position("000001.SZ").unwrap();
+    assert_eq!(position.opened_date(), NaiveDate::from_ymd_opt(2026, 9, 11));
+    assert_eq!(
+        position.last_buy_date(),
+        NaiveDate::from_ymd_opt(2026, 9, 14)
+    );
+    assert_eq!(position.quantity, 200);
+    let calendar = crate::TradingCalendar::new(
+        [11, 14, 15, 16, 17, 18]
+            .map(|day| NaiveDate::from_ymd_opt(2026, 9, day).unwrap())
+            .into(),
+    );
+    let evidence = crate::holding_policy::HoldingLifecycleEvidence {
+        has_position: true,
+        opened_date: position.opened_date(),
+        last_buy_date: position.last_buy_date(),
+        last_sell_date: None,
+    };
+    let mut policy = crate::holding_policy::AutomaticTradeProtection {
+        max_holding_days: 1,
+        ..Default::default()
+    };
+    assert!(
+        policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, 14).unwrap(),
+                &evidence,
+                &calendar
+            )
+            .unwrap()
+            .max_holding_exit
+    );
+    policy.buy_protection_days = 3;
+    for day in [14, 15, 16, 17] {
+        let permission = policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, day).unwrap(),
+                &evidence,
+                &calendar,
+            )
+            .unwrap();
+        assert_eq!(permission.sell_denial, Some("buy_fill_protection"));
+        assert!(!permission.max_holding_exit);
+    }
+    assert!(
+        policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, 18).unwrap(),
+                &evidence,
+                &calendar
+            )
+            .unwrap()
+            .max_holding_exit
+    );
+}
+
+#[test]
+fn late_buy_fifo_depletion_preserves_costs_and_cannot_unlock_today_lots() {
+    let mut cursor = ManualReplayCursor::new(delayed_buy_replay()).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut portfolio = PortfolioState::new(10000.);
+    let applications = cursor
+        .advance(
+            "2026-09-14T01:31:01Z".parse().unwrap(),
+            &mut portfolio,
+            &data,
+            false,
+        )
+        .unwrap();
+    assert_eq!(applications.len(), 3);
+    let position = portfolio.position("000001.SZ").unwrap();
+    assert_eq!(position.quantity, 100);
+    assert_eq!(position.unrealized_pnl(), -1000.25);
+    assert_eq!(
+        position.sellable_qty(NaiveDate::from_ymd_opt(2026, 9, 14).unwrap()),
+        0
+    );
+    assert_eq!(position.realized_pnl(), -0.75);
+    assert_eq!(portfolio.cash(), 7998.5);
+    assert_eq!(portfolio.external_cash_flow_total(), 0.);
+    assert!(
+        cursor
+            .advance(
+                "2026-09-14T01:32:01Z".parse().unwrap(),
+                &mut portfolio,
+                &data,
+                false
+            )
+            .unwrap_err()
+            .contains("T+1")
+    );
+    assert_eq!(cursor.applied_count(), 3);
+    assert_eq!(portfolio.cash(), 7998.5);
+    assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 100);
+}
 fn semantic_result(input: &ManualExecutionReplay) -> Result<(), String> {
     let mut input = input.clone();
     reseal(&mut input);

crates/fidc-core/src/portfolio.rs

@@ -157,6 +157,8 @@ impl Position {
         );
         if previous_quantity == 0 {
             self.opened_date = Some(date);
+        } else if let Some(opened) = self.opened_date {
+            self.opened_date = Some(opened.min(date));
         }
         let previous_average_price = self.average_price;
         let previous_average_cost = self.average_cost;
@@ -232,6 +234,17 @@ impl Position {
             ));
         }
 
+        // A delayed receipt or a successor conversion can append an older
+        // acquisition after a newer lot. Deplete by actual acquisition date;
+        // stable ordering preserves same-day receipts and their attached fees.
+        if quantity > 0
+            && self
+                .lots
+                .windows(2)
+                .any(|pair| pair[0].acquired_date > pair[1].acquired_date)
+        {
+            self.lots.sort_by_key(|lot| lot.acquired_date);
+        }
         let mut remaining = quantity;
         let mut remaining_proceeds = total_proceeds;
         let mut realized = FixedMoney::ZERO;

crates/fidc-core/tests/automatic_trade_protection.rs

@@ -105,6 +105,150 @@ fn action(quantity: &str, when: &str) -> PlatformTradeAction {
         reason: "configured_strategy_action".into(),
     }
 }
+
+#[test]
+fn observed_manual_trades_then_split_keep_real_fill_protection_and_lock_dates() {
+    let actions = [
+        ("new-buy", "Buy", "2026-09-14T01:30:00Z", "2026-09-14T01:30:01Z", "10", "0.25"),
+        ("late-buy", "Buy", "2026-09-11T06:00:00Z", "2026-09-14T01:30:02Z", "10", "0.75"),
+        ("manual-sell", "Sell", "2026-09-14T01:31:00Z", "2026-09-14T01:31:01Z", "10", "0.5"),
+    ].into_iter().enumerate().map(|(index, (id, side, executed, observed, price, fee))| {
+        let executed: chrono::DateTime<chrono::Utc> = executed.parse().unwrap();
+        let observed: chrono::DateTime<chrono::Utc> = observed.parse().unwrap();
+        let created = executed - chrono::Duration::seconds(1);
+        serde_json::json!({"actionId":id,"source":"manual_security_trade","auditEventIds":[format!("audit-{id}")],
+            "confirmedAt":created,"confirmationObservedAt":created,"outcome":"orders_terminal","orders":[{
+                "orderId":id,"brokerOrderId":id,"sourceAdapter":"paper","symbol":"000001.SZ","side":side,"quantity":100,
+                "orderCreatedAt":created,"terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
+                    "tradeId":id,"observationEventId":id,"observationSequence":index+1,
+                    "tradeDate":executed.date_naive(),"executedAt":executed,"observedAt":observed,
+                    "feeObservationEventId":id,"feeObservationSequence":index+1,"feeObservedAt":observed,
+                    "timestampPrecision":"second","quantity":100,"price":price,"totalFee":fee
+                }]
+            }]})
+    }).collect::<Vec<_>>();
+    let mut replay: fidc_core::manual_execution::ManualExecutionReplay = serde_json::from_value(serde_json::json!({
+        "schema":fidc_core::manual_execution::MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a",
+        "sourceContractSha256":"a".repeat(64),"contentSha256":"","observationCutoff":"2026-09-18T08:00:00Z","actions":actions,
+    })).unwrap();
+    replay.content_sha256 = replay.content_digest().unwrap();
+    let mut parts = data().snapshot_components();
+    for row in &mut parts.market {
+        if row.date >= d(15) {
+            row.day_open = 5.;
+            row.open = 5.;
+            row.high = 5.;
+            row.low = 5.;
+            row.close = 5.;
+            row.last_price = 5.;
+            row.bid1 = 5.;
+            row.ask1 = 5.;
+            row.prev_close = 5.;
+            row.upper_limit = 5.5;
+            row.lower_limit = 4.5;
+        }
+    }
+    parts.corporate_actions.push(fidc_core::CorporateAction {
+        date: d(15),
+        symbol: "000001.SZ".into(),
+        payable_date: None,
+        share_cash: 0.,
+        share_bonus: 1.,
+        share_gift: 0.,
+        issue_quantity: 0.,
+        issue_price: 0.,
+        reform: false,
+        adjust_factor: None,
+        successor_symbol: None,
+        successor_ratio: None,
+        successor_cash: None,
+    });
+    let data = DataSet::from_components_with_actions(
+        parts.instruments,
+        parts.market,
+        parts.factors,
+        parts.candidates,
+        parts.benchmarks,
+        parts.corporate_actions,
+    )
+    .unwrap();
+    let mut config = PlatformExprStrategyConfig::generic();
+    config.signal_symbol = "000001.SZ".into();
+    config.benchmark_symbol = "000300.SH".into();
+    config.rotation_enabled = false;
+    config.matching_type = MatchingType::CurrentBarClose;
+    config.volume_capacity_mode =
+        fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
+    config.automatic_trade_protection = AutomaticTradeProtection {
+        buy_protection_days: 3,
+        sell_cooldown_days: 3,
+        max_holding_days: 1,
+        locks: vec![AutomaticTradeLock {
+            symbol: "000001.SZ".into(),
+            start_date: d(16),
+            end_date: Some(d(17)),
+        }],
+    };
+    config.explicit_actions = vec![action("-200", "decision_date >= \"2026-09-14\"")];
+    let result = BacktestEngine::new(
+        data,
+        PlatformExprStrategy::new(config),
+        BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_volume_capacity_mode(
+                fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit,
+            ),
+        BacktestConfig {
+            initial_cash: 10000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(d(11)),
+            end_date: Some(d(18)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Close,
+        },
+    )
+    .with_observed_manual_executions(replay)
+    .unwrap()
+    .run()
+    .unwrap();
+    assert_eq!(result.manual_executions.len(), 3);
+    assert_eq!(result.manual_executions[2].quantity_after, 100);
+    assert_eq!(result.fills.len(), 1, "{:?}", result.fills);
+    assert_eq!(
+        (
+            result.fills[0].date,
+            result.fills[0].side,
+            result.fills[0].quantity,
+            result.fills[0].price
+        ),
+        (d(18), OrderSide::Sell, 200, 5.)
+    );
+    assert!(result.fills[0].reason.contains("max_holding_days_exit"));
+    for day in [14, 15] {
+        for rule in ["buy_fill_protection", "sell_fill_cooldown"] {
+            assert!(result.risk_decisions.iter().any(|audit| audit.date == d(day)
+                && audit.symbol == "000001.SZ" && audit.rule_code == rule && !audit.accepted), "day={day} rule={rule}");
+        }
+    }
+    for day in [16, 17] {
+        assert!(result.risk_decisions.iter().any(|audit| audit.date == d(day)
+            && audit.symbol == "000001.SZ" && audit.rule_code == "automatic_trade_locked" && !audit.accepted));
+    }
+    assert!(
+        result
+            .daily_holdings
+            .iter()
+            .any(|row| row.date == d(15) && row.quantity == 200)
+    );
+    assert!(result.holdings_summary.is_empty());
+    assert!(
+        result
+            .equity_curve
+            .iter()
+            .all(|point| point.external_cash_flow == 0.)
+    );
+}
+
 fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
     let mut config = PlatformExprStrategyConfig::generic();
     config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;

crates/fidc-core/tests/corporate_actions.rs

@@ -177,6 +177,157 @@ fn benchmark_snapshot(date: NaiveDate) -> BenchmarkSnapshot {
     }
 }
 
+#[test]
+fn successor_conversion_depletes_older_source_lots_before_newer_successor_buys() {
+    struct ConvertedSale {
+        dates: [NaiveDate; 3],
+        seen: std::rc::Rc<std::cell::RefCell<Option<(Option<NaiveDate>, Option<NaiveDate>)>>>,
+    }
+    impl Strategy for ConvertedSale {
+        fn name(&self) -> &str {
+            "successor FIFO"
+        }
+        fn on_day(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+        ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            let (symbol, quantity) = if ctx.execution_date == self.dates[0] {
+                ("000001.SZ", 100)
+            } else if ctx.execution_date == self.dates[1] {
+                ("000002.SZ", 100)
+            } else {
+                let holding = ctx.portfolio.position("000002.SZ").unwrap();
+                *self.seen.borrow_mut() = Some((holding.opened_date(), holding.last_buy_date()));
+                ("000002.SZ", -200)
+            };
+            Ok(StrategyDecision {
+                order_intents: vec![fidc_core::OrderIntent::Shares {
+                    symbol: symbol.into(),
+                    quantity,
+                    reason: "dated lot test".into(),
+                }],
+                ..Default::default()
+            })
+        }
+    }
+    let dates = [d(2026, 9, 11), d(2026, 9, 14), d(2026, 9, 15)];
+    let symbols = ["000001.SZ", "000002.SZ"];
+    let mut market = Vec::new();
+    let mut factors = Vec::new();
+    let mut candidates = Vec::new();
+    for date in dates {
+        for symbol in symbols {
+            let price = if symbol == symbols[0] {
+                10.
+            } else if date == dates[2] {
+                6.
+            } else {
+                20.
+            };
+            let mut quote = stock_market_snapshot(date);
+            quote.symbol = symbol.into();
+            quote.day_open = price;
+            quote.open = price;
+            quote.high = price;
+            quote.low = price;
+            quote.close = price;
+            quote.last_price = price;
+            quote.bid1 = price;
+            quote.ask1 = price;
+            quote.prev_close = price;
+            quote.upper_limit = price * 1.1;
+            quote.lower_limit = price * 0.9;
+            market.push(quote);
+            let mut factor = stock_factor_snapshot(date);
+            factor.symbol = symbol.into();
+            factors.push(factor);
+            let mut candidate = stock_candidate(date);
+            candidate.symbol = symbol.into();
+            candidates.push(candidate);
+        }
+    }
+    let data = DataSet::from_components_with_actions(
+        symbols
+            .into_iter()
+            .map(|symbol| Instrument {
+                symbol: symbol.into(),
+                name: symbol.into(),
+                board: "SZ".into(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".into(),
+            })
+            .collect(),
+        market,
+        factors,
+        candidates,
+        dates.map(benchmark_snapshot).into(),
+        vec![CorporateAction {
+            date: dates[2],
+            symbol: symbols[0].into(),
+            payable_date: None,
+            share_cash: 0.,
+            share_bonus: 0.,
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: Some(symbols[1].into()),
+            successor_ratio: Some(2.),
+            successor_cash: Some(0.),
+        }],
+    )
+    .unwrap();
+    let seen = std::rc::Rc::new(std::cell::RefCell::new(None));
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks,
+        PriceField::Open,
+    )
+    .with_matching_type(fidc_core::MatchingType::NextBarOpen)
+    .with_volume_limit(false)
+    .with_liquidity_limit(false);
+    let result = BacktestEngine::new(
+        data,
+        ConvertedSale {
+            dates,
+            seen: seen.clone(),
+        },
+        broker,
+        BacktestConfig {
+            initial_cash: 10000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(dates[0]),
+            end_date: Some(dates[2]),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .run()
+    .unwrap();
+    assert_eq!(*seen.borrow(), Some((Some(dates[0]), Some(dates[1]))));
+    assert_eq!(result.fills.len(), 3);
+    assert_eq!(result.fills[2].quantity, 200);
+    assert_eq!(result.fills[2].symbol, symbols[1]);
+    let remaining = result
+        .holdings_summary
+        .iter()
+        .find(|row| row.symbol == symbols[1])
+        .unwrap();
+    assert_eq!(remaining.quantity, 100);
+    assert_eq!(remaining.realized_pnl, 200.);
+    assert!(
+        result
+            .position_events
+            .iter()
+            .any(|event| event.symbol == symbols[0]
+                && event.quantity_after == 0
+                && event.reason.starts_with("successor_conversion"))
+    );
+}
+
 #[test]
 fn engine_reinvests_dividend_receivable_in_round_lots() {
     let buy_date = d(2025, 1, 1);

docs/late-fill-lot-lifecycle-20260914.md

@@ -0,0 +1,34 @@
+# 迟到成交、批次成本与持有保护
+
+2026-09-14。阶段修复；完整股票池目标仍未完成，未据此发布生产。
+
+## 根因与修复
+
+旧持仓账本按收到买入回报的顺序追加批次，卖出直接扣列表首批。当较早成交的回报晚到，或旧证券换股并入已有新证券持仓时，列表先后不再等于取得日期。T+1 校验计算了合法老批次数量，却实际扣掉新批次；剩余旧批次可能再次被当作可卖。FIFO 成本与已实现/未实现盈亏随之错配。
+
+另一问题是已有持仓收到更早买入事实时，`opened_date` 没有更新，最长持有期从较晚日期起算。
+
+修复在账本扣减入口按真实取得日期稳定执行 FIFO；同日回报及其费用保持原关联，不重排收到的外部事件，不补单、不回写历史结果。正常日期顺序不排序，零股操作不排序。连续持仓的已知开仓日取较早日期，最近买入日仍取较晚日期；缺失的原始建仓日期不靠新买入猜测填充。移动均价展示合同与固定精度现金/费用不变。
+
+## 负向证据
+
+基线 `b2eaaa0d269d4aee5e2e500cd0f2b2edbda648b8` 上新增两个测试实际失败：
+
+- 9月14日新买100股先被观察，9月11日老买100股随后才被观察。旧 `opened_date` 仍为9月14日，期望9月11日。
+- 随后卖出100股时，旧代码扣了新批次，剩余未实现盈亏为 -0.75，而按老批次先卖应为 -1000.25。该样例分别使用20元/10元买入、0.25/0.75元买入费用和0.5元卖出费用；只有证券身份数据，不冒充真实市场行情。
+
+## 回归覆盖
+
+- 回报仍按原观察序号应用；老买入不得在收到之前进入持仓。
+- 合法卖出老100股后，新100股仍不可在9月14日卖出。第二次冲突卖出拒绝且现金、股数、游标原子保留；现金7998.5、出入金0、剩余FIFO成本2000.25，费用没有串到另一批次。
+- 最长持有期使用9月11日，买后3个交易日保护使用最新买入日9月14日，保护优先于最长持有退出。
+- 整段引擎换股：旧股较早买入100股、已有新股较晚买入100股，旧股按2倍换成新股200股。随后卖200股先扣旧来源，留下新买100股；不重置开仓/最近买入日，成交来源及换股事件保留，已实现不含费用盈亏200。
+- 整段平台表达式：真实手工两买一卖、次日送转、3日买后保护/卖后禁买、16日至17日显式锁定、最长持有退出同时配置。14日至15日审计分别记录保护和禁买，16日至17日记录锁定；18日只生成一笔卖200股、5元的最长持有退出，不重复附加显式卖单。三笔手工来源保留、不计出入金，旧股转成200股后计时不重置。
+
+本机Core889、Trading625、Runner460/API127通过，ignore另计；针对性完整审计断言另行通过。两次测试编写阶段的私有方法/辅助函数名编译错误已修正，不计作框架失败或通过证据。不是实际Source或GT交易验收。
+
+## 仍须继续
+
+实际 Source/Runner 联合回放和未准入 Arrow 性能门禁尚未通过；Source明确冻结仍待独立解除授权。另需继续验证迟到回报跨越已经执行过的除权/派息/换股事件、跨模式历史持有事实及其余参数矩阵。本节只证明列出的组合，不能外推全部公司行为或关闭完整目标。
+
+旧opening-clock-UUx5ru与FewUWP收据均不包含本次账本修复，不得覆盖。后续新的Linux/发布证据另附，本轮不修改原池、任务、历史或交易开关。