接入独立手工仓位时间线并保留原策略配置

crates/fidc-core/src/manual_execution.rs

@@ -12,7 +12,7 @@ use crate::events::OrderSide;
 use crate::{DataSet, FixedMoney, PortfolioState};
 use rust_decimal::prelude::ToPrimitive;
 
-pub const MANUAL_REPLAY_SCHEMA: &str = "fidc.observed-manual-executions/v2";
+pub const MANUAL_REPLAY_SCHEMA: &str = "fidc.observed-manual-executions/v3";
 
 #[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
 #[serde(deny_unknown_fields, rename_all = "camelCase")]
@@ -24,6 +24,10 @@ pub struct ManualExecutionReplay {
     pub content_sha256: String,
     pub observation_cutoff: DateTime<Utc>,
     pub actions: Vec<ManualExecutionAction>,
+    #[serde(default, skip_serializing_if = "Vec::is_empty")]
+    pub position_exposure_events: Vec<crate::position_exposure::PositionExposureEvent>,
+    #[serde(default, skip_serializing_if = "BTreeMap::is_empty")]
+    pub legacy_position_exposure_bps: BTreeMap<NaiveDate, i32>,
 }
 
 #[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
@@ -162,6 +166,19 @@ fn identifier(value: &str) -> Result<(), String> {
 }
 
 impl ManualExecutionReplay {
+    /// Market/indicator data is needed for securities whose observed fills
+    /// change the portfolio. A rejected, never-filled order is not data demand.
+    pub fn required_data_symbols(&self) -> Result<BTreeSet<String>, String> {
+        self.validate()?;
+        Ok(self
+            .actions
+            .iter()
+            .flat_map(|action| &action.orders)
+            .filter(|order| !order.fills.is_empty())
+            .map(|order| order.symbol.clone())
+            .collect())
+    }
+
     pub fn observations(&self) -> Result<Vec<ManualFillObservation<'_>>, String> {
         self.validate()?;
         let mut observations = Vec::new();
@@ -190,9 +207,30 @@ impl ManualExecutionReplay {
     }
 
     pub fn validate(&self) -> Result<(), String> {
-        if self.schema != MANUAL_REPLAY_SCHEMA {
+        if self.schema != MANUAL_REPLAY_SCHEMA
+            && self.schema != "fidc.observed-manual-executions/v2"
+        {
             return Err("unsupported manual replay schema".into());
         }
+        if self.schema == "fidc.observed-manual-executions/v2"
+            && (!self.position_exposure_events.is_empty()
+                || !self.legacy_position_exposure_bps.is_empty())
+        {
+            return Err("runtime configuration requires manual replay v3".into());
+        }
+        crate::position_exposure::PositionExposureTimeline::from_events(
+            &self.position_exposure_events,
+        )?;
+        if self.position_exposure_events.iter().any(|event| event.effective_at > self.observation_cutoff) {
+            return Err("observed runtime position event is after the evidence cutoff".into());
+        }
+        if self
+            .legacy_position_exposure_bps
+            .values()
+            .any(|value| !(0..=10000).contains(value))
+        {
+            return Err("legacy manual exposure is outside 0..10000 bps".into());
+        }
         identifier(&self.runtime_id)?;
         identifier(&self.account_id)?;
         if self.source_contract_sha256.len() != 64