隔离次日执行价与信号日资金预算

This reverts commit 556ed9b848.

crates/fidc-core/src/broker.rs

@@ -12,7 +12,7 @@ use crate::events::{
 };
 use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
-use crate::risk_control::{ChinaAShareRiskControl, FidcRiskControlConfig};
+use crate::risk_control::{ChinaAShareRiskControl, FidcRiskControlConfig, RiskCheckScope};
 use crate::rules::{EquityRuleHooks, RuleCheck};
 use crate::strategy::{
     AlgoOrderStyle, OpenOrderView, OrderIntent, StrategyDecision, TargetPortfolioOrderPricing,
@@ -62,8 +62,6 @@ struct TargetConstraint {
     symbol: String,
     current_qty: u32,
     desired_qty: u32,
-    min_target_qty: u32,
-    max_target_qty: u32,
     provisional_target_qty: u32,
     price: f64,
     minimum_order_quantity: u32,
@@ -429,6 +427,12 @@ 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.aiquant_execution_rules && self.execution_price_field == PriceField::Last {
             let start_cursor = self
                 .runtime_intraday_start_time
@@ -1554,16 +1558,19 @@ where
         date: NaiveDate,
         symbol: &str,
     ) -> Option<&'static str> {
-        if self
+        if !self
             .risk_config
             .static_rules
             .forbid_same_day_rebuy_after_sell
-            && self
+        {
+            return None;
+        }
+        let sold_today = self
             .same_day_sold_symbols
             .borrow()
             .get(&date)
-                .is_some_and(|symbols| symbols.contains(symbol))
+            .is_some_and(|symbols| symbols.contains(symbol));
-        {
+        if sold_today {
             return Some("same_day_rebuy_forbidden");
         }
         None
@@ -1878,6 +1885,63 @@ where
         );
     }
 
+    fn reject_missing_market_or_execution_risk_order(
+        &self,
+        report: &mut BrokerExecutionReport,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        side: OrderSide,
+        requested_quantity: u32,
+        reason: &str,
+    ) {
+        if let Some(unavailable_reason) =
+            self.missing_market_execution_risk_rejection_reason(date, data, symbol, side)
+        {
+            let order_id = self.reserve_order_id();
+            Self::reject_unavailable_order(
+                report,
+                date,
+                order_id,
+                symbol,
+                side,
+                requested_quantity,
+                reason,
+                unavailable_reason,
+                false,
+            );
+            return;
+        }
+        self.reject_missing_market_snapshot_order(
+            report,
+            date,
+            symbol,
+            side,
+            requested_quantity,
+            reason,
+        );
+    }
+
+    fn missing_market_execution_risk_rejection_reason(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        side: OrderSide,
+    ) -> Option<&'static str> {
+        let scope = match side {
+            OrderSide::Buy => RiskCheckScope::Buy,
+            OrderSide::Sell => RiskCheckScope::Sell,
+        };
+        ChinaAShareRiskControl::active_status_rejection_reason_with_config(
+            date,
+            data.candidate(date, symbol),
+            data.instrument(symbol),
+            &self.risk_config,
+            scope,
+        )
+    }
+
     fn reject_unavailable_order(
         report: &mut BrokerExecutionReport,
         date: NaiveDate,
@@ -2076,8 +2140,6 @@ where
                 symbol: symbol.clone(),
                 current_qty,
                 desired_qty,
-                min_target_qty,
-                max_target_qty,
                 provisional_target_qty,
                 price,
                 minimum_order_quantity,
@@ -2105,24 +2167,22 @@ where
 
         let mut best_targets = targets.clone();
         let mut best_proportion_diff = f64::INFINITY;
-        let initial_safety = if target_weight_sum > 0.95 { 1.2 } else { 1.0 };
+        let mut best_safety = f64::NEG_INFINITY;
-        let mut safety = initial_safety;
+        let mut record_candidate = |safety_value: f64| -> bool {
-        loop {
+            let safety_value = safety_value.clamp(0.0, 1.0);
             let mut candidate_targets = targets.clone();
             let mut buy_cash_out = 0.0;
             for constraint in &buy_constraints {
-                let scaled_desired_qty = ((constraint.desired_qty as f64) * safety).floor() as u32;
+                let scaled_desired_qty =
-                let mut target_qty = self
+                    ((constraint.desired_qty as f64) * safety_value).floor() as u32;
+                let target_qty = self
                     .round_buy_quantity(
                         scaled_desired_qty,
                         constraint.minimum_order_quantity,
                         constraint.order_step_size,
                     )
-                    .clamp(constraint.min_target_qty, constraint.max_target_qty)
+                    .max(constraint.current_qty)
-                    .max(constraint.current_qty);
+                    .min(constraint.provisional_target_qty);
-                if target_qty < constraint.current_qty {
-                    target_qty = constraint.current_qty;
-                }
                 if target_qty > constraint.current_qty {
                     buy_cash_out += self.estimated_buy_cash_out(
                         date,
@@ -2151,29 +2211,46 @@ where
                 0.0
             };
             if buy_cash_out <= projected_cash + 1e-6 {
-                if proportion_diff <= best_proportion_diff + 1e-12 {
+                if proportion_diff < best_proportion_diff - 1e-12
+                    || ((proportion_diff - best_proportion_diff).abs() <= 1e-12
+                        && safety_value > best_safety)
+                {
                     best_targets = candidate_targets;
                     best_proportion_diff = proportion_diff;
-                } else if best_proportion_diff.is_finite() {
+                    best_safety = safety_value;
-                    break;
+                }
+                return true;
+            }
+            false
+        };
+
+        if !record_candidate(1.0) && record_candidate(0.0) {
+            let mut low = 0.0;
+            let mut high = 1.0;
+            for _ in 0..24 {
+                let mid = (low + high) / 2.0;
+                if record_candidate(mid) {
+                    low = mid;
+                } else {
+                    high = mid;
+                }
+            }
+            let high_toward_zero = if high > 0.0 {
+                f64::from_bits(high.to_bits().saturating_sub(1))
+            } else {
+                high
+            };
+            for safety in [0.0, low, high_toward_zero, high, 1.0] {
+                if (0.0..=1.0).contains(&safety) {
+                    record_candidate(safety);
+                }
             }
         }
 
-            if safety <= 0.0 {
+        if best_safety.is_finite() && best_safety < 1.0 && diagnostics.len() < 16 {
-                break;
-            }
-            let step = (proportion_diff / 10.0).clamp(0.0001, 0.002);
-            let next_safety = (safety - step).max(0.0);
-            if (next_safety - safety).abs() < f64::EPSILON {
-                break;
-            }
-            safety = next_safety;
-        }
-
-        if safety < initial_safety && diagnostics.len() < 16 {
             diagnostics.push(format!(
                 "rebalance_safety_scaled final_safety={:.4} target_weight_sum={:.4} projected_cash={:.2}",
-                safety, target_weight_sum, projected_cash
+                best_safety, target_weight_sum, projected_cash
             ));
         }
 
@@ -2652,6 +2729,12 @@ where
         let Some(position) = portfolio.position(symbol) else {
             return 0;
         };
+        if self.aiquant_execution_rules {
+            let sellable = position
+                .sellable_qty(date)
+                .saturating_sub(self.reserved_open_sell_quantity(symbol, None));
+            return current_qty.saturating_sub(sellable.min(current_qty));
+        }
         let Ok(snapshot) = data.require_market(date, symbol) else {
             return current_qty;
         };
@@ -2699,6 +2782,9 @@ where
         minimum_order_quantity: u32,
         order_step_size: u32,
     ) -> u32 {
+        if self.aiquant_execution_rules {
+            return u32::MAX;
+        }
         let Ok(snapshot) = data.require_market(date, symbol) else {
             return current_qty;
         };
@@ -2870,6 +2956,15 @@ where
             return Ok(());
         };
         let Some(snapshot) = data.market(date, symbol) else {
+            let unavailable_reason = self
+                .missing_market_execution_risk_rejection_reason(date, data, symbol, OrderSide::Sell)
+                .map(str::to_string)
+                .unwrap_or_else(|| {
+                    format!(
+                        "market snapshot is missing for price field {}",
+                        price_field_name(self.execution_price_field)
+                    )
+                });
             Self::reject_unavailable_order(
                 report,
                 date,
@@ -2878,10 +2973,7 @@ where
                 OrderSide::Sell,
                 requested_qty,
                 reason,
-                format!(
+                unavailable_reason,
-                    "market snapshot is missing for price field {}",
-                    price_field_name(self.execution_price_field)
-                ),
                 emit_creation_events,
             );
             return Ok(());
@@ -3471,9 +3563,10 @@ where
                 return Ok(());
             }
             if data.market(date, symbol).is_none() {
-                self.reject_missing_market_snapshot_order(
+                self.reject_missing_market_or_execution_risk_order(
                     report,
                     date,
+                    data,
                     symbol,
                     OrderSide::Sell,
                     current_qty,
@@ -3503,9 +3596,10 @@ where
         }
 
         let Some(snapshot) = data.market(date, symbol) else {
-            self.reject_missing_market_snapshot_order(
+            self.reject_missing_market_or_execution_risk_order(
                 report,
                 date,
+                data,
                 symbol,
                 if current_qty > 0 {
                     OrderSide::Sell
@@ -3797,14 +3891,18 @@ where
         commission_state: &mut BTreeMap<u64, f64>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
-        let price = data
+        let price = if self.aiquant_execution_rules && limit_price.is_finite() && limit_price > 0.0
-            .market(date, symbol)
+        {
+            limit_price
+        } else {
+            data.market(date, symbol)
                 .map(|snapshot| self.sizing_price(snapshot))
                 .ok_or_else(|| BacktestError::MissingPrice {
                     date,
                     symbol: symbol.to_string(),
                     field: price_field_name(self.execution_price_field),
-            })?;
+                })?
+        };
         let current_qty = portfolio
             .position(symbol)
             .map(|pos| pos.quantity)
@@ -4030,9 +4128,10 @@ where
             } else {
                 0
             };
-            self.reject_missing_market_snapshot_order(
+            self.reject_missing_market_or_execution_risk_order(
                 report,
                 date,
+                data,
                 symbol,
                 if value > 0.0 {
                     OrderSide::Buy
@@ -4561,6 +4660,15 @@ where
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
         let Some(snapshot) = data.market(date, symbol) else {
+            let unavailable_reason = self
+                .missing_market_execution_risk_rejection_reason(date, data, symbol, OrderSide::Buy)
+                .map(str::to_string)
+                .unwrap_or_else(|| {
+                    format!(
+                        "market snapshot is missing for price field {}",
+                        price_field_name(self.execution_price_field)
+                    )
+                });
             Self::reject_unavailable_order(
                 report,
                 date,
@@ -4569,10 +4677,7 @@ where
                 OrderSide::Buy,
                 requested_qty,
                 reason,
-                format!(
+                unavailable_reason,
-                    "market snapshot is missing for price field {}",
-                    price_field_name(self.execution_price_field)
-                ),
                 emit_creation_events,
             );
             return Ok(());
@@ -5173,7 +5278,7 @@ where
 
     fn rebalance_valuation_price_field_name(&self) -> &'static str {
         if self.is_open_auction_matching() {
-            "prev_close"
+            "day_open"
         } else {
             price_field_name(self.execution_price_field)
         }
@@ -5184,7 +5289,7 @@ where
         snapshot: &crate::data::DailyMarketSnapshot,
     ) -> Option<f64> {
         let price = if self.is_open_auction_matching() {
-            snapshot.prev_close
+            snapshot.price(PriceField::DayOpen)
         } else {
             snapshot.price(self.execution_price_field)
         };
@@ -6521,6 +6626,63 @@ mod tests {
         );
     }
 
+    #[test]
+    fn next_open_buy_risk_rejects_execution_date_delisted_even_without_market_snapshot() {
+        let signal_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+        let mut instrument = limit_test_instrument();
+        instrument.delisted_at = Some(execution_date);
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![instrument],
+            vec![dated_limit_test_snapshot(signal_date)],
+            Vec::new(),
+            vec![
+                dated_limit_test_candidate(signal_date, false, false, true, true),
+                dated_limit_test_candidate(execution_date, false, false, true, true),
+            ],
+            vec![
+                dated_limit_test_benchmark(signal_date),
+                dated_limit_test_benchmark(execution_date),
+            ],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(20_000.0);
+
+        let report = broker
+            .execute(
+                execution_date,
+                &mut portfolio,
+                &data,
+                &next_open_buy_decision(),
+            )
+            .expect("execute next open buy");
+
+        assert!(report.fill_events.is_empty());
+        assert!(portfolio.position("000001.SZ").is_none());
+        let rejected_order = report
+            .order_events
+            .iter()
+            .find(|event| event.side == OrderSide::Buy)
+            .expect("buy order event");
+        assert_eq!(rejected_order.date, execution_date);
+        assert_eq!(rejected_order.status, OrderStatus::Rejected);
+        assert!(
+            rejected_order.reason.contains("inactive_or_delisted"),
+            "{}",
+            rejected_order.reason
+        );
+        assert!(
+            !rejected_order.reason.contains("market snapshot is missing"),
+            "{}",
+            rejected_order.reason
+        );
+    }
+
     #[test]
     fn next_open_buy_limit_risk_uses_open_not_close() {
         let execution_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).expect("valid date");
@@ -6991,6 +7153,38 @@ mod tests {
         );
     }
 
+    #[test]
+    fn next_open_target_value_valuation_uses_previous_close() {
+        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);
+        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 snapshot = data.market(date, "000001.SZ").expect("market snapshot");
+
+        assert_eq!(
+            broker.target_value_valuation_price(date, &data, "000001.SZ", snapshot),
+            10.0
+        );
+    }
+
     #[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");
@@ -7110,6 +7304,336 @@ mod tests {
         );
     }
 
+    #[test]
+    fn aiquant_target_portfolio_smart_defers_buy_risk_during_target_sizing() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![limit_test_snapshot()],
+            Vec::new(),
+            vec![limit_test_candidate(false, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let mut target_weights = BTreeMap::new();
+        target_weights.insert("000001.SZ".to_string(), 0.50);
+
+        let default_broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        let (default_targets, _) = default_broker
+            .target_quantities(date, &portfolio, &data, &target_weights)
+            .expect("default target quantities");
+        assert_eq!(default_targets.get("000001.SZ").copied().unwrap_or(0), 0);
+
+        let aiquant_broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_aiquant_execution_rules(true)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        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));
+    }
+
+    #[test]
+    fn aiquant_target_portfolio_smart_rejects_deferred_buy_risk_at_order_stage() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![limit_test_snapshot()],
+            Vec::new(),
+            vec![limit_test_candidate(false, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_aiquant_execution_rules(true)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        let mut portfolio = PortfolioState::new(1_000_000.0);
+        let mut target_weights = BTreeMap::new();
+        target_weights.insert("000001.SZ".to_string(), 0.50);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_portfolio_smart(
+                date,
+                &mut portfolio,
+                &data,
+                &target_weights,
+                None,
+                None,
+                "aiquant_deferred_buy_risk",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("deferred buy risk is handled at order stage");
+
+        assert!(portfolio.position("000001.SZ").is_none());
+        assert!(report.fill_events.is_empty());
+        let rejected = report
+            .order_events
+            .iter()
+            .find(|event| event.symbol == "000001.SZ")
+            .expect("buy-disabled target should be rejected at order stage");
+        assert_eq!(rejected.side, OrderSide::Buy);
+        assert_ne!(rejected.status, OrderStatus::Filled);
+        assert_eq!(rejected.filled_quantity, 0);
+        assert!(rejected.reason.contains("buy_disabled"), "{rejected:?}");
+    }
+
+    #[test]
+    fn aiquant_target_portfolio_smart_keeps_batch_semantics_after_failed_full_close_sell() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let prev_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 1).expect("valid date");
+        let symbols = ["000001.SZ", "000002.SZ"];
+        let instruments = symbols
+            .iter()
+            .map(|symbol| Instrument {
+                symbol: (*symbol).to_string(),
+                name: (*symbol).to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            })
+            .collect::<Vec<_>>();
+        let snapshots = symbols
+            .iter()
+            .map(|symbol| {
+                let mut snapshot = limit_test_snapshot();
+                snapshot.symbol = (*symbol).to_string();
+                if *symbol == "000001.SZ" {
+                    snapshot.day_open = 9.0;
+                    snapshot.open = 9.0;
+                    snapshot.low = 9.0;
+                    snapshot.close = 9.0;
+                    snapshot.last_price = 9.0;
+                    snapshot.bid1 = 9.0;
+                    snapshot.ask1 = 9.0;
+                    snapshot.lower_limit = 9.0;
+                }
+                snapshot
+            })
+            .collect::<Vec<_>>();
+        let candidates = symbols
+            .iter()
+            .map(|symbol| {
+                let mut candidate = limit_test_candidate(true, true);
+                candidate.symbol = (*symbol).to_string();
+                candidate
+            })
+            .collect::<Vec<_>>();
+        let data = DataSet::from_components_with_actions_and_quotes(
+            instruments,
+            snapshots,
+            Vec::new(),
+            candidates,
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_aiquant_execution_rules(true)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut portfolio = PortfolioState::new(100_000.0);
+        portfolio
+            .position_mut("000001.SZ")
+            .buy(prev_date, 1_000, 10.0);
+        portfolio
+            .position_mut("000002.SZ")
+            .buy(prev_date, 1_000, 10.0);
+        let mut report = BrokerExecutionReport::default();
+        let mut intraday_turnover = BTreeMap::new();
+        let mut execution_cursors = BTreeMap::new();
+        let mut global_execution_cursor = None;
+        let mut commission_state = BTreeMap::new();
+
+        broker
+            .process_target_value(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                0.0,
+                "stop_loss_exit",
+                &mut intraday_turnover,
+                &mut execution_cursors,
+                &mut global_execution_cursor,
+                &mut commission_state,
+                &mut report,
+            )
+            .expect("failed lower-limit full close should be recorded");
+        assert_eq!(
+            portfolio
+                .position("000001.SZ")
+                .map(|position| position.quantity),
+            Some(1_000)
+        );
+        assert!(report.order_events.iter().any(|event| {
+            event.symbol == "000001.SZ"
+                && event.side == OrderSide::Sell
+                && event.status == OrderStatus::Canceled
+                && event.filled_quantity == 0
+        }));
+
+        let mut target_weights = BTreeMap::new();
+        target_weights.insert("000001.SZ".to_string(), 0.50);
+        target_weights.insert("000002.SZ".to_string(), 0.50);
+        broker
+            .process_target_portfolio_smart(
+                date,
+                &mut portfolio,
+                &data,
+                &target_weights,
+                None,
+                None,
+                "signal_target_weights",
+                &mut intraday_turnover,
+                &mut execution_cursors,
+                &mut global_execution_cursor,
+                &mut commission_state,
+                &mut report,
+            )
+            .expect("failed full close must not change batch target-portfolio semantics");
+
+        assert!(
+            portfolio
+                .position("000001.SZ")
+                .is_some_and(|position| position.quantity > 1_000),
+            "{:?}",
+            report.fill_events
+        );
+        assert!(
+            portfolio
+                .position("000002.SZ")
+                .is_some_and(|position| position.quantity > 1_000),
+            "{:?}",
+            report.fill_events
+        );
+        assert!(
+            report.order_events.iter().all(|event| {
+                !(event.symbol == "000001.SZ"
+                    && event.side == OrderSide::Buy
+                    && event.reason.contains("same_day_rebuy_forbidden"))
+            }),
+            "{:?}",
+            report.order_events
+        );
+        assert!(
+            report
+                .diagnostics
+                .iter()
+                .all(|line| { !line.contains("fallback_after_failed_full_close") })
+        );
+    }
+
+    #[test]
+    fn target_portfolio_smart_scales_buys_when_full_targets_exceed_cash_by_fees() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let symbols = ["000001.SZ", "000002.SZ"];
+        let instruments = symbols
+            .iter()
+            .map(|symbol| Instrument {
+                symbol: (*symbol).to_string(),
+                name: (*symbol).to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            })
+            .collect::<Vec<_>>();
+        let snapshots = symbols
+            .iter()
+            .map(|symbol| {
+                let mut snapshot = limit_test_snapshot();
+                snapshot.symbol = (*symbol).to_string();
+                snapshot
+            })
+            .collect::<Vec<_>>();
+        let candidates = symbols
+            .iter()
+            .map(|symbol| {
+                let mut candidate = limit_test_candidate(true, true);
+                candidate.symbol = (*symbol).to_string();
+                candidate
+            })
+            .collect::<Vec<_>>();
+        let data = DataSet::from_components_with_actions_and_quotes(
+            instruments,
+            snapshots,
+            Vec::new(),
+            candidates,
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let portfolio = PortfolioState::new(10_000.0);
+        let mut target_weights = BTreeMap::new();
+        target_weights.insert("000001.SZ".to_string(), 0.50);
+        target_weights.insert("000002.SZ".to_string(), 0.50);
+
+        let (target_quantities, diagnostics) = broker
+            .target_quantities(date, &portfolio, &data, &target_weights)
+            .expect("target quantities");
+
+        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:?}"
+        );
+    }
+
     #[test]
     fn target_portfolio_smart_pre_open_cash_does_not_spend_same_batch_sell_proceeds() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
@@ -7248,6 +7772,126 @@ mod tests {
         );
     }
 
+    #[test]
+    fn target_portfolio_smart_open_auction_uses_day_open_for_valuation() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let mut snapshot = limit_test_snapshot();
+        snapshot.day_open = 12.0;
+        snapshot.open = 12.0;
+        snapshot.last_price = 12.0;
+        snapshot.prev_close = 10.0;
+        snapshot.upper_limit = 20.0;
+        snapshot.lower_limit = 1.0;
+        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 broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::DayOpen,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let portfolio = PortfolioState::new(20_000.0);
+        let mut target_weights = BTreeMap::new();
+        target_weights.insert("000001.SZ".to_string(), 1.0);
+
+        let (target_quantities, diagnostics) = broker
+            .target_quantities(date, &portfolio, &data, &target_weights)
+            .expect("target quantities");
+
+        assert_eq!(
+            target_quantities.get("000001.SZ").copied(),
+            Some(1_600),
+            "{diagnostics:?}"
+        );
+    }
+
+    #[test]
+    fn target_portfolio_smart_custom_valuation_does_not_create_limit_orders() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let mut snapshot = limit_test_snapshot();
+        snapshot.day_open = 12.0;
+        snapshot.open = 12.0;
+        snapshot.last_price = 12.0;
+        snapshot.prev_close = 10.0;
+        snapshot.upper_limit = 20.0;
+        snapshot.lower_limit = 1.0;
+        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 broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::DayOpen,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut portfolio = PortfolioState::new(20_000.0);
+        let mut target_weights = BTreeMap::new();
+        target_weights.insert("000001.SZ".to_string(), 1.0);
+        let mut valuation_prices = BTreeMap::new();
+        valuation_prices.insert("000001.SZ".to_string(), 12.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_portfolio_smart(
+                date,
+                &mut portfolio,
+                &data,
+                &target_weights,
+                None,
+                Some(&valuation_prices),
+                "custom_valuation_market_order_test",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("custom valuation should not turn rebalance into limit order");
+
+        assert!(
+            report
+                .order_events
+                .iter()
+                .any(|event| event.symbol == "000001.SZ" && event.status == OrderStatus::Filled),
+            "{:?}",
+            report.order_events
+        );
+        assert!(
+            report
+                .order_events
+                .iter()
+                .all(|event| !event.reason.contains("limit price not marketable yet")),
+            "{:?}",
+            report.order_events
+        );
+        assert!(
+            portfolio
+                .position("000001.SZ")
+                .is_some_and(|position| position.quantity == 1_600),
+            "{:?}",
+            portfolio.position("000001.SZ")
+        );
+    }
+
     #[test]
     fn target_value_zero_rejects_sell_when_market_snapshot_missing() {
         let trade_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");

crates/fidc-core/src/data.rs

@@ -448,49 +448,12 @@ pub struct EligibleUniverseSnapshot {
     pub free_float_cap_bn: f64,
 }
 
-pub fn decision_adjusted_cap_bn(
+pub fn decision_market_cap_bn(factor: &DailyFactorSnapshot) -> f64 {
-    factor_date: NaiveDate,
+    factor.market_cap_bn
-    raw_cap_bn: f64,
-    market: &DailyMarketSnapshot,
-) -> f64 {
-    if !raw_cap_bn.is_finite() || raw_cap_bn <= 0.0 {
-        return f64::NAN;
-    }
-    if factor_date != market.date {
-        return raw_cap_bn;
-    }
-    if !market.close.is_finite()
-        || market.close <= 0.0
-        || !market.prev_close.is_finite()
-        || market.prev_close <= 0.0
-    {
-        return f64::NAN;
-    }
-    raw_cap_bn * market.prev_close / market.close
 }
 
-fn factor_market_cap_is_decision_adjusted(factor: &DailyFactorSnapshot) -> bool {
+pub fn decision_free_float_cap_bn(factor: &DailyFactorSnapshot) -> f64 {
-    factor
+    factor.free_float_cap_bn
-        .extra_factors
-        .get("__market_cap_decision_adjusted")
-        .is_some_and(|value| value.is_finite() && *value > 0.0)
-}
-
-pub fn decision_market_cap_bn(factor: &DailyFactorSnapshot, market: &DailyMarketSnapshot) -> f64 {
-    if factor_market_cap_is_decision_adjusted(factor) {
-        return factor.market_cap_bn;
-    }
-    decision_adjusted_cap_bn(factor.date, factor.market_cap_bn, market)
-}
-
-pub fn decision_free_float_cap_bn(
-    factor: &DailyFactorSnapshot,
-    market: &DailyMarketSnapshot,
-) -> f64 {
-    if factor_market_cap_is_decision_adjusted(factor) {
-        return factor.free_float_cap_bn;
-    }
-    decision_adjusted_cap_bn(factor.date, factor.free_float_cap_bn, market)
 }
 
 #[derive(Debug, Clone)]
@@ -3048,20 +3011,21 @@ fn build_fundamental_universe_for_date(
         return rows;
     };
     for factor in factors {
-        let Some(market) = market_by_date
+        if market_by_date
             .get(&date)
             .and_then(|rows| find_arc_by_symbol(rows, &factor.symbol, |row| row.symbol.as_str()))
-        else {
+            .is_none()
+        {
             continue;
-        };
+        }
-        let market_cap_bn = decision_market_cap_bn(factor, market);
+        let market_cap_bn = decision_market_cap_bn(factor);
         if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() {
             continue;
         }
         rows.push(EligibleUniverseSnapshot {
             symbol: factor.symbol.clone(),
             market_cap_bn,
-            free_float_cap_bn: decision_free_float_cap_bn(factor, market),
+            free_float_cap_bn: decision_free_float_cap_bn(factor),
         });
     }
     rows.sort_by(|left, right| {
@@ -3136,11 +3100,11 @@ fn build_eligible_universe_for_date_from_factors(
         {
             continue;
         }
-        let market_cap_bn = decision_market_cap_bn(factor, market);
+        let market_cap_bn = decision_market_cap_bn(factor);
         if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() {
             continue;
         }
-        let free_float_cap_bn = decision_free_float_cap_bn(factor, market);
+        let free_float_cap_bn = decision_free_float_cap_bn(factor);
         rows.push(EligibleUniverseSnapshot {
             symbol: factor.symbol.clone(),
             market_cap_bn,
@@ -3444,11 +3408,11 @@ mod tests {
 
         let rows = data.eligible_universe_on(date);
         assert_eq!(rows.len(), 2);
-        assert_eq!(rows[0].symbol, "000001.SZ");
+        assert_eq!(rows[0].symbol, "000002.SZ");
-        assert!((rows[0].market_cap_bn - 6.0).abs() < 1e-9);
+        assert!((rows[0].market_cap_bn - 10.0).abs() < 1e-9);
-        assert!((rows[0].free_float_cap_bn - 2.0).abs() < 1e-9);
+        assert_eq!(rows[1].symbol, "000001.SZ");
-        assert_eq!(rows[1].symbol, "000002.SZ");
+        assert!((rows[1].market_cap_bn - 12.0).abs() < 1e-9);
-        assert!((rows[1].market_cap_bn - 10.0).abs() < 1e-9);
+        assert!((rows[1].free_float_cap_bn - 4.0).abs() < 1e-9);
     }
 
     #[test]
@@ -3621,33 +3585,8 @@ mod tests {
     }
 
     #[test]
-    fn decision_market_cap_keeps_pre_adjusted_factor() {
+    fn decision_market_cap_uses_factor_date_snapshot_without_price_reconstruction() {
         let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
-        let market = DailyMarketSnapshot {
-            date,
-            symbol: "000001.SZ".to_string(),
-            timestamp: Some("2025-01-06 10:18:00".to_string()),
-            day_open: 10.0,
-            open: 10.0,
-            high: 20.0,
-            low: 10.0,
-            close: 20.0,
-            last_price: 10.0,
-            bid1: 10.0,
-            ask1: 10.0,
-            prev_close: 10.0,
-            volume: 100_000,
-            minute_volume: 1_000,
-            bid1_volume: 1_000,
-            ask1_volume: 1_000,
-            trading_phase: Some("continuous".to_string()),
-            paused: false,
-            upper_limit: 11.0,
-            lower_limit: 9.0,
-            price_tick: 0.01,
-        };
-        let mut extra_factors = BTreeMap::new();
-        extra_factors.insert("__market_cap_decision_adjusted".to_string(), 1.0);
         let factor = DailyFactorSnapshot {
             date,
             symbol: "000001.SZ".to_string(),
@@ -3656,11 +3595,11 @@ mod tests {
             pe_ttm: 10.0,
             turnover_ratio: Some(1.0),
             effective_turnover_ratio: Some(1.0),
-            extra_factors,
+            extra_factors: BTreeMap::new(),
         };
 
-        assert!((decision_market_cap_bn(&factor, &market) - 12.0).abs() < 1e-9);
+        assert!((decision_market_cap_bn(&factor) - 12.0).abs() < 1e-9);
-        assert!((decision_free_float_cap_bn(&factor, &market) - 4.0).abs() < 1e-9);
+        assert!((decision_free_float_cap_bn(&factor) - 4.0).abs() < 1e-9);
     }
 
     #[test]

crates/fidc-core/src/engine.rs

@@ -4286,6 +4286,43 @@ mod tests {
         }
     }
 
+    #[derive(Debug)]
+    struct ScheduledTargetPortfolioSmartStrategy {
+        rule: ScheduleRule,
+        decision_date: NaiveDate,
+        target_weights: BTreeMap<String, f64>,
+    }
+
+    impl Strategy for ScheduledTargetPortfolioSmartStrategy {
+        fn name(&self) -> &str {
+            "scheduled_target_portfolio_smart"
+        }
+
+        fn schedule_rules(&self) -> Vec<ScheduleRule> {
+            vec![self.rule.clone()]
+        }
+
+        fn on_scheduled(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+            rule: &ScheduleRule,
+        ) -> Result<StrategyDecision, super::BacktestError> {
+            assert_eq!(rule.name, self.rule.name);
+            if ctx.decision_date != self.decision_date {
+                return Ok(StrategyDecision::default());
+            }
+            Ok(StrategyDecision {
+                order_intents: vec![OrderIntent::TargetPortfolioSmart {
+                    target_weights: self.target_weights.clone(),
+                    order_prices: None,
+                    valuation_prices: None,
+                    reason: "scheduled_target_portfolio_smart".to_string(),
+                }],
+                ..StrategyDecision::default()
+            })
+        }
+    }
+
     #[derive(Debug)]
     struct ScheduledEligibleUniverseBuyStrategy {
         rule: ScheduleRule,
@@ -4921,6 +4958,51 @@ mod tests {
         assert_eq!(result.fills[0].price, 12.0);
     }
 
+    #[test]
+    fn next_bar_open_target_portfolio_smart_sizes_with_execution_day_open() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let dataset = DataSet::from_components(
+            vec![default_instrument()],
+            vec![market(first, 10.0, 10.0), market(second, 12.0, 12.0)],
+            vec![factor(first), factor(second)],
+            vec![candidate(first), candidate(second)],
+            vec![benchmark(first), benchmark(second)],
+        )
+        .expect("dataset");
+        let broker = scheduled_next_open_broker(FidcRiskControlConfig::default());
+        let config = BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000852.SH".to_string(),
+            start_date: Some(first),
+            end_date: Some(second),
+            decision_lag_trading_days: 1,
+            execution_price_field: PriceField::Open,
+        };
+        let mut target_weights = BTreeMap::new();
+        target_weights.insert(SYMBOL.to_string(), 1.0);
+
+        let result = BacktestEngine::new(
+            dataset,
+            ScheduledTargetPortfolioSmartStrategy {
+                rule: ScheduleRule::daily("daily_target_portfolio", ScheduleStage::OnDay),
+                decision_date: first,
+                target_weights,
+            },
+            broker,
+            config,
+        )
+        .run()
+        .expect("backtest run");
+
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, second);
+        assert_eq!(result.fills[0].decision_date, Some(first));
+        assert_eq!(result.fills[0].execution_date, Some(second));
+        assert_eq!(result.fills[0].price, 12.0);
+        assert_eq!(result.fills[0].quantity, 8_300);
+    }
+
     #[test]
     fn next_bar_open_executes_last_decision_without_execution_day_factor_snapshot() {
         let first = d(2025, 1, 2);

crates/fidc-core/src/platform_strategy_spec.rs

@@ -691,6 +691,12 @@ pub struct StrategyExpressionTradingConfig {
     #[serde(default)]
     pub daily_top_up: Option<bool>,
     #[serde(default)]
+    pub daily_position_target_adjust: Option<bool>,
+    #[serde(default)]
+    pub rebalance_existing_positions: Option<bool>,
+    #[serde(default)]
+    pub selection_buffer_multiple: Option<f64>,
+    #[serde(default)]
     pub retry_empty_rebalance: Option<bool>,
     #[serde(default)]
     pub weak_market_shrink_overweight_threshold: Option<f64>,
@@ -1001,6 +1007,22 @@ fn normalize_model_name(value: &str) -> String {
     value.trim().to_ascii_lowercase().replace('-', "_")
 }
 
+fn normalize_slippage_model_name(value: &str) -> String {
+    match normalize_model_name(value).as_str() {
+        "percent"
+        | "percentage"
+        | "rate"
+        | "ratio"
+        | "price_percent"
+        | "price_percentage"
+        | "price_rate"
+        | "price_ratio_slippage"
+        | "priceratioslippage" => "price_ratio".to_string(),
+        "dynamic_volume_volatility" => "dynamic".to_string(),
+        other => other.to_string(),
+    }
+}
+
 fn parse_matching_type(value: Option<&str>) -> Result<Option<MatchingType>, String> {
     let Some(raw) = value.map(str::trim).filter(|item| !item.is_empty()) else {
         return Ok(None);
@@ -1047,7 +1069,7 @@ fn parse_slippage_model(
     let volatility_coefficient = valid_non_negative(volatility_coefficient);
     let max_value = valid_non_negative(max_value);
     let model = model
-        .map(normalize_model_name)
+        .map(normalize_slippage_model_name)
         .filter(|item| !item.is_empty())
         .unwrap_or_else(|| {
             if value.is_some_and(|item| item > 0.0) {
@@ -1062,13 +1084,11 @@ fn parse_slippage_model(
         "price_ratio" => Some(SlippageModel::PriceRatio(value.unwrap_or(0.0))),
         "tick_size" => Some(SlippageModel::TickSize(value.unwrap_or(0.0))),
         "limit_price" => Some(SlippageModel::LimitPrice),
-        "dynamic" | "dynamic_volume_volatility" => {
+        "dynamic" => Some(SlippageModel::Dynamic(DynamicSlippageConfig::new(
-            Some(SlippageModel::Dynamic(DynamicSlippageConfig::new(
             impact_coefficient.unwrap_or(0.5),
             volatility_coefficient.unwrap_or(0.3),
             max_value.or(value).unwrap_or(0.01),
-            )))
+        ))),
-        }
         _ => None,
     }
 }
@@ -1219,6 +1239,17 @@ fn stock_volume_ma_expr(days: usize) -> String {
     }
 }
 
+fn normalize_index_throttle_exposure_expr(expr: &str) -> String {
+    let mut normalized = expr.to_string();
+    for suffix in ["short", "long", "5", "10", "20", "30"] {
+        normalized = normalized.replace(
+            &format!("benchmark_ma{suffix}"),
+            &format!("signal_ma{suffix}"),
+        );
+    }
+    normalized
+}
+
 fn infer_expression_windows(
     cfg: &mut PlatformExprStrategyConfig,
     benchmark_short_explicit: bool,
@@ -1230,6 +1261,7 @@ fn infer_expression_windows(
     let mut benchmark_days = Vec::new();
     for expr in [&cfg.exposure_expr, &cfg.buy_scale_expr] {
         benchmark_days.extend(prefixed_ma_lookbacks(expr, "benchmark_ma"));
+        benchmark_days.extend(prefixed_ma_lookbacks(expr, "signal_ma"));
         benchmark_days.extend(rolling_mean_lookbacks(expr, "benchmark_close"));
     }
     let benchmark_days = sorted_unique_positive(benchmark_days);
@@ -1539,7 +1571,16 @@ pub fn platform_expr_config_from_spec(
                 .as_ref()
                 .filter(|value| !value.trim().is_empty())
             {
-                cfg.exposure_expr = expr.clone();
+                cfg.exposure_expr = if spec
+                    .engine_config
+                    .as_ref()
+                    .and_then(|engine| engine.index_throttle.as_ref())
+                    .is_some()
+                {
+                    normalize_index_throttle_exposure_expr(expr)
+                } else {
+                    expr.clone()
+                };
             }
             if let Some(expr) = risk
                 .stop_loss_expr
@@ -1593,6 +1634,18 @@ pub fn platform_expr_config_from_spec(
             if let Some(enabled) = trading.daily_top_up {
                 cfg.daily_top_up_enabled = enabled;
             }
+            if let Some(enabled) = trading.daily_position_target_adjust {
+                cfg.daily_position_target_adjust_enabled = enabled;
+            }
+            if let Some(enabled) = trading.rebalance_existing_positions {
+                cfg.rebalance_existing_positions = enabled;
+            }
+            if let Some(multiple) = trading
+                .selection_buffer_multiple
+                .filter(|value| value.is_finite() && *value >= 1.0)
+            {
+                cfg.selection_buffer_multiple = multiple;
+            }
             if let Some(enabled) = trading.retry_empty_rebalance {
                 cfg.retry_empty_rebalance = enabled;
             }
@@ -1715,7 +1768,7 @@ pub fn platform_expr_config_from_spec(
             let defensive = index_throttle.defensive_exposure.unwrap_or(0.5);
             let full = index_throttle.full_exposure.unwrap_or(1.0);
             cfg.exposure_expr = format!(
-                "benchmark_ma_short < benchmark_ma_long * {} ? {} : {}",
+                "signal_ma_short < signal_ma_long * {} ? {} : {}",
                 ratio, defensive, full
             );
         }
@@ -1870,7 +1923,15 @@ fn signal_rebalance_dates(rebalance: &StrategyRebalanceSpec) -> Option<BTreeSet<
         .unwrap_or("")
         .trim()
         .to_ascii_lowercase();
-    if frequency != "signal_dates" && frequency != "signal-dates" && frequency != "signal dates" {
+    if !matches!(
+        frequency.as_str(),
+        "signal_dates"
+            | "signal-dates"
+            | "signal dates"
+            | "daily_model_score_rank"
+            | "dynamic_model_score_rank"
+            | "model_rank_rotation"
+    ) {
         return None;
     }
     let dates = rebalance
@@ -2381,6 +2442,26 @@ mod tests {
         assert_eq!(cfg.signal_rebalance_dates.len(), 2);
     }
 
+    #[test]
+    fn parses_dynamic_model_score_dates_into_platform_config() {
+        let spec = serde_json::json!({
+            "rebalance": {
+                "frequency": "daily_model_score_rank",
+                "dates": ["2025-11-10", "2025-11-17"]
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(
+            cfg.signal_rebalance_dates,
+            BTreeSet::from([
+                NaiveDate::from_ymd_opt(2025, 11, 10).unwrap(),
+                NaiveDate::from_ymd_opt(2025, 11, 17).unwrap(),
+            ])
+        );
+    }
+
     #[test]
     fn parses_execution_cost_overrides_into_platform_config() {
         let spec = serde_json::json!({
@@ -2697,6 +2778,20 @@ mod tests {
         assert!(cfg.strict_value_budget);
     }
 
+    #[test]
+    fn parses_percent_slippage_alias_into_platform_config() {
+        let spec = serde_json::json!({
+            "execution": {
+                "slippageModel": "percent",
+                "slippageValue": 0.001
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(cfg.slippage_model, SlippageModel::PriceRatio(0.001));
+    }
+
     #[test]
     fn parses_rebalance_cash_mode_and_forces_minute_to_actual_sequence() {
         let spec = serde_json::json!({
@@ -2868,6 +2963,9 @@ mod tests {
             "runtimeExpressions": {
                 "trading": {
                     "dailyTopUp": false,
+                    "dailyPositionTargetAdjust": false,
+                    "rebalanceExistingPositions": true,
+                    "selectionBufferMultiple": 1.5,
                     "retryEmptyRebalance": false
                 }
             }
@@ -2876,6 +2974,9 @@ mod tests {
         let cfg = platform_expr_config_from_value("", "", &explicit_off).expect("config");
 
         assert!(!cfg.daily_top_up_enabled);
+        assert!(!cfg.daily_position_target_adjust_enabled);
+        assert!(cfg.rebalance_existing_positions);
+        assert_eq!(cfg.selection_buffer_multiple, 1.5);
         assert!(!cfg.retry_empty_rebalance);
     }
 
@@ -2963,6 +3064,40 @@ mod tests {
         assert_eq!(cfg.stock_long_ma_days, 21);
     }
 
+    #[test]
+    fn index_throttle_uses_signal_ma_not_performance_benchmark_ma() {
+        let spec = serde_json::json!({
+            "signalSymbol": "000852.SH",
+            "benchmark": {
+                "instrumentId": "932000.CSI"
+            },
+            "engineConfig": {
+                "profileName": "aiquant",
+                "indexThrottle": {
+                    "shortDays": 10,
+                    "longDays": 30,
+                    "defensiveExposure": 0.5,
+                    "fullExposure": 1.0
+                }
+            },
+            "runtimeExpressions": {
+                "risk": {
+                    "exposureExpr": "if benchmark_ma10 > benchmark_ma30 { 1.0 } else { 0.5 }"
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("strategy88", "", &spec).expect("config");
+
+        assert_eq!(cfg.signal_symbol, "000852.SH");
+        assert_eq!(
+            cfg.exposure_expr,
+            "if signal_ma10 > signal_ma30 { 1.0 } else { 0.5 }"
+        );
+        assert_eq!(cfg.benchmark_short_ma_days, 10);
+        assert_eq!(cfg.benchmark_long_ma_days, 30);
+    }
+
     #[test]
     fn parses_daily_schedule_time_for_aiquant_execution_quotes() {
         let spec = serde_json::json!({

crates/fidc-core/src/portfolio.rs

@@ -82,6 +82,8 @@ impl Position {
             return;
         }
 
+        let previous_quantity = self.quantity;
+        let previous_average_cost = self.average_cost;
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
@@ -93,7 +95,18 @@ impl Position {
         self.day_trade_quantity_delta += quantity as i32;
         self.day_buy_quantity += quantity;
         self.day_buy_value += execution_price * quantity as f64;
+        if previous_quantity > 0
+            && previous_average_cost.is_finite()
+            && previous_average_cost > 0.0
+            && execution_price.is_finite()
+            && execution_price > 0.0
+        {
+            self.average_cost = (previous_average_cost * previous_quantity as f64
+                + execution_price * quantity as f64)
+                / self.quantity as f64;
+        } else {
             self.recalculate_average_cost();
+        }
         self.refresh_day_pnl();
     }
 
@@ -259,8 +272,12 @@ impl Position {
         }
         if let Some(lot) = self.lots.last_mut() {
             lot.price += cost / quantity as f64;
+            if self.quantity > 0 && self.average_cost.is_finite() && self.average_cost > 0.0 {
+                self.average_cost += cost / self.quantity as f64;
+            } else {
                 self.recalculate_average_cost();
             }
+        }
         self.day_trade_cost += cost;
         self.refresh_day_pnl();
     }
@@ -377,7 +394,11 @@ impl Position {
         self.lots = scaled_lots;
         self.quantity = self.lots.iter().map(|lot| lot.quantity).sum();
         self.last_price /= ratio;
+        if self.average_cost.is_finite() && self.average_cost > 0.0 {
+            self.average_cost /= ratio;
+        } else {
             self.recalculate_average_cost();
+        }
         self.day_split_ratio *= ratio;
         self.refresh_day_pnl();
         self.quantity as i32 - old_quantity as i32
@@ -844,6 +865,7 @@ impl PortfolioState {
 
         let old_quantity = old_position.quantity;
         let last_price = old_position.last_price;
+        let old_average_cost = old_position.average_cost;
         let realized_pnl = old_position.realized_pnl;
         let realized_entry_pnl = old_position.realized_entry_pnl;
         let mut converted_lots = old_position
@@ -879,6 +901,8 @@ impl PortfolioState {
             .positions
             .entry(new_symbol.to_string())
             .or_insert_with(|| Position::new(new_symbol));
+        let successor_quantity_before = successor.quantity;
+        let successor_average_cost_before = successor.average_cost;
         successor.lots.extend(converted_lots);
         successor.quantity = successor.lots.iter().map(|lot| lot.quantity).sum();
         successor.realized_pnl += realized_pnl;
@@ -886,7 +910,30 @@ impl PortfolioState {
         if converted_last_price > 0.0 {
             successor.last_price = converted_last_price;
         }
+        let converted_average_cost = if old_average_cost.is_finite()
+            && old_average_cost > 0.0
+            && ratio.is_finite()
+            && ratio > 0.0
+        {
+            Some(old_average_cost / ratio)
+        } else {
+            None
+        };
+        if let Some(converted_average_cost) = converted_average_cost {
+            if successor_quantity_before > 0
+                && successor_average_cost_before.is_finite()
+                && successor_average_cost_before > 0.0
+            {
+                successor.average_cost = (successor_average_cost_before
+                    * successor_quantity_before as f64
+                    + converted_average_cost * converted_quantity as f64)
+                    / successor.quantity as f64;
+            } else {
+                successor.average_cost = converted_average_cost;
+            }
+        } else {
             successor.recalculate_average_cost();
+        }
         successor.refresh_day_pnl();
 
         Some(SuccessorConversionOutcome {
@@ -982,6 +1029,25 @@ mod tests {
         assert!((position.average_cost - average_cost_before).abs() < 1e-12);
     }
 
+    #[test]
+    fn buy_after_partial_sell_continues_moving_average_cost_basis() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("300405.SZ");
+        position.buy(date, 100, 10.0);
+        position.buy(date, 100, 5.0);
+        assert!((position.average_cost - 7.5).abs() < 1e-12);
+
+        position.sell(100, 6.0).expect("partial sell");
+        assert_eq!(position.quantity, 100);
+        assert!((position.average_cost - 7.5).abs() < 1e-12);
+        assert!((position.average_entry_price().unwrap() - 5.0).abs() < 1e-12);
+
+        position.buy(date, 100, 5.0);
+        assert_eq!(position.quantity, 200);
+        assert!((position.average_cost - 6.25).abs() < 1e-12);
+        assert!((position.average_entry_price().unwrap() - 5.0).abs() < 1e-12);
+    }
+
     #[test]
     fn holdings_summary_reports_entry_price_pnl_excluding_buy_commission() {
         let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();

crates/fidc-core/src/risk_control.rs

@@ -223,6 +223,21 @@ impl ChinaAShareRiskControl {
         Self::instrument_rejection_reason(instrument, date)
     }
 
+    pub fn active_status_rejection_reason_with_config(
+        date: NaiveDate,
+        candidate: Option<&CandidateEligibility>,
+        instrument: Option<&Instrument>,
+        config: &FidcRiskControlConfig,
+        scope: RiskCheckScope,
+    ) -> Option<&'static str> {
+        if let Some(reason) =
+            Self::instrument_rejection_reason_with_config(instrument, date, config, scope)
+        {
+            return Some(reason);
+        }
+        candidate.and_then(|candidate| candidate_active_status_rejection(candidate, config, scope))
+    }
+
     pub fn selection_rejection_reason(
         date: NaiveDate,
         candidate: &CandidateEligibility,

crates/fidc-core/src/strategy_ai.rs

@@ -118,7 +118,7 @@ pub struct StrategyAiOptimizeRequest {
     pub holding_count_contract: Option<StrategyAiHoldingCountContract>,
 }
 
-const DEFAULT_THREE_YEAR_RETURN_TARGET_PROMPT: &str = "默认收益目标：用户没有明确指定更高收益阈值时，三年回测区间策略总收益 >= 150% 即视为满足收益目标；达到该阈值后可以继续优化夏普、回撤、换手和稳定性，但不得把已达标策略判为失败或为了追更高收益破坏无未来数据、持仓数量和同条件对账合同。";
+const DEFAULT_THREE_YEAR_RETURN_TARGET_PROMPT: &str = "默认收益目标：用户没有明确指定更高收益阈值时，三年回测区间策略总收益严格 > 120% 才视为满足收益目标，120.00% 本身不算达标；达到该阈值后可以继续优化夏普、回撤、换手和稳定性，但不得把已达标策略判为失败或为了追更高收益破坏无未来数据、持仓数量和同条件对账合同。";
 const DEFAULT_RISK_POLICY_DSL_PROMPT: &str = "reject_st_selection=false、reject_st_buy=true、reject_star_st_selection=false、reject_star_st_buy=true、reject_paused_selection=false、reject_paused_buy=true、reject_paused_sell=true、reject_inactive_selection=false、reject_inactive_buy=true、reject_inactive_sell=true、reject_new_listing_selection=false、reject_new_listing_buy=true、reject_kcb_selection=false、reject_kcb_buy=true、reject_bjse_selection=false、reject_bjse_buy=true、reject_one_yuan_selection=false、reject_one_yuan_buy=true、respect_allow_buy_sell=true、reject_upper_limit_selection=false、reject_lower_limit_selection=false、reject_upper_limit_buy=true、reject_lower_limit_sell=true、forbid_same_day_rebuy_after_sell=true、blacklist_enabled=true、allow_market_orders=true、live_trading_enabled=false、volume_limit_enabled=true、liquidity_limit_enabled=true、volume_percent=0.25、commission_rate=0.0003、minimum_commission=5、stamp_tax_rate_before_change=0.001、stamp_tax_rate_after_change=0.0005、stamp_tax_change_date=\"2023-08-28\"";
 const DEFAULT_RISK_POLICY_DSL_CODE: &str = "reject_st_selection=false, reject_st_buy=true, reject_star_st_selection=false, reject_star_st_buy=true, reject_paused_selection=false, reject_paused_buy=true, reject_paused_sell=true, reject_inactive_selection=false, reject_inactive_buy=true, reject_inactive_sell=true, reject_new_listing_selection=false, reject_new_listing_buy=true, reject_kcb_selection=false, reject_kcb_buy=true, reject_bjse_selection=false, reject_bjse_buy=true, reject_one_yuan_selection=false, reject_one_yuan_buy=true, respect_allow_buy_sell=true, reject_upper_limit_selection=false, reject_lower_limit_selection=false, reject_upper_limit_buy=true, reject_lower_limit_sell=true, forbid_same_day_rebuy_after_sell=true, blacklist_enabled=true, allow_market_orders=true, live_trading_enabled=false, volume_limit_enabled=true, liquidity_limit_enabled=true, volume_percent=0.25, commission_rate=0.0003, minimum_commission=5, stamp_tax_rate_before_change=0.001, stamp_tax_rate_after_change=0.0005, stamp_tax_change_date=\"2023-08-28\"";
 
@@ -640,7 +640,7 @@ mod tests {
             },
         );
 
-        assert!(prompt.contains("三年回测区间策略总收益 >= 150% 即视为满足收益目标"));
+        assert!(prompt.contains("三年回测区间策略总收益严格 > 120% 才视为满足收益目标"));
         assert!(prompt.contains("不得把已达标策略判为失败"));
         assert!(prompt.contains("Strategy Factory Source Lake 已注册 source rows 字段"));
         assert!(prompt.contains("不要回退 ficlaw-data"));
@@ -673,7 +673,7 @@ mod tests {
             },
         );
 
-        assert!(prompt.contains("三年回测区间策略总收益 >= 150% 即视为满足收益目标"));
+        assert!(prompt.contains("三年回测区间策略总收益严格 > 120% 才视为满足收益目标"));
         assert!(prompt.contains("继续优化夏普、回撤、换手和稳定性"));
         assert!(prompt.contains("Strategy Factory Source Lake 已注册并完成 PIT/as-of 审计"));
         assert!(prompt.contains("不要回退 ficlaw-data"));

crates/fidc-core/tests/explicit_order_flow.rs

@@ -3349,7 +3349,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
 }
 
 #[test]
-fn rebalance_uses_prev_close_for_open_auction_valuation() {
+fn rebalance_uses_day_open_for_open_auction_valuation() {
     let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let data = DataSet::from_components(
@@ -3515,7 +3515,7 @@ fn rebalance_uses_prev_close_for_open_auction_valuation() {
     let held = portfolio.position("000001.SZ").expect("held position");
     let target = portfolio.position("000002.SZ").expect("target position");
     assert_eq!(held.quantity, 500);
-    assert_eq!(target.quantity, 400);
+    assert_eq!(target.quantity, 900);
     assert_eq!(report.fill_events.len(), 2);
     assert!(
         report
@@ -3531,7 +3531,7 @@ fn rebalance_uses_prev_close_for_open_auction_valuation() {
             .iter()
             .any(|fill| fill.symbol == "000002.SZ"
                 && fill.side == fidc_core::OrderSide::Buy
-                && fill.quantity == 400)
+                && fill.quantity == 900)
     );
 }
 
@@ -3725,6 +3725,179 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
     );
 }
 
+#[test]
+fn rebalance_optimizer_does_not_scale_targets_above_requested_weight() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![
+            Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "TargetA".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+            Instrument {
+                symbol: "000002.SZ".to_string(),
+                name: "TargetB".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+        ],
+        vec![
+            DailyMarketSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2024-01-10 10:18:00".to_string()),
+                day_open: 82.0,
+                open: 82.0,
+                high: 83.0,
+                low: 81.0,
+                close: 82.0,
+                last_price: 82.0,
+                bid1: 81.99,
+                ask1: 82.01,
+                prev_close: 82.0,
+                volume: 100_000,
+                minute_volume: 100_000,
+                bid1_volume: 80_000,
+                ask1_volume: 80_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 90.2,
+                lower_limit: 73.8,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date,
+                symbol: "000002.SZ".to_string(),
+                timestamp: Some("2024-01-10 10:18:00".to_string()),
+                day_open: 82.0,
+                open: 82.0,
+                high: 83.0,
+                low: 81.0,
+                close: 82.0,
+                last_price: 82.0,
+                bid1: 81.99,
+                ask1: 82.01,
+                prev_close: 82.0,
+                volume: 100_000,
+                minute_volume: 100_000,
+                bid1_volume: 80_000,
+                ask1_volume: 80_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 90.2,
+                lower_limit: 73.8,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 50.0,
+                free_float_cap_bn: 45.0,
+                pe_ttm: 15.0,
+                turnover_ratio: Some(2.0),
+                effective_turnover_ratio: Some(1.8),
+                extra_factors: BTreeMap::new(),
+            },
+            DailyFactorSnapshot {
+                date,
+                symbol: "000002.SZ".to_string(),
+                market_cap_bn: 60.0,
+                free_float_cap_bn: 50.0,
+                pe_ttm: 18.0,
+                turnover_ratio: Some(2.0),
+                effective_turnover_ratio: Some(1.8),
+                extra_factors: BTreeMap::new(),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date,
+                symbol: "000001.SZ".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,
+            },
+            CandidateEligibility {
+                date,
+                symbol: "000002.SZ".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: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(100_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+
+    broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: true,
+                target_weights: BTreeMap::from([
+                    ("000001.SZ".to_string(), 0.48),
+                    ("000002.SZ".to_string(), 0.48),
+                ]),
+                exit_symbols: BTreeSet::new(),
+                order_intents: Vec::new(),
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+                risk_decisions: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(
+        portfolio
+            .position("000001.SZ")
+            .map(|position| position.quantity),
+        Some(500)
+    );
+    assert_eq!(
+        portfolio
+            .position("000002.SZ")
+            .map(|position| position.quantity),
+        Some(500)
+    );
+}
+
 #[test]
 fn broker_uses_board_specific_min_quantity_and_step_size_for_buy_sizing() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();