修复FIDC策略滑点配置解析

crates/fidc-core/src/platform_expr_strategy.rs

@@ -218,6 +218,7 @@ pub struct PlatformExprStrategyConfig {
     pub matching_type: MatchingType,
     pub quote_quantity_limit: bool,
     pub current_day_precomputed_factors: bool,
+    pub prefer_precomputed_rolling_factors: bool,
     pub intraday_execution_time: Option<NaiveTime>,
     pub delayed_limit_open_exit_enabled: bool,
     pub delayed_limit_open_exit_time: Option<NaiveTime>,
@@ -286,6 +287,7 @@ fn band_low(index_close) {
             matching_type: MatchingType::NextTickLast,
             quote_quantity_limit: true,
             current_day_precomputed_factors: false,
+            prefer_precomputed_rolling_factors: false,
             intraday_execution_time: None,
             delayed_limit_open_exit_enabled: false,
             delayed_limit_open_exit_time: None,
@@ -312,7 +314,7 @@ fn band_low(index_close) {
     }
 }
 
-#[derive(Default)]
+#[derive(Default, Clone)]
 struct ProjectedExecutionState {
     execution_cursors: BTreeMap<String, NaiveDateTime>,
     intraday_turnover: BTreeMap<String, u32>,
@@ -1678,6 +1680,27 @@ impl PlatformExprStrategy {
             .unwrap_or(true)
     }
 
+    fn projected_target_zero_would_fill(
+        &self,
+        ctx: &StrategyContext<'_>,
+        projected: &PortfolioState,
+        date: NaiveDate,
+        symbol: &str,
+        execution_state: &ProjectedExecutionState,
+    ) -> bool {
+        let mut trial_projected = projected.clone();
+        let mut trial_execution_state = execution_state.clone();
+        self.project_target_zero(
+            ctx,
+            &mut trial_projected,
+            date,
+            symbol,
+            &mut trial_execution_state,
+        )
+        .is_some()
+            && Self::projected_position_is_flat(&trial_projected, symbol)
+    }
+
     fn projected_position_value_at_execution_price(
         &self,
         ctx: &StrategyContext<'_>,
@@ -2069,6 +2092,26 @@ impl PlatformExprStrategy {
         self.stock_state_with_factor_date_and_time(ctx, date, factor_date, symbol, None)
     }
 
+    fn stock_decision_rolling_mean(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+        extra_factors: &BTreeMap<String, f64>,
+        field: &str,
+        lookback: usize,
+    ) -> Option<f64> {
+        let precomputed = precomputed_stock_rolling_mean(extra_factors, field, lookback);
+        let computed = ctx
+            .data
+            .market_decision_numeric_moving_average(date, symbol, field, lookback);
+        if self.config.prefer_precomputed_rolling_factors {
+            precomputed.or(computed)
+        } else {
+            computed.or(precomputed)
+        }
+    }
+
     fn stock_state_at_time(
         &self,
         ctx: &StrategyContext<'_>,
@@ -2095,78 +2138,59 @@ impl PlatformExprStrategy {
         let factor = ctx.data.require_factor(factor_date, symbol)?;
         let candidate = ctx.data.require_candidate(date, symbol)?;
         let instrument = ctx.data.instrument(symbol);
-        let stock_ma_short = ctx
+        let stock_ma_short = self
-            .data
+            .stock_decision_rolling_mean(
-            .market_decision_close_moving_average(date, symbol, self.config.stock_short_ma_days)
+                ctx,
-            .or_else(|| {
+                date,
-                precomputed_stock_rolling_mean(
+                symbol,
                 &factor.extra_factors,
                 "close",
                 self.config.stock_short_ma_days,
             )
-            })
             .unwrap_or(f64::NAN);
-        let stock_ma_mid = ctx
+        let stock_ma_mid = self
-            .data
+            .stock_decision_rolling_mean(
-            .market_decision_close_moving_average(date, symbol, self.config.stock_mid_ma_days)
+                ctx,
-            .or_else(|| {
+                date,
-                precomputed_stock_rolling_mean(
+                symbol,
                 &factor.extra_factors,
                 "close",
                 self.config.stock_mid_ma_days,
             )
-            })
             .unwrap_or(f64::NAN);
-        let stock_ma_long = ctx
+        let stock_ma_long = self
-            .data
+            .stock_decision_rolling_mean(
-            .market_decision_close_moving_average(date, symbol, self.config.stock_long_ma_days)
+                ctx,
-            .or_else(|| {
+                date,
-                precomputed_stock_rolling_mean(
+                symbol,
                 &factor.extra_factors,
                 "close",
                 self.config.stock_long_ma_days,
             )
-            })
             .unwrap_or(f64::NAN);
-        let stock_ma5 = ctx
+        let stock_ma5 = self
-            .data
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "close", 5)
-            .market_decision_close_moving_average(date, symbol, 5)
-            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "close", 5))
             .unwrap_or(f64::NAN);
-        let stock_ma10 = ctx
+        let stock_ma10 = self
-            .data
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "close", 10)
-            .market_decision_close_moving_average(date, symbol, 10)
-            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "close", 10))
             .unwrap_or(f64::NAN);
-        let stock_ma20 = ctx
+        let stock_ma20 = self
-            .data
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "close", 20)
-            .market_decision_close_moving_average(date, symbol, 20)
-            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "close", 20))
             .unwrap_or(f64::NAN);
-        let stock_ma30 = ctx
+        let stock_ma30 = self
-            .data
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "close", 30)
-            .market_decision_close_moving_average(date, symbol, 30)
-            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "close", 30))
             .unwrap_or(f64::NAN);
-        let stock_volume_ma5 = ctx
+        let stock_volume_ma5 = self
-            .data
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "volume", 5)
-            .market_decision_volume_moving_average(date, symbol, 5)
-            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "volume", 5))
             .unwrap_or(f64::NAN);
-        let stock_volume_ma10 = ctx
+        let stock_volume_ma10 = self
-            .data
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "volume", 10)
-            .market_decision_volume_moving_average(date, symbol, 10)
-            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "volume", 10))
             .unwrap_or(f64::NAN);
-        let stock_volume_ma20 = ctx
+        let stock_volume_ma20 = self
-            .data
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "volume", 20)
-            .market_decision_volume_moving_average(date, symbol, 20)
-            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "volume", 20))
             .unwrap_or(f64::NAN);
-        let stock_volume_ma60 = ctx
+        let stock_volume_ma60 = self
-            .data
+            .stock_decision_rolling_mean(ctx, date, symbol, &factor.extra_factors, "volume", 60)
-            .market_decision_volume_moving_average(date, symbol, 60)
-            .or_else(|| precomputed_stock_rolling_mean(&factor.extra_factors, "volume", 60))
             .unwrap_or(f64::NAN);
         let touched_upper_limit = !market.paused
             && (market.is_at_upper_limit_price(market.close)
@@ -4002,16 +4026,14 @@ impl PlatformExprStrategy {
                         "rolling_mean(\"{other}\", {lookback}) requires stock context"
                     ))
                 })?;
-                ctx.data
+                self.stock_decision_rolling_mean(
-                    .market_decision_numeric_moving_average(
+                    ctx,
                     day.date,
                     &stock.symbol,
+                    &stock.extra_factors,
                     other,
                     lookback,
                 )
-                    .or_else(|| {
-                        precomputed_stock_rolling_mean(&stock.extra_factors, other, lookback)
-                    })
             }
         };
         value.ok_or_else(|| {
@@ -6490,13 +6512,19 @@ impl Strategy for PlatformExprStrategy {
                 }
                 let (stop_hit, profit_hit) =
                     self.stop_take_action_for_position(ctx, execution_date, &day, position)?;
-                let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol);
                 if stop_hit {
-                    if can_sell {
+                    if self.projected_target_zero_would_fill(
+                        ctx,
+                        &projected,
+                        execution_date,
+                        &position.symbol,
+                        &projected_execution_state,
+                    ) {
                         pending_full_close_symbols.insert(position.symbol.clone());
                     }
                     continue;
                 }
+                let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol);
                 if !can_sell {
                     continue;
                 }
@@ -6518,10 +6546,18 @@ impl Strategy for PlatformExprStrategy {
                     }
                 }
                 if profit_hit {
+                    if self.projected_target_zero_would_fill(
+                        ctx,
+                        &projected,
+                        execution_date,
+                        &position.symbol,
+                        &projected_execution_state,
+                    ) {
                         pending_full_close_symbols.insert(position.symbol.clone());
                     }
                 }
             }
+        }
 
         if self.config.aiquant_transaction_cost
             && self.config.rotation_enabled
@@ -12502,6 +12538,169 @@ mod tests {
         )));
     }
 
+    #[test]
+    fn platform_weak_market_keeps_positive_adjust_when_intraday_stop_loss_sell_blocked() {
+        let prev_date = d(2025, 2, 2);
+        let date = d(2025, 2, 3);
+        let symbols = ["000001.SZ", "000002.SZ"];
+        let data = DataSet::from_components_with_actions_and_quotes(
+            symbols
+                .iter()
+                .map(|symbol| Instrument {
+                    symbol: (*symbol).to_string(),
+                    name: (*symbol).to_string(),
+                    board: "SZ".to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| DailyMarketSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    timestamp: Some("2025-02-03 10:40:00".to_string()),
+                    day_open: 9.6,
+                    open: 9.6,
+                    high: 9.7,
+                    low: 9.0,
+                    close: 9.5,
+                    last_price: 9.5,
+                    bid1: 9.5,
+                    ask1: 9.51,
+                    prev_close: 10.0,
+                    volume: 1_000_000,
+                    tick_volume: 10_000,
+                    bid1_volume: 2_000,
+                    ask1_volume: 2_000,
+                    trading_phase: Some("continuous".to_string()),
+                    paused: false,
+                    upper_limit: 11.0,
+                    lower_limit: 9.0,
+                    price_tick: 0.01,
+                })
+                .collect(),
+            symbols
+                .iter()
+                .enumerate()
+                .map(|(index, symbol)| DailyFactorSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    market_cap_bn: 10.0 + index as f64,
+                    free_float_cap_bn: 10.0 + index as f64,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| CandidateEligibility {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    is_st: false,
+                    is_new_listing: false,
+                    is_paused: false,
+                    allow_buy: true,
+                    allow_sell: true,
+                    is_kcb: false,
+                    is_one_yuan: false,
+                })
+                .collect(),
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 1000.0,
+                volume: 1_000_000,
+            }],
+            Vec::new(),
+            symbols
+                .iter()
+                .map(|symbol| IntradayExecutionQuote {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
+                    last_price: 9.0,
+                    bid1: 9.0,
+                    ask1: 9.01,
+                    bid1_volume: 2_000,
+                    ask1_volume: 2_000,
+                    volume_delta: 10_000,
+                    amount_delta: 90_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                })
+                .collect(),
+        )
+        .expect("dataset");
+
+        let mut portfolio = PortfolioState::new(40_000.0);
+        portfolio
+            .position_mut("000001.SZ")
+            .buy(prev_date, 800, 11.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 2,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.signal_symbol = "000001.SZ".to_string();
+        cfg.refresh_rate = 99;
+        cfg.max_positions = 2;
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "1000".to_string();
+        cfg.selection_limit_expr = "2".to_string();
+        cfg.stock_filter_expr = "close > 0".to_string();
+        cfg.exposure_expr = "0.5".to_string();
+        cfg.stop_loss_expr = "0.92".to_string();
+        cfg.take_profit_expr.clear();
+        cfg.daily_top_up_enabled = true;
+        cfg.aiquant_transaction_cost = true;
+        cfg.slippage_model = SlippageModel::PriceRatio(0.002);
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).expect("time"));
+        let mut strategy = PlatformExprStrategy::new(cfg);
+        strategy.rebalance_day_counter = 2;
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(decision.order_intents.iter().any(|intent| matches!(
+            intent,
+            OrderIntent::Shares {
+                symbol,
+                quantity,
+                reason,
+            } if symbol == "000001.SZ"
+                && reason == "daily_position_target_adjust"
+                && *quantity > 0
+        )));
+        assert!(decision.order_intents.iter().any(|intent| matches!(
+            intent,
+            OrderIntent::TargetValue {
+                symbol,
+                target_value,
+                reason,
+            } if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit"
+        )));
+    }
+
     #[test]
     fn platform_refresh_rate_uses_stateful_aiquant_day_counter() {
         let dates = [d(2025, 2, 5), d(2025, 2, 6), d(2025, 2, 7)];
@@ -13632,10 +13831,10 @@ mod tests {
         )
         .expect("dataset");
 
-        let mut portfolio = PortfolioState::new(100.0);
+        let mut portfolio = PortfolioState::new(1_000.0);
         portfolio
             .position_mut("000003.SZ")
-            .buy(prev_date, 100, 10.0);
+            .buy(prev_date, 1_000, 10.0);
         let subscriptions = BTreeSet::new();
         let ctx = StrategyContext {
             execution_date: date,
@@ -13666,6 +13865,7 @@ mod tests {
         cfg.take_profit_expr.clear();
         cfg.stop_loss_expr.clear();
         cfg.daily_top_up_enabled = true;
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap());
         let mut strategy = PlatformExprStrategy::new(cfg);
         strategy.rebalance_day_counter = 20;
 
@@ -13838,6 +14038,7 @@ mod tests {
         cfg.take_profit_expr.clear();
         cfg.stop_loss_expr.clear();
         cfg.aiquant_transaction_cost = true;
+        cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(14, 59, 0).unwrap());
         let mut strategy = PlatformExprStrategy::new(cfg);
         strategy.rebalance_day_counter = 20;
 
@@ -13846,13 +14047,13 @@ mod tests {
         assert!(
             decision.order_intents.iter().any(|intent| matches!(
                 intent,
-                OrderIntent::Value {
+                OrderIntent::Shares {
                     symbol,
-                    value,
+                    quantity,
                     reason,
                 } if symbol == "000002.SZ"
                     && reason == "periodic_rebalance_buy"
-                    && (*value - 10_000.0).abs() < 1e-6
+                    && *quantity == 900
             )),
             "{:?}",
             decision.order_intents
@@ -14499,6 +14700,123 @@ mod tests {
         ));
     }
 
+    #[test]
+    fn platform_stock_state_can_prefer_precomputed_rolling_factors() {
+        let dates = [
+            d(2025, 1, 2),
+            d(2025, 1, 3),
+            d(2025, 1, 6),
+            d(2025, 1, 7),
+            d(2025, 1, 8),
+            d(2025, 1, 9),
+        ];
+        let date = dates[5];
+        let symbol = "300001.SZ";
+        let mut extra_factors = BTreeMap::new();
+        extra_factors.insert("ma5_prev_close".to_string(), 99.0);
+        extra_factors.insert("avg_volume5".to_string(), 88.0);
+        let data = DataSet::from_components(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            dates
+                .into_iter()
+                .map(|trade_date| DailyMarketSnapshot {
+                    date: trade_date,
+                    symbol: symbol.to_string(),
+                    timestamp: None,
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 10.2,
+                    low: 9.8,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 9.99,
+                    ask1: 10.01,
+                    prev_close: 10.0,
+                    volume: 1_000,
+                    tick_volume: 1_000,
+                    bid1_volume: 1_000,
+                    ask1_volume: 1_000,
+                    trading_phase: None,
+                    paused: false,
+                    upper_limit: 11.0,
+                    lower_limit: 9.0,
+                    price_tick: 0.01,
+                })
+                .collect(),
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 20.0,
+                free_float_cap_bn: 20.0,
+                pe_ttm: 0.0,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                extra_factors,
+            }],
+            vec![CandidateEligibility {
+                date,
+                symbol: symbol.to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            }],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(100_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 5,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.prefer_precomputed_rolling_factors = true;
+        let strategy = PlatformExprStrategy::new(cfg);
+        let stock = strategy
+            .stock_state_with_factor_date(&ctx, date, date, symbol)
+            .expect("stock state");
+        assert_eq!(stock.stock_ma5, 99.0);
+        assert_eq!(stock.stock_volume_ma5, 88.0);
+
+        let strategy = PlatformExprStrategy::new(PlatformExprStrategyConfig::microcap_rotation());
+        let stock = strategy
+            .stock_state_with_factor_date(&ctx, date, date, symbol)
+            .expect("stock state");
+        assert_eq!(stock.stock_ma5, 10.0);
+        assert_eq!(stock.stock_volume_ma5, 1_000.0);
+    }
+
     #[test]
     fn platform_strategy_emits_target_shares_explicit_action() {
         let date = d(2025, 2, 3);

crates/fidc-core/src/platform_strategy_spec.rs

@@ -5,9 +5,10 @@ use serde::{Deserialize, Serialize};
 use serde_json::Value;
 
 use crate::{
-    PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
+    DynamicSlippageConfig, MatchingType, PlatformAccountActionKind, PlatformExplicitActionStage,
-    PlatformExplicitOrderKind, PlatformExprStrategyConfig, PlatformRebalanceSchedule,
+    PlatformExplicitCancelKind, PlatformExplicitOrderKind, PlatformExprStrategyConfig,
-    PlatformScheduleFrequency, PlatformTradeAction, PlatformUniverseActionKind, ScheduleTimeRule,
+    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
+    PlatformUniverseActionKind, ScheduleTimeRule, SlippageModel,
 };
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -176,6 +177,10 @@ pub struct MovingAverageFilterConfig {
     #[serde(default)]
     pub long_days: Option<usize>,
     #[serde(default)]
+    pub volume_short_days: Option<usize>,
+    #[serde(default)]
+    pub volume_long_days: Option<usize>,
+    #[serde(default)]
     pub rsi_rate: Option<f64>,
 }
 
@@ -401,6 +406,97 @@ fn apply_cost_overrides(
     }
 }
 
+fn normalize_model_name(value: &str) -> String {
+    value.trim().to_ascii_lowercase().replace('-', "_")
+}
+
+fn parse_matching_type(value: Option<&str>) -> Option<MatchingType> {
+    match normalize_model_name(value?).as_str() {
+        "open_auction" => Some(MatchingType::OpenAuction),
+        "current_bar_close" => Some(MatchingType::CurrentBarClose),
+        "next_bar_open" => Some(MatchingType::NextBarOpen),
+        "next_tick_last" => Some(MatchingType::NextTickLast),
+        "next_tick_best_own" => Some(MatchingType::NextTickBestOwn),
+        "next_tick_best_counterparty" => Some(MatchingType::NextTickBestCounterparty),
+        "counterparty_offer" => Some(MatchingType::CounterpartyOffer),
+        "vwap" => Some(MatchingType::Vwap),
+        "twap" => Some(MatchingType::Twap),
+        _ => None,
+    }
+}
+
+fn parse_slippage_model(
+    model: Option<&str>,
+    value: Option<f64>,
+    impact_coefficient: Option<f64>,
+    volatility_coefficient: Option<f64>,
+    max_value: Option<f64>,
+) -> Option<SlippageModel> {
+    let value = valid_non_negative(value);
+    let impact_coefficient = valid_non_negative(impact_coefficient);
+    let volatility_coefficient = valid_non_negative(volatility_coefficient);
+    let max_value = valid_non_negative(max_value);
+    let model = model
+        .map(normalize_model_name)
+        .filter(|item| !item.is_empty())
+        .unwrap_or_else(|| {
+            if value.is_some_and(|item| item > 0.0) {
+                "price_ratio".to_string()
+            } else {
+                "none".to_string()
+            }
+        });
+
+    match model.as_str() {
+        "none" => Some(SlippageModel::None),
+        "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" => {
+            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,
+    }
+}
+
+fn apply_execution_behavior_overrides(
+    cfg: &mut PlatformExprStrategyConfig,
+    matching_type: Option<&str>,
+    slippage_model: Option<&str>,
+    slippage_value: Option<f64>,
+    slippage_impact_coefficient: Option<f64>,
+    slippage_volatility_coefficient: Option<f64>,
+    slippage_max_value: Option<f64>,
+    strict_value_budget: Option<bool>,
+) {
+    if let Some(matching_type) = parse_matching_type(matching_type) {
+        cfg.matching_type = matching_type;
+    }
+    if slippage_model.is_some()
+        || slippage_value.is_some()
+        || slippage_impact_coefficient.is_some()
+        || slippage_volatility_coefficient.is_some()
+        || slippage_max_value.is_some()
+    {
+        if let Some(parsed) = parse_slippage_model(
+            slippage_model,
+            slippage_value,
+            slippage_impact_coefficient,
+            slippage_volatility_coefficient,
+            slippage_max_value,
+        ) {
+            cfg.slippage_model = parsed;
+        }
+    }
+    if let Some(enabled) = strict_value_budget {
+        cfg.strict_value_budget = enabled;
+    }
+}
+
 fn parse_usize_after(text: &str, start: usize) -> Option<(usize, usize)> {
     let bytes = text.as_bytes();
     let mut end = start;
@@ -624,6 +720,16 @@ pub fn platform_expr_config_from_spec(
             engine.stamp_tax_rate_before_change,
             engine.stamp_tax_rate_after_change,
         );
+        apply_execution_behavior_overrides(
+            &mut cfg,
+            engine.matching_type.as_deref(),
+            engine.slippage_model.as_deref(),
+            engine.slippage_value,
+            engine.slippage_impact_coefficient,
+            engine.slippage_volatility_coefficient,
+            engine.slippage_max_value,
+            engine.strict_value_budget,
+        );
     }
 
     if let Some(spec_signal_symbol) = spec
@@ -991,6 +1097,16 @@ pub fn platform_expr_config_from_spec(
             execution.stamp_tax_rate_before_change,
             execution.stamp_tax_rate_after_change,
         );
+        apply_execution_behavior_overrides(
+            &mut cfg,
+            execution.matching_type.as_deref(),
+            execution.slippage_model.as_deref(),
+            execution.slippage_value,
+            execution.slippage_impact_coefficient,
+            execution.slippage_volatility_coefficient,
+            execution.slippage_max_value,
+            execution.strict_value_budget,
+        );
     }
     if cfg.aiquant_transaction_cost
         && cfg
@@ -1469,6 +1585,50 @@ mod tests {
         assert_eq!(cfg.stamp_tax_rate_after_change, Some(0.0005));
     }
 
+    #[test]
+    fn parses_execution_slippage_overrides_into_platform_config() {
+        let spec = serde_json::json!({
+            "execution": {
+                "compatibilityProfile": "aiquant_rqalpha",
+                "matchingType": "next_tick_last",
+                "slippageModel": "price_ratio",
+                "slippageValue": 0.001,
+                "strictValueBudget": true
+            },
+            "engineConfig": {
+                "matchingType": "current_bar_close",
+                "slippageModel": "none",
+                "slippageValue": 0.0,
+                "strictValueBudget": false
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(cfg.matching_type, MatchingType::NextTickLast);
+        assert_eq!(cfg.slippage_model, SlippageModel::PriceRatio(0.001));
+        assert!(cfg.strict_value_budget);
+    }
+
+    #[test]
+    fn parses_dynamic_slippage_into_platform_config() {
+        let spec = serde_json::json!({
+            "execution": {
+                "slippageModel": "dynamic",
+                "slippageImpactCoefficient": 0.6,
+                "slippageVolatilityCoefficient": 0.2,
+                "slippageMaxValue": 0.015
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(
+            cfg.slippage_model,
+            SlippageModel::Dynamic(DynamicSlippageConfig::new(0.6, 0.2, 0.015))
+        );
+    }
+
     #[test]
     fn aiquant_profile_defaults_to_daily_top_up_and_empty_retry() {
         let spec = serde_json::json!({

crates/fidc-core/src/strategy.rs

@@ -1539,6 +1539,8 @@ pub struct OmniMicroCapConfig {
     pub stock_short_ma_days: usize,
     pub stock_mid_ma_days: usize,
     pub stock_long_ma_days: usize,
+    pub stock_volume_short_ma_days: usize,
+    pub stock_volume_long_ma_days: usize,
     pub rsi_rate: f64,
     pub trade_rate: f64,
     pub stop_loss_ratio: f64,
@@ -1565,6 +1567,8 @@ impl OmniMicroCapConfig {
             stock_short_ma_days: 5,
             stock_mid_ma_days: 10,
             stock_long_ma_days: 20,
+            stock_volume_short_ma_days: 5,
+            stock_volume_long_ma_days: 60,
             rsi_rate: 1.0001,
             trade_rate: 0.5,
             stop_loss_ratio: 0.93,
@@ -1593,6 +1597,8 @@ impl OmniMicroCapConfig {
             stock_short_ma_days: 5,
             stock_mid_ma_days: 10,
             stock_long_ma_days: 30,
+            stock_volume_short_ma_days: 5,
+            stock_volume_long_ma_days: 60,
             rsi_rate: 1.0001,
             trade_rate: 0.5,
             stop_loss_ratio: 0.92,
@@ -2271,62 +2277,33 @@ impl OmniMicroCapStrategy {
             return false;
         };
 
-        // MA filter: ma_short > ma_mid * rsi_rate && ma_mid * rsi_rate > ma_long
         let ma_pass =
             ma_short > ma_mid * self.config.rsi_rate && ma_mid * self.config.rsi_rate > ma_long;
 
-        // Debug logging for ALL stocks on first decision date
-        static DEBUG_DATE: std::sync::Mutex<Option<NaiveDate>> = std::sync::Mutex::new(None);
-        let mut debug_date = DEBUG_DATE.lock().unwrap();
-        let should_debug = if let Some(d) = *debug_date {
-            d == date
-        } else {
-            *debug_date = Some(date);
-            true
-        };
-
-        if should_debug {
-            eprintln!(
-                "[MA_FILTER] {} cap={:.2} ma5={:.4} ma10={:.4} ma30={:.4} ma10*rsi={:.4} pass={} ({}>{:.4}? {} && {:.4}>{}? {})",
-                symbol,
-                ctx.data.market_decision_close(date, symbol).unwrap_or(0.0),
-                ma_short,
-                ma_mid,
-                ma_long,
-                ma_mid * self.config.rsi_rate,
-                ma_pass,
-                ma_short,
-                ma_mid * self.config.rsi_rate,
-                ma_short > ma_mid * self.config.rsi_rate,
-                ma_mid * self.config.rsi_rate,
-                ma_long,
-                ma_mid * self.config.rsi_rate > ma_long
-            );
-        }
-
         if !ma_pass {
             return false;
         }
 
-        // Volume filter: V5 < V60 (applied for omni_microcap strategies)
         if self.config.strategy_name.contains("aiquant")
             || self.config.strategy_name.contains("AiQuant")
             || self.config.strategy_name.contains("omni")
         {
-            let Some(volume_ma5) = ctx
+            let Some(volume_ma5) = ctx.data.market_decision_volume_moving_average(
-                .data
+                date,
-                .market_decision_volume_moving_average(date, symbol, 5)
+                symbol,
-            else {
+                self.config.stock_volume_short_ma_days,
+            ) else {
                 return false;
             };
-            let Some(volume_ma60) = ctx
+            let Some(volume_ma_long) = ctx.data.market_decision_volume_moving_average(
-                .data
+                date,
-                .market_decision_volume_moving_average(date, symbol, 60)
+                symbol,
-            else {
+                self.config.stock_volume_long_ma_days,
+            ) else {
                 return false;
             };
 
-            if volume_ma5 >= volume_ma60 {
+            if volume_ma5 >= volume_ma_long {
                 return false;
             }
         }
@@ -2519,18 +2496,6 @@ fn omni_truth_stock_list_candidates() -> Vec<PathBuf> {
             }
         }
     }
-
-    let suffix = PathBuf::from("data/demo/engine_truth_stock_list.csv");
-    let manifest_root = Path::new(env!("CARGO_MANIFEST_DIR"));
-    push_unique_truth_path(
-        &mut candidates,
-        manifest_root.join("../../../").join(&suffix),
-    );
-    if let Ok(current_dir) = env::current_dir() {
-        for ancestor in current_dir.ancestors() {
-            push_unique_truth_path(&mut candidates, ancestor.join(&suffix));
-        }
-    }
     candidates
 }
 
@@ -2699,10 +2664,6 @@ impl Strategy for OmniMicroCapStrategy {
             };
         // 使用前一交易日的指数价格计算市值区间（模拟实盘场景）
         let (band_low, band_high) = self.market_cap_band(prev_index_level);
-        eprintln!(
-            "[DEBUG] date={} current_index={:.2} prev_index={:.2} band=[{:.0}, {:.0}]",
-            date, index_level, prev_index_level, band_low, band_high
-        );
         let (stock_list, selection_notes) = self.select_symbols(ctx, date, band_low, band_high)?;
         let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
         let mut projected = ctx.portfolio.clone();
@@ -2726,7 +2687,8 @@ impl Strategy for OmniMicroCapStrategy {
                     + self.stop_loss_tolerance(market);
             let profit_hit = current_price / position.average_cost > self.config.take_profit_ratio;
             let can_sell = self.can_sell_position(ctx, date, &position.symbol);
-            if stop_hit || profit_hit {
+            let at_upper_limit = market.is_at_upper_limit_price(current_price);
+            if stop_hit || (profit_hit && !at_upper_limit) {
                 let sell_reason = if stop_hit {
                     "stop_loss_exit"
                 } else {