修正策略止盈止损和补仓投影

- 修改trading_ratio()返回5个值，包含prev_level
- 使用prev_level计算市值区间，符合实盘决策逻辑
- 调整默认参数对齐AiQuant实际运行版本(xs=0.008, cap_span=10)
- 增强MA过滤调试日志，输出首个决策日所有股票的过滤详情
- 添加市值区间计算调试日志

.gitignore

@@ -1,2 +1,7 @@
 /target
 /output
+
+# macOS
+.DS_Store
+.AppleDouble
+.LSOverride

crates/bt-demo/src/main.rs

@@ -100,6 +100,57 @@ fn main() -> Result<(), Box<dyn Error>> {
             let mut engine = BacktestEngine::new(data, strategy, broker, config);
             engine.run()?
         }
+        "aiquant-v104" => {
+            let mut strategy_cfg = OmniMicroCapConfig::aiquant_v104();
+            if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
+                if !signal_symbol.trim().is_empty() {
+                    strategy_cfg.benchmark_signal_symbol = signal_symbol;
+                }
+            }
+            if let Some(date) = debug_date {
+                let eligible = data.eligible_universe_on(date);
+                eprintln!(
+                    "DEBUG eligible_universe_on {} count={}",
+                    date,
+                    eligible.len()
+                );
+                for row in eligible.iter().take(20) {
+                    eprintln!("  {} {:.6}", row.symbol, row.market_cap_bn);
+                }
+                let mut debug_strategy = OmniMicroCapStrategy::new(strategy_cfg.clone());
+                let debug_subscriptions = BTreeSet::new();
+                let decision = debug_strategy.on_day(&StrategyContext {
+                    execution_date: date,
+                    decision_date: date,
+                    decision_index: 1,
+                    data: &data,
+                    portfolio: &PortfolioState::new(20_000.0),
+                    futures_account: None,
+                    open_orders: &[],
+                    dynamic_universe: None,
+                    subscriptions: &debug_subscriptions,
+                    process_events: &[],
+                    active_process_event: None,
+                    active_datetime: None,
+                    order_events: &[],
+                    fills: &[],
+                })?;
+                eprintln!("DEBUG notes={:?}", decision.notes);
+                eprintln!("DEBUG diagnostics={:?}", decision.diagnostics);
+                return Ok(());
+            }
+            config.decision_lag_trading_days = decision_lag.unwrap_or(1);
+            config.execution_price_field = execution_price.unwrap_or(PriceField::Close);
+            config.initial_cash = initial_cash.unwrap_or(20_000.0);
+            let strategy = OmniMicroCapStrategy::new(strategy_cfg);
+            let broker = BrokerSimulator::new_with_execution_price(
+                ChinaAShareCostModel::default(),
+                ChinaEquityRuleHooks::default(),
+                config.execution_price_field,
+            );
+            let mut engine = BacktestEngine::new(data, strategy, broker, config);
+            engine.run()?
+        }
         _ => {
             let mut strategy_cfg = OmniMicroCapConfig::omni_microcap();
             if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {

crates/fidc-core/src/bin/dump_platform_runtime_schema.rs

@@ -0,0 +1,17 @@
+//! 把 DSP 运行时 schema 序列化为 JSON 输出到 stdout。
+//!
+//! 用法（在 fidc-backtest-engine 仓库根）：
+//!     cargo run -p fidc-core --bin dump_platform_runtime_schema \
+//!       > ../omniquant/src/generated/platformRuntimeSchema.json
+//!
+//! 这是 omniquant 前端编译期校验表达式标识符的事实源；任何对
+//! reserved_scope_names / is_runtime_helper / register_fn 清单的修改，记得
+//! 重新跑这个命令并把生成文件提交到 omniquant。
+
+use fidc_core::runtime_schema_json;
+
+fn main() {
+    let schema = runtime_schema_json();
+    let output = serde_json::to_string_pretty(&schema).expect("serialize schema");
+    println!("{output}");
+}

crates/fidc-core/src/cost.rs

@@ -44,7 +44,7 @@ pub struct ChinaAShareCostModel {
 impl Default for ChinaAShareCostModel {
     fn default() -> Self {
         Self {
-            commission_rate: 0.0003,
+            commission_rate: 0.0008,
             stamp_tax_rate_before_change: 0.001,
             stamp_tax_rate_after_change: 0.0005,
             minimum_commission: 5.0,
@@ -53,6 +53,14 @@ impl Default for ChinaAShareCostModel {
 }
 
 impl ChinaAShareCostModel {
+    pub fn aiquant_rqalpha_default() -> Self {
+        Self {
+            stamp_tax_rate_before_change: 0.0005,
+            stamp_tax_rate_after_change: 0.0005,
+            ..Self::default()
+        }
+    }
+
     pub fn commission_for(&self, gross_amount: f64) -> f64 {
         if gross_amount <= 0.0 {
             return 0.0;

crates/fidc-core/src/data.rs

@@ -1,4 +1,4 @@
-use std::collections::{BTreeMap, HashMap};
+use std::collections::{BTreeMap, HashMap, HashSet};
 use std::fs;
 use std::path::Path;
 
@@ -9,6 +9,7 @@ use thiserror::Error;
 use crate::calendar::TradingCalendar;
 use crate::futures::{FuturesCommissionType, FuturesTradingParameter};
 use crate::instrument::Instrument;
+use crate::risk_control::ChinaAShareRiskControl;
 
 mod date_format {
     use chrono::NaiveDate;
@@ -456,7 +457,9 @@ struct SymbolPriceSeries {
     close_prefix: Vec<f64>,
     prev_close_prefix: Vec<f64>,
     last_prefix: Vec<f64>,
-    volume_prefix: Vec<f64>,
+    unpaused_volumes: Vec<f64>,
+    unpaused_volume_prefix: Vec<f64>,
+    unpaused_count_prefix: Vec<usize>,
 }
 
 impl SymbolPriceSeries {
@@ -469,15 +472,20 @@ impl SymbolPriceSeries {
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
         let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
         let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
-        let volumes = sorted
-            .iter()
-            .map(|row| row.volume as f64)
-            .collect::<Vec<_>>();
         let open_prefix = prefix_sums(&opens);
         let close_prefix = prefix_sums(&closes);
         let prev_close_prefix = prefix_sums(&prev_closes);
         let last_prefix = prefix_sums(&last_prices);
-        let volume_prefix = prefix_sums(&volumes);
+        let mut unpaused_volumes = Vec::new();
+        let mut unpaused_count_prefix = Vec::with_capacity(sorted.len() + 1);
+        unpaused_count_prefix.push(0);
+        for row in &sorted {
+            if !row.paused {
+                unpaused_volumes.push(row.volume as f64);
+            }
+            unpaused_count_prefix.push(unpaused_volumes.len());
+        }
+        let unpaused_volume_prefix = prefix_sums(&unpaused_volumes);
 
         Self {
             snapshots: sorted,
@@ -490,7 +498,9 @@ impl SymbolPriceSeries {
             close_prefix,
             prev_close_prefix,
             last_prefix,
-            volume_prefix,
+            unpaused_volumes,
+            unpaused_volume_prefix,
+            unpaused_count_prefix,
         }
     }
 
@@ -574,19 +584,65 @@ impl SymbolPriceSeries {
         Some(sum / lookback as f64)
     }
 
-    fn decision_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+    fn decision_prev_close_values(&self, date: NaiveDate, lookback: usize) -> Option<Vec<f64>> {
         if lookback == 0 {
             return None;
         }
-        let end = self.previous_completed_end_index(date)?;
+        let end = self.decision_end_index(date)?;
         if end < lookback {
             return None;
         }
         let start = end - lookback;
-        let sum = self.volume_prefix[end] - self.volume_prefix[start];
+        Some(self.prev_closes[start..end].to_vec())
+    }
+
+    fn decision_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        let values = self.decision_volume_values(date, lookback)?;
+        if values.len() < lookback {
+            return None;
+        }
+        let sum = values.iter().sum::<f64>();
         Some(sum / lookback as f64)
     }
 
+    fn current_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        if lookback == 0 {
+            return None;
+        }
+        let end = self.end_index(date)?;
+        let end_count = *self.unpaused_count_prefix.get(end)?;
+        if end_count < lookback {
+            return None;
+        }
+        let start_count = end_count - lookback;
+        let sum = self.unpaused_volume_prefix[end_count] - self.unpaused_volume_prefix[start_count];
+        Some(sum / lookback as f64)
+    }
+
+    fn decision_volume_values(&self, date: NaiveDate, lookback: usize) -> Option<Vec<f64>> {
+        if lookback == 0 {
+            return None;
+        }
+        let end = self.previous_completed_end_index(date)?;
+        let values = self.trailing_unpaused_volumes(end, lookback)?;
+        if values.len() < lookback {
+            return None;
+        }
+        Some(values)
+    }
+
+    fn trailing_unpaused_volumes(&self, end: usize, lookback: usize) -> Option<Vec<f64>> {
+        if lookback == 0 || end == 0 {
+            return None;
+        }
+        let end_count = *self.unpaused_count_prefix.get(end)?;
+        if end_count < lookback {
+            return None;
+        }
+        let start_count = end_count - lookback;
+        Some(self.unpaused_volumes[start_count..end_count].to_vec())
+    }
+
     fn end_index(&self, date: NaiveDate) -> Option<usize> {
         match self.dates.binary_search(&date) {
             Ok(idx) => Some(idx + 1),
@@ -612,6 +668,14 @@ impl SymbolPriceSeries {
         self.values_for(field).get(end - 1).copied()
     }
 
+    fn snapshot_before(&self, date: NaiveDate) -> Option<&DailyMarketSnapshot> {
+        let end = self.previous_completed_end_index(date)?;
+        if end == 0 {
+            return None;
+        }
+        self.snapshots.get(end - 1)
+    }
+
     fn prefix_for(&self, field: PriceField) -> &[f64] {
         match field {
             PriceField::DayOpen => &self.open_prefix,
@@ -625,6 +689,7 @@ impl SymbolPriceSeries {
 #[derive(Debug, Clone)]
 struct BenchmarkPriceSeries {
     dates: Vec<NaiveDate>,
+    opens: Vec<f64>,
     closes: Vec<f64>,
     open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
@@ -641,6 +706,7 @@ impl BenchmarkPriceSeries {
         let close_prefix = prefix_sums(&closes);
         Self {
             dates,
+            opens,
             closes,
             open_prefix,
             close_prefix,
@@ -651,6 +717,23 @@ impl BenchmarkPriceSeries {
         self.moving_average_for(date, lookback, PriceField::Close)
     }
 
+    fn decision_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        if lookback == 0 {
+            return None;
+        }
+        let end = match self.dates.binary_search(&date) {
+            Ok(idx) => idx,
+            Err(0) => return None,
+            Err(idx) => idx,
+        };
+        if end < lookback {
+            return None;
+        }
+        let start = end - lookback;
+        let sum = self.close_prefix[end] - self.close_prefix[start];
+        Some(sum / lookback as f64)
+    }
+
     fn moving_average_for(
         &self,
         date: NaiveDate,
@@ -678,13 +761,20 @@ impl BenchmarkPriceSeries {
     }
 
     fn trailing_values(&self, date: NaiveDate, lookback: usize) -> Vec<f64> {
+        self.trailing_values_for(date, lookback, PriceField::Close)
+    }
+
+    fn trailing_values_for(&self, date: NaiveDate, lookback: usize, field: PriceField) -> Vec<f64> {
         let end = match self.dates.binary_search(&date) {
             Ok(idx) => idx + 1,
             Err(0) => return Vec::new(),
             Err(idx) => idx,
         };
         let start = end.saturating_sub(lookback);
-        self.closes[start..end].to_vec()
+        match field {
+            PriceField::DayOpen | PriceField::Open => self.opens[start..end].to_vec(),
+            PriceField::Close | PriceField::Last => self.closes[start..end].to_vec(),
+        }
     }
 }
 
@@ -944,6 +1034,7 @@ impl DataSet {
     ) -> Result<Self, DataSetError> {
         let benchmark_code = collect_benchmark_code(&benchmarks)?;
         let calendar = TradingCalendar::new(benchmarks.iter().map(|item| item.date).collect());
+        let factors = normalize_factor_snapshots(factors);
 
         let instruments = instruments
             .into_iter()
@@ -994,8 +1085,12 @@ impl DataSet {
         let market_series_by_symbol = build_market_series(&market_by_date);
         let benchmark_series_cache =
             BenchmarkPriceSeries::new(&benchmark_by_date.values().cloned().collect::<Vec<_>>());
-        let eligible_universe_by_date =
-            build_eligible_universe(&factor_by_date, &candidate_index, &market_index);
+        let eligible_universe_by_date = build_eligible_universe(
+            &factor_by_date,
+            &candidate_index,
+            &market_index,
+            &instruments,
+        );
         let futures_params_by_symbol = build_futures_params_index(futures_params);
 
         Ok(Self {
@@ -1088,6 +1183,33 @@ impl DataSet {
             .unwrap_or(&[])
     }
 
+    pub fn execution_quote_key_set(&self) -> HashSet<(NaiveDate, String)> {
+        self.execution_quotes_index.keys().cloned().collect()
+    }
+
+    pub fn add_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
+        let mut added = 0usize;
+        let mut touched = HashSet::<(NaiveDate, String)>::new();
+        for quote in quotes {
+            let key = (quote.date, quote.symbol.clone());
+            let rows = self.execution_quotes_index.entry(key.clone()).or_default();
+            if rows.iter().any(|existing| {
+                existing.timestamp == quote.timestamp && existing.symbol == quote.symbol
+            }) {
+                continue;
+            }
+            rows.push(quote);
+            touched.insert(key);
+            added += 1;
+        }
+        for key in touched {
+            if let Some(rows) = self.execution_quotes_index.get_mut(&key) {
+                rows.sort_by_key(|quote| quote.timestamp);
+            }
+        }
+        added
+    }
+
     pub fn order_book_depth_on(
         &self,
         date: NaiveDate,
@@ -1759,6 +1881,12 @@ impl DataSet {
             .and_then(|series| series.price_on_or_before(date, field))
     }
 
+    pub fn market_before(&self, date: NaiveDate, symbol: &str) -> Option<&DailyMarketSnapshot> {
+        self.market_series_by_symbol
+            .get(symbol)
+            .and_then(|series| series.snapshot_before(date))
+    }
+
     pub fn factor_snapshots_on(&self, date: NaiveDate) -> Vec<&DailyFactorSnapshot> {
         self.factor_by_date
             .get(&date)
@@ -2009,6 +2137,93 @@ impl DataSet {
         }
     }
 
+    pub fn market_current_numeric_moving_average(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        field: &str,
+        lookback: usize,
+    ) -> Option<f64> {
+        let field = normalize_field(field);
+        match field.as_str() {
+            "close" | "prev_close" | "stock_close" | "price" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::Close)
+            }
+            "volume" | "stock_volume" => self
+                .market_series_by_symbol
+                .get(symbol)
+                .and_then(|series| series.current_volume_moving_average(date, lookback))
+                .or_else(|| self.factor_moving_average(date, symbol, "daily_volume", lookback)),
+            "day_open" | "dayopen" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
+            }
+            "open" => self.market_moving_average(date, symbol, lookback, PriceField::Open),
+            "last" | "last_price" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::Last)
+            }
+            other => self.factor_moving_average(date, symbol, other, lookback),
+        }
+    }
+
+    pub fn market_decision_numeric_values(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        field: &str,
+        lookback: usize,
+    ) -> Vec<f64> {
+        if lookback == 0 {
+            return Vec::new();
+        }
+        let field = normalize_field(field);
+        match field.as_str() {
+            "close" | "prev_close" | "stock_close" | "price" => self
+                .market_series_by_symbol
+                .get(symbol)
+                .and_then(|series| series.decision_prev_close_values(date, lookback))
+                .unwrap_or_default(),
+            "volume" | "stock_volume" => self
+                .market_series_by_symbol
+                .get(symbol)
+                .and_then(|series| series.decision_volume_values(date, lookback))
+                .unwrap_or_default(),
+            "day_open" | "dayopen" => self
+                .market_series_by_symbol
+                .get(symbol)
+                .map(|series| series.trailing_values(date, lookback, PriceField::DayOpen))
+                .unwrap_or_default(),
+            "open" => self
+                .market_series_by_symbol
+                .get(symbol)
+                .map(|series| series.trailing_values(date, lookback, PriceField::Open))
+                .unwrap_or_default(),
+            "last" | "last_price" => self
+                .market_series_by_symbol
+                .get(symbol)
+                .map(|series| series.trailing_values(date, lookback, PriceField::Last))
+                .unwrap_or_default(),
+            other => self.factor_numeric_values(date, symbol, other, lookback),
+        }
+    }
+
+    pub fn factor_numeric_values(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        field: &str,
+        lookback: usize,
+    ) -> Vec<f64> {
+        if lookback == 0 {
+            return Vec::new();
+        }
+        self.calendar
+            .trailing_days(date, lookback)
+            .into_iter()
+            .filter_map(|trading_day| self.factor(trading_day, symbol))
+            .filter_map(|snapshot| factor_numeric_value(snapshot, field))
+            .collect()
+    }
+
     pub fn market_moving_average(
         &self,
         date: NaiveDate,
@@ -2025,11 +2240,35 @@ impl DataSet {
         self.benchmark_series_cache.moving_average(date, lookback)
     }
 
+    pub fn benchmark_decision_moving_average(
+        &self,
+        date: NaiveDate,
+        lookback: usize,
+    ) -> Option<f64> {
+        self.benchmark_series_cache
+            .decision_moving_average(date, lookback)
+    }
+
     pub fn benchmark_open_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
         self.benchmark_series_cache
             .moving_average_for(date, lookback, PriceField::Open)
     }
 
+    pub fn benchmark_numeric_values(
+        &self,
+        date: NaiveDate,
+        field: &str,
+        lookback: usize,
+    ) -> Vec<f64> {
+        let field = normalize_field(field);
+        match field.as_str() {
+            "open" | "day_open" | "dayopen" | "benchmark_open" => self
+                .benchmark_series_cache
+                .trailing_values_for(date, lookback, PriceField::Open),
+            _ => self.benchmark_series_cache.trailing_values(date, lookback),
+        }
+    }
+
     pub fn market_open_moving_average(
         &self,
         date: NaiveDate,
@@ -2400,6 +2639,26 @@ fn factor_numeric_value(snapshot: &DailyFactorSnapshot, field: &str) -> Option<f
         "pe_ttm" => Some(snapshot.pe_ttm),
         "turnover_ratio" => snapshot.turnover_ratio,
         "effective_turnover_ratio" => snapshot.effective_turnover_ratio,
+        "ths_market_value_stock" | "ths_market_value_stock_bn" => snapshot
+            .extra_factors
+            .get(field.as_str())
+            .copied()
+            .or(Some(snapshot.market_cap_bn)),
+        "ths_current_mv_stock" | "ths_current_mv_stock_bn" => snapshot
+            .extra_factors
+            .get(field.as_str())
+            .copied()
+            .or(Some(snapshot.free_float_cap_bn)),
+        "ths_turnover_ratio_stock" => snapshot
+            .extra_factors
+            .get(field.as_str())
+            .copied()
+            .or(snapshot.turnover_ratio),
+        "ths_vaild_turnover_stock" | "ths_valid_turnover_stock" => snapshot
+            .extra_factors
+            .get(field.as_str())
+            .copied()
+            .or(snapshot.effective_turnover_ratio),
         other => snapshot.extra_factors.get(other).copied(),
     }
 }
@@ -2509,6 +2768,27 @@ fn normalize_field(field: &str) -> String {
         .to_ascii_lowercase()
 }
 
+fn normalize_factor_snapshots(factors: Vec<DailyFactorSnapshot>) -> Vec<DailyFactorSnapshot> {
+    factors
+        .into_iter()
+        .map(|mut snapshot| {
+            snapshot.extra_factors = snapshot
+                .extra_factors
+                .into_iter()
+                .filter_map(|(field, value)| {
+                    let normalized = normalize_field(&field);
+                    if normalized.is_empty() || !value.is_finite() {
+                        None
+                    } else {
+                        Some((normalized, value))
+                    }
+                })
+                .collect();
+            snapshot
+        })
+        .collect()
+}
+
 fn normalize_history_frequency(frequency: &str) -> Option<String> {
     let normalized = normalize_field(frequency);
     match normalized.as_str() {
@@ -3041,6 +3321,7 @@ fn build_eligible_universe(
     factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
     candidate_index: &HashMap<(NaiveDate, String), CandidateEligibility>,
     market_index: &HashMap<(NaiveDate, String), DailyMarketSnapshot>,
+    instruments: &HashMap<String, Instrument>,
 ) -> BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>> {
     let mut per_date = BTreeMap::<NaiveDate, Vec<EligibleUniverseSnapshot>>::new();
 
@@ -3057,7 +3338,14 @@ fn build_eligible_universe(
             let Some(market) = market_index.get(&key) else {
                 continue;
             };
-            if !candidate.eligible_for_selection() || market.paused {
+            if ChinaAShareRiskControl::selection_rejection_reason(
+                *date,
+                candidate,
+                market,
+                instruments.get(&factor.symbol),
+            )
+            .is_some()
+            {
                 continue;
             }
             rows.push(EligibleUniverseSnapshot {
@@ -3078,6 +3366,11 @@ fn build_eligible_universe(
     per_date
 }
 
+#[cfg(test)]
+fn instrument_passes_baseline_selection(instrument: Option<&Instrument>, date: NaiveDate) -> bool {
+    ChinaAShareRiskControl::instrument_rejection_reason(instrument, date).is_none()
+}
+
 #[cfg(test)]
 mod tests {
     use super::*;
@@ -3117,6 +3410,49 @@ mod tests {
         }
     }
 
+    #[test]
+    fn baseline_selection_uses_structured_instrument_dates_and_status_only() {
+        let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
+        let instrument = |name: &str, status: &str, delisted_at: Option<NaiveDate>| Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: name.to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(NaiveDate::parse_from_str("2020-01-01", "%Y-%m-%d").unwrap()),
+            delisted_at,
+            status: status.to_string(),
+        };
+
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("Short History Stock", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("*ST测试", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("ST测试", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("退市测试", "active", None)),
+            date
+        ));
+        assert!(!instrument_passes_baseline_selection(
+            Some(&instrument("正常名称", "delisted", None)),
+            date
+        ));
+        assert!(!instrument_passes_baseline_selection(
+            Some(&instrument(
+                "正常名称",
+                "active",
+                Some(NaiveDate::parse_from_str("2025-01-01", "%Y-%m-%d").unwrap()),
+            )),
+            date
+        ));
+    }
+
     #[test]
     fn decision_volume_average_uses_previous_completed_days_only() {
         let series = SymbolPriceSeries::new(&[
@@ -3148,6 +3484,33 @@ mod tests {
         );
     }
 
+    #[test]
+    fn decision_volume_average_skips_paused_days_before_counting_window() {
+        let mut paused = market_row("2025-01-03", 11.0, 0);
+        paused.paused = true;
+        let series = SymbolPriceSeries::new(&[
+            market_row("2025-01-02", 10.0, 100),
+            paused,
+            market_row("2025-01-06", 12.0, 300),
+            market_row("2025-01-07", 13.0, 10_000),
+        ]);
+
+        assert_eq!(
+            series.decision_volume_moving_average(
+                NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
+                2
+            ),
+            Some(200.0)
+        );
+        assert_eq!(
+            series.decision_volume_moving_average(
+                NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
+                3
+            ),
+            None
+        );
+    }
+
     #[test]
     fn reads_mixed_numeric_and_text_extra_factors_from_quoted_csv_json() {
         let path = temp_csv_path("mixed_factor_maps");

crates/fidc-core/src/engine.rs

@@ -6,7 +6,7 @@ use thiserror::Error;
 
 use crate::broker::{BrokerExecutionReport, BrokerSimulator, MatchingType};
 use crate::cost::CostModel;
-use crate::data::{BenchmarkSnapshot, DataSet, DataSetError, PriceField};
+use crate::data::{BenchmarkSnapshot, DataSet, DataSetError, IntradayExecutionQuote, PriceField};
 use crate::event_bus::{BacktestProcessMod, BacktestProcessModLoader, ProcessEventBus};
 use crate::events::{
     AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
@@ -20,7 +20,10 @@ use crate::metrics::{BacktestMetrics, compute_backtest_metrics};
 use crate::portfolio::{CashReceivable, HoldingSummary, PortfolioState};
 use crate::rules::EquityRuleHooks;
 use crate::scheduler::{ScheduleRule, ScheduleStage, Scheduler, default_stage_time};
-use crate::strategy::{Strategy, StrategyContext};
+use crate::strategy::{
+    OpenOrderView, OrderIntent, Strategy, StrategyContext, StrategyDecision,
+    TargetPortfolioOrderPricing,
+};
 
 #[derive(Debug, Error)]
 pub enum BacktestError {
@@ -95,6 +98,18 @@ pub struct BacktestResult {
     pub metrics: BacktestMetrics,
 }
 
+#[derive(Debug, Clone)]
+pub struct ExecutionQuoteRequest {
+    pub date: NaiveDate,
+    pub start_time: Option<chrono::NaiveTime>,
+    pub end_time: Option<chrono::NaiveTime>,
+    pub symbols: BTreeSet<String>,
+}
+
+type ExecutionQuoteLoader = Box<
+    dyn FnMut(ExecutionQuoteRequest) -> Result<Vec<IntradayExecutionQuote>, BacktestError> + Send,
+>;
+
 #[derive(Debug, Clone, Serialize)]
 pub struct AnalyzerTradeRow {
     #[serde(with = "date_format")]
@@ -313,6 +328,8 @@ pub struct BacktestEngine<S, C, R> {
     broker: BrokerSimulator<C, R>,
     config: BacktestConfig,
     dividend_reinvestment: bool,
+    cash_dividends_enabled: bool,
+    cash_dividend_adjusts_cost_basis: bool,
     process_event_bus: ProcessEventBus,
     dynamic_universe: Option<BTreeSet<String>>,
     subscriptions: BTreeSet<String>,
@@ -323,6 +340,7 @@ pub struct BacktestEngine<S, C, R> {
     futures_settlement_price_mode: String,
     futures_cost_model: FuturesTransactionCostModel,
     futures_validation_config: FuturesValidationConfig,
+    execution_quote_loader: Option<ExecutionQuoteLoader>,
 }
 
 impl<S, C, R> BacktestEngine<S, C, R> {
@@ -338,6 +356,8 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             broker,
             config,
             dividend_reinvestment: false,
+            cash_dividends_enabled: true,
+            cash_dividend_adjusts_cost_basis: true,
             process_event_bus: ProcessEventBus::new(),
             dynamic_universe: None,
             subscriptions: BTreeSet::new(),
@@ -348,14 +368,39 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             futures_settlement_price_mode: "close".to_string(),
             futures_cost_model: FuturesTransactionCostModel::default(),
             futures_validation_config: FuturesValidationConfig::default(),
+            execution_quote_loader: None,
         }
     }
 
+    pub fn into_data(self) -> DataSet {
+        self.data
+    }
+
+    pub fn with_execution_quote_loader<F>(mut self, loader: F) -> Self
+    where
+        F: FnMut(ExecutionQuoteRequest) -> Result<Vec<IntradayExecutionQuote>, BacktestError>
+            + Send
+            + 'static,
+    {
+        self.execution_quote_loader = Some(Box::new(loader));
+        self
+    }
+
     pub fn with_dividend_reinvestment(mut self, enabled: bool) -> Self {
         self.dividend_reinvestment = enabled;
         self
     }
 
+    pub fn with_cash_dividends(mut self, enabled: bool) -> Self {
+        self.cash_dividends_enabled = enabled;
+        self
+    }
+
+    pub fn with_cash_dividend_cost_basis_adjustment(mut self, enabled: bool) -> Self {
+        self.cash_dividend_adjusts_cost_basis = enabled;
+        self
+    }
+
     pub fn with_futures_account(mut self, account: FuturesAccountState) -> Self {
         self.futures_account = Some(account);
         self
@@ -460,6 +505,48 @@ where
     C: CostModel,
     R: EquityRuleHooks,
 {
+    fn ensure_execution_quotes_for_decision(
+        &mut self,
+        execution_date: NaiveDate,
+        portfolio: &PortfolioState,
+        open_orders: &[OpenOrderView],
+        decision: &StrategyDecision,
+        start_time: Option<chrono::NaiveTime>,
+        end_time: Option<chrono::NaiveTime>,
+    ) -> Result<(), BacktestError> {
+        if self.execution_quote_loader.is_none() {
+            return Ok(());
+        }
+        if self.broker.execution_price_field() != PriceField::Last
+            && !decision_has_algo_execution(decision)
+        {
+            return Ok(());
+        }
+
+        let start_time = start_time.or_else(|| self.broker.intraday_execution_start_time());
+        let mut symbols = execution_quote_symbols_for_decision(decision, portfolio, open_orders);
+        symbols.retain(|symbol| {
+            !has_execution_quote_in_window(&self.data, execution_date, symbol, start_time, end_time)
+        });
+        if symbols.is_empty() {
+            return Ok(());
+        }
+
+        let request = ExecutionQuoteRequest {
+            date: execution_date,
+            start_time,
+            end_time,
+            symbols,
+        };
+        let quotes = self
+            .execution_quote_loader
+            .as_mut()
+            .expect("checked execution quote loader")
+            .as_mut()(request)?;
+        self.data.add_execution_quotes(quotes);
+        Ok(())
+    }
+
     fn apply_strategy_directives(
         &mut self,
         execution_date: NaiveDate,
@@ -1721,6 +1808,15 @@ where
                 &mut auction_decision,
                 &mut directive_report,
             )?;
+            let pre_auction_execution_orders = self.open_order_views();
+            self.ensure_execution_quotes_for_decision(
+                execution_date,
+                &portfolio,
+                &pre_auction_execution_orders,
+                &auction_decision,
+                None,
+                None,
+            )?;
             let mut report = self.broker.execute(
                 execution_date,
                 &mut portfolio,
@@ -1925,6 +2021,15 @@ where
                 &mut directive_report,
             )?;
 
+            let pre_intraday_execution_orders = self.open_order_views();
+            self.ensure_execution_quotes_for_decision(
+                execution_date,
+                &portfolio,
+                &pre_intraday_execution_orders,
+                &decision,
+                None,
+                None,
+            )?;
             let mut intraday_report =
                 self.broker
                     .execute(execution_date, &mut portfolio, &self.data, &decision)?;
@@ -2082,6 +2187,15 @@ where
                         &mut tick_decision,
                         &mut directive_report,
                     )?;
+                    let pre_tick_execution_orders = self.open_order_views();
+                    self.ensure_execution_quotes_for_decision(
+                        execution_date,
+                        &portfolio,
+                        &pre_tick_execution_orders,
+                        &tick_decision,
+                        Some(tick_time),
+                        Some(tick_time),
+                    )?;
                     let mut tick_report = self.broker.execute_between(
                         execution_date,
                         &mut portfolio,
@@ -2127,7 +2241,12 @@ where
                 }
             }
 
-            portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
+            portfolio.update_prices_with_options(
+                execution_date,
+                &self.data,
+                PriceField::Close,
+                self.broker.same_day_buy_close_mark_at_fill(),
+            )?;
 
             let post_trade_open_orders = self.open_order_views();
             let visible_order_events = result
@@ -2516,13 +2635,17 @@ where
                 continue;
             }
 
-            if action.share_cash.abs() > f64::EPSILON {
+            if self.cash_dividends_enabled && action.share_cash.abs() > f64::EPSILON {
                 let cash_before = portfolio.cash();
                 let (cash_delta, quantity_after, average_cost) = {
                     let position = portfolio
                         .position_mut_if_exists(&action.symbol)
                         .expect("position exists for dividend action");
-                    let cash_delta = position.apply_cash_dividend(action.share_cash);
+                    let cash_delta = if self.cash_dividend_adjusts_cost_basis {
+                        position.apply_cash_dividend(action.share_cash)
+                    } else {
+                        position.apply_cash_dividend_preserve_cost_basis(action.share_cash)
+                    };
                     (cash_delta, position.quantity, position.average_cost)
                 };
                 if cash_delta.abs() > f64::EPSILON {
@@ -2985,24 +3108,17 @@ where
             }
 
             let quantity = position.quantity;
-            let fallback_reference_price = if position.last_price > 0.0 {
+            let settlement_price = if position.last_price.is_finite() && position.last_price > 0.0 {
                 position.last_price
-            } else {
+            } else if position.average_cost.is_finite() && position.average_cost > 0.0 {
                 position.average_cost
+            } else {
+                0.0
             };
             let effective_delisted_at = instrument
                 .delisted_at
                 .or_else(|| self.data.calendar().previous_day(date))
                 .unwrap_or(date);
-            let settlement_price = self
-                .data
-                .price_on_or_before(effective_delisted_at, &symbol, PriceField::Close)
-                .or_else(|| {
-                    self.data
-                        .price_on_or_before(date, &symbol, PriceField::Close)
-                })
-                .filter(|price| price.is_finite() && *price > 0.0)
-                .unwrap_or(fallback_reference_price);
             if !settlement_price.is_finite() || settlement_price <= 0.0 {
                 return Err(BacktestError::Execution(format!(
                     "missing delisting settlement price for {} on {}",
@@ -3072,6 +3188,93 @@ where
     }
 }
 
+fn has_execution_quote_in_window(
+    data: &DataSet,
+    date: NaiveDate,
+    symbol: &str,
+    start_time: Option<chrono::NaiveTime>,
+    end_time: Option<chrono::NaiveTime>,
+) -> bool {
+    let start_cursor = start_time.map(|time| date.and_time(time));
+    let end_cursor = end_time.map(|time| date.and_time(time));
+    data.execution_quotes_on(date, symbol).iter().any(|quote| {
+        !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
+            && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
+    })
+}
+
+fn decision_has_algo_execution(decision: &StrategyDecision) -> bool {
+    decision.order_intents.iter().any(|intent| {
+        matches!(
+            intent,
+            OrderIntent::AlgoValue { .. }
+                | OrderIntent::AlgoPercent { .. }
+                | OrderIntent::TargetPortfolioSmart {
+                    order_prices: Some(TargetPortfolioOrderPricing::AlgoOrder { .. }),
+                    ..
+                }
+        )
+    })
+}
+
+fn execution_quote_symbols_for_decision(
+    decision: &StrategyDecision,
+    portfolio: &PortfolioState,
+    open_orders: &[OpenOrderView],
+) -> BTreeSet<String> {
+    let mut symbols = BTreeSet::new();
+    symbols.extend(open_orders.iter().map(|order| order.symbol.clone()));
+    if decision.rebalance {
+        symbols.extend(portfolio.positions().keys().cloned());
+        symbols.extend(decision.target_weights.keys().cloned());
+    }
+    if !decision.exit_symbols.is_empty() {
+        symbols.extend(decision.exit_symbols.iter().cloned());
+    }
+
+    for intent in &decision.order_intents {
+        match intent {
+            OrderIntent::Shares { symbol, .. }
+            | OrderIntent::LimitShares { symbol, .. }
+            | OrderIntent::Lots { symbol, .. }
+            | OrderIntent::LimitLots { symbol, .. }
+            | OrderIntent::TargetShares { symbol, .. }
+            | OrderIntent::LimitTargetShares { symbol, .. }
+            | OrderIntent::TargetValue { symbol, .. }
+            | OrderIntent::LimitTargetValue { symbol, .. }
+            | OrderIntent::Value { symbol, .. }
+            | OrderIntent::LimitValue { symbol, .. }
+            | OrderIntent::Percent { symbol, .. }
+            | OrderIntent::LimitPercent { symbol, .. }
+            | OrderIntent::TargetPercent { symbol, .. }
+            | OrderIntent::LimitTargetPercent { symbol, .. }
+            | OrderIntent::AlgoValue { symbol, .. }
+            | OrderIntent::AlgoPercent { symbol, .. }
+            | OrderIntent::CancelSymbol { symbol, .. } => {
+                symbols.insert(symbol.clone());
+            }
+            OrderIntent::TargetPortfolioSmart { target_weights, .. } => {
+                symbols.extend(portfolio.positions().keys().cloned());
+                symbols.extend(target_weights.keys().cloned());
+            }
+            OrderIntent::CancelAll { .. } => {
+                symbols.extend(open_orders.iter().map(|order| order.symbol.clone()));
+            }
+            OrderIntent::UpdateUniverse { .. }
+            | OrderIntent::Subscribe { .. }
+            | OrderIntent::Unsubscribe { .. }
+            | OrderIntent::DepositWithdraw { .. }
+            | OrderIntent::FinanceRepay { .. }
+            | OrderIntent::SetManagementFeeRate { .. }
+            | OrderIntent::CancelOrder { .. }
+            | OrderIntent::Futures { .. } => {}
+        }
+    }
+
+    symbols.retain(|symbol| !symbol.trim().is_empty());
+    symbols
+}
+
 fn collect_scheduled_decisions<S: Strategy>(
     strategy: &mut S,
     scheduler: &Scheduler<'_>,

crates/fidc-core/src/lib.rs

@@ -9,14 +9,19 @@ pub mod futures;
 pub mod instrument;
 pub mod metrics;
 pub mod platform_expr_strategy;
+pub mod platform_runtime_schema;
+pub mod platform_strategy_spec;
 pub mod portfolio;
+pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
 pub mod strategy_ai;
 pub mod universe;
 
-pub use broker::{BrokerExecutionReport, BrokerSimulator, MatchingType, SlippageModel};
+pub use broker::{
+    BrokerExecutionReport, BrokerSimulator, DynamicSlippageConfig, MatchingType, SlippageModel,
+};
 pub use calendar::TradingCalendar;
 pub use cost::{ChinaAShareCostModel, CostModel, TradingCost};
 pub use data::{
@@ -29,7 +34,7 @@ pub use data::{
 pub use engine::{
     AnalyzerMonthlyReturnRow, AnalyzerPositionRow, AnalyzerReport, AnalyzerRiskSummary,
     AnalyzerTradeRow, BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError,
-    BacktestResult, DailyEquityPoint, FuturesValidationConfig,
+    BacktestResult, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
 };
 pub use event_bus::{BacktestProcessMod, BacktestProcessModLoader, ProcessEventBus};
 pub use events::{
@@ -46,10 +51,25 @@ pub use metrics::{BacktestMetrics, compute_backtest_metrics};
 pub use platform_expr_strategy::{
     PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
     PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
-    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
-    PlatformUniverseActionKind,
+    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformSelectionQuotePlan,
+    PlatformTradeAction, PlatformUniverseActionKind,
+};
+pub use platform_runtime_schema::{
+    PLATFORM_RUNTIME_SCHEMA_VERSION, PlatformRuntimeSchema, reserved_scope_names,
+    rhai_builtin_functions, rhai_keywords, runtime_helper_functions, runtime_schema,
+    runtime_schema_json,
+};
+pub use platform_strategy_spec::{
+    DynamicRangeConfig, IndexThrottleConfig, MovingAverageFilterConfig, SkipWindowConfig,
+    StrategyBenchmarkSpec, StrategyEngineConfig, StrategyExecutionSpec,
+    StrategyExpressionActionConfig, StrategyExpressionAllocationConfig,
+    StrategyExpressionOrderingConfig, StrategyExpressionRiskConfig,
+    StrategyExpressionScheduleConfig, StrategyExpressionSelectionConfig,
+    StrategyExpressionTradingConfig, StrategyRuntimeEnvironment, StrategyRuntimeExpressions,
+    StrategyRuntimeSpec, platform_expr_config_from_spec, platform_expr_config_from_value,
 };
 pub use portfolio::{CashReceivable, HoldingSummary, PendingCashFlow, PortfolioState, Position};
+pub use risk_control::ChinaAShareRiskControl;
 pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};
 pub use scheduler::{
     ScheduleFrequency, ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler, default_stage_time,

crates/fidc-core/src/platform_runtime_schema.rs

@@ -0,0 +1,346 @@
+//! DSP 运行时变量与函数 schema 导出。
+//!
+//! 这是前后端共享的"事实源"：把引擎里 reserved_scope_names 和 is_runtime_helper
+//! 等清单按 JSON Schema 暴露出来，供 omniquant 前端在编译期做表达式标识符校验。
+//!
+//! 维护原则：
+//! - 任何对 platform_expr_strategy.rs 中变量名 / 函数名清单的修改都必须在这里
+//!   同步一份。两侧一致由 unit test `runtime_schema_matches_strategy_runtime`
+//!   守住。
+//! - 该 schema 的 version 字段需要与 omniquant/src/platformSchema.ts 里
+//!   PLATFORM_RUNTIME_SCHEMA_VERSION 保持一致。前端读到不同版本时应给出诊断。
+
+use serde::Serialize;
+use serde_json::Value;
+
+/// 当前 schema 版本号。每次 reserved/runtime 列表的破坏性变更需要 +1。
+pub const PLATFORM_RUNTIME_SCHEMA_VERSION: &str = "1";
+
+#[derive(Debug, Clone, Serialize)]
+#[serde(rename_all = "camelCase")]
+pub struct PlatformRuntimeSchema {
+    pub version: &'static str,
+    pub reserved_scope_names: Vec<&'static str>,
+    pub runtime_helper_functions: Vec<&'static str>,
+    pub rhai_builtin_functions: Vec<&'static str>,
+    pub rhai_keywords: Vec<&'static str>,
+}
+
+/// reserved scope names 列表。镜像 PlatformExprStrategy::reserved_scope_names。
+pub fn reserved_scope_names() -> &'static [&'static str] {
+    RESERVED_SCOPE_NAMES
+}
+
+/// runtime helper functions 列表。镜像 PlatformExprStrategy::is_runtime_helper。
+pub fn runtime_helper_functions() -> &'static [&'static str] {
+    RUNTIME_HELPER_FUNCTIONS
+}
+
+/// rhai engine 注册的内置函数列表。镜像 PlatformExprStrategy::new 中 register_fn
+/// 的清单。
+pub fn rhai_builtin_functions() -> &'static [&'static str] {
+    RHAI_BUILTIN_FUNCTIONS
+}
+
+/// rhai 控制流关键字（避免被前端校验视为未知）。
+pub fn rhai_keywords() -> &'static [&'static str] {
+    RHAI_KEYWORDS
+}
+
+/// 构造完整 schema。
+pub fn runtime_schema() -> PlatformRuntimeSchema {
+    PlatformRuntimeSchema {
+        version: PLATFORM_RUNTIME_SCHEMA_VERSION,
+        reserved_scope_names: RESERVED_SCOPE_NAMES.to_vec(),
+        runtime_helper_functions: RUNTIME_HELPER_FUNCTIONS.to_vec(),
+        rhai_builtin_functions: RHAI_BUILTIN_FUNCTIONS.to_vec(),
+        rhai_keywords: RHAI_KEYWORDS.to_vec(),
+    }
+}
+
+/// 把 schema 序列化为 JSON Value。给 fidc-data-center / strategy-runtime 接口使用。
+pub fn runtime_schema_json() -> Value {
+    serde_json::to_value(runtime_schema()).expect("runtime schema serialization is infallible")
+}
+
+const RESERVED_SCOPE_NAMES: &[&str] = &[
+    // day-level
+    "signal_close",
+    "benchmark_close",
+    "signal_ma5",
+    "signal_ma10",
+    "signal_ma20",
+    "signal_ma30",
+    "benchmark_ma5",
+    "benchmark_ma10",
+    "benchmark_ma20",
+    "benchmark_ma30",
+    "benchmark_ma_short",
+    "benchmark_ma_long",
+    "cash",
+    "available_cash",
+    "frozen_cash",
+    "market_value",
+    "total_equity",
+    "total_value",
+    "portfolio_value",
+    "starting_cash",
+    "unit_net_value",
+    "static_unit_net_value",
+    "daily_pnl",
+    "daily_returns",
+    "total_returns",
+    "cash_liabilities",
+    "management_fee_rate",
+    "management_fees",
+    "current_exposure",
+    "position_count",
+    "max_positions",
+    "refresh_rate",
+    "year",
+    "month",
+    "quarter",
+    "day_of_month",
+    "day_of_year",
+    "week_of_year",
+    "weekday",
+    "is_month_start",
+    "is_month_end",
+    "has_open_orders",
+    "open_order_count",
+    "open_buy_order_count",
+    "open_sell_order_count",
+    "open_buy_qty",
+    "open_sell_qty",
+    "latest_open_order_id",
+    "latest_open_order_status",
+    "latest_open_order_unfilled_qty",
+    "has_process_events",
+    "process_event_count",
+    "current_process_kind",
+    "current_process_order_id",
+    "current_process_symbol",
+    "current_process_side",
+    "current_process_detail",
+    "latest_process_kind",
+    "latest_process_order_id",
+    "latest_process_symbol",
+    "latest_process_side",
+    "latest_process_detail",
+    "process_event_counts",
+    "day_factors",
+    // stock-level
+    "symbol",
+    "market_cap",
+    "free_float_cap",
+    "pe_ttm",
+    "volume",
+    "tick_volume",
+    "bid1_volume",
+    "ask1_volume",
+    "turnover_ratio",
+    "effective_turnover_ratio",
+    "open",
+    "high",
+    "low",
+    "close",
+    "last",
+    "last_price",
+    "prev_close",
+    "amount",
+    "upper_limit",
+    "lower_limit",
+    "price_tick",
+    "round_lot",
+    "paused",
+    "is_st",
+    "is_kcb",
+    "is_one_yuan",
+    "is_new_listing",
+    "allow_buy",
+    "allow_sell",
+    "touched_upper_limit",
+    "touched_lower_limit",
+    "hit_upper_limit",
+    "hit_lower_limit",
+    "listed_days",
+    "symbol_open_order_count",
+    "symbol_open_buy_qty",
+    "symbol_open_sell_qty",
+    "latest_symbol_open_order_id",
+    "latest_symbol_open_order_status",
+    "latest_symbol_open_order_unfilled_qty",
+    "stock_ma_short",
+    "stock_ma_mid",
+    "stock_ma_long",
+    "stock_ma5",
+    "stock_ma10",
+    "stock_ma20",
+    "stock_ma30",
+    "ma5",
+    "ma10",
+    "ma20",
+    "ma30",
+    "factors",
+    "order_book_id",
+    // position-level
+    "avg_cost",
+    "avg_price",
+    "current_price",
+    "position_prev_close",
+    "prev_position_close",
+    "holding_return",
+    "quantity",
+    "sellable_qty",
+    "sellable",
+    "closable",
+    "old_quantity",
+    "buy_quantity",
+    "sell_quantity",
+    "bought_quantity",
+    "sold_quantity",
+    "buy_avg_price",
+    "sell_avg_price",
+    "bought_value",
+    "sold_value",
+    "transaction_cost",
+    "position_market_value",
+    "equity",
+    "value_percent",
+    "unrealized_pnl",
+    "realized_pnl",
+    "pnl",
+    "day_trade_quantity_delta",
+    "profit_pct",
+    "trading_pnl",
+    "position_pnl",
+    "dividend_receivable",
+    "at_upper_limit",
+    "at_lower_limit",
+];
+
+const RUNTIME_HELPER_FUNCTIONS: &[&str] = &[
+    "factor",
+    "day_factor",
+    "rolling_mean",
+    "rolling_mean_current",
+    "ma",
+    "sma",
+    "vma",
+    "rolling_sum",
+    "rolling_min",
+    "rolling_max",
+    "rolling_stddev",
+    "stddev",
+    "rolling_zscore",
+    "pct_change",
+    "factor_value",
+    "get_factor_value",
+    "factor_text",
+    "get_factor_text",
+    "dividend_cash",
+    "has_dividend",
+    "split_ratio",
+    "has_split",
+    "securities_margin",
+    "get_securities_margin_value",
+    "shares",
+    "get_shares_value",
+    "turnover_rate",
+    "get_turnover_rate_value",
+    "price_change_rate",
+    "get_price_change_rate_value",
+    "stock_connect",
+    "get_stock_connect_value",
+    "current_performance",
+    "fundamental",
+    "get_fundamentals_value",
+    "financial",
+    "get_financials_value",
+    "pit_financial",
+    "get_pit_financials_value",
+    "industry_code",
+    "get_industry_code",
+    "industry_name",
+    "get_industry_name",
+    "yield_curve",
+    "get_yield_curve_value",
+    "is_margin_stock",
+    "dominant_future",
+    "get_dominant_future",
+    "dominant_future_price",
+    "get_dominant_future_price_value",
+];
+
+const RHAI_BUILTIN_FUNCTIONS: &[&str] = &[
+    "round",
+    "floor",
+    "ceil",
+    "abs",
+    "min",
+    "max",
+    "sqrt",
+    "pow",
+    "log",
+    "exp",
+    "clamp",
+    "between",
+    "nz",
+    "safe_div",
+    "iff",
+    "contains",
+    "starts_with",
+    "ends_with",
+    "lower",
+    "upper",
+    "trim",
+    "strlen",
+];
+
+const RHAI_KEYWORDS: &[&str] = &[
+    "if", "else", "while", "loop", "for", "in", "break", "continue", "return", "fn", "let",
+    "const", "true", "false", "switch", "do",
+];
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn runtime_schema_serializes_to_json_object() {
+        let value = runtime_schema_json();
+        assert!(value.is_object());
+        assert_eq!(value["version"], "1");
+        assert!(value["reservedScopeNames"].is_array());
+        assert!(value["runtimeHelperFunctions"].is_array());
+        assert!(value["rhaiBuiltinFunctions"].is_array());
+        assert!(value["rhaiKeywords"].is_array());
+    }
+
+    #[test]
+    fn runtime_schema_includes_known_identifiers() {
+        let names: std::collections::HashSet<&str> = RESERVED_SCOPE_NAMES.iter().copied().collect();
+        for required in [
+            "signal_close",
+            "benchmark_close",
+            "close",
+            "avg_cost",
+            "current_price",
+            "stock_ma_short",
+        ] {
+            assert!(
+                names.contains(required),
+                "missing reserved name: {required}"
+            );
+        }
+
+        let helpers: std::collections::HashSet<&str> =
+            RUNTIME_HELPER_FUNCTIONS.iter().copied().collect();
+        for required in ["rolling_mean", "factor", "pct_change"] {
+            assert!(
+                helpers.contains(required),
+                "missing helper function: {required}"
+            );
+        }
+    }
+}

crates/fidc-core/src/portfolio.rs

@@ -1,7 +1,7 @@
 use chrono::NaiveDate;
 use indexmap::IndexMap;
 use serde::Serialize;
-use std::collections::BTreeMap;
+use std::collections::{BTreeMap, BTreeSet};
 
 use crate::data::{DataSet, DataSetError, PriceField};
 
@@ -9,6 +9,7 @@ use crate::data::{DataSet, DataSetError, PriceField};
 pub struct PositionLot {
     pub acquired_date: NaiveDate,
     pub quantity: u32,
+    pub entry_price: f64,
     pub price: f64,
 }
 
@@ -72,6 +73,7 @@ impl Position {
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
+            entry_price: price,
             price,
         });
         self.quantity += quantity;
@@ -205,6 +207,22 @@ impl Position {
         }
     }
 
+    pub fn record_buy_trade_cost(&mut self, quantity: u32, value: f64) {
+        if quantity == 0 || !value.is_finite() {
+            return;
+        }
+        let cost = value.max(0.0);
+        if cost <= 0.0 {
+            return;
+        }
+        if let Some(lot) = self.lots.last_mut() {
+            lot.price += cost / quantity as f64;
+            self.recalculate_average_cost();
+        }
+        self.day_trade_cost += cost;
+        self.refresh_day_pnl();
+    }
+
     pub fn set_dividend_receivable(&mut self, value: f64) {
         self.dividend_receivable = if value.is_finite() {
             value.max(0.0)
@@ -214,13 +232,28 @@ impl Position {
     }
 
     pub fn holding_return(&self, price: f64) -> Option<f64> {
-        if self.quantity == 0 || self.average_cost <= 0.0 {
+        let Some(avg_price) = self.average_entry_price() else {
+            return None;
+        };
+        if avg_price <= 0.0 {
             None
         } else {
-            Some((price / self.average_cost) - 1.0)
+            Some((price / avg_price) - 1.0)
         }
     }
 
+    pub fn average_entry_price(&self) -> Option<f64> {
+        if self.quantity == 0 {
+            return None;
+        }
+        let total = self
+            .lots
+            .iter()
+            .map(|lot| lot.entry_price * lot.quantity as f64)
+            .sum::<f64>();
+        Some(total / self.quantity as f64)
+    }
+
     fn recalculate_average_cost(&mut self) {
         if self.quantity == 0 {
             self.average_cost = 0.0;
@@ -237,14 +270,31 @@ impl Position {
     }
 
     pub fn apply_cash_dividend(&mut self, dividend_per_share: f64) -> f64 {
+        self.apply_cash_dividend_internal(dividend_per_share, true)
+    }
+
+    pub fn apply_cash_dividend_preserve_cost_basis(&mut self, dividend_per_share: f64) -> f64 {
+        self.apply_cash_dividend_internal(dividend_per_share, false)
+    }
+
+    fn apply_cash_dividend_internal(
+        &mut self,
+        dividend_per_share: f64,
+        adjust_cost_basis: bool,
+    ) -> f64 {
         if self.quantity == 0 || !dividend_per_share.is_finite() || dividend_per_share == 0.0 {
             return 0.0;
         }
 
         for lot in &mut self.lots {
-            lot.price -= dividend_per_share;
+            lot.entry_price -= dividend_per_share;
+            if adjust_cost_basis {
+                lot.price -= dividend_per_share;
+            }
+        }
+        if adjust_cost_basis {
+            self.average_cost -= dividend_per_share;
         }
-        self.average_cost -= dividend_per_share;
         self.last_price -= dividend_per_share;
         let cash_delta = self.quantity as f64 * dividend_per_share;
         self.day_dividend_cash += cash_delta;
@@ -264,6 +314,7 @@ impl Position {
             .map(|lot| PositionLot {
                 acquired_date: lot.acquired_date,
                 quantity: round_half_up_u32(lot.quantity as f64 * ratio),
+                entry_price: lot.entry_price / ratio,
                 price: lot.price / ratio,
             })
             .collect::<Vec<_>>();
@@ -316,6 +367,7 @@ pub struct PortfolioState {
     positions: IndexMap<String, Position>,
     cash_receivables: Vec<CashReceivable>,
     pending_cash_flows: Vec<PendingCashFlow>,
+    day_sold_symbols: BTreeSet<String>,
 }
 
 #[derive(Debug, Clone)]
@@ -348,6 +400,7 @@ impl PortfolioState {
             positions: IndexMap::new(),
             cash_receivables: Vec::new(),
             pending_cash_flows: Vec::new(),
+            day_sold_symbols: BTreeSet::new(),
         }
     }
 
@@ -402,7 +455,18 @@ impl PortfolioState {
     }
 
     pub fn prune_flat_positions(&mut self) {
-        self.positions.retain(|_, position| !position.is_flat());
+        let mut sold_symbols = Vec::new();
+        self.positions.retain(|symbol, position| {
+            if position.is_flat() {
+                if position.sold_quantity() > 0 {
+                    sold_symbols.push(symbol.clone());
+                }
+                false
+            } else {
+                true
+            }
+        });
+        self.day_sold_symbols.extend(sold_symbols);
     }
 
     pub fn add_cash_receivable(&mut self, receivable: CashReceivable) {
@@ -538,6 +602,7 @@ impl PortfolioState {
     }
 
     pub fn begin_trading_day(&mut self) {
+        self.day_sold_symbols.clear();
         for position in self.positions.values_mut() {
             position.begin_trading_day();
         }
@@ -550,7 +615,31 @@ impl PortfolioState {
         data: &DataSet,
         field: PriceField,
     ) -> Result<(), DataSetError> {
+        self.update_prices_with_options(date, data, field, false)
+    }
+
+    pub fn update_prices_with_options(
+        &mut self,
+        date: NaiveDate,
+        data: &DataSet,
+        field: PriceField,
+        same_day_buy_close_mark_at_fill: bool,
+    ) -> Result<(), DataSetError> {
+        let day_sold_symbols = self.day_sold_symbols.clone();
         for position in self.positions.values_mut() {
+            let sold_today =
+                position.sold_quantity() > 0 || day_sold_symbols.contains(&position.symbol);
+            if same_day_buy_close_mark_at_fill
+                && field == PriceField::Close
+                && position.day_buy_quantity > 0
+                && !sold_today
+                && position.sellable_qty(date) == 0
+                && position.last_price.is_finite()
+                && position.last_price > 0.0
+            {
+                position.refresh_day_pnl();
+                continue;
+            }
             let price = data
                 .price(date, &position.symbol, field)
                 .or_else(|| data.price_on_or_before(date, &position.symbol, field))
@@ -705,6 +794,7 @@ impl PortfolioState {
             .map(|lot| PositionLot {
                 acquired_date: lot.acquired_date,
                 quantity: round_half_up_u32(lot.quantity as f64 * ratio),
+                entry_price: lot.entry_price / ratio,
                 price: lot.price / ratio,
             })
             .collect::<Vec<_>>();
@@ -801,6 +891,35 @@ mod tests {
         );
     }
 
+    #[test]
+    fn strategy_entry_price_excludes_buy_commission_cost_basis() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("600561.SH");
+        position.buy(date, 22_200, 5.66);
+        position.record_buy_trade_cost(22_200, 100.0);
+
+        assert!(position.average_cost > 5.66);
+        assert!((position.average_entry_price().unwrap() - 5.66).abs() < 1e-12);
+        assert!((position.holding_return(6.06).unwrap() - (6.06 / 5.66 - 1.0)).abs() < 1e-12);
+    }
+
+    #[test]
+    fn cash_dividend_can_preserve_avg_cost_for_aiquant_compatibility() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("603102.SH");
+        position.buy(date, 1000, 46.45);
+        position.record_buy_trade_cost(1000, 37.16);
+
+        let cost_before = position.average_cost;
+        let entry_before = position.average_entry_price().unwrap();
+        let cash = position.apply_cash_dividend_preserve_cost_basis(0.6);
+
+        assert!((cash - 600.0).abs() < 1e-12);
+        assert!((position.average_cost - cost_before).abs() < 1e-12);
+        assert!((position.average_entry_price().unwrap() - (entry_before - 0.6)).abs() < 1e-12);
+        assert!((position.last_price - 45.85).abs() < 1e-12);
+    }
+
     #[test]
     fn portfolio_tracks_dividend_receivable_and_day_pnl() {
         let prev_date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
@@ -1066,6 +1185,132 @@ mod tests {
         assert!(position.position_pnl.abs() < 1e-6);
     }
 
+    #[test]
+    fn portfolio_marks_same_day_buy_at_fill_until_next_trading_day() {
+        let buy_date = NaiveDate::from_ymd_opt(2025, 2, 10).unwrap();
+        let next_date = NaiveDate::from_ymd_opt(2025, 2, 11).unwrap();
+        let symbol = "002652.SZ";
+        let mut portfolio = PortfolioState::new(20_000.0);
+        portfolio.position_mut(symbol).buy(buy_date, 1300, 3.01);
+
+        let dataset = DataSet::from_components(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: "Same Day Buy Test".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![
+                DailyMarketSnapshot {
+                    date: buy_date,
+                    symbol: symbol.to_string(),
+                    timestamp: None,
+                    day_open: 2.99,
+                    open: 2.99,
+                    high: 3.06,
+                    low: 2.98,
+                    close: 3.06,
+                    last_price: 3.06,
+                    bid1: 3.01,
+                    ask1: 3.02,
+                    prev_close: 2.98,
+                    volume: 152_975,
+                    tick_volume: 152_975,
+                    bid1_volume: 338,
+                    ask1_volume: 2476,
+                    trading_phase: None,
+                    paused: false,
+                    upper_limit: 3.28,
+                    lower_limit: 2.68,
+                    price_tick: 0.01,
+                },
+                DailyMarketSnapshot {
+                    date: next_date,
+                    symbol: symbol.to_string(),
+                    timestamp: None,
+                    day_open: 3.03,
+                    open: 3.03,
+                    high: 3.08,
+                    low: 3.00,
+                    close: 3.07,
+                    last_price: 3.07,
+                    bid1: 3.06,
+                    ask1: 3.07,
+                    prev_close: 3.06,
+                    volume: 160_000,
+                    tick_volume: 160_000,
+                    bid1_volume: 1000,
+                    ask1_volume: 1000,
+                    trading_phase: None,
+                    paused: false,
+                    upper_limit: 3.37,
+                    lower_limit: 2.75,
+                    price_tick: 0.01,
+                },
+            ],
+            Vec::new(),
+            Vec::new(),
+            vec![
+                BenchmarkSnapshot {
+                    date: buy_date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1000.0,
+                    prev_close: 999.0,
+                    volume: 1000,
+                },
+                BenchmarkSnapshot {
+                    date: next_date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1001.0,
+                    close: 1001.0,
+                    prev_close: 1000.0,
+                    volume: 1000,
+                },
+            ],
+        )
+        .expect("dataset");
+
+        portfolio
+            .update_prices_with_options(buy_date, &dataset, PriceField::Close, true)
+            .expect("same day close");
+        let position = portfolio.position(symbol).expect("position");
+        assert!((position.last_price - 3.01).abs() < 1e-9);
+        assert!((position.market_value() - 3913.0).abs() < 1e-6);
+
+        portfolio.begin_trading_day();
+        portfolio
+            .update_prices(next_date, &dataset, PriceField::Close)
+            .expect("next day close");
+        let position = portfolio.position(symbol).expect("position");
+        assert!((position.last_price - 3.07).abs() < 1e-9);
+        assert!((position.market_value() - 3991.0).abs() < 1e-6);
+
+        let prev_date = NaiveDate::from_ymd_opt(2025, 2, 7).unwrap();
+        let mut roundtrip_portfolio = PortfolioState::new(20_000.0);
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .buy(prev_date, 2000, 2.90);
+        roundtrip_portfolio.begin_trading_day();
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .sell(2000, 3.01)
+            .expect("same day sell");
+        roundtrip_portfolio.prune_flat_positions();
+        roundtrip_portfolio
+            .position_mut(symbol)
+            .buy(buy_date, 1800, 3.01);
+        roundtrip_portfolio
+            .update_prices(buy_date, &dataset, PriceField::Close)
+            .expect("same day roundtrip close");
+        let position = roundtrip_portfolio.position(symbol).expect("position");
+        assert!((position.last_price - 3.06).abs() < 1e-9);
+        assert!((position.market_value() - 5508.0).abs() < 1e-6);
+    }
+
     #[test]
     fn position_tracks_day_lifecycle_fields() {
         let prev_date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();

crates/fidc-core/src/risk_control.rs

@@ -0,0 +1,125 @@
+use chrono::NaiveDate;
+
+use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
+use crate::instrument::Instrument;
+use crate::portfolio::Position;
+
+#[derive(Debug, Clone, Copy, Default)]
+pub struct ChinaAShareRiskControl;
+
+impl ChinaAShareRiskControl {
+    pub fn instrument_rejection_reason(
+        instrument: Option<&Instrument>,
+        date: NaiveDate,
+    ) -> Option<&'static str> {
+        let instrument = instrument?;
+        if instrument
+            .listed_at
+            .is_some_and(|listed_at| listed_at > date)
+        {
+            return Some("not_listed");
+        }
+        if instrument
+            .delisted_at
+            .is_some_and(|delisted_at| delisted_at <= date)
+        {
+            return Some("inactive_or_delisted");
+        }
+        let status = instrument.status.trim().to_ascii_lowercase();
+        if matches!(
+            status.as_str(),
+            "inactive" | "delisted" | "terminated" | "expired"
+        ) || status.contains("delist")
+        {
+            return Some("inactive_or_delisted");
+        }
+        None
+    }
+
+    pub fn selection_rejection_reason(
+        date: NaiveDate,
+        candidate: &CandidateEligibility,
+        market: &DailyMarketSnapshot,
+        instrument: Option<&Instrument>,
+    ) -> Option<&'static str> {
+        if let Some(reason) = Self::instrument_rejection_reason(instrument, date) {
+            return Some(reason);
+        }
+        if market.paused || candidate.is_paused {
+            return Some("paused");
+        }
+        if candidate.is_st {
+            return Some("st");
+        }
+        if candidate.is_new_listing {
+            return Some("new_listing");
+        }
+        if candidate.is_kcb {
+            return Some("kcb");
+        }
+        if candidate.is_one_yuan || market.day_open <= 1.0 {
+            return Some("one_yuan");
+        }
+        if !candidate.allow_buy || !candidate.allow_sell {
+            return Some("trade_disabled");
+        }
+        None
+    }
+
+    pub fn buy_rejection_reason(
+        date: NaiveDate,
+        candidate: &CandidateEligibility,
+        market: &DailyMarketSnapshot,
+        instrument: Option<&Instrument>,
+        check_price: f64,
+    ) -> Option<&'static str> {
+        if let Some(reason) = Self::selection_rejection_reason(date, candidate, market, instrument)
+        {
+            return Some(reason);
+        }
+        if !candidate.allow_buy {
+            return Some("buy_disabled");
+        }
+        if market.is_at_upper_limit_price(check_price) {
+            return Some("open at or above upper limit");
+        }
+        None
+    }
+
+    pub fn sell_rejection_reason(
+        date: NaiveDate,
+        candidate: &CandidateEligibility,
+        market: &DailyMarketSnapshot,
+        instrument: Option<&Instrument>,
+        position: Option<&Position>,
+        check_price: f64,
+    ) -> Option<&'static str> {
+        if let Some(reason) = Self::instrument_rejection_reason(instrument, date) {
+            return Some(reason);
+        }
+        if market.paused || candidate.is_paused {
+            return Some("paused");
+        }
+        if !candidate.allow_sell {
+            return Some("sell_disabled");
+        }
+        if market.is_at_lower_limit_price(check_price) {
+            return Some("open at or below lower limit");
+        }
+        if position.is_some_and(|position| position.sellable_qty(date) == 0) {
+            return Some("t+1 sellable quantity is zero");
+        }
+        None
+    }
+
+    pub fn buy_check_price(market: &DailyMarketSnapshot, price_field: PriceField) -> f64 {
+        market.buy_price(price_field)
+    }
+
+    pub fn sell_check_price(market: &DailyMarketSnapshot, price_field: PriceField) -> f64 {
+        match price_field {
+            PriceField::Last => market.price(PriceField::Last),
+            _ => market.sell_price(price_field),
+        }
+    }
+}

crates/fidc-core/src/rules.rs

@@ -2,6 +2,7 @@ use chrono::NaiveDate;
 
 use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
 use crate::portfolio::Position;
+use crate::risk_control::ChinaAShareRiskControl;
 
 #[derive(Debug, Clone)]
 pub struct RuleCheck {
@@ -47,20 +48,6 @@ pub trait EquityRuleHooks {
 #[derive(Debug, Clone, Default)]
 pub struct ChinaEquityRuleHooks;
 
-impl ChinaEquityRuleHooks {
-    fn at_upper_limit(snapshot: &DailyMarketSnapshot, price_field: PriceField) -> bool {
-        snapshot.is_at_upper_limit_price(snapshot.buy_price(price_field))
-    }
-
-    fn at_lower_limit(snapshot: &DailyMarketSnapshot, price_field: PriceField) -> bool {
-        let check_price = match price_field {
-            PriceField::Last => snapshot.price(PriceField::Last),
-            _ => snapshot.sell_price(price_field),
-        };
-        snapshot.is_at_lower_limit_price(check_price)
-    }
-}
-
 impl EquityRuleHooks for ChinaEquityRuleHooks {
     fn can_buy(
         &self,
@@ -69,14 +56,14 @@ impl EquityRuleHooks for ChinaEquityRuleHooks {
         candidate: &CandidateEligibility,
         price_field: PriceField,
     ) -> RuleCheck {
-        if snapshot.paused || candidate.is_paused {
-            return RuleCheck::reject("paused");
-        }
-        if !candidate.allow_buy {
-            return RuleCheck::reject("buy disabled by eligibility flags");
-        }
-        if Self::at_upper_limit(snapshot, price_field) {
-            return RuleCheck::reject("open at or above upper limit");
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
+            _execution_date,
+            candidate,
+            snapshot,
+            None,
+            ChinaAShareRiskControl::buy_check_price(snapshot, price_field),
+        ) {
+            return RuleCheck::reject(reason);
         }
 
         RuleCheck::allow()
@@ -90,17 +77,15 @@ impl EquityRuleHooks for ChinaEquityRuleHooks {
         position: &Position,
         price_field: PriceField,
     ) -> RuleCheck {
-        if snapshot.paused || candidate.is_paused {
-            return RuleCheck::reject("paused");
-        }
-        if !candidate.allow_sell {
-            return RuleCheck::reject("sell disabled by eligibility flags");
-        }
-        if Self::at_lower_limit(snapshot, price_field) {
-            return RuleCheck::reject("open at or below lower limit");
-        }
-        if position.sellable_qty(execution_date) == 0 {
-            return RuleCheck::reject("t+1 sellable quantity is zero");
+        if let Some(reason) = ChinaAShareRiskControl::sell_rejection_reason(
+            execution_date,
+            candidate,
+            snapshot,
+            None,
+            Some(position),
+            ChinaAShareRiskControl::sell_check_price(snapshot, price_field),
+        ) {
+            return RuleCheck::reject(reason);
         }
 
         RuleCheck::allow()

crates/fidc-core/src/strategy.rs

@@ -17,6 +17,7 @@ use crate::events::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEvent}
 use crate::futures::{FuturesAccountState, FuturesOrderIntent};
 use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
+use crate::risk_control::ChinaAShareRiskControl;
 use crate::scheduler::ScheduleRule;
 use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSelector};
 
@@ -1090,6 +1091,9 @@ pub struct CnSmallCapRotationConfig {
     pub base_index_level: f64,
     pub base_cap_floor: f64,
     pub cap_span: f64,
+    pub padding_ratio: f64,
+    pub min_padding: f64,
+    pub max_padding: f64,
     pub short_ma_days: usize,
     pub long_ma_days: usize,
     pub stock_short_ma_days: usize,
@@ -1101,7 +1105,7 @@ pub struct CnSmallCapRotationConfig {
     pub take_profit_pct: f64,
     pub signal_symbol: Option<String>,
     pub skip_months: Vec<u32>,
-    pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
+    pub skip_month_day_ranges: Vec<(Option<u32>, u32, u32, u32)>,
 }
 
 impl CnSmallCapRotationConfig {
@@ -1114,6 +1118,9 @@ impl CnSmallCapRotationConfig {
             base_index_level: 2000.0,
             base_cap_floor: 7.0,
             cap_span: 10.0,
+            padding_ratio: 0.5,
+            min_padding: 8.0,
+            max_padding: 20.0,
             short_ma_days: 3,
             long_ma_days: 5,
             stock_short_ma_days: 3,
@@ -1138,6 +1145,9 @@ impl CnSmallCapRotationConfig {
             base_index_level: 2000.0,
             base_cap_floor: 7.0,
             cap_span: 10.0,
+            padding_ratio: 0.5,
+            min_padding: 8.0,
+            max_padding: 20.0,
             short_ma_days: 5,
             long_ma_days: 10,
             stock_short_ma_days: 5,
@@ -1150,23 +1160,29 @@ impl CnSmallCapRotationConfig {
             signal_symbol: Some("000852.SH".to_string()),
             skip_months: vec![],
             skip_month_day_ranges: vec![
-                (1, 15, 30),
-                (4, 15, 29),
-                (8, 15, 31),
-                (10, 20, 30),
-                (12, 20, 30),
+                (None, 1, 15, 30),
+                (None, 4, 15, 29),
+                (None, 8, 15, 31),
+                (None, 10, 20, 30),
+                (None, 12, 20, 30),
             ],
         }
     }
 
     fn in_skip_window(&self, date: NaiveDate) -> bool {
+        let year = date.year() as u32;
         let month = date.month();
         let day = date.day();
         self.skip_months.contains(&month)
             || self
                 .skip_month_day_ranges
                 .iter()
-                .any(|(m, start_day, end_day)| month == *m && day >= *start_day && day <= *end_day)
+                .any(|(window_year, m, start_day, end_day)| {
+                    window_year.map(|value| value == year).unwrap_or(true)
+                        && month == *m
+                        && day >= *start_day
+                        && day <= *end_day
+                })
     }
 }
 
@@ -1185,6 +1201,9 @@ impl CnSmallCapRotationStrategy {
                 config.cap_span,
                 config.xs,
                 config.stocknum,
+                config.padding_ratio,
+                config.min_padding,
+                config.max_padding,
             ),
             config,
             last_gross_exposure: None,
@@ -1508,6 +1527,9 @@ pub struct OmniMicroCapConfig {
     pub base_index_level: f64,
     pub base_cap_floor: f64,
     pub cap_span: f64,
+    pub padding_ratio: f64,
+    pub min_padding: f64,
+    pub max_padding: f64,
     pub benchmark_signal_symbol: String,
     pub benchmark_short_ma_days: usize,
     pub benchmark_long_ma_days: usize,
@@ -1518,7 +1540,7 @@ pub struct OmniMicroCapConfig {
     pub trade_rate: f64,
     pub stop_loss_ratio: f64,
     pub take_profit_ratio: f64,
-    pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
+    pub skip_month_day_ranges: Vec<(Option<u32>, u32, u32, u32)>,
 }
 
 impl OmniMicroCapConfig {
@@ -1531,6 +1553,9 @@ impl OmniMicroCapConfig {
             base_index_level: 2000.0,
             base_cap_floor: 7.0,
             cap_span: 10.0,
+            padding_ratio: 0.5,
+            min_padding: 8.0,
+            max_padding: 20.0,
             benchmark_signal_symbol: "000001.SH".to_string(),
             benchmark_short_ma_days: 5,
             benchmark_long_ma_days: 10,
@@ -1547,12 +1572,44 @@ impl OmniMicroCapConfig {
         }
     }
 
+    pub fn aiquant_v104() -> Self {
+        Self {
+            strategy_name: "aiquant-v1.0.4".to_string(),
+            refresh_rate: 120,
+            stocknum: 5,
+            xs: 4.0 / 500.0,
+            base_index_level: 2000.0,
+            base_cap_floor: 7.0,
+            cap_span: 10.0,
+            padding_ratio: 1.2,
+            min_padding: 29.5,
+            max_padding: 50.0,
+            benchmark_signal_symbol: "000852.SH".to_string(),
+            benchmark_short_ma_days: 5,
+            benchmark_long_ma_days: 20,
+            stock_short_ma_days: 5,
+            stock_mid_ma_days: 10,
+            stock_long_ma_days: 30,
+            rsi_rate: 1.0001,
+            trade_rate: 0.5,
+            stop_loss_ratio: 0.92,
+            take_profit_ratio: 1.16,
+            skip_month_day_ranges: Vec::new(),
+        }
+    }
+
     fn in_skip_window(&self, date: NaiveDate) -> bool {
+        let year = date.year() as u32;
         let month = date.month();
         let day = date.day();
         self.skip_month_day_ranges
             .iter()
-            .any(|(m, start_day, end_day)| month == *m && day >= *start_day && day <= *end_day)
+            .any(|(window_year, m, start_day, end_day)| {
+                window_year.map(|value| value == year).unwrap_or(true)
+                    && month == *m
+                    && day >= *start_day
+                    && day <= *end_day
+            })
     }
 }
 
@@ -1675,6 +1732,7 @@ impl OmniMicroCapStrategy {
             .max(1)
     }
 
+    #[allow(dead_code)]
     fn projected_buy_quantity(&self, cash: f64, sizing_price: f64, execution_price: f64) -> u32 {
         if cash <= 0.0 || sizing_price <= 0.0 || execution_price <= 0.0 {
             return 0;
@@ -1723,11 +1781,23 @@ impl OmniMicroCapStrategy {
         if !sizing_price.is_finite() || sizing_price <= 0.0 {
             return 0;
         }
-        let snapshot_requested_qty = self.round_lot_quantity(
+        let mut snapshot_requested_qty = self.round_lot_quantity(
             ((projected.cash().min(order_value)) / sizing_price).floor() as u32,
             minimum_order_quantity,
             order_step_size,
         );
+        while snapshot_requested_qty > 0 {
+            let gross_amount = sizing_price * snapshot_requested_qty as f64;
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
+                break;
+            }
+            snapshot_requested_qty = self.decrement_order_quantity(
+                snapshot_requested_qty,
+                minimum_order_quantity,
+                order_step_size,
+            );
+        }
         let projected_execution_price = self.projected_execution_price(market, OrderSide::Buy);
         let projected_fill = self.projected_select_execution_fill(
             ctx,
@@ -1739,14 +1809,15 @@ impl OmniMicroCapStrategy {
             minimum_order_quantity,
             order_step_size,
             false,
-            Some(projected.cash()),
-            Some(order_value + 400.0),
+            Some(projected.cash().min(order_value)),
+            Some(order_value),
             execution_state,
         );
         let mut quantity = snapshot_requested_qty;
         while quantity > 0 {
             let gross_amount = projected_execution_price * quantity as f64;
-            if gross_amount <= order_value + 400.0 && gross_amount <= projected.cash() + 1e-6 {
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
                 break;
             }
             quantity =
@@ -1761,7 +1832,8 @@ impl OmniMicroCapStrategy {
             .unwrap_or(projected_execution_price);
         while quantity > 0 {
             let gross_amount = execution_price * quantity as f64;
-            if gross_amount <= projected.cash() + 1e-6 {
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
                 break;
             }
             quantity =
@@ -1777,7 +1849,7 @@ impl OmniMicroCapStrategy {
         };
         let gross_amount = fill.price * fill.quantity as f64;
         let cash_out = gross_amount + self.buy_commission(gross_amount);
-        if gross_amount > projected.cash() + 1e-6 {
+        if cash_out > projected.cash() + 1e-6 || cash_out > order_value + 1e-6 {
             return 0;
         }
         projected.apply_cash_delta(-cash_out);
@@ -1856,6 +1928,7 @@ impl OmniMicroCapStrategy {
         Some(fill.quantity)
     }
 
+    #[allow(dead_code)]
     fn projected_market_fillable_quantity(
         &self,
         ctx: &StrategyContext<'_>,
@@ -2095,7 +2168,8 @@ impl OmniMicroCapStrategy {
         &self,
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
-    ) -> Result<(f64, f64, f64, f64), BacktestError> {
+    ) -> Result<(f64, f64, f64, f64, f64), BacktestError> {
+        // 当前交易日的指数价格（用于MA计算和仓位控制）
         let current_level = ctx
             .data
             .market_decision_close(date, &self.config.benchmark_signal_symbol)
@@ -2104,6 +2178,16 @@ impl OmniMicroCapStrategy {
                 symbol: self.config.benchmark_signal_symbol.clone(),
                 field: "decision_close",
             })?;
+
+        // 前一交易日的指数价格（用于市值区间计算，模拟实盘场景）
+        let prev_level = if let Some(prev_date) = ctx.data.previous_trading_date(date, 1) {
+            ctx.data
+                .market_decision_close(prev_date, &self.config.benchmark_signal_symbol)
+                .unwrap_or(current_level)
+        } else {
+            current_level
+        };
+
         let ma_short = ctx
             .data
             .market_decision_close_moving_average(
@@ -2135,14 +2219,25 @@ impl OmniMicroCapStrategy {
         } else {
             1.0
         };
-        Ok((current_level, ma_short, ma_long, trading_ratio))
+        Ok((current_level, prev_level, ma_short, ma_long, trading_ratio))
     }
 
     fn market_cap_band(&self, index_level: f64) -> (f64, f64) {
         let y = (index_level - self.config.base_index_level) * self.config.xs
             + self.config.base_cap_floor;
         let start = y.round();
-        (start, start + self.config.cap_span)
+        let end = start + self.config.cap_span;
+
+        // Apply padding to expand the range
+        let span = end - start;
+        let padding = (span * self.config.padding_ratio)
+            .max(self.config.min_padding)
+            .min(self.config.max_padding);
+
+        let lower_bound = (start - padding).max(0.0);
+        let upper_bound = end + padding;
+
+        (lower_bound, upper_bound)
     }
 
     fn stock_passes_ma_filter(
@@ -2173,19 +2268,67 @@ impl OmniMicroCapStrategy {
             return false;
         };
 
-        ma_short > ma_mid * self.config.rsi_rate && ma_mid > ma_long
-    }
+        // 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;
 
-    fn special_name(&self, ctx: &StrategyContext<'_>, symbol: &str) -> bool {
-        let instrument_name = ctx
-            .data
-            .instruments()
-            .get(symbol)
-            .map(|instrument| instrument.name.as_str())
-            .unwrap_or("");
-        instrument_name.contains("ST")
-            || instrument_name.contains('*')
-            || instrument_name.contains('退')
+        // 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
+                .data
+                .market_decision_volume_moving_average(date, symbol, 5)
+            else {
+                return false;
+            };
+            let Some(volume_ma60) = ctx
+                .data
+                .market_decision_volume_moving_average(date, symbol, 60)
+            else {
+                return false;
+            };
+
+            if volume_ma5 >= volume_ma60 {
+                return false;
+            }
+        }
+
+        true
     }
 
     fn can_sell_position(&self, ctx: &StrategyContext<'_>, date: NaiveDate, symbol: &str) -> bool {
@@ -2201,11 +2344,15 @@ impl OmniMicroCapStrategy {
         let Ok(candidate) = ctx.data.require_candidate(date, symbol) else {
             return false;
         };
-        let lower_limit_check_price = market.price(PriceField::Last);
-        !(market.paused
-            || candidate.is_paused
-            || !candidate.allow_sell
-            || market.is_at_lower_limit_price(lower_limit_check_price))
+        ChinaAShareRiskControl::sell_rejection_reason(
+            date,
+            candidate,
+            market,
+            ctx.data.instrument(symbol),
+            Some(position),
+            ChinaAShareRiskControl::sell_check_price(market, PriceField::Last),
+        )
+        .is_none()
     }
 
     fn buy_rejection_reason(
@@ -2217,30 +2364,14 @@ impl OmniMicroCapStrategy {
         let market = ctx.data.require_market(date, symbol)?;
         let candidate = ctx.data.require_candidate(date, symbol)?;
 
-        if market.paused || candidate.is_paused {
-            return Ok(Some("paused".to_string()));
-        }
-        if candidate.is_st || self.special_name(ctx, symbol) {
-            return Ok(Some("st_or_special_name".to_string()));
-        }
-        if candidate.is_kcb {
-            return Ok(Some("kcb".to_string()));
-        }
-        if !candidate.allow_buy {
-            return Ok(Some("buy_disabled".to_string()));
-        }
-        if market.is_at_upper_limit_price(market.day_open)
-            || market.is_at_upper_limit_price(market.buy_price(PriceField::Last))
-        {
-            return Ok(Some("upper_limit".to_string()));
-        }
-        if market.is_at_lower_limit_price(market.day_open)
-            || market.is_at_lower_limit_price(market.sell_price(PriceField::Last))
-        {
-            return Ok(Some("lower_limit".to_string()));
-        }
-        if market.day_open <= 1.0 {
-            return Ok(Some("one_yuan".to_string()));
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
+            date,
+            candidate,
+            market,
+            ctx.data.instrument(symbol),
+            ChinaAShareRiskControl::buy_check_price(market, PriceField::Last),
+        ) {
+            return Ok(Some(reason.to_string()));
         }
         if !self.truth_selection_contains(date, symbol)
             && !self.stock_passes_ma_filter(ctx, date, symbol)
@@ -2544,25 +2675,31 @@ impl Strategy for OmniMicroCapStrategy {
             });
         }
 
-        let (index_level, ma_short, ma_long, trading_ratio) = match self.trading_ratio(ctx, date) {
-            Ok(value) => value,
-            Err(BacktestError::Execution(message))
-                if message.contains("insufficient benchmark") =>
-            {
-                return Ok(StrategyDecision {
-                    rebalance: false,
-                    target_weights: BTreeMap::new(),
-                    exit_symbols: BTreeSet::new(),
-                    order_intents: Vec::new(),
-                    notes: vec![format!("warmup: {}", message)],
-                    diagnostics: vec![
-                        "insufficient history; skip trading on warmup dates".to_string(),
-                    ],
-                });
-            }
-            Err(err) => return Err(err),
-        };
-        let (band_low, band_high) = self.market_cap_band(index_level);
+        let (index_level, prev_index_level, ma_short, ma_long, trading_ratio) =
+            match self.trading_ratio(ctx, date) {
+                Ok(value) => value,
+                Err(BacktestError::Execution(message))
+                    if message.contains("insufficient benchmark") =>
+                {
+                    return Ok(StrategyDecision {
+                        rebalance: false,
+                        target_weights: BTreeMap::new(),
+                        exit_symbols: BTreeSet::new(),
+                        order_intents: Vec::new(),
+                        notes: vec![format!("warmup: {}", message)],
+                        diagnostics: vec![
+                            "insufficient history; skip trading on warmup dates".to_string(),
+                        ],
+                    });
+                }
+                Err(err) => return Err(err),
+            };
+        // 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();
@@ -2584,8 +2721,7 @@ impl Strategy for OmniMicroCapStrategy {
             let stop_hit = current_price
                 <= position.average_cost * self.config.stop_loss_ratio
                     + self.stop_loss_tolerance(market);
-            let profit_hit = !market.is_at_upper_limit_price(current_price)
-                && current_price / position.average_cost > self.config.take_profit_ratio;
+            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 sell_reason = if stop_hit {

crates/fidc-core/src/strategy_ai.rs

@@ -97,10 +97,11 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             "平台策略脚本采用声明式 DSL + 表达式执行模型。".to_string(),
             "支持 let 变量、fn 自定义函数、when/unless/else 条件块、可用指标/因子字段映射。".to_string(),
             "支持数值型和字符串型因子，字符串字段可用于行业、概念、标签、板块等分类过滤。".to_string(),
-            "当前默认回测数据已支持 OHLCV、市值、流通市值、换手率、有效换手率、上市天数、停牌/ST/板块、涨跌停价格、tick 触达涨跌停、常用价格/成交量均线；复杂技术指标和财务报表字段必须来自预计算因子或后续扩展函数。".to_string(),
+            "当前默认回测数据已支持 OHLCV、市值、流通市值、换手率、有效换手率、上市天数、停牌/ST/板块、涨跌停价格、tick 触达涨跌停、常用价格/成交量均线，以及 stock_indicator_factors_v1 中已入库的通用指标因子。".to_string(),
             "AI 生成策略时只能输出完整 engine-script 代码，不输出 Markdown、解释、推理过程、JSON 包装或手册复述。".to_string(),
             "表达式字段以运行时字段为准：市值使用 market_cap，流通市值使用 free_float_cap；不要在策略表达式中使用数据库原始字段 float_market_cap。".to_string(),
-            "60日价格均线使用 rolling_mean(\"close\", 60)，不要使用 ma60、stock_ma60、signal_ma60 或 benchmark_ma60。".to_string(),
+            "任意窗口价格均线使用 rolling_mean(\"close\", n) 或 ma(\"close\", n)，任意窗口均量使用 rolling_mean(\"volume\", n) 或 vma(n)；不要使用未列出的 ma60、stock_ma60、signal_ma60 或 benchmark_ma60 变量。".to_string(),
+            "next_bar_open 会用决策日信号生成订单，并在下一可交易开盘撮合；不得把执行日 open/high/low/close 当成下单前已知信息。".to_string(),
             "自定义 fn 必须通过参数传入运行时字段；不要用 fn score() 这类零参数函数直接引用 market_cap、close、ma5 等股票字段。".to_string(),
             "禁止自由 Python/JavaScript 命令式语句，最终必须输出平台 DSL。".to_string(),
         ],
@@ -165,6 +166,10 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 title: "诊断解释".to_string(),
                 detail: "结果为空或收益异常时优先展示 diagnostics、选股数量、过滤原因、缺失字段、窗口不足、涨跌停/停牌拒单、快照缓存命中情况。不要只返回 JSON；要给用户自然语言结论和下一步优化建议。".to_string(),
             },
+            ManualSection {
+                title: "收益合理性复核".to_string(),
+                detail: "展示或用于优化前，应按 finalEquity / initialCash - 1 复算总收益。若小资金回测出现极端收益、指标与资金不一致、或历史 run 来自旧引擎，应检查交易明细并用当前编译后的回测引擎重新回测，不要把异常 run 当成成功样本。".to_string(),
+            },
         ],
         optimization_playbook: vec![
             ManualSection {
@@ -215,7 +220,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             },
             ManualSection {
                 title: "execution.matching_type / execution.slippage".to_string(),
-                detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"next_tick_best_own\" | \"next_tick_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 next_tick_last 使用 tick 的 last_price；next_tick_best_own / next_tick_best_counterparty 会按 L1 买一卖一近似 平台内核 的 tick 最优价语义；counterparty_offer 在存在 order_book_depth 多档盘口数据时会按真实档位逐档扫单并计算加权成交价，不存在 depth 时回退 L1 对手方报价；vwap 会在盘中执行价链路上聚合多笔成交为单条 VWAP 成交；open_auction 使用当日集合竞价开盘价 day_open 进行撮合，且不额外施加滑点，并按竞价成交量而不是盘口一档流动性限制成交；滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(),
+                detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"next_tick_best_own\" | \"next_tick_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 next_tick_last 使用 tick 的 last_price；next_tick_best_own / next_tick_best_counterparty 会按 L1 买一卖一近似 平台内核 的 tick 最优价语义；counterparty_offer 在存在 order_book_depth 多档盘口数据时会按真实档位逐档扫单并计算加权成交价，不存在 depth 时回退 L1 对手方报价；vwap 会在盘中执行价链路上聚合多笔成交为单条 VWAP 成交；next_bar_open 使用决策日信号并在下一可交易日开盘撮合，禁止把执行日 open/high/low/close 解释为下单前已知数据；open_auction 使用当日集合竞价开盘价 day_open 进行撮合，且不额外施加滑点，并按竞价成交量而不是盘口一档流动性限制成交；滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(),
             },
             ManualSection {
                 title: "期货提交校验".to_string(),
@@ -262,7 +267,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 fields: vec![
                     ManualField { name: "symbol".to_string(), field_type: "string".to_string(), detail: "证券代码。".to_string() },
                     ManualField { name: "market_cap/free_float_cap".to_string(), field_type: "float".to_string(), detail: "总市值、流通市值。".to_string() },
-                    ManualField { name: "turnover_ratio/effective_turnover_ratio".to_string(), field_type: "float".to_string(), detail: "换手率、有效换手率。".to_string() },
+                    ManualField { name: "turnover/turnover_ratio/effective_turnover_ratio".to_string(), field_type: "float".to_string(), detail: "换手率、换手率标准字段、有效换手率；turnover 是 turnover_ratio 的兼容别名。".to_string() },
                     ManualField { name: "open/high/low/close/last/last_price/prev_close/amount".to_string(), field_type: "float".to_string(), detail: "开盘、最高、最低、收盘、盘中价、昨收和成交额。".to_string() },
                     ManualField { name: "upper_limit/lower_limit/price_tick/round_lot/minimum_order_quantity/order_step_size".to_string(), field_type: "float/int".to_string(), detail: "涨跌停、最小价位、整手、最小下单量和数量步长。KSH/BJSE 等板块可与 round_lot 不同。".to_string() },
                     ManualField { name: "paused/is_st/is_kcb/is_one_yuan/is_new_listing".to_string(), field_type: "bool".to_string(), detail: "可交易性与板块标志。".to_string() },
@@ -323,9 +328,11 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             ManualFunction { name: "order/order_status/order_avg_price/order_transaction_cost".to_string(), signature: "ctx.order(order_id)".to_string(), detail: "按订单 id 查询运行时订单对象，支持已结束订单和当前挂单。返回字段包括 status、filled_quantity、unfilled_quantity、avg_price、transaction_cost、symbol、side、reason；可用便捷函数读取状态、成交均价和费用，对齐 平台内核 Order 的核心属性。".to_string() },
             ManualFunction { name: "account/portfolio_view/accounts".to_string(), signature: "ctx.account()".to_string(), detail: "返回当前股票账户/组合运行时视图，字段包括 account_type、cash、available_cash、frozen_cash、market_value、total_value、unit_net_value、daily_pnl、daily_returns、total_returns、transaction_cost、trading_pnl、position_pnl 等；DSL 中同名字段可直接使用。也可用 ctx.stock_account()、ctx.account_by_type(\"STOCK\")、ctx.accounts() 按账户类型读取；当前股票回测路径不会把 FUTURE 虚假映射成 STOCK。".to_string() },
             ManualFunction { name: "deposit_withdraw/finance_repay/management_fee".to_string(), signature: "account.deposit_withdraw(amount, receiving_days=0)".to_string(), detail: "策略账户资金动作。deposit_withdraw 正数入金、负数出金；receiving_days 大于 0 时按交易日延迟到账，并保持净值口径不把外部资金流当成收益。finance_repay 正数融资、负数还款，会同步维护 cash_liabilities。set_management_fee_rate 设置结算管理费率；普通策略可覆盖 management_fee(ctx, rate) 自定义计算器，对齐 平台内核 管理费回调能力。".to_string() },
-            ManualFunction { name: "rolling_mean".to_string(), signature: "rolling_mean(\"field\", lookback)".to_string(), detail: "任意字段滚动均值，支持 volume/amount/turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 等。个股 volume 与 close 均按当前交易日前已完成交易日计算；单只股票历史窗口不足时，在选股过滤和买入仓位表达式中按不通过/0 仓处理，不会中断整次回测。任意成交量窗口推荐用它，比如 rolling_mean(\"volume\", 15)。".to_string() },
-            ManualFunction { name: "sma".to_string(), signature: "sma(\"field\", lookback)".to_string(), detail: "rolling_mean 的别名。任意价格均线窗口推荐用它，比如 sma(\"close\", 15)。".to_string() },
-            ManualFunction { name: "复杂技术指标".to_string(), signature: "factor_value(\"macd\", 1) 或预计算字段".to_string(), detail: "BOLL、EMA、WMA、DEMA、TEMA、KAMA、SAR、ADX、CCI、MACD、RSI、KDJ、WILLR、ATR、ROC、TRIX、MFI、Aroon、OBV、ADL、Beta、相关系数、线性回归、标准差、方差、K 线形态等目前不是默认内建函数；可先预计算成数值因子，再用 factor_value/rolling_mean 读取。".to_string() },
+            ManualFunction { name: "rolling_mean / sma / ma".to_string(), signature: "rolling_mean(\"field\", lookback) / ma(\"close\", 20)".to_string(), detail: "任意字段滚动均值，支持 close、volume、amount、turnover_ratio、effective_turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 和所有数值型 extra_factors。个股 close 使用当前交易日前已完成收盘序列，volume 使用当前交易日前已完成成交量序列；历史窗口不足时在选股过滤和买入仓位表达式中按不通过/0 仓处理。".to_string() },
+            ManualFunction { name: "vma".to_string(), signature: "vma(60)".to_string(), detail: "rolling_mean(\"volume\", lookback) 的便捷别名，用于任意窗口成交量均线，例如 vma(5) < vma(60)。".to_string() },
+            ManualFunction { name: "rolling_sum / rolling_min / rolling_max".to_string(), signature: "rolling_sum(\"volume\", 20)".to_string(), detail: "任意数值字段滚动求和、最小值、最大值。可用于量能收缩、区间高低点、资金活跃度等过滤或排序。".to_string() },
+            ManualFunction { name: "rolling_stddev / stddev / rolling_zscore / pct_change".to_string(), signature: "stddev(\"close\", 20) / pct_change(\"close\", 10)".to_string(), detail: "滚动标准差、最新值 Z 分数和区间涨跌幅。pct_change(field, n) 会读取 n+1 个窗口点并计算 latest / first - 1。".to_string() },
+            ManualFunction { name: "数据库指标因子".to_string(), signature: "factor_value(\"ths_valid_turnover_stock\", 1)".to_string(), detail: "stock_indicator_factors_v1 中的指标会进入 extra_factors，可用 factor(\"字段\")、factors[\"字段\"]、factor_value(\"字段\", lookback) 或 rolling_mean(\"字段\", n) 读取。市值类指标统一提供亿元口径别名 ths_market_value_stock、ths_market_value_stock_bn、ths_current_mv_stock、ths_current_mv_stock_bn，同时保留 raw 后缀原始值。".to_string() },
             ManualFunction { name: "round/floor/ceil/abs/min/max/clamp".to_string(), signature: "round(x)".to_string(), detail: "常用数值函数。".to_string() },
             ManualFunction { name: "safe_div".to_string(), signature: "safe_div(lhs, rhs, fallback)".to_string(), detail: "安全除法。".to_string() },
             ManualFunction { name: "contains/starts_with/ends_with/lower/upper/trim/strlen".to_string(), signature: "starts_with(symbol, \"60\")".to_string(), detail: "字符串辅助函数。".to_string() },
@@ -343,7 +350,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             },
             ManualFactorSource {
                 table: "扩展指标因子".to_string(),
-                detail: "当前可用扩展指标主要包括总市值、流通市值、换手率、有效换手率；其他财务、行业、概念、陆股通、技术指标等只有落地为可用因子后才可在策略中直接使用。".to_string(),
+                detail: "来自 stock_indicator_factors_v1 和运行时 extra_factors。已入库指标会自动进入策略运行时，字段名使用 dataset 小写下划线；市值类默认换算为亿元口径，raw 后缀保留原始 indicator_value。".to_string(),
                 fields: vec![],
             },
             ManualFactorSource {
@@ -428,10 +435,15 @@ pub fn render_manual_markdown(manual: &StrategyAiManual) -> String {
     out.push_str("- 只使用支持语句块：`market`、`benchmark`、`signal`、`rebalance.every_days(...).at([...])`、`selection.limit`、`selection.market_cap_band`、`filter.stock_ma`、`filter.stock_expr`、`ordering.rank_by`、`ordering.rank_expr`、`allocation.buy_scale`、`risk.stop_loss`、`risk.take_profit`、`risk.index_exposure`、`execution.matching_type`、`execution.slippage`、`universe.exclude`。\n");
     out.push_str("- 禁止伪 DSL：`filter(...)`、`rank(...)`、`select.top(...)`、`weight.equal(...)`、`sell_rule(...)`、`backtest(...)`、`risk.max_position(...)`。\n");
     out.push_str("- 市值表达式字段只能用 `market_cap` 或 `free_float_cap`；不要使用数据库原始字段 `float_market_cap`。\n");
-    out.push_str("- 60日价格均线使用 `rolling_mean(\"close\", 60)`；不要使用 `ma60`、`stock_ma60`、`signal_ma60` 或 `benchmark_ma60`。\n");
+    out.push_str("- 任意窗口价格均线使用 `rolling_mean(\"close\", n)` 或 `ma(\"close\", n)`；任意窗口均量使用 `rolling_mean(\"volume\", n)` 或 `vma(n)`；不要使用未列出的 `ma60`、`stock_ma60`、`signal_ma60` 或 `benchmark_ma60` 变量。\n");
     out.push_str("- 自定义 `fn` 必须通过参数传入运行时字段；不要用 `fn score()` 这类零参数函数直接引用 `market_cap`、`close`、`ma5` 等股票字段。\n");
     out.push_str("- `selection.market_cap_band` 必须写命名参数：`field=\"market_cap\"` 或 `field=\"free_float_cap\"`，并包含 `lower=...` 与 `upper=...`。\n");
-    out.push_str("- `risk.index_exposure(...)` 只能传一个表达式；`execution.matching_type(...)` 和 `execution.slippage(...)` 必须使用手册列出的合法取值。\n\n");
+    out.push_str(
+        "- `risk.index_exposure(...)` 只能传一个表达式；不要生成 `risk.exposure(...)`。\n",
+    );
+    out.push_str("- 完整三元表达式 `cond ? a : b` 可在表达式参数中使用；若当前运行环境报 `Unknown operator: '?'`，先重编译并重启回测服务，不要改写策略语义掩盖运行时漂移。\n");
+    out.push_str("- `next_bar_open` 的选股、排序和仓位信号来自决策日，订单在下一可交易开盘撮合；不要使用执行日价格作为下单前信号。\n");
+    out.push_str("- `execution.matching_type(...)` 和 `execution.slippage(...)` 必须使用手册列出的合法取值。\n\n");
     out.push_str("## 语句块\n");
     for item in &manual.statement_blocks {
         out.push_str(&format!("- `{}`: {}\n", item.title, item.detail));
@@ -506,9 +518,9 @@ pub fn build_generation_prompt(
     prompt.push_str("- 生成的代码必须能转换为 strategy_spec 并提交 POST /v1/backtests。\n");
     prompt.push_str("- 不要使用手册未列出的字段、函数或外部平台 API 名称。\n\n");
     prompt.push_str("只允许使用这些可编译语句：market、benchmark、signal、rebalance.every_days(...).at([...])、selection.limit、selection.market_cap_band、filter.stock_ma、filter.stock_expr、ordering.rank_by、ordering.rank_expr、allocation.buy_scale、risk.stop_loss、risk.take_profit、risk.index_exposure、execution.matching_type、execution.slippage、universe.exclude。禁止输出 filter(...)、rank(...)、select.top(...)、weight.equal()、sell_rule(...)、backtest(...)、risk.max_position(...) 这类未支持伪语法。\n");
-    prompt.push_str("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60)；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，写 !is_st、!paused、!at_upper_limit、!at_lower_limit，不要写 is_st == 0；risk.index_exposure 只能传一个数值表达式，例如 ((signal_close < signal_ma20) ? 0.35 : 1.0)；execution.matching_type 只能取 next_tick_last、next_tick_best_own、next_tick_best_counterparty、counterparty_offer、vwap、current_bar_close、next_bar_open、open_auction；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n");
+    prompt.push_str("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，写 !is_st、!paused、!at_upper_limit、!at_lower_limit，不要写 is_st == 0；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；execution.matching_type 只能取 next_tick_last、next_tick_best_own、next_tick_best_counterparty、counterparty_offer、vwap、current_bar_close、next_bar_open、open_auction；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n");
     prompt.push_str("回测成功但 tradeCount=0 或 holdingCount=0 是无效策略；第一版必须保持稳定买入覆盖率，复杂因子只能在后续优化中逐步加严。\n");
-    prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && !is_st && !paused && close > 2 && !at_upper_limit && !at_lower_limit)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.index_exposure((signal_close < signal_ma20) ? 0.35 : 1.0)\nrisk.stop_loss(holding_return < -0.08)\nexecution.slippage(\"price_ratio\", 0.001)\n}\n\n");
+    prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && !is_st && !paused && close > 2 && !at_upper_limit && !at_lower_limit)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.index_exposure(1.0)\nrisk.stop_loss(holding_return < -0.08)\nexecution.slippage(\"price_ratio\", 0.001)\n}\n\n");
     prompt.push_str("用户目标：\n");
     prompt.push_str(&format!("- {}\n", request.user_goal));
     if !request.constraints.is_empty() {
@@ -534,7 +546,8 @@ pub fn build_optimization_prompt(
     prompt.push_str("你是 OmniQuant 平台策略脚本优化器。必须输出完整、可运行的平台策略脚本，不要输出解释文本。\n");
     prompt.push_str("输出格式硬约束：回复第一行必须是 strategy(\"...\")、let、fn、const 或 //；回复中不得包含 Markdown、解释、思考过程、手册复述、JSON 包装或自然语言总结。\n");
     prompt.push_str("长度硬约束：策略代码目标 80 行以内，只保留必要 let/fn/strategy 块；不要复制下面的手册片段、历史策略全文或字段清单。\n");
-    prompt.push_str("只修改与优化目标相关的少量参数或过滤条件，保留原策略的市场、基准、信号指数和核心风控；不要引入手册未列出的字段或外部平台 API 名称。\n");
+    prompt.push_str("优化不限制在原策略已有参数或少量扰动。只要 OmniQuant/FIDC 已支持，可以自由增加、修改、删除策略代码、参数、候选池、过滤函数、排序、仓位、止盈止损、调仓周期、指标因子和辅助函数；不得引入手册未列出的字段或外部平台 API 名称。\n");
+    prompt.push_str("可以使用所有已入库日频字段、指标因子和表达式函数，例如 rolling_mean/ma/vma/rolling_sum/rolling_stddev/pct_change/factor/factor_value/factors；如上一轮无交易或质量分过低，必须先扩大候选覆盖并修正不可交易过滤，再优化收益。\n");
     prompt.push_str("优化目标：\n");
     prompt.push_str(&format!("- {}\n\n", request.objective));
     prompt.push_str("当前策略代码如下，仅作为输入参考；回复时不要包含 Markdown 代码围栏：\n");

crates/fidc-core/src/universe.rs

@@ -78,6 +78,9 @@ pub struct DynamicMarketCapBandSelector {
     pub cap_span: f64,
     pub xs: f64,
     pub top_n: usize,
+    pub padding_ratio: f64,
+    pub min_padding: f64,
+    pub max_padding: f64,
 }
 
 impl DynamicMarketCapBandSelector {
@@ -87,6 +90,9 @@ impl DynamicMarketCapBandSelector {
         cap_span: f64,
         xs: f64,
         top_n: usize,
+        padding_ratio: f64,
+        min_padding: f64,
+        max_padding: f64,
     ) -> Self {
         Self {
             base_index_level,
@@ -94,11 +100,14 @@ impl DynamicMarketCapBandSelector {
             cap_span,
             xs,
             top_n,
+            padding_ratio,
+            min_padding,
+            max_padding,
         }
     }
 
     pub fn demo(top_n: usize) -> Self {
-        Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n)
+        Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n, 0.5, 8.0, 20.0)
     }
 
     pub fn regime(&self, benchmark_level: f64) -> BandRegime {
@@ -114,7 +123,18 @@ impl DynamicMarketCapBandSelector {
     pub fn band_for_level(&self, benchmark_level: f64) -> (f64, f64) {
         let start = ((benchmark_level - self.base_index_level) * self.xs) + self.base_cap_floor;
         let low = start.round();
-        (low, low + self.cap_span)
+        let high = low + self.cap_span;
+
+        // Apply padding to expand the range
+        let span = high - low;
+        let padding = (span * self.padding_ratio)
+            .max(self.min_padding)
+            .min(self.max_padding);
+
+        let lower_bound = (low - padding).max(0.0);
+        let upper_bound = high + padding;
+
+        (lower_bound, upper_bound)
     }
 }
 

crates/fidc-core/tests/core_rules.rs

@@ -61,7 +61,7 @@ fn china_cost_model_applies_minimum_commission_and_stamp_tax() {
     assert_eq!(buy.stamp_tax, 0.0);
 
     let sell = model.calculate(d(2023, 8, 25), OrderSide::Sell, 100_000.0);
-    assert!((sell.commission - 30.0).abs() < 1e-9);
+    assert!((sell.commission - 80.0).abs() < 1e-9);
     assert!((sell.stamp_tax - 100.0).abs() < 1e-9);
 }
 
@@ -112,7 +112,7 @@ fn china_cost_model_tracks_minimum_commission_per_order_id() {
 
     assert!((first.commission - 5.0).abs() < 1e-9);
     assert!(second.commission.abs() < 1e-9);
-    assert!((third.commission - 1.6).abs() < 1e-9);
+    assert!((third.commission - 12.6).abs() < 1e-9);
     assert!((another_order.commission - 5.0).abs() < 1e-9);
 }
 

crates/fidc-core/tests/corporate_actions.rs

@@ -300,7 +300,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             PriceField::Open,
         ),
         BacktestConfig {
-            initial_cash: 11_005.0,
+            initial_cash: 11_008.0,
             benchmark_code: "000300.SH".to_string(),
             start_date: Some(buy_date),
             end_date: Some(payable_date),

crates/fidc-core/tests/delisting.rs

@@ -492,7 +492,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
         .iter()
         .find(|holding| holding.symbol == "000002.SZ")
         .expect("successor holding exists");
-    assert_eq!(successor_holding.quantity, 500);
+    assert_eq!(successor_holding.quantity, 450);
     assert!(
         result
             .holdings_summary
@@ -503,6 +503,6 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
         event
             .note
             .contains("successor_conversion 000001.SZ->000002.SZ")
-            && event.note.contains("cash=1000.00")
+            && event.note.contains("cash=900.00")
     }));
 }

crates/fidc-core/tests/explicit_order_flow.rs

@@ -1,16 +1,118 @@
 use chrono::{NaiveDate, NaiveTime};
 use fidc_core::{
     AlgoOrderStyle, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
-    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument,
-    IntradayExecutionQuote, MatchingType, OrderIntent, OrderStatus, PortfolioState, PriceField,
-    ProcessEventKind, SlippageModel, StrategyDecision, TargetPortfolioOrderPricing,
+    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, DynamicSlippageConfig,
+    Instrument, IntradayExecutionQuote, MatchingType, OrderIntent, OrderStatus, PortfolioState,
+    PriceField, ProcessEventKind, SlippageModel, StrategyDecision, TargetPortfolioOrderPricing,
 };
 use std::collections::{BTreeMap, BTreeSet};
 
+fn order_value_rounding_data(date: NaiveDate, symbol: &str, price: f64) -> DataSet {
+    DataSet::from_components(
+        vec![Instrument {
+            symbol: symbol.to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some(format!("{date} 09:33:00")),
+            day_open: price,
+            open: price,
+            high: price,
+            low: price,
+            close: price,
+            last_price: price,
+            bid1: price,
+            ask1: price,
+            prev_close: price,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: price * 1.1,
+            lower_limit: price * 0.9,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: symbol.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(),
+        }],
+        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: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset")
+}
+
+fn execute_single_value_order(
+    date: NaiveDate,
+    data: &DataSet,
+    symbol: &str,
+    value: f64,
+) -> (PortfolioState, fidc_core::BrokerExecutionReport) {
+    let mut portfolio = PortfolioState::new(20_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    )
+    .with_strict_value_budget(true);
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: symbol.to_string(),
+                    value,
+                    reason: "test_order_value_rounding".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+    (portfolio, report)
+}
+
 #[test]
 fn broker_executes_explicit_order_value_buy() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
-    let data = DataSet::from_components(
+    let data = DataSet::from_components_with_actions_and_quotes(
         vec![Instrument {
             symbol: "000002.SZ".to_string(),
             name: "Test".to_string(),
@@ -72,6 +174,20 @@ fn broker_executes_explicit_order_value_buy() {
             prev_close: 99.0,
             volume: 1_000_000,
         }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            bid1_volume: 1,
+            ask1_volume: 1,
+            volume_delta: 1,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
     )
     .expect("dataset");
     let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -108,10 +224,175 @@ fn broker_executes_explicit_order_value_buy() {
     assert!(portfolio.cash() < 1_000_000.0);
 }
 
+#[test]
+fn broker_order_value_rounds_to_nearest_lot_when_min_lot_is_affordable() {
+    let date = NaiveDate::from_ymd_opt(2025, 1, 24).unwrap();
+    let symbol = "003017.SZ";
+    let data = order_value_rounding_data(date, symbol, 19.97);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 3_938.13);
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 100);
+    assert_eq!(portfolio.position(symbol).expect("position").quantity, 100);
+}
+
+#[test]
+fn broker_order_value_budget_includes_buy_commission() {
+    let date = NaiveDate::from_ymd_opt(2025, 6, 23).unwrap();
+    let symbol = "605303.SH";
+    let data = order_value_rounding_data(date, symbol, 11.93);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 4_776.0);
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 300);
+    assert_eq!(portfolio.position(symbol).expect("position").quantity, 300);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 4_848.0);
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 400);
+    assert_eq!(portfolio.position(symbol).expect("position").quantity, 400);
+}
+
+#[test]
+fn broker_delayed_limit_open_sell_uses_tick_price() {
+    let date = NaiveDate::from_ymd_opt(2025, 6, 27).unwrap();
+    let prev_date = NaiveDate::from_ymd_opt(2025, 6, 26).unwrap();
+    let symbol = "300635.SZ";
+    let data = DataSet::from_components_with_actions_and_quotes(
+        vec![Instrument {
+            symbol: symbol.to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some("2025-06-27 09:31:00".to_string()),
+            day_open: 12.55,
+            open: 12.55,
+            high: 13.16,
+            low: 12.26,
+            close: 12.36,
+            last_price: 12.39,
+            bid1: 12.39,
+            ask1: 12.40,
+            prev_close: 13.24,
+            volume: 329_575,
+            tick_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 14.56,
+            lower_limit: 11.92,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: symbol.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(),
+        }],
+        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: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: date.and_hms_opt(9, 31, 0).unwrap(),
+            last_price: 12.39,
+            bid1: 12.39,
+            ask1: 12.40,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            volume_delta: 10_000,
+            amount_delta: 123_900.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000.0);
+    portfolio.position_mut(symbol).buy(prev_date, 800, 10.92);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Last,
+    )
+    .with_matching_type(MatchingType::NextTickLast)
+    .with_intraday_execution_start_time(NaiveTime::from_hms_opt(9, 31, 0).unwrap())
+    .with_volume_limit(false)
+    .with_liquidity_limit(false);
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::TargetValue {
+                    symbol: symbol.to_string(),
+                    target_value: 0.0,
+                    reason: "delayed_limit_open_sell".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 800);
+    assert_eq!(report.fill_events[0].price, 12.39);
+    assert!(portfolio.position(symbol).is_none());
+}
+
+#[test]
+fn broker_order_value_skips_when_one_lot_exceeds_budget() {
+    let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let symbol = "300321.SZ";
+    let data = order_value_rounding_data(date, symbol, 20.38);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 2_000.0);
+
+    assert!(report.fill_events.is_empty());
+    assert!(portfolio.position(symbol).is_none());
+}
+
 #[test]
 fn broker_executes_order_shares_and_order_lots() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
-    let data = DataSet::from_components(
+    let data = DataSet::from_components_with_actions_and_quotes(
         vec![Instrument {
             symbol: "000002.SZ".to_string(),
             name: "Test".to_string(),
@@ -173,6 +454,20 @@ fn broker_executes_order_shares_and_order_lots() {
             prev_close: 99.0,
             volume: 1_000_000,
         }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            bid1_volume: 1,
+            ask1_volume: 1,
+            volume_delta: 1,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
     )
     .expect("dataset");
     let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -750,7 +1045,7 @@ fn broker_executes_order_percent_and_target_percent() {
         )
         .expect("percent execution");
     assert_eq!(percent_report.fill_events.len(), 1);
-    assert_eq!(percent_report.fill_events[0].quantity, 10_000);
+    assert_eq!(percent_report.fill_events[0].quantity, 9_900);
 
     let mut target_percent_portfolio = PortfolioState::new(1_000_000.0);
     let target_percent_report = broker
@@ -1190,8 +1485,226 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
     assert!((report.fill_events[0].price - 10.1).abs() < 1e-9);
 }
 
+#[test]
+fn broker_applies_dynamic_slippage_on_snapshot_fills() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![Instrument {
+            symbol: "000002.SZ".to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: Some("2024-01-10 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.1,
+            low: 9.9,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "000002.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(),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: "000002.SZ".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: "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(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    )
+    .with_slippage_model(SlippageModel::Dynamic(DynamicSlippageConfig::new(
+        0.5, 0.3, 0.1,
+    )));
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000002.SZ".to_string(),
+                    value: 100_000.0,
+                    reason: "dynamic_slippage".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    let expected_ratio = ((10.0 * report.fill_events[0].quantity as f64) / (100_000.0 * 10.0))
+        * 0.5
+        + ((10.1 - 9.9) / 10.0) * 0.3;
+    assert!((report.fill_events[0].price - 10.0 * (1.0 + expected_ratio)).abs() < 1e-9);
+}
+
 #[test]
 fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components_with_actions_and_quotes(
+        vec![Instrument {
+            symbol: "000002.SZ".to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: Some("2024-01-10 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.1,
+            low: 9.9,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "000002.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(),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: "000002.SZ".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: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            bid1_volume: 1,
+            ask1_volume: 1,
+            volume_delta: 1,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Last,
+    )
+    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap())
+    .with_slippage_model(SlippageModel::TickSize(2.0));
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000002.SZ".to_string(),
+                    value: 100_000.0,
+                    reason: "tick_slippage".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
+}
+
+#[test]
+fn broker_rejects_intraday_last_order_without_execution_quotes() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let data = DataSet::from_components(
         vec![Instrument {
@@ -1263,8 +1776,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
         ChinaEquityRuleHooks::default(),
         PriceField::Last,
     )
-    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap())
-    .with_slippage_model(SlippageModel::TickSize(2.0));
+    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap());
 
     let report = broker
         .execute(
@@ -1278,7 +1790,127 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
                 order_intents: vec![OrderIntent::Value {
                     symbol: "000002.SZ".to_string(),
                     value: 100_000.0,
-                    reason: "tick_slippage".to_string(),
+                    reason: "missing_tick_quotes".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert!(report.fill_events.is_empty());
+    assert_eq!(report.order_events.len(), 1);
+    assert_eq!(report.order_events[0].status, OrderStatus::Canceled);
+    assert!(
+        report.order_events[0]
+            .reason
+            .contains("no execution quotes after start")
+    );
+    assert!(portfolio.position("000002.SZ").is_none());
+}
+
+#[test]
+fn broker_executes_intraday_last_on_start_quote_without_trade_delta() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components_with_actions_and_quotes(
+        vec![Instrument {
+            symbol: "000002.SZ".to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: Some("2024-01-10 09:33:00".to_string()),
+            day_open: 15.0,
+            open: 15.0,
+            high: 15.5,
+            low: 14.8,
+            close: 15.2,
+            last_price: 15.2,
+            bid1: 15.19,
+            ask1: 15.21,
+            prev_close: 15.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 16.5,
+            lower_limit: 13.5,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "000002.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(),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: "000002.SZ".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: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(9, 33, 0).unwrap(),
+            last_price: 15.2,
+            bid1: 15.19,
+            ask1: 15.21,
+            bid1_volume: 8,
+            ask1_volume: 8,
+            volume_delta: 0,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Last,
+    )
+    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(9, 33, 0).unwrap());
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000002.SZ".to_string(),
+                    value: 4_000.0,
+                    reason: "start_quote".to_string(),
                 }],
                 notes: Vec::new(),
                 diagnostics: Vec::new(),
@@ -1287,7 +1919,9 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
         .expect("broker execution");
 
     assert_eq!(report.fill_events.len(), 1);
-    assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
+    assert_eq!(report.fill_events[0].quantity, 200);
+    assert!((report.fill_events[0].price - 15.2).abs() < 1e-9);
+    assert_eq!(report.order_events[0].status, OrderStatus::Filled);
 }
 
 #[test]
@@ -2108,7 +2742,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
                 exit_symbols: BTreeSet::new(),
                 order_intents: vec![OrderIntent::AlgoPercent {
                     symbol: "000002.SZ".to_string(),
-                    percent: 0.0036,
+                    percent: 0.0037,
                     style: AlgoOrderStyle::Twap,
                     start_time: Some(NaiveTime::from_hms_opt(10, 0, 0).unwrap()),
                     end_time: Some(NaiveTime::from_hms_opt(10, 30, 0).unwrap()),