chore: 更新 fidc-backtest-engine - 2026-05-08

crates/fidc-core/src/broker.rs

@@ -110,6 +110,7 @@ pub struct BrokerSimulator<C, R> {
     volume_limit: bool,
     inactive_limit: bool,
     liquidity_limit: bool,
+    strict_value_budget: bool,
     intraday_execution_start_time: Option<NaiveTime>,
     runtime_intraday_start_time: Cell<Option<NaiveTime>>,
     runtime_intraday_end_time: Cell<Option<NaiveTime>>,
@@ -130,6 +131,7 @@ impl<C, R> BrokerSimulator<C, R> {
             volume_limit: true,
             inactive_limit: true,
             liquidity_limit: true,
+            strict_value_budget: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
@@ -154,6 +156,7 @@ impl<C, R> BrokerSimulator<C, R> {
             volume_limit: true,
             inactive_limit: true,
             liquidity_limit: true,
+            strict_value_budget: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
@@ -177,6 +180,11 @@ impl<C, R> BrokerSimulator<C, R> {
         self
     }
 
+    pub fn with_strict_value_budget(mut self, enabled: bool) -> Self {
+        self.strict_value_budget = enabled;
+        self
+    }
+
     pub fn with_volume_percent(mut self, volume_percent: f64) -> Self {
         self.volume_percent = volume_percent;
         self
@@ -3388,6 +3396,16 @@ where
         requested_qty
     }
 
+    fn value_budget_gross_limit(&self, value_budget: Option<f64>) -> Option<f64> {
+        value_budget.map(|budget| {
+            if self.strict_value_budget {
+                budget
+            } else {
+                budget + 400.0
+            }
+        })
+    }
+
     fn process_buy(
         &self,
         date: NaiveDate,
@@ -3559,7 +3577,7 @@ where
             execution_cursors,
             None,
             Some(portfolio.cash()),
-            value_budget.map(|budget| budget + 400.0),
+            self.value_budget_gross_limit(value_budget),
             algo_request,
             limit_price,
         );
@@ -3590,7 +3608,7 @@ where
                 let filled_qty = self.affordable_buy_quantity(
                     date,
                     portfolio.cash(),
-                    value_budget.map(|budget| budget + 400.0),
+                    self.value_budget_gross_limit(value_budget),
                     execution_price,
                     constrained_qty,
                     self.minimum_order_quantity(data, symbol),
@@ -3601,7 +3619,7 @@ where
                         partial_fill_reason,
                         self.buy_reduction_reason(
                             portfolio.cash(),
-                            value_budget.map(|budget| budget + 400.0),
+                            self.value_budget_gross_limit(value_budget),
                             execution_price,
                             constrained_qty,
                             filled_qty,
@@ -3660,7 +3678,7 @@ where
                 side: OrderSide::Buy,
                 requested_quantity: requested_qty,
                 filled_quantity: 0,
-                status: OrderStatus::Rejected,
+                status: zero_fill_status_for_reason(detail),
                 reason: format!("{reason}: {detail}"),
             });
             Self::emit_order_process_event(
@@ -3670,7 +3688,10 @@ where
                 order_id,
                 symbol,
                 OrderSide::Buy,
-                format!("status=Rejected reason={detail}"),
+                format!(
+                    "status={:?} reason={detail}",
+                    zero_fill_status_for_reason(detail)
+                ),
             );
             self.clear_open_order(order_id);
             return Ok(());
@@ -4255,57 +4276,43 @@ where
         }
 
         if algo_request.is_some() || self.intraday_execution_start_time.is_some() {
-            let execution_price = self.snapshot_execution_price(snapshot, side);
-            if !self.price_satisfies_limit(
-                side,
-                execution_price,
-                limit_price,
-                snapshot.effective_price_tick(),
-            ) {
-                return None;
-            }
-            let execution_price =
-                self.execution_price_with_limit_slippage(execution_price, limit_price);
-            let quantity = match side {
-                OrderSide::Buy => self.affordable_buy_quantity(
-                    date,
-                    cash_limit.unwrap_or(f64::INFINITY),
-                    gross_limit,
-                    execution_price,
-                    requested_qty,
-                    minimum_order_quantity,
-                    order_step_size,
-                ),
-                OrderSide::Sell => requested_qty,
-            };
-            if quantity == 0 {
-                return None;
-            }
             let next_cursor = algo_request
                 .and_then(|request| request.start_time)
                 .or(self.intraday_execution_start_time)
                 .map(|start_time| date.and_time(start_time) + Duration::seconds(1))
                 .unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
             return Some(ExecutionFill {
-                quantity,
+                quantity: 0,
                 next_cursor,
-                legs: vec![ExecutionLeg {
+                legs: Vec::new(),
-                    price: execution_price,
+                unfilled_reason: Some(self.empty_intraday_quote_reason(
-                    quantity,
+                    quotes,
-                }],
+                    start_cursor,
-                unfilled_reason: self.buy_reduction_reason(
+                    end_cursor,
-                    cash_limit.unwrap_or(f64::INFINITY),
+                )),
-                    gross_limit,
-                    execution_price,
-                    requested_qty,
-                    quantity,
-                ),
             });
         }
 
         None
     }
 
+    fn empty_intraday_quote_reason(
+        &self,
+        quotes: &[IntradayExecutionQuote],
+        start_cursor: Option<NaiveDateTime>,
+        end_cursor: Option<NaiveDateTime>,
+    ) -> &'static str {
+        let saw_quote_in_window = quotes.iter().any(|quote| {
+            !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
+                && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
+        });
+        if saw_quote_in_window {
+            "intraday quote liquidity exhausted"
+        } else {
+            "no execution quotes after start"
+        }
+    }
+
     fn select_execution_fill(
         &self,
         snapshot: &crate::data::DailyMarketSnapshot,
@@ -4487,7 +4494,10 @@ fn merge_partial_fill_reason(current: Option<String>, next: Option<&str>) -> Opt
 
 fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
     match reason {
-        "tick no volume" | "tick volume limit" => OrderStatus::Canceled,
+        "tick no volume"
+        | "tick volume limit"
+        | "intraday quote liquidity exhausted"
+        | "no execution quotes after start" => OrderStatus::Canceled,
         _ => OrderStatus::Rejected,
     }
 }

crates/fidc-core/src/data.rs

@@ -682,6 +682,23 @@ 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,
@@ -2123,6 +2140,15 @@ 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)

crates/fidc-core/src/platform_expr_strategy.rs

@@ -199,6 +199,9 @@ pub struct PlatformExprStrategyConfig {
     pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
     pub rebalance_schedule: Option<PlatformRebalanceSchedule>,
     pub rotation_enabled: bool,
+    pub daily_top_up_enabled: bool,
+    pub retry_empty_rebalance: bool,
+    pub strict_value_budget: bool,
     pub explicit_action_stage: PlatformExplicitActionStage,
     pub explicit_action_schedule: Option<PlatformRebalanceSchedule>,
     pub subscription_guard_required: bool,
@@ -249,6 +252,9 @@ fn band_low(index_close) {
             skip_month_day_ranges: Vec::new(),
             rebalance_schedule: None,
             rotation_enabled: true,
+            daily_top_up_enabled: false,
+            retry_empty_rebalance: false,
+            strict_value_budget: false,
             explicit_action_stage: PlatformExplicitActionStage::OnDay,
             explicit_action_schedule: None,
             subscription_guard_required: false,
@@ -508,8 +514,11 @@ impl PlatformExprStrategy {
         scope: &mut Scope<'_>,
         script: &str,
     ) -> Result<Dynamic, BacktestError> {
-        // 注意：HashMap key 借用即可命中，避免重复克隆 String。
+        // 命中分支：先借用 cache 拿到 AST，做完 eval 再 drop borrow，避免与
-        if let Some(ast) = self.compiled_cache.borrow().get(script) {
+        // cache_hits 的 borrow_mut 冲突（虽然是不同 RefCell，但显式作用域更清晰）。
+        {
+            let cache = self.compiled_cache.borrow();
+            if let Some(ast) = cache.get(script) {
                 *self.cache_hits.borrow_mut() += 1;
                 return self
                     .engine
@@ -518,6 +527,8 @@ impl PlatformExprStrategy {
                         BacktestError::Execution(format!("platform expr eval failed: {}", error))
                     });
             }
+        }
+        // 未命中：先编译再插入缓存。
         *self.cache_misses.borrow_mut() += 1;
         let ast = self.engine.compile(script).map_err(|error| {
             BacktestError::Execution(format!("platform expr compile failed: {}", error))
@@ -867,53 +878,6 @@ impl PlatformExprStrategy {
             return None;
         }
 
-        if let Some(market) = ctx.data.market(date, symbol) {
-            let execution_price = self.projected_execution_price(market, side);
-            if execution_price.is_finite() && execution_price > 0.0 {
-                let quantity = match side {
-                    OrderSide::Buy => {
-                        let cash = cash_limit.unwrap_or(f64::INFINITY);
-                        let mut take_qty = self.round_lot_quantity(
-                            requested_qty,
-                            minimum_order_quantity,
-                            order_step_size,
-                        );
-                        while take_qty > 0 {
-                            let candidate_gross = execution_price * take_qty as f64;
-                            if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
-                                take_qty = self.decrement_order_quantity(
-                                    take_qty,
-                                    minimum_order_quantity,
-                                    order_step_size,
-                                );
-                                continue;
-                            }
-                            let candidate_cash =
-                                candidate_gross + self.buy_commission(candidate_gross);
-                            if candidate_cash <= cash + 1e-6 {
-                                break;
-                            }
-                            take_qty = self.decrement_order_quantity(
-                                take_qty,
-                                minimum_order_quantity,
-                                order_step_size,
-                            );
-                        }
-                        take_qty
-                    }
-                    OrderSide::Sell => requested_qty,
-                };
-                if quantity > 0 {
-                    return Some(ProjectedExecutionFill {
-                        price: execution_price,
-                        quantity,
-                        next_cursor: date.and_time(self.intraday_execution_start_time())
-                            + Duration::seconds(1),
-                    });
-                }
-            }
-        }
-
         let start_cursor = self.projected_execution_start_cursor(date, symbol, execution_state);
         let quotes = ctx.data.execution_quotes_on(date, symbol);
         let mut filled_qty = 0_u32;
@@ -1028,12 +992,18 @@ impl PlatformExprStrategy {
                 None,
                 execution_state,
             )
-            .unwrap_or(ProjectedExecutionFill {
+            .or_else(|| {
+                if ctx.data.execution_quotes_on(date, symbol).is_empty() {
+                    None
+                } else {
+                    Some(ProjectedExecutionFill {
                         price: self.projected_execution_price(market, OrderSide::Sell),
                         quantity,
                         next_cursor: date.and_time(self.intraday_execution_start_time())
                             + Duration::seconds(1),
-            });
+                    })
+                }
+            })?;
         let gross_amount = fill.price * fill.quantity as f64;
         let net_cash = gross_amount - self.sell_cost(date, gross_amount);
         projected
@@ -1082,9 +1052,14 @@ impl PlatformExprStrategy {
         );
         let execution_price = self.projected_execution_price(market, OrderSide::Buy);
         let mut quantity = snapshot_requested_qty;
+        let gross_limit = if self.config.strict_value_budget {
+            order_value
+        } else {
+            order_value + 400.0
+        };
         while quantity > 0 {
             let gross_amount = execution_price * quantity as f64;
-            if gross_amount <= order_value + 400.0
+            if gross_amount <= gross_limit
                 && gross_amount + self.buy_commission(gross_amount) <= projected.cash() + 1e-6
             {
                 break;
@@ -1107,15 +1082,24 @@ impl PlatformExprStrategy {
                 order_step_size,
                 false,
                 Some(projected.cash()),
-                Some(order_value + 400.0),
+                Some(gross_limit),
                 execution_state,
             )
-            .unwrap_or(ProjectedExecutionFill {
+            .or_else(|| {
+                if ctx.data.execution_quotes_on(date, symbol).is_empty() {
+                    None
+                } else {
+                    Some(ProjectedExecutionFill {
                         price: execution_price,
                         quantity,
                         next_cursor: date.and_time(self.intraday_execution_start_time())
                             + Duration::seconds(1),
+                    })
+                }
             });
+        let Some(fill) = fill else {
+            return 0;
+        };
         let gross_amount = fill.price * fill.quantity as f64;
         let cash_out = gross_amount + self.buy_commission(gross_amount);
         if cash_out > projected.cash() + 1e-6 {
@@ -1177,46 +1161,56 @@ impl PlatformExprStrategy {
         let benchmark_close = benchmark.close;
         let benchmark_ma_short = ctx
             .data
-            .market_decision_close_moving_average(
+            .benchmark_decision_moving_average(date, self.config.benchmark_short_ma_days)
-                date,
+            .or_else(|| {
-                &self.config.signal_symbol,
+                ctx.data
-                self.config.benchmark_short_ma_days,
+                    .benchmark_moving_average(date, self.config.benchmark_short_ma_days)
-            )
+            })
-            .ok_or_else(|| {
+            .unwrap_or(benchmark_close);
-                BacktestError::Execution(format!(
-                    "insufficient benchmark short MA history for {} on {}",
-                    self.config.signal_symbol, date
-                ))
-            })?;
         let benchmark_ma_long = ctx
             .data
-            .market_decision_close_moving_average(
+            .benchmark_decision_moving_average(date, self.config.benchmark_long_ma_days)
-                date,
+            .or_else(|| {
-                &self.config.signal_symbol,
+                ctx.data
-                self.config.benchmark_long_ma_days,
+                    .benchmark_moving_average(date, self.config.benchmark_long_ma_days)
-            )
+            })
-            .ok_or_else(|| {
+            .unwrap_or(benchmark_ma_short);
-                BacktestError::Execution(format!(
-                    "insufficient benchmark long MA history for {} on {}",
-                    self.config.signal_symbol, date
-                ))
-            })?;
         let benchmark_ma5 = ctx
             .data
-            .market_decision_close_moving_average(date, &self.config.signal_symbol, 5)
+            .benchmark_decision_moving_average(date, 5)
+            .or_else(|| ctx.data.benchmark_moving_average(date, 5))
             .unwrap_or(benchmark_ma_short);
         let benchmark_ma10 = ctx
             .data
-            .market_decision_close_moving_average(date, &self.config.signal_symbol, 10)
+            .benchmark_decision_moving_average(date, 10)
+            .or_else(|| ctx.data.benchmark_moving_average(date, 10))
             .unwrap_or(benchmark_ma_long);
         let benchmark_ma20 = ctx
             .data
-            .market_decision_close_moving_average(date, &self.config.signal_symbol, 20)
+            .benchmark_decision_moving_average(date, 20)
+            .or_else(|| ctx.data.benchmark_moving_average(date, 20))
             .unwrap_or(benchmark_ma10);
         let benchmark_ma30 = ctx
             .data
-            .market_decision_close_moving_average(date, &self.config.signal_symbol, 30)
+            .benchmark_decision_moving_average(date, 30)
+            .or_else(|| ctx.data.benchmark_moving_average(date, 30))
             .unwrap_or(benchmark_ma20);
+        let signal_ma5 = ctx
+            .data
+            .market_decision_close_moving_average(date, &self.config.signal_symbol, 5)
+            .unwrap_or(benchmark_ma5);
+        let signal_ma10 = ctx
+            .data
+            .market_decision_close_moving_average(date, &self.config.signal_symbol, 10)
+            .unwrap_or(benchmark_ma10);
+        let signal_ma20 = ctx
+            .data
+            .market_decision_close_moving_average(date, &self.config.signal_symbol, 20)
+            .unwrap_or(benchmark_ma20);
+        let signal_ma30 = ctx
+            .data
+            .market_decision_close_moving_average(date, &self.config.signal_symbol, 30)
+            .unwrap_or(benchmark_ma30);
         let account = ctx.account();
         let cash = account.cash;
         let market_value = account.market_value;
@@ -1241,10 +1235,10 @@ impl PlatformExprStrategy {
             benchmark_ma10,
             benchmark_ma20,
             benchmark_ma30,
-            signal_ma5: benchmark_ma5,
+            signal_ma5,
-            signal_ma10: benchmark_ma10,
+            signal_ma10,
-            signal_ma20: benchmark_ma20,
+            signal_ma20,
-            signal_ma30: benchmark_ma30,
+            signal_ma30,
             cash,
             available_cash: account.available_cash,
             frozen_cash: account.frozen_cash,
@@ -4631,6 +4625,8 @@ impl Strategy for PlatformExprStrategy {
         } else {
             Vec::new()
         };
+        let empty_rebalance_retry =
+            self.config.retry_empty_rebalance && ctx.portfolio.positions().is_empty();
         let periodic_rebalance = if self.config.rotation_enabled {
             if let Some(schedule) = &self.config.rebalance_schedule {
                 schedule.matches(
@@ -4638,9 +4634,9 @@ impl Strategy for PlatformExprStrategy {
                     execution_date,
                     ScheduleStage::OnDay,
                     default_stage_time(ScheduleStage::OnDay),
-                )
+                ) || empty_rebalance_retry
             } else {
-                ctx.decision_index % self.config.refresh_rate == 0
+                ctx.decision_index % self.config.refresh_rate == 0 || empty_rebalance_retry
             }
         } else {
             false
@@ -4759,7 +4755,7 @@ impl Strategy for PlatformExprStrategy {
             }
 
             let fixed_buy_cash = projected.cash() * trading_ratio / selection_limit as f64;
-            for symbol in &stock_list {
+            for symbol in stock_list.iter().take(selection_limit) {
                 if projected.positions().len() >= selection_limit {
                     break;
                 }
@@ -4798,6 +4794,52 @@ impl Strategy for PlatformExprStrategy {
                 );
             }
         }
+        if self.config.daily_top_up_enabled
+            && self.config.rotation_enabled
+            && !periodic_rebalance
+            && !ctx.portfolio.positions().is_empty()
+            && projected.positions().len() < selection_limit
+        {
+            let fixed_buy_cash = projected.total_value() * trading_ratio / selection_limit as f64;
+            let available_buy_cash = fixed_buy_cash.min(projected.cash());
+            if available_buy_cash >= fixed_buy_cash * 0.5 {
+                for symbol in &stock_list {
+                    if projected.positions().contains_key(symbol) {
+                        continue;
+                    }
+                    let decision_stock = self.stock_state(ctx, decision_date, symbol)?;
+                    let execution_stock = self.stock_state(ctx, execution_date, symbol)?;
+                    if self
+                        .buy_rejection_reason(ctx, execution_date, symbol, &execution_stock)?
+                        .is_some()
+                    {
+                        continue;
+                    }
+                    if !self.stock_passes_expr(ctx, &day, &decision_stock)? {
+                        continue;
+                    }
+                    let buy_cash =
+                        available_buy_cash * self.buy_scale(ctx, &day, &decision_stock)?;
+                    if buy_cash <= 0.0 {
+                        continue;
+                    }
+                    order_intents.push(OrderIntent::Value {
+                        symbol: symbol.clone(),
+                        value: buy_cash,
+                        reason: "daily_top_up_buy".to_string(),
+                    });
+                    self.project_order_value(
+                        ctx,
+                        &mut projected,
+                        execution_date,
+                        symbol,
+                        buy_cash,
+                        &mut projected_execution_state,
+                    );
+                    break;
+                }
+            }
+        }
 
         if !explicit_action_intents.is_empty() {
             order_intents.extend(explicit_action_intents);
@@ -6074,6 +6116,139 @@ mod tests {
         assert_eq!(decision.order_intents.len(), 1);
     }
 
+    #[test]
+    fn platform_daily_top_up_keeps_selection_limited_to_target_count() {
+        let date = d(2025, 2, 3);
+        let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
+        let data = DataSet::from_components(
+            symbols
+                .iter()
+                .map(|symbol| Instrument {
+                    symbol: (*symbol).to_string(),
+                    name: (*symbol).to_string(),
+                    board: "SZ".to_string(),
+                    round_lot: 100,
+                    listed_at: Some(d(2020, 1, 1)),
+                    delisted_at: None,
+                    status: "active".to_string(),
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| DailyMarketSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    timestamp: Some("2025-02-03 09:33:00".to_string()),
+                    day_open: 10.0,
+                    open: 10.0,
+                    high: 10.5,
+                    low: 9.8,
+                    close: 10.0,
+                    last_price: 10.0,
+                    bid1: 9.99,
+                    ask1: 10.01,
+                    prev_close: 9.9,
+                    volume: 1_000_000,
+                    tick_volume: 10_000,
+                    bid1_volume: 2_000,
+                    ask1_volume: 2_000,
+                    trading_phase: Some("continuous".to_string()),
+                    paused: false,
+                    upper_limit: 11.0,
+                    lower_limit: 9.0,
+                    price_tick: 0.01,
+                })
+                .collect(),
+            symbols
+                .iter()
+                .enumerate()
+                .map(|(index, symbol)| DailyFactorSnapshot {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    market_cap_bn: 10.0 + index as f64,
+                    free_float_cap_bn: 10.0 + index as f64,
+                    pe_ttm: 8.0,
+                    turnover_ratio: Some(1.0),
+                    effective_turnover_ratio: Some(1.0),
+                    extra_factors: BTreeMap::new(),
+                })
+                .collect(),
+            symbols
+                .iter()
+                .map(|symbol| CandidateEligibility {
+                    date,
+                    symbol: (*symbol).to_string(),
+                    is_st: false,
+                    is_new_listing: false,
+                    is_paused: false,
+                    allow_buy: true,
+                    allow_sell: true,
+                    is_kcb: false,
+                    is_one_yuan: false,
+                })
+                .collect(),
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(30_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 1,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.signal_symbol = "000001.SZ".to_string();
+        cfg.refresh_rate = 99;
+        cfg.max_positions = 2;
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        cfg.market_cap_lower_expr = "0".to_string();
+        cfg.market_cap_upper_expr = "100".to_string();
+        cfg.selection_limit_expr = "2".to_string();
+        cfg.stock_filter_expr = "close > 0".to_string();
+        cfg.daily_top_up_enabled = true;
+        cfg.retry_empty_rebalance = true;
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        let decision = strategy.on_day(&ctx).expect("platform decision");
+
+        assert!(
+            decision
+                .diagnostics
+                .iter()
+                .any(|item| item.contains("selected=2")),
+            "{:?}",
+            decision.diagnostics
+        );
+        assert!(
+            !decision
+                .diagnostics
+                .iter()
+                .any(|item| item.contains("selected=3")),
+            "{:?}",
+            decision.diagnostics
+        );
+    }
+
     #[test]
     fn platform_strategy_emits_target_shares_explicit_action() {
         let date = d(2025, 2, 3);
@@ -7509,4 +7684,133 @@ mod tests {
         let decision = strategy.on_day(&ctx).expect("platform decision");
         assert_eq!(decision.order_intents.len(), 1);
     }
+
+    #[test]
+    fn ast_cache_reuses_compiled_ast_across_invocations() {
+        let date = d(2025, 2, 3);
+        let data = DataSet::from_components(
+            vec![Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "Ping An Bank".to_string(),
+                board: "SZSE".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2010, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![DailyMarketSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("10:18:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.2,
+                low: 9.9,
+                close: 10.1,
+                last_price: 10.05,
+                bid1: 10.04,
+                ask1: 10.05,
+                prev_close: 9.95,
+                volume: 1_000_000,
+                tick_volume: 5_000,
+                bid1_volume: 1_000,
+                ask1_volume: 1_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 10.94,
+                lower_limit: 8.96,
+                price_tick: 0.01,
+            }],
+            vec![DailyFactorSnapshot {
+                date,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 12.0,
+                free_float_cap_bn: 10.0,
+                pe_ttm: 8.0,
+                turnover_ratio: Some(22.0),
+                effective_turnover_ratio: Some(18.0),
+                extra_factors: BTreeMap::new(),
+            }],
+            vec![CandidateEligibility {
+                date,
+                symbol: "000001.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: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+        let portfolio = PortfolioState::new(1_000_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date,
+            decision_date: date,
+            decision_index: 0,
+            data: &data,
+            portfolio: &portfolio,
+            futures_account: None,
+            open_orders: &[],
+            dynamic_universe: None,
+            subscriptions: &subscriptions,
+            process_events: &[],
+            active_process_event: None,
+            active_datetime: None,
+            order_events: &[],
+            fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
+        cfg.signal_symbol = "000001.SZ".to_string();
+        cfg.rotation_enabled = false;
+        cfg.benchmark_short_ma_days = 1;
+        cfg.benchmark_long_ma_days = 1;
+        cfg.explicit_actions = vec![PlatformTradeAction::Order {
+            kind: PlatformExplicitOrderKind::Value,
+            symbol: "000001.SZ".to_string(),
+            amount_expr: "cash * 0.1".to_string(),
+            limit_price_expr: None,
+            start_time_expr: None,
+            end_time_expr: None,
+            when_expr: Some("allow_buy".to_string()),
+            reason: "ast_cache_reuse".to_string(),
+        }];
+        let mut strategy = PlatformExprStrategy::new(cfg);
+
+        // 第一次调用：所有表达式 cache miss。
+        let _ = strategy.on_day(&ctx).expect("first decision");
+        let misses_after_first = strategy.ast_cache_misses();
+        let hits_after_first = strategy.ast_cache_hits();
+        assert!(
+            misses_after_first > 0,
+            "first run should populate cache, misses={}",
+            misses_after_first
+        );
+
+        // 第二次调用：相同表达式，cache hit 数应当 > 第一次。
+        let _ = strategy.on_day(&ctx).expect("second decision");
+        let misses_after_second = strategy.ast_cache_misses();
+        let hits_after_second = strategy.ast_cache_hits();
+        assert!(
+            hits_after_second > hits_after_first,
+            "second run should reuse cached AST, hits {} -> {}",
+            hits_after_first,
+            hits_after_second
+        );
+        // 缓存条目数不应该再增长（相同 script）：misses 不再增加。
+        assert_eq!(
+            misses_after_second, misses_after_first,
+            "second run should not introduce new misses for same scripts"
+        );
+    }
 }

crates/fidc-core/src/platform_runtime_schema.rs

@@ -318,8 +318,7 @@ mod tests {
 
     #[test]
     fn runtime_schema_includes_known_identifiers() {
-        let names: std::collections::HashSet<&str> =
+        let names: std::collections::HashSet<&str> = RESERVED_SCOPE_NAMES.iter().copied().collect();
-            RESERVED_SCOPE_NAMES.iter().copied().collect();
         for required in [
             "signal_close",
             "benchmark_close",
@@ -328,7 +327,10 @@ mod tests {
             "current_price",
             "stock_ma_short",
         ] {
-            assert!(names.contains(required), "missing reserved name: {required}");
+            assert!(
+                names.contains(required),
+                "missing reserved name: {required}"
+            );
         }
 
         let helpers: std::collections::HashSet<&str> =

crates/fidc-core/src/platform_strategy_spec.rs

@@ -49,6 +49,8 @@ pub struct StrategyExecutionSpec {
     pub slippage_model: Option<String>,
     #[serde(default)]
     pub slippage_value: Option<f64>,
+    #[serde(default)]
+    pub strict_value_budget: Option<bool>,
 }
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -83,6 +85,8 @@ pub struct StrategyEngineConfig {
     #[serde(default)]
     pub slippage_value: Option<f64>,
     #[serde(default)]
+    pub strict_value_budget: Option<bool>,
+    #[serde(default)]
     pub dividend_reinvestment: Option<bool>,
     #[serde(default)]
     pub rebalance_schedule: Option<StrategyExpressionScheduleConfig>,
@@ -224,6 +228,10 @@ pub struct StrategyExpressionTradingConfig {
     #[serde(default)]
     pub rotation_enabled: Option<bool>,
     #[serde(default)]
+    pub daily_top_up: Option<bool>,
+    #[serde(default)]
+    pub retry_empty_rebalance: Option<bool>,
+    #[serde(default)]
     pub subscription_guard_required: Option<bool>,
     #[serde(default)]
     pub actions: Vec<StrategyExpressionActionConfig>,
@@ -551,6 +559,24 @@ pub fn platform_expr_config_from_spec(
             if let Some(enabled) = trading.rotation_enabled {
                 cfg.rotation_enabled = enabled;
             }
+            if let Some(enabled) = trading.daily_top_up {
+                cfg.daily_top_up_enabled = enabled;
+            }
+            if let Some(enabled) = trading.retry_empty_rebalance {
+                cfg.retry_empty_rebalance = enabled;
+            }
+            if let Some(enabled) = spec
+                .engine_config
+                .as_ref()
+                .and_then(|engine| engine.strict_value_budget)
+                .or_else(|| {
+                    spec.execution
+                        .as_ref()
+                        .and_then(|execution| execution.strict_value_budget)
+                })
+            {
+                cfg.strict_value_budget = enabled;
+            }
             if let Some(required) = trading.subscription_guard_required {
                 cfg.subscription_guard_required = required;
             }
@@ -1008,6 +1034,8 @@ mod tests {
                 },
                 "trading": {
                     "rotationEnabled": false,
+                    "dailyTopUp": true,
+                    "retryEmptyRebalance": true,
                     "stage": "open_auction",
                     "actions": [
                         {
@@ -1027,6 +1055,8 @@ mod tests {
         assert_eq!(cfg.signal_symbol, "000852.SH");
         assert_eq!(cfg.selection_limit_expr, "stocknum");
         assert!(!cfg.rotation_enabled);
+        assert!(cfg.daily_top_up_enabled);
+        assert!(cfg.retry_empty_rebalance);
         assert_eq!(cfg.explicit_actions.len(), 1);
         assert_eq!(
             cfg.explicit_action_stage,

crates/fidc-core/tests/explicit_order_flow.rs

@@ -10,7 +10,7 @@ use std::collections::{BTreeMap, BTreeSet};
 #[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 +72,20 @@ 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);
@@ -111,7 +125,7 @@ fn broker_executes_explicit_order_value_buy() {
 #[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 +187,20 @@ 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);
@@ -1192,6 +1220,120 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
 
 #[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 +1405,7 @@ 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_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap());
-    .with_slippage_model(SlippageModel::TickSize(2.0));
 
     let report = broker
         .execute(
@@ -1278,7 +1419,7 @@ 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(),
@@ -1286,8 +1427,15 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
         )
         .expect("broker execution");
 
-    assert_eq!(report.fill_events.len(), 1);
+    assert!(report.fill_events.is_empty());
-    assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
+    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]