修正回测指标和成交时间口径

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;
@@ -444,6 +445,38 @@ pub struct EligibleUniverseSnapshot {
     pub free_float_cap_bn: f64,
 }
 
+pub fn decision_adjusted_cap_bn(
+    factor_date: NaiveDate,
+    raw_cap_bn: f64,
+    market: &DailyMarketSnapshot,
+) -> f64 {
+    if !raw_cap_bn.is_finite() || raw_cap_bn <= 0.0 {
+        return f64::NAN;
+    }
+    if factor_date != market.date {
+        return raw_cap_bn;
+    }
+    if !market.close.is_finite()
+        || market.close <= 0.0
+        || !market.prev_close.is_finite()
+        || market.prev_close <= 0.0
+    {
+        return f64::NAN;
+    }
+    raw_cap_bn * market.prev_close / market.close
+}
+
+pub fn decision_market_cap_bn(factor: &DailyFactorSnapshot, market: &DailyMarketSnapshot) -> f64 {
+    decision_adjusted_cap_bn(factor.date, factor.market_cap_bn, market)
+}
+
+pub fn decision_free_float_cap_bn(
+    factor: &DailyFactorSnapshot,
+    market: &DailyMarketSnapshot,
+) -> f64 {
+    decision_adjusted_cap_bn(factor.date, factor.free_float_cap_bn, market)
+}
+
 #[derive(Debug, Clone)]
 struct SymbolPriceSeries {
     snapshots: Vec<DailyMarketSnapshot>,
@@ -452,6 +485,7 @@ struct SymbolPriceSeries {
     closes: Vec<f64>,
     prev_closes: Vec<f64>,
     last_prices: Vec<f64>,
+    volumes: Vec<f64>,
     open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
     prev_close_prefix: Vec<f64>,
@@ -486,6 +520,7 @@ impl SymbolPriceSeries {
             closes,
             prev_closes,
             last_prices,
+            volumes,
             open_prefix,
             close_prefix,
             prev_close_prefix,
@@ -621,12 +656,7 @@ impl SymbolPriceSeries {
             return None;
         }
         let start = end - lookback;
-        Some(
-            self.snapshots[start..end]
-                .iter()
-                .map(|snapshot| snapshot.volume as f64)
-                .collect(),
-        )
+        Some(self.volumes[start..end].to_vec())
     }
 
     fn end_index(&self, date: NaiveDate) -> Option<usize> {
@@ -654,6 +684,14 @@ 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,
@@ -669,6 +707,7 @@ struct BenchmarkPriceSeries {
     dates: Vec<NaiveDate>,
     opens: Vec<f64>,
     closes: Vec<f64>,
+    prev_closes: Vec<f64>,
     open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
 }
@@ -680,12 +719,14 @@ impl BenchmarkPriceSeries {
         let dates = sorted.iter().map(|row| row.date).collect::<Vec<_>>();
         let opens = sorted.iter().map(|row| row.open).collect::<Vec<_>>();
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
+        let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
         let open_prefix = prefix_sums(&opens);
         let close_prefix = prefix_sums(&closes);
         Self {
             dates,
             opens,
             closes,
+            prev_closes,
             open_prefix,
             close_prefix,
         }
@@ -695,6 +736,24 @@ impl BenchmarkPriceSeries {
         self.moving_average_for(date, lookback, PriceField::Close)
     }
 
+    fn decision_close(&self, date: NaiveDate) -> Option<f64> {
+        match self.dates.binary_search(&date) {
+            Ok(idx) => self
+                .prev_closes
+                .get(idx)
+                .copied()
+                .filter(|value| value.is_finite() && *value > 0.0)
+                .or_else(|| {
+                    idx.checked_sub(1)
+                        .and_then(|prev| self.closes.get(prev).copied())
+                }),
+            Err(0) => None,
+            Err(idx) => idx
+                .checked_sub(1)
+                .and_then(|prev| self.closes.get(prev).copied()),
+        }
+    }
+
     fn decision_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
         if lookback == 0 {
             return None;
@@ -712,6 +771,22 @@ impl BenchmarkPriceSeries {
         Some(sum / lookback as f64)
     }
 
+    fn decision_values_for(&self, date: NaiveDate, lookback: usize, field: PriceField) -> Vec<f64> {
+        if lookback == 0 {
+            return Vec::new();
+        }
+        let end = match self.dates.binary_search(&date) {
+            Ok(idx) => idx,
+            Err(0) => return Vec::new(),
+            Err(idx) => idx,
+        };
+        let start = end.saturating_sub(lookback);
+        match field {
+            PriceField::DayOpen | PriceField::Open => self.opens[start..end].to_vec(),
+            PriceField::Close | PriceField::Last => self.closes[start..end].to_vec(),
+        }
+    }
+
     fn moving_average_for(
         &self,
         date: NaiveDate,
@@ -769,7 +844,7 @@ pub struct DataSet {
     candidate_by_date: BTreeMap<NaiveDate, Vec<CandidateEligibility>>,
     candidate_index: HashMap<(NaiveDate, String), CandidateEligibility>,
     corporate_actions_by_date: BTreeMap<NaiveDate, Vec<CorporateAction>>,
-    execution_quotes_index: HashMap<(NaiveDate, String), Vec<IntradayExecutionQuote>>,
+    execution_quotes_by_date: HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>,
     order_book_depth_index: HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>,
     benchmark_by_date: BTreeMap<NaiveDate, BenchmarkSnapshot>,
     market_series_by_symbol: HashMap<String, SymbolPriceSeries>,
@@ -1053,7 +1128,7 @@ impl DataSet {
             .map(|item| ((item.date, item.symbol.clone()), item))
             .collect::<HashMap<_, _>>();
         let corporate_actions_by_date = group_by_date(corporate_actions, |item| item.date);
-        let execution_quotes_index = build_execution_quote_index(execution_quotes);
+        let execution_quotes_by_date = build_execution_quote_index(execution_quotes);
         let order_book_depth_index = build_order_book_depth_index(order_book_depth);
 
         let benchmark_by_date = benchmarks
@@ -1063,8 +1138,12 @@ 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 {
@@ -1079,7 +1158,7 @@ impl DataSet {
             candidate_by_date,
             candidate_index,
             corporate_actions_by_date,
-            execution_quotes_index,
+            execution_quotes_by_date,
             order_book_depth_index,
             benchmark_by_date,
             market_series_by_symbol,
@@ -1151,12 +1230,56 @@ impl DataSet {
     }
 
     pub fn execution_quotes_on(&self, date: NaiveDate, symbol: &str) -> &[IntradayExecutionQuote] {
-        self.execution_quotes_index
-            .get(&(date, symbol.to_string()))
+        self.execution_quotes_by_date
+            .get(&date)
+            .and_then(|rows_by_symbol| rows_by_symbol.get(symbol))
             .map(Vec::as_slice)
             .unwrap_or(&[])
     }
 
+    pub fn execution_quote_key_set(&self) -> HashSet<(NaiveDate, String)> {
+        self.execution_quotes_by_date
+            .iter()
+            .flat_map(|(date, rows_by_symbol)| {
+                rows_by_symbol
+                    .keys()
+                    .map(move |symbol| (*date, symbol.clone()))
+            })
+            .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_by_date
+                .entry(quote.date)
+                .or_default()
+                .entry(quote.symbol.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 (date, symbol) in touched {
+            if let Some(rows) = self
+                .execution_quotes_by_date
+                .get_mut(&date)
+                .and_then(|rows_by_symbol| rows_by_symbol.get_mut(&symbol))
+            {
+                rows.sort_by_key(|quote| quote.timestamp);
+            }
+        }
+        added
+    }
+
     pub fn order_book_depth_on(
         &self,
         date: NaiveDate,
@@ -1170,10 +1293,11 @@ impl DataSet {
 
     pub fn execution_quotes_on_date(&self, date: NaiveDate) -> Vec<IntradayExecutionQuote> {
         let mut quotes = self
-            .execution_quotes_index
-            .iter()
-            .filter(|((quote_date, _), _)| *quote_date == date)
-            .flat_map(|(_, rows)| rows.iter().cloned())
+            .execution_quotes_by_date
+            .get(&date)
+            .into_iter()
+            .flat_map(|rows_by_symbol| rows_by_symbol.values())
+            .flat_map(|rows| rows.iter().cloned())
             .collect::<Vec<_>>();
         quotes.sort_by(|left, right| {
             left.timestamp
@@ -1293,10 +1417,10 @@ impl DataSet {
             return Vec::new();
         }
         let mut quotes = self
-            .execution_quotes_index
-            .iter()
-            .filter(|((_, quote_symbol), _)| quote_symbol == symbol)
-            .flat_map(|(_, rows)| rows.iter())
+            .execution_quotes_by_date
+            .values()
+            .filter_map(|rows_by_symbol| rows_by_symbol.get(symbol))
+            .flat_map(|rows| rows.iter())
             .filter(|quote| intraday_quote_visible(quote, date, active_datetime, include_now))
             .cloned()
             .collect::<Vec<_>>();
@@ -1793,12 +1917,11 @@ impl DataSet {
                 .collect(),
             Some("1m") | Some("tick") => {
                 let mut bars = self
-                    .execution_quotes_index
+                    .execution_quotes_by_date
                     .iter()
-                    .filter(|((date, quote_symbol), _)| {
-                        quote_symbol == symbol && *date >= start && *date <= end
-                    })
-                    .flat_map(|(_, rows)| rows.iter())
+                    .filter(|(date, _)| **date >= start && **date <= end)
+                    .filter_map(|(_, rows_by_symbol)| rows_by_symbol.get(symbol))
+                    .flat_map(|rows| rows.iter())
                     .map(intraday_quote_price_bar)
                     .collect::<Vec<_>>();
                 bars.sort_by(|left, right| {
@@ -1828,6 +1951,12 @@ 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)
@@ -2091,12 +2220,10 @@ impl DataSet {
                 self.market_moving_average(date, symbol, lookback, PriceField::Close)
             }
             "volume" | "stock_volume" => self
-                .factor_moving_average(date, symbol, "daily_volume", lookback)
-                .or_else(|| {
-                    self.market_series_by_symbol
-                        .get(symbol)
-                        .and_then(|series| series.current_volume_moving_average(date, lookback))
-                }),
+                .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)
             }
@@ -2183,6 +2310,10 @@ impl DataSet {
         self.benchmark_series_cache.moving_average(date, lookback)
     }
 
+    pub fn benchmark_decision_close(&self, date: NaiveDate) -> Option<f64> {
+        self.benchmark_series_cache.decision_close(date)
+    }
+
     pub fn benchmark_decision_moving_average(
         &self,
         date: NaiveDate,
@@ -2212,6 +2343,23 @@ impl DataSet {
         }
     }
 
+    pub fn benchmark_decision_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
+                .decision_values_for(date, lookback, PriceField::Close),
+        }
+    }
+
     pub fn market_open_moving_average(
         &self,
         date: NaiveDate,
@@ -3222,17 +3370,21 @@ fn build_futures_params_index(
 
 fn build_execution_quote_index(
     execution_quotes: Vec<IntradayExecutionQuote>,
-) -> HashMap<(NaiveDate, String), Vec<IntradayExecutionQuote>> {
-    let mut grouped = HashMap::<(NaiveDate, String), Vec<IntradayExecutionQuote>>::new();
+) -> HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>> {
+    let mut grouped = HashMap::<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>::new();
     for quote in execution_quotes {
         grouped
-            .entry((quote.date, quote.symbol.clone()))
+            .entry(quote.date)
+            .or_default()
+            .entry(quote.symbol.clone())
             .or_default()
             .push(quote);
     }
 
-    for quotes in grouped.values_mut() {
-        quotes.sort_by_key(|quote| quote.timestamp);
+    for rows_by_symbol in grouped.values_mut() {
+        for quotes in rows_by_symbol.values_mut() {
+            quotes.sort_by_key(|quote| quote.timestamp);
+        }
     }
 
     grouped
@@ -3264,6 +3416,7 @@ 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();
 
@@ -3280,13 +3433,25 @@ 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;
             }
+            let market_cap_bn = decision_market_cap_bn(factor, market);
+            if market_cap_bn <= 0.0 || !market_cap_bn.is_finite() {
+                continue;
+            }
+            let free_float_cap_bn = decision_free_float_cap_bn(factor, market);
             rows.push(EligibleUniverseSnapshot {
                 symbol: factor.symbol.clone(),
-                market_cap_bn: factor.market_cap_bn,
-                free_float_cap_bn: factor.free_float_cap_bn,
+                market_cap_bn,
+                free_float_cap_bn,
             });
         }
         rows.sort_by(|left, right| {
@@ -3301,6 +3466,11 @@ 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::*;
@@ -3340,6 +3510,68 @@ mod tests {
         }
     }
 
+    fn benchmark_row(date: &str, close: f64) -> BenchmarkSnapshot {
+        BenchmarkSnapshot {
+            date: NaiveDate::parse_from_str(date, "%Y-%m-%d").unwrap(),
+            benchmark: "000852.SH".to_string(),
+            open: close,
+            close,
+            prev_close: close - 1.0,
+            volume: 1_000_000,
+        }
+    }
+
+    #[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",
+                "delisted",
+                Some(NaiveDate::parse_from_str("2025-04-30", "%Y-%m-%d").unwrap()),
+            )),
+            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(&[
@@ -3371,6 +3603,167 @@ mod tests {
         );
     }
 
+    #[test]
+    fn decision_close_average_ignores_current_day_close() {
+        let mut current = market_row("2025-01-06", 12.0, 10_000);
+        current.close = 9_999.0;
+        current.last_price = 9_999.0;
+        let series = SymbolPriceSeries::new(&[
+            market_row("2025-01-02", 10.0, 100),
+            market_row("2025-01-03", 11.0, 200),
+            current,
+        ]);
+        let decision_date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
+
+        assert_eq!(
+            series.decision_close_moving_average(decision_date, 2),
+            Some(11.5)
+        );
+        assert_eq!(
+            series.moving_average(decision_date, 2, PriceField::Close),
+            Some((11.0 + 9_999.0) / 2.0)
+        );
+    }
+
+    #[test]
+    fn decision_volume_average_includes_paused_zero_volume_days() {
+        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(150.0)
+        );
+        assert_eq!(
+            series.decision_volume_moving_average(
+                NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
+                3
+            ),
+            Some((100.0 + 0.0 + 300.0) / 3.0)
+        );
+    }
+
+    #[test]
+    fn eligible_universe_uses_decision_market_cap_same_date() {
+        let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
+        let instrument = |symbol: &str| Instrument {
+            symbol: symbol.to_string(),
+            name: symbol.to_string(),
+            board: if symbol.ends_with(".SH") { "SH" } else { "SZ" }.to_string(),
+            round_lot: 100,
+            listed_at: Some(NaiveDate::parse_from_str("2020-01-01", "%Y-%m-%d").unwrap()),
+            delisted_at: None,
+            status: "active".to_string(),
+        };
+        let market = |symbol: &str, prev_close: f64, close: f64| DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some("2025-01-06 10:18:00".to_string()),
+            day_open: prev_close,
+            open: prev_close,
+            high: close.max(prev_close),
+            low: close.min(prev_close),
+            close,
+            last_price: prev_close,
+            bid1: prev_close,
+            ask1: prev_close,
+            prev_close,
+            volume: 100_000,
+            tick_volume: 1_000,
+            bid1_volume: 1_000,
+            ask1_volume: 1_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: prev_close * 1.1,
+            lower_limit: prev_close * 0.9,
+            price_tick: 0.01,
+        };
+        let factor =
+            |symbol: &str, market_cap_bn: f64, free_float_cap_bn: f64| DailyFactorSnapshot {
+                date,
+                symbol: symbol.to_string(),
+                market_cap_bn,
+                free_float_cap_bn,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            };
+        let candidate = |symbol: &str| 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,
+        };
+        let data = DataSet::from_components(
+            vec![instrument("000001.SZ"), instrument("000002.SZ")],
+            vec![
+                market("000001.SZ", 10.0, 20.0),
+                market("000002.SZ", 10.0, 10.0),
+            ],
+            vec![
+                factor("000001.SZ", 12.0, 4.0),
+                factor("000002.SZ", 10.0, 5.0),
+            ],
+            vec![candidate("000001.SZ"), candidate("000002.SZ")],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 100.0,
+                close: 101.0,
+                prev_close: 99.0,
+                volume: 1_000_000,
+            }],
+        )
+        .expect("dataset");
+
+        let rows = data.eligible_universe_on(date);
+        assert_eq!(rows.len(), 2);
+        assert_eq!(rows[0].symbol, "000001.SZ");
+        assert!((rows[0].market_cap_bn - 6.0).abs() < 1e-9);
+        assert!((rows[0].free_float_cap_bn - 2.0).abs() < 1e-9);
+        assert_eq!(rows[1].symbol, "000002.SZ");
+        assert!((rows[1].market_cap_bn - 10.0).abs() < 1e-9);
+    }
+
+    #[test]
+    fn benchmark_decision_close_windows_exclude_current_close() {
+        let series = BenchmarkPriceSeries::new(&[
+            benchmark_row("2025-01-02", 100.0),
+            benchmark_row("2025-01-03", 200.0),
+            benchmark_row("2025-01-06", 9_999.0),
+        ]);
+        let decision_date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
+
+        assert_eq!(series.decision_close(decision_date), Some(9_998.0));
+        assert_eq!(
+            series.decision_moving_average(decision_date, 2),
+            Some(150.0)
+        );
+        assert_eq!(
+            series.decision_values_for(decision_date, 2, PriceField::Close),
+            vec![100.0, 200.0]
+        );
+        assert_eq!(
+            series.moving_average(decision_date, 2),
+            Some((200.0 + 9_999.0) / 2.0)
+        );
+    }
+
     #[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 +3188,101 @@ 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));
+    if let Some(cursor) = start_cursor
+        && end_cursor.is_none()
+    {
+        return data
+            .execution_quotes_on(date, symbol)
+            .iter()
+            .any(|quote| quote.timestamp <= cursor);
+    }
+    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/instrument.rs

@@ -43,7 +43,7 @@ impl Instrument {
     pub fn is_active_on(&self, date: NaiveDate) -> bool {
         self.listed_at.is_none_or(|listed_at| listed_at <= date)
             && !self.is_delisted_before(date)
-            && !self.status.eq_ignore_ascii_case("inactive")
+            && !(self.status.eq_ignore_ascii_case("inactive") && self.delisted_at.is_none())
     }
 }
 

crates/fidc-core/src/lib.rs

@@ -12,13 +12,16 @@ 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::{
@@ -31,7 +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::{
@@ -48,8 +51,8 @@ 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,
@@ -66,6 +69,7 @@ pub use platform_strategy_spec::{
     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_strategy_spec.rs

@@ -52,6 +52,8 @@ pub struct StrategyUniverseSpec {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExecutionSpec {
+    #[serde(default)]
+    pub compatibility_profile: Option<String>,
     #[serde(default)]
     pub matching_type: Option<String>,
     #[serde(default)]
@@ -59,6 +61,20 @@ pub struct StrategyExecutionSpec {
     #[serde(default)]
     pub slippage_value: Option<f64>,
     #[serde(default)]
+    pub slippage_impact_coefficient: Option<f64>,
+    #[serde(default)]
+    pub slippage_volatility_coefficient: Option<f64>,
+    #[serde(default)]
+    pub slippage_max_value: Option<f64>,
+    #[serde(default)]
+    pub commission_rate: Option<f64>,
+    #[serde(default)]
+    pub minimum_commission: Option<f64>,
+    #[serde(default)]
+    pub stamp_tax_rate_before_change: Option<f64>,
+    #[serde(default)]
+    pub stamp_tax_rate_after_change: Option<f64>,
+    #[serde(default)]
     pub strict_value_budget: Option<bool>,
 }
 
@@ -94,6 +110,20 @@ pub struct StrategyEngineConfig {
     #[serde(default)]
     pub slippage_value: Option<f64>,
     #[serde(default)]
+    pub slippage_impact_coefficient: Option<f64>,
+    #[serde(default)]
+    pub slippage_volatility_coefficient: Option<f64>,
+    #[serde(default)]
+    pub slippage_max_value: Option<f64>,
+    #[serde(default)]
+    pub commission_rate: Option<f64>,
+    #[serde(default)]
+    pub minimum_commission: Option<f64>,
+    #[serde(default)]
+    pub stamp_tax_rate_before_change: Option<f64>,
+    #[serde(default)]
+    pub stamp_tax_rate_after_change: Option<f64>,
+    #[serde(default)]
     pub strict_value_budget: Option<bool>,
     #[serde(default)]
     pub dividend_reinvestment: Option<bool>,
@@ -244,6 +274,8 @@ pub struct StrategyExpressionTradingConfig {
     #[serde(default)]
     pub stage: Option<String>,
     #[serde(default)]
+    pub refresh_rate_expr: Option<String>,
+    #[serde(default)]
     pub schedule: Option<StrategyExpressionScheduleConfig>,
     #[serde(default)]
     pub rotation_enabled: Option<bool>,
@@ -327,6 +359,140 @@ pub fn platform_expr_config_from_value(
     ))
 }
 
+fn valid_non_negative(value: Option<f64>) -> Option<f64> {
+    value.filter(|item| item.is_finite() && *item >= 0.0)
+}
+
+fn apply_cost_overrides(
+    cfg: &mut PlatformExprStrategyConfig,
+    commission_rate: Option<f64>,
+    minimum_commission: Option<f64>,
+    stamp_tax_rate_before_change: Option<f64>,
+    stamp_tax_rate_after_change: Option<f64>,
+) {
+    if let Some(value) = valid_non_negative(commission_rate) {
+        cfg.commission_rate = Some(value);
+    }
+    if let Some(value) = valid_non_negative(minimum_commission) {
+        cfg.minimum_commission = Some(value);
+    }
+    if let Some(value) = valid_non_negative(stamp_tax_rate_before_change) {
+        cfg.stamp_tax_rate_before_change = Some(value);
+    }
+    if let Some(value) = valid_non_negative(stamp_tax_rate_after_change) {
+        cfg.stamp_tax_rate_after_change = Some(value);
+    }
+}
+
+fn parse_usize_after(text: &str, start: usize) -> Option<(usize, usize)> {
+    let bytes = text.as_bytes();
+    let mut end = start;
+    while end < bytes.len() && bytes[end].is_ascii_digit() {
+        end += 1;
+    }
+    if end == start {
+        return None;
+    }
+    text[start..end]
+        .parse::<usize>()
+        .ok()
+        .filter(|value| *value > 0)
+        .map(|value| (value, end))
+}
+
+fn prefixed_ma_lookbacks(expr: &str, prefix: &str) -> Vec<usize> {
+    let lower = expr.to_ascii_lowercase();
+    let mut values = Vec::new();
+    let mut cursor = 0;
+    while let Some(offset) = lower[cursor..].find(prefix) {
+        let start = cursor + offset + prefix.len();
+        if let Some((value, end)) = parse_usize_after(&lower, start) {
+            values.push(value);
+            cursor = end;
+        } else {
+            cursor = start;
+        }
+    }
+    values
+}
+
+fn compact_ascii_whitespace(value: &str) -> String {
+    value
+        .chars()
+        .filter(|ch| !ch.is_ascii_whitespace())
+        .collect::<String>()
+        .to_ascii_lowercase()
+}
+
+fn rolling_mean_lookbacks(expr: &str, field: &str) -> Vec<usize> {
+    let compact = compact_ascii_whitespace(expr);
+    let patterns = [
+        format!("rolling_mean(\"{field}\","),
+        format!("rolling_mean('{field}',"),
+    ];
+    let mut values = Vec::new();
+    for pattern in patterns {
+        let mut cursor = 0;
+        while let Some(offset) = compact[cursor..].find(&pattern) {
+            let start = cursor + offset + pattern.len();
+            if let Some((value, end)) = parse_usize_after(&compact, start) {
+                values.push(value);
+                cursor = end;
+            } else {
+                cursor = start;
+            }
+        }
+    }
+    values
+}
+
+fn sorted_unique_positive(mut values: Vec<usize>) -> Vec<usize> {
+    values.retain(|value| *value > 0);
+    values.sort_unstable();
+    values.dedup();
+    values
+}
+
+fn infer_expression_windows(
+    cfg: &mut PlatformExprStrategyConfig,
+    benchmark_short_explicit: bool,
+    benchmark_long_explicit: bool,
+    stock_short_explicit: bool,
+    stock_mid_explicit: bool,
+    stock_long_explicit: bool,
+) {
+    let mut benchmark_days = Vec::new();
+    for expr in [&cfg.exposure_expr, &cfg.buy_scale_expr] {
+        benchmark_days.extend(prefixed_ma_lookbacks(expr, "benchmark_ma"));
+        benchmark_days.extend(rolling_mean_lookbacks(expr, "benchmark_close"));
+    }
+    let benchmark_days = sorted_unique_positive(benchmark_days);
+    if !benchmark_short_explicit && let Some(short) = benchmark_days.first().copied() {
+        cfg.benchmark_short_ma_days = short;
+    }
+    if !benchmark_long_explicit && let Some(long) = benchmark_days.last().copied() {
+        cfg.benchmark_long_ma_days = long;
+    }
+
+    let mut stock_days = Vec::new();
+    for expr in [&cfg.stock_filter_expr, &cfg.buy_scale_expr] {
+        stock_days.extend(prefixed_ma_lookbacks(expr, "stock_ma"));
+        stock_days.extend(rolling_mean_lookbacks(expr, "close"));
+    }
+    let stock_days = sorted_unique_positive(stock_days);
+    if !stock_short_explicit && let Some(short) = stock_days.first().copied() {
+        cfg.stock_short_ma_days = short;
+    }
+    if !stock_mid_explicit {
+        if let Some(mid) = stock_days.get(1).copied() {
+            cfg.stock_mid_ma_days = mid;
+        }
+    }
+    if !stock_long_explicit && let Some(long) = stock_days.last().copied() {
+        cfg.stock_long_ma_days = long;
+    }
+}
+
 pub fn platform_expr_config_from_spec(
     strategy_id: &str,
     signal_symbol: &str,
@@ -341,6 +507,11 @@ pub fn platform_expr_config_from_spec(
     let Some(spec) = strategy_spec else {
         return cfg;
     };
+    let mut benchmark_short_explicit = false;
+    let mut benchmark_long_explicit = false;
+    let mut stock_short_explicit = false;
+    let mut stock_mid_explicit = false;
+    let mut stock_long_explicit = false;
 
     if let Some(spec_strategy_id) = spec
         .strategy_id
@@ -370,23 +541,35 @@ pub fn platform_expr_config_from_spec(
         {
             cfg.rebalance_schedule = Some(schedule);
         }
+        if let Some(time) = engine
+            .rebalance_schedule
+            .as_ref()
+            .and_then(parse_schedule_execution_time)
+        {
+            cfg.intraday_execution_time = Some(time);
+        }
         if let Some(stock_ma_filter) = engine.stock_ma_filter.as_ref() {
             if let Some(days) = stock_ma_filter.short_days.filter(|value| *value > 0) {
                 cfg.stock_short_ma_days = days;
+                stock_short_explicit = true;
             }
             if let Some(days) = stock_ma_filter.mid_days.filter(|value| *value > 0) {
                 cfg.stock_mid_ma_days = days;
+                stock_mid_explicit = true;
             }
             if let Some(days) = stock_ma_filter.long_days.filter(|value| *value > 0) {
                 cfg.stock_long_ma_days = days;
+                stock_long_explicit = true;
             }
         }
         if let Some(index_throttle) = engine.index_throttle.as_ref() {
             if let Some(days) = index_throttle.short_days.filter(|value| *value > 0) {
                 cfg.benchmark_short_ma_days = days;
+                benchmark_short_explicit = true;
             }
             if let Some(days) = index_throttle.long_days.filter(|value| *value > 0) {
                 cfg.benchmark_long_ma_days = days;
+                benchmark_long_explicit = true;
             }
         }
         if !engine.skip_windows.is_empty() {
@@ -417,6 +600,13 @@ pub fn platform_expr_config_from_spec(
         {
             cfg.benchmark_symbol = spec_benchmark_symbol.clone();
         }
+        apply_cost_overrides(
+            &mut cfg,
+            engine.commission_rate,
+            engine.minimum_commission,
+            engine.stamp_tax_rate_before_change,
+            engine.stamp_tax_rate_after_change,
+        );
     }
 
     if let Some(spec_signal_symbol) = spec
@@ -499,6 +689,13 @@ pub fn platform_expr_config_from_spec(
         {
             cfg.rebalance_schedule = Some(schedule);
         }
+        if let Some(time) = runtime_expr
+            .schedule
+            .as_ref()
+            .and_then(parse_schedule_execution_time)
+        {
+            cfg.intraday_execution_time = Some(time);
+        }
         if let Some(selection) = runtime_expr.selection.as_ref() {
             if let Some(expr) = selection
                 .limit_expr
@@ -591,6 +788,13 @@ pub fn platform_expr_config_from_spec(
             }
         }
         if let Some(trading) = runtime_expr.trading.as_ref() {
+            if let Some(expr) = trading
+                .refresh_rate_expr
+                .as_ref()
+                .filter(|value| !value.trim().is_empty())
+            {
+                cfg.refresh_rate_expr = expr.clone();
+            }
             if let Some(enabled) = trading.rotation_enabled {
                 cfg.rotation_enabled = enabled;
             }
@@ -628,6 +832,13 @@ pub fn platform_expr_config_from_spec(
             {
                 cfg.explicit_action_schedule = Some(schedule);
             }
+            if let Some(time) = trading
+                .schedule
+                .as_ref()
+                .and_then(parse_schedule_execution_time)
+            {
+                cfg.intraday_execution_time = Some(time);
+            }
             cfg.explicit_actions = trading
                 .actions
                 .iter()
@@ -682,12 +893,52 @@ pub fn platform_expr_config_from_spec(
         cfg.selection_limit_expr = cfg.max_positions.to_string();
     }
 
+    infer_expression_windows(
+        &mut cfg,
+        benchmark_short_explicit,
+        benchmark_long_explicit,
+        stock_short_explicit,
+        stock_mid_explicit,
+        stock_long_explicit,
+    );
+
     if !cfg.signal_symbol.trim().is_empty() {
         cfg.signal_symbol = normalize_symbol(&cfg.signal_symbol, None);
     }
     if !cfg.benchmark_symbol.trim().is_empty() {
         cfg.benchmark_symbol = normalize_symbol(&cfg.benchmark_symbol, None);
     }
+    let aiquant_compat = spec
+        .execution
+        .as_ref()
+        .and_then(|execution| execution.compatibility_profile.as_deref())
+        .map(|value| value.trim().to_ascii_lowercase())
+        .is_some_and(|value| value == "aiquant_rqalpha" || value == "aiquant");
+    if aiquant_compat {
+        cfg.aiquant_transaction_cost = true;
+        let trading = spec
+            .runtime_expressions
+            .as_ref()
+            .and_then(|runtime_expr| runtime_expr.trading.as_ref());
+        if trading.and_then(|item| item.daily_top_up).is_none() {
+            cfg.daily_top_up_enabled = true;
+        }
+        if trading
+            .and_then(|item| item.retry_empty_rebalance)
+            .is_none()
+        {
+            cfg.retry_empty_rebalance = true;
+        }
+    }
+    if let Some(execution) = spec.execution.as_ref() {
+        apply_cost_overrides(
+            &mut cfg,
+            execution.commission_rate,
+            execution.minimum_commission,
+            execution.stamp_tax_rate_before_change,
+            execution.stamp_tax_rate_after_change,
+        );
+    }
 
     cfg
 }
@@ -744,6 +995,16 @@ fn parse_schedule_time_rule(
     }
 }
 
+fn parse_schedule_execution_time(schedule: &StrategyExpressionScheduleConfig) -> Option<NaiveTime> {
+    match parse_schedule_time_rule(schedule)? {
+        ScheduleTimeRule::BeforeTrading => NaiveTime::from_hms_opt(9, 0, 0),
+        ScheduleTimeRule::MinuteOfDay(minutes) => {
+            let seconds = minutes.checked_mul(60)?;
+            NaiveTime::from_num_seconds_from_midnight_opt(seconds, 0)
+        }
+    }
+}
+
 fn parse_schedule_clock_time(raw: Option<&str>) -> Option<NaiveTime> {
     let value = raw?.trim();
     if value.is_empty() {
@@ -1060,6 +1321,7 @@ mod tests {
             "signalSymbol": "000852.SH",
             "benchmark": { "instrumentId": "000852.SH" },
             "universe": { "exclude": ["paused", "st", "kcb", "one_yuan"] },
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
             "runtimeExpressions": {
                 "prelude": "let stocknum = 8;",
                 "selection": {
@@ -1069,6 +1331,7 @@ mod tests {
                     "stockFilterExpr": "stock_ma5 > stock_ma10"
                 },
                 "trading": {
+                    "refreshRateExpr": "year >= 2024 ? 5 : 20",
                     "rotationEnabled": false,
                     "dailyTopUp": true,
                     "retryEmptyRebalance": true,
@@ -1090,14 +1353,148 @@ mod tests {
         assert_eq!(cfg.strategy_name, "runtime_spec_test");
         assert_eq!(cfg.signal_symbol, "000852.SH");
         assert_eq!(cfg.selection_limit_expr, "stocknum");
+        assert_eq!(cfg.refresh_rate_expr, "year >= 2024 ? 5 : 20");
         assert_eq!(cfg.universe_exclude, ["paused", "st", "kcb", "one_yuan"]);
         assert!(!cfg.rotation_enabled);
         assert!(cfg.daily_top_up_enabled);
         assert!(cfg.retry_empty_rebalance);
+        assert!(!cfg.calendar_rebalance_interval);
+        assert!(cfg.aiquant_transaction_cost);
         assert_eq!(cfg.explicit_actions.len(), 1);
         assert_eq!(
             cfg.explicit_action_stage,
             PlatformExplicitActionStage::OpenAuction
         );
     }
+
+    #[test]
+    fn parses_execution_cost_overrides_into_platform_config() {
+        let spec = serde_json::json!({
+            "execution": {
+                "compatibilityProfile": "aiquant_rqalpha",
+                "commissionRate": 0.0003,
+                "minimumCommission": 5.0,
+                "stampTaxRateBeforeChange": 0.0005,
+                "stampTaxRateAfterChange": 0.0005
+            },
+            "engineConfig": {
+                "commissionRate": 0.0008
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert!(cfg.aiquant_transaction_cost);
+        assert_eq!(cfg.commission_rate, Some(0.0003));
+        assert_eq!(cfg.minimum_commission, Some(5.0));
+        assert_eq!(cfg.stamp_tax_rate_before_change, Some(0.0005));
+        assert_eq!(cfg.stamp_tax_rate_after_change, Some(0.0005));
+    }
+
+    #[test]
+    fn aiquant_profile_defaults_to_daily_top_up_and_empty_retry() {
+        let spec = serde_json::json!({
+            "execution": {
+                "compatibilityProfile": "aiquant_rqalpha"
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert!(cfg.aiquant_transaction_cost);
+        assert!(cfg.daily_top_up_enabled);
+        assert!(cfg.retry_empty_rebalance);
+
+        let explicit_off = serde_json::json!({
+            "execution": {
+                "compatibilityProfile": "aiquant_rqalpha"
+            },
+            "runtimeExpressions": {
+                "trading": {
+                    "dailyTopUp": false,
+                    "retryEmptyRebalance": false
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &explicit_off).expect("config");
+
+        assert!(!cfg.daily_top_up_enabled);
+        assert!(!cfg.retry_empty_rebalance);
+    }
+
+    #[test]
+    fn runtime_expressions_infer_ma_windows_from_literal_strategy_logic() {
+        let spec = serde_json::json!({
+            "execution": {
+                "compatibilityProfile": "aiquant_rqalpha"
+            },
+            "runtimeExpressions": {
+                "selection": {
+                    "stockFilterExpr": "rolling_mean(\"close\", 5) > rolling_mean(\"close\", 10) && rolling_mean(\"close\", 10) > rolling_mean(\"close\", 30)"
+                },
+                "risk": {
+                    "exposureExpr": "benchmark_ma5 > benchmark_ma20 ? 1.0 : weak_market_trade_rate"
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(cfg.benchmark_short_ma_days, 5);
+        assert_eq!(cfg.benchmark_long_ma_days, 20);
+        assert_eq!(cfg.stock_short_ma_days, 5);
+        assert_eq!(cfg.stock_mid_ma_days, 10);
+        assert_eq!(cfg.stock_long_ma_days, 30);
+
+        let explicit = serde_json::json!({
+            "engineConfig": {
+                "stockMaFilter": {
+                    "shortDays": 4,
+                    "midDays": 9,
+                    "longDays": 21
+                },
+                "indexThrottle": {
+                    "shortDays": 3,
+                    "longDays": 13
+                }
+            },
+            "runtimeExpressions": {
+                "selection": {
+                    "stockFilterExpr": "rolling_mean(\"close\", 5) > rolling_mean(\"close\", 10) && rolling_mean(\"close\", 10) > rolling_mean(\"close\", 30)"
+                },
+                "risk": {
+                    "exposureExpr": "benchmark_ma5 > benchmark_ma20 ? 1.0 : 0.5"
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &explicit).expect("config");
+
+        assert_eq!(cfg.benchmark_short_ma_days, 3);
+        assert_eq!(cfg.benchmark_long_ma_days, 13);
+        assert_eq!(cfg.stock_short_ma_days, 4);
+        assert_eq!(cfg.stock_mid_ma_days, 9);
+        assert_eq!(cfg.stock_long_ma_days, 21);
+    }
+
+    #[test]
+    fn parses_daily_schedule_time_for_aiquant_execution_quotes() {
+        let spec = serde_json::json!({
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
+            "runtimeExpressions": {
+                "schedule": { "frequency": "daily", "time": "09:33" }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(cfg.rebalance_schedule, None);
+        assert_eq!(
+            cfg.intraday_execution_time,
+            Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap())
+        );
+        assert!(!cfg.calendar_rebalance_interval);
+        assert!(cfg.aiquant_transaction_cost);
+    }
 }

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();
         }
@@ -550,9 +615,24 @@ 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() {
-            if field == PriceField::Close
+            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
@@ -714,6 +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<_>>();
@@ -810,6 +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();
@@ -1165,7 +1275,7 @@ mod tests {
         .expect("dataset");
 
         portfolio
-            .update_prices(buy_date, &dataset, PriceField::Close)
+            .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);
@@ -1178,6 +1288,27 @@ mod tests {
         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]

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();
+        let terminal_status = matches!(
+            status.as_str(),
+            "inactive" | "delisted" | "terminated" | "expired"
+        ) || status.contains("delist");
+        if terminal_status && instrument.delisted_at.is_none() {
+            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};
 
@@ -1780,11 +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,
@@ -1796,14 +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 =
@@ -1818,7 +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 =
@@ -1834,7 +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);
@@ -2316,18 +2331,6 @@ impl OmniMicroCapStrategy {
         true
     }
 
-    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')
-    }
-
     fn can_sell_position(&self, ctx: &StrategyContext<'_>, date: NaiveDate, symbol: &str) -> bool {
         let Some(position) = ctx.portfolio.position(symbol) else {
             return false;
@@ -2341,11 +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(
@@ -2357,30 +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)
@@ -2730,8 +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

@@ -546,8 +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("优化可以调整调仓周期、持仓数、市值带、filter.stock_expr、ordering.rank_expr、allocation.buy_scale、止盈止损；如上一轮无交易或质量分过低，必须先放宽过滤条件并优先使用已入库指标因子、rolling_mean/ma/vma/rolling_stddev/pct_change 等支持函数。\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/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

@@ -43,7 +43,8 @@ impl Strategy for BuyThenHoldStrategy {
 #[test]
 fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run() {
     let date1 = d(2025, 1, 2);
-    let date2 = d(2025, 1, 3);
+    let delist_date = d(2025, 1, 3);
+    let date2 = d(2025, 1, 6);
     let data = DataSet::from_components(
         vec![
             Instrument {
@@ -52,8 +53,8 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 board: "SZ".to_string(),
                 round_lot: 100,
                 listed_at: Some(d(2020, 1, 1)),
-                delisted_at: Some(date1),
-                status: "delisted".to_string(),
+                delisted_at: Some(delist_date),
+                status: "active".to_string(),
             },
             Instrument {
                 symbol: "000002.SZ".to_string(),
@@ -115,7 +116,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
             DailyMarketSnapshot {
                 date: date2,
                 symbol: "000002.SZ".to_string(),
-                timestamp: Some("2025-01-03 10:18:00".to_string()),
+                timestamp: Some("2025-01-06 10:18:00".to_string()),
                 day_open: 5.1,
                 open: 5.1,
                 high: 5.2,
@@ -273,7 +274,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 round_lot: 100,
                 listed_at: Some(d(2020, 1, 1)),
                 delisted_at: Some(date2),
-                status: "delisted".to_string(),
+                status: "active".to_string(),
             },
             Instrument {
                 symbol: "000002.SZ".to_string(),
@@ -492,7 +493,7 @@ 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 +504,6 @@ 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/engine_hooks.rs

@@ -329,7 +329,7 @@ impl Strategy for AuctionOrderStrategy {
             exit_symbols: BTreeSet::new(),
             order_intents: vec![fidc_core::OrderIntent::Value {
                 symbol: "000001.SZ".to_string(),
-                value: 1_000.0,
+                value: 1_010.0,
                 reason: "auction_buy".to_string(),
             }],
             notes: Vec::new(),
@@ -3734,7 +3734,7 @@ impl Strategy for BuyMissingRowThenHoldStrategy {
                 exit_symbols: BTreeSet::new(),
                 order_intents: vec![OrderIntent::Value {
                     symbol: "601028.SH".to_string(),
-                    value: 1_000.0,
+                    value: 1_010.0,
                     reason: "seed_position".to_string(),
                 }],
                 notes: Vec::new(),

crates/fidc-core/tests/explicit_order_flow.rs

@@ -1,9 +1,9 @@
 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};
 
@@ -233,8 +233,148 @@ fn broker_order_value_rounds_to_nearest_lot_when_min_lot_is_affordable() {
     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, 200);
-    assert_eq!(portfolio.position(symbol).expect("position").quantity, 200);
+    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]
@@ -905,7 +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
@@ -1345,6 +1485,110 @@ 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();
@@ -1414,7 +1658,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
         vec![IntradayExecutionQuote {
             date,
             symbol: "000002.SZ".to_string(),
-            timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
+            timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
             last_price: 10.0,
             bid1: 9.99,
             ask1: 10.01,
@@ -1560,7 +1804,7 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
     assert!(
         report.order_events[0]
             .reason
-            .contains("no execution quotes after start")
+            .contains("no execution quotes at or before start")
     );
     assert!(portfolio.position("000002.SZ").is_none());
 }
@@ -1749,7 +1993,7 @@ fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted
         vec![IntradayExecutionQuote {
             date,
             symbol: "000002.SZ".to_string(),
-            timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
+            timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
             last_price: 10.02,
             bid1: 10.01,
             ask1: 10.03,
@@ -2498,7 +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()),