修正回测指标和成交时间口径

crates/fidc-core/src/broker.rs

@@ -80,12 +80,68 @@ pub enum MatchingType {
     Twap,
 }
 
+#[derive(Debug, Clone, Copy, PartialEq)]
+pub struct DynamicSlippageConfig {
+    pub impact_coefficient: f64,
+    pub volatility_coefficient: f64,
+    pub max_ratio: f64,
+}
+
+impl DynamicSlippageConfig {
+    pub fn new(impact_coefficient: f64, volatility_coefficient: f64, max_ratio: f64) -> Self {
+        Self {
+            impact_coefficient: impact_coefficient.max(0.0),
+            volatility_coefficient: volatility_coefficient.max(0.0),
+            max_ratio: max_ratio.max(0.0),
+        }
+    }
+
+    fn ratio(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        raw_price: f64,
+        order_value: Option<f64>,
+    ) -> f64 {
+        let daily_amount = (snapshot.volume as f64 * raw_price).max(0.0);
+        let impact_ratio = match order_value {
+            Some(value) if value.is_finite() && value > 0.0 && daily_amount > 0.0 => {
+                value / daily_amount
+            }
+            _ => 0.0,
+        };
+        let volatility_base = if snapshot.prev_close.is_finite() && snapshot.prev_close > 0.0 {
+            snapshot.prev_close
+        } else {
+            raw_price
+        };
+        let volatility = if snapshot.high.is_finite()
+            && snapshot.low.is_finite()
+            && volatility_base.is_finite()
+            && volatility_base > 0.0
+        {
+            ((snapshot.high - snapshot.low).abs() / volatility_base).max(0.0)
+        } else {
+            0.0
+        };
+        let ratio =
+            impact_ratio * self.impact_coefficient + volatility * self.volatility_coefficient;
+        ratio.clamp(0.0, self.max_ratio)
+    }
+}
+
+impl Default for DynamicSlippageConfig {
+    fn default() -> Self {
+        Self::new(0.5, 0.3, 0.01)
+    }
+}
+
 #[derive(Debug, Clone, Copy, PartialEq)]
 pub enum SlippageModel {
     None,
     PriceRatio(f64),
     TickSize(f64),
     LimitPrice,
+    Dynamic(DynamicSlippageConfig),
 }
 
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
@@ -235,6 +291,10 @@ impl<C, R> BrokerSimulator<C, R> {
         self.execution_price_field
     }
 
+    pub fn intraday_execution_start_time(&self) -> Option<NaiveTime> {
+        self.intraday_execution_start_time
+    }
+
     pub fn open_order_views(&self) -> Vec<OpenOrderView> {
         self.open_orders
             .borrow()
@@ -280,32 +340,66 @@ where
         data: &DataSet,
         symbol: &str,
         snapshot: &crate::data::DailyMarketSnapshot,
+    ) -> f64 {
+        self.value_order_sizing_price(date, data, symbol, snapshot, OrderSide::Buy)
+    }
+
+    fn value_sell_sizing_price(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        snapshot: &crate::data::DailyMarketSnapshot,
+    ) -> f64 {
+        self.value_order_sizing_price(date, data, symbol, snapshot, OrderSide::Sell)
+    }
+
+    fn target_value_valuation_price(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        snapshot: &crate::data::DailyMarketSnapshot,
+    ) -> f64 {
+        let _ = (date, data, symbol);
+        if snapshot.close.is_finite() && snapshot.close > 0.0 {
+            snapshot.close
+        } else {
+            self.sizing_price(snapshot)
+        }
+    }
+
+    fn value_order_sizing_price(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
     ) -> f64 {
         let start_cursor = self
             .runtime_intraday_start_time
             .get()
             .or(self.intraday_execution_start_time)
             .map(|start_time| date.and_time(start_time));
-        data.execution_quotes_on(date, symbol)
-            .iter()
-            .filter(|quote| {
-                start_cursor
-                    .map(|cursor| quote.timestamp >= cursor)
-                    .unwrap_or(true)
-            })
-            .next()
-            .and_then(|quote| match self.execution_price_field {
-                PriceField::Last => (quote.last_price.is_finite() && quote.last_price > 0.0)
-                    .then_some(quote.last_price),
-                _ => quote.buy_price(),
-            })
-            .unwrap_or_else(|| self.sizing_price(snapshot))
+        let matching_type = self.matching_type_for_algo_request(None);
+        self.latest_known_quote_at_or_before(
+            data.execution_quotes_on(date, symbol),
+            start_cursor,
+            snapshot,
+            side,
+            matching_type,
+            false,
+        )
+        .and_then(|quote| self.select_quote_reference_price(snapshot, quote, side, matching_type))
+        .unwrap_or_else(|| self.sizing_price(snapshot))
     }
 
     fn snapshot_execution_price(
         &self,
         snapshot: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
+        quantity: Option<u32>,
     ) -> f64 {
         let raw_price = if self.execution_price_field == PriceField::Last
             && self.intraday_execution_start_time.is_some()
@@ -319,7 +413,7 @@ where
             }
         };
 
-        self.apply_slippage(snapshot, side, raw_price)
+        self.apply_slippage(snapshot, side, raw_price, quantity)
     }
 
     fn is_open_auction_matching(&self) -> bool {
@@ -331,6 +425,7 @@ where
         snapshot: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
         raw_price: f64,
+        quantity: Option<u32>,
     ) -> f64 {
         if !raw_price.is_finite() || raw_price <= 0.0 {
             return raw_price;
@@ -340,6 +435,7 @@ where
             return self.clamp_execution_price(snapshot, side, raw_price);
         }
 
+        let order_value = quantity.and_then(|qty| (qty > 0).then_some(raw_price * qty as f64));
         let adjusted = match self.slippage_model {
             SlippageModel::None => raw_price,
             SlippageModel::PriceRatio(ratio) => {
@@ -358,6 +454,13 @@ where
                 }
             }
             SlippageModel::LimitPrice => raw_price,
+            SlippageModel::Dynamic(config) => {
+                let ratio = config.ratio(snapshot, raw_price, order_value);
+                match side {
+                    OrderSide::Buy => raw_price * (1.0 + ratio),
+                    OrderSide::Sell => raw_price * (1.0 - ratio),
+                }
+            }
         };
 
         self.clamp_execution_price(snapshot, side, adjusted)
@@ -394,8 +497,9 @@ where
         snapshot: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
         raw_price: f64,
+        quantity: Option<u32>,
     ) -> f64 {
-        self.apply_slippage(snapshot, side, raw_price)
+        self.apply_slippage(snapshot, side, raw_price, quantity)
     }
 
     fn matching_type_for_algo_request(
@@ -411,7 +515,7 @@ where
 
     fn select_quote_reference_price(
         &self,
-        snapshot: &crate::data::DailyMarketSnapshot,
+        _snapshot: &crate::data::DailyMarketSnapshot,
         quote: &IntradayExecutionQuote,
         side: OrderSide,
         matching_type: MatchingType,
@@ -462,9 +566,8 @@ where
                 OrderSide::Sell => quote.sell_price(),
             },
         }?;
-        let execution_price = self.quote_execution_price(snapshot, side, raw_price);
-        if execution_price.is_finite() && execution_price > 0.0 {
-            Some(execution_price)
+        if raw_price.is_finite() && raw_price > 0.0 {
+            Some(raw_price)
         } else {
             None
         }
@@ -1018,6 +1121,36 @@ where
         }
     }
 
+    fn latest_known_quote_at_or_before<'a>(
+        &self,
+        quotes: &'a [IntradayExecutionQuote],
+        cursor: Option<NaiveDateTime>,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+        matching_type: MatchingType,
+        require_executable_liquidity: bool,
+    ) -> Option<&'a IntradayExecutionQuote> {
+        let Some(cursor) = cursor else {
+            return quotes.iter().find(|quote| {
+                self.select_quote_reference_price(snapshot, quote, side, matching_type)
+                    .is_some()
+                    && (!require_executable_liquidity
+                        || self.quote_has_executable_liquidity(quote, side, matching_type))
+            });
+        };
+        quotes
+            .iter()
+            .filter(|quote| {
+                quote.timestamp <= cursor
+                    && self
+                        .select_quote_reference_price(snapshot, quote, side, matching_type)
+                        .is_some()
+                    && (!require_executable_liquidity
+                        || self.quote_has_executable_liquidity(quote, side, matching_type))
+            })
+            .max_by_key(|quote| quote.timestamp)
+    }
+
     fn process_limit_shares(
         &self,
         date: NaiveDate,
@@ -2345,7 +2478,8 @@ where
                 merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
             (fill.quantity, fill.legs)
         } else {
-            let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Sell);
+            let mut execution_price =
+                self.snapshot_execution_price(snapshot, OrderSide::Sell, Some(fillable_qty));
             if let Some(reason) =
                 self.execution_limit_rejection_reason(snapshot, OrderSide::Sell, execution_price)
             {
@@ -2363,7 +2497,7 @@ where
                 );
                 (0, Vec::new())
             } else {
-                let execution_price =
+                execution_price =
                     self.execution_price_with_limit_slippage(execution_price, limit_price);
                 (
                     fillable_qty,
@@ -2606,9 +2740,8 @@ where
         commission_state: &mut BTreeMap<u64, f64>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
-        let price = data
+        let snapshot = data
             .market(date, symbol)
-            .map(|snapshot| self.sizing_price(snapshot))
             .ok_or_else(|| BacktestError::MissingPrice {
                 date,
                 symbol: symbol.to_string(),
@@ -2618,20 +2751,27 @@ where
             .position(symbol)
             .map(|pos| pos.quantity)
             .unwrap_or(0);
-        let current_value = price * current_qty as f64;
-        let target_qty = self.round_buy_quantity(
-            ((target_value.max(0.0)) / price).floor() as u32,
-            self.minimum_order_quantity(data, symbol),
-            self.order_step_size(data, symbol),
-        );
 
-        if current_qty > target_qty {
+        if target_value <= f64::EPSILON {
+            if current_qty == 0 {
+                report.order_events.push(OrderEvent {
+                    date,
+                    order_id: None,
+                    symbol: symbol.to_string(),
+                    side: OrderSide::Sell,
+                    requested_quantity: 0,
+                    filled_quantity: 0,
+                    status: OrderStatus::Filled,
+                    reason: format!("{reason}: already at target value"),
+                });
+                return Ok(());
+            }
             self.process_sell(
                 date,
                 portfolio,
                 data,
                 symbol,
-                current_qty - target_qty,
+                current_qty,
                 self.reserve_order_id(),
                 reason,
                 intraday_turnover,
@@ -2644,27 +2784,28 @@ where
                 None,
                 report,
             )?;
-        } else if target_qty > current_qty {
-            self.process_buy(
+            return Ok(());
+        }
+
+        let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
+        let current_value = valuation_price * current_qty as f64;
+        let cash_delta = target_value.max(0.0) - current_value;
+
+        if cash_delta.abs() > f64::EPSILON {
+            self.process_value(
                 date,
                 portfolio,
                 data,
                 symbol,
-                target_qty - current_qty,
-                self.reserve_order_id(),
+                cash_delta,
                 reason,
                 intraday_turnover,
                 execution_cursors,
                 global_execution_cursor,
                 commission_state,
-                None,
-                None,
-                false,
-                true,
-                None,
                 report,
             )?;
-        } else if (current_value - target_value).abs() <= f64::EPSILON {
+        } else {
             report.order_events.push(OrderEvent {
                 date,
                 order_id: None,
@@ -3071,7 +3212,7 @@ where
                 report,
             )
         } else {
-            let price = self.sizing_price(snapshot);
+            let price = self.value_sell_sizing_price(date, data, symbol, snapshot);
             let requested_qty = self.round_buy_quantity(
                 ((value.abs()) / price).floor() as u32,
                 self.minimum_order_quantity(data, symbol),
@@ -3516,16 +3657,11 @@ where
         requested_qty
     }
 
-    fn value_buy_gross_limit(
-        &self,
-        value_budget: Option<f64>,
-        requested_qty: u32,
-        reference_price: f64,
-    ) -> Option<f64> {
+    fn value_buy_gross_limit(&self, value_budget: Option<f64>) -> Option<f64> {
         if !self.strict_value_budget {
             return None;
         }
-        value_budget.map(|budget| budget.max(reference_price * requested_qty as f64))
+        value_budget.filter(|budget| budget.is_finite() && *budget > 0.0)
     }
 
     fn process_buy(
@@ -3684,8 +3820,15 @@ where
                 return Ok(());
             }
         };
-        let value_gross_limit =
-            self.value_buy_gross_limit(value_budget, constrained_qty, self.sizing_price(snapshot));
+        let value_gross_limit = self.value_buy_gross_limit(value_budget);
+        let buy_cash_limit = if self.strict_value_budget {
+            value_budget
+                .filter(|budget| budget.is_finite() && *budget > 0.0)
+                .map(|budget| portfolio.cash().min(budget))
+                .unwrap_or_else(|| portfolio.cash())
+        } else {
+            portfolio.cash()
+        };
 
         let fill = self.resolve_execution_fill(
             date,
@@ -3700,7 +3843,7 @@ where
             false,
             execution_cursors,
             None,
-            Some(portfolio.cash()),
+            Some(buy_cash_limit),
             value_gross_limit,
             algo_request,
             limit_price,
@@ -3714,7 +3857,8 @@ where
                 merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
             (fill.quantity, fill.legs)
         } else {
-            let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Buy);
+            let mut execution_price =
+                self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(constrained_qty));
             if let Some(reason) =
                 self.execution_limit_rejection_reason(snapshot, OrderSide::Buy, execution_price)
             {
@@ -3732,22 +3876,28 @@ where
                 );
                 (0, Vec::new())
             } else {
-                let execution_price =
+                execution_price =
                     self.execution_price_with_limit_slippage(execution_price, limit_price);
                 let filled_qty = self.affordable_buy_quantity(
                     date,
-                    portfolio.cash(),
+                    buy_cash_limit,
                     value_gross_limit,
                     execution_price,
                     constrained_qty,
                     self.minimum_order_quantity(data, symbol),
                     self.order_step_size(data, symbol),
                 );
+                if filled_qty > 0 {
+                    execution_price =
+                        self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(filled_qty));
+                    execution_price =
+                        self.execution_price_with_limit_slippage(execution_price, limit_price);
+                }
                 if filled_qty < constrained_qty {
                     partial_fill_reason = merge_partial_fill_reason(
                         partial_fill_reason,
                         self.buy_reduction_reason(
-                            portfolio.cash(),
+                            buy_cash_limit,
                             value_gross_limit,
                             execution_price,
                             constrained_qty,
@@ -4466,6 +4616,7 @@ where
                     quotes,
                     start_cursor,
                     end_cursor,
+                    matching_type == MatchingType::NextTickLast && start_cursor.is_some(),
                 )),
             });
         }
@@ -4478,7 +4629,16 @@ where
         quotes: &[IntradayExecutionQuote],
         start_cursor: Option<NaiveDateTime>,
         end_cursor: Option<NaiveDateTime>,
+        use_decision_time_quote: bool,
     ) -> &'static str {
+        if use_decision_time_quote {
+            let saw_quote_at_or_before_start = start_cursor
+                .is_some_and(|cursor| quotes.iter().any(|quote| quote.timestamp <= cursor));
+            if saw_quote_at_or_before_start {
+                return "intraday quote liquidity exhausted";
+            }
+            return "no execution quotes at or before start";
+        }
         let saw_quote_in_window = quotes.iter().any(|quote| {
             !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
                 && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
@@ -4514,15 +4674,30 @@ where
         let quote_quantity_limited =
             self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor);
         let lot = round_lot.max(1);
-        let eligible_quotes: Vec<&IntradayExecutionQuote> = quotes
-            .iter()
-            .filter(|quote| {
-                !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
-                    && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
-                    && (!quote_quantity_limited
-                        || self.quote_has_executable_liquidity(quote, side, matching_type))
-            })
-            .collect();
+        let use_decision_time_quote =
+            matching_type == MatchingType::NextTickLast && start_cursor.is_some();
+        let eligible_quotes: Vec<&IntradayExecutionQuote> = if use_decision_time_quote {
+            self.latest_known_quote_at_or_before(
+                quotes,
+                start_cursor,
+                snapshot,
+                side,
+                matching_type,
+                quote_quantity_limited,
+            )
+            .into_iter()
+            .collect()
+        } else {
+            quotes
+                .iter()
+                .filter(|quote| {
+                    !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
+                        && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
+                        && (!quote_quantity_limited
+                            || self.quote_has_executable_liquidity(quote, side, matching_type))
+                })
+                .collect()
+        };
         let mut filled_qty = 0_u32;
         let mut gross_amount = 0.0_f64;
         let mut last_timestamp = None;
@@ -4537,28 +4712,11 @@ where
             // Approximate platform-native market-order fills with the evolving L1 book after
             // the decision time instead of trade VWAP. This keeps quantities/prices
             // closer to the observed 10:18 execution logs.
-            let Some(quote_price) =
+            let Some(raw_quote_price) =
                 self.select_quote_reference_price(snapshot, quote, side, matching_type)
             else {
                 continue;
             };
-            if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
-            {
-                execution_block_reason.get_or_insert(reason);
-                execution_block_timestamp = Some(quote.timestamp);
-                continue;
-            }
-            saw_non_blocked_execution_price = true;
-            if !self.price_satisfies_limit(
-                side,
-                quote_price,
-                limit_price,
-                snapshot.effective_price_tick(),
-            ) {
-                continue;
-            }
-            let quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
-
             let remaining_qty = requested_qty.saturating_sub(filled_qty);
             if remaining_qty == 0 {
                 break;
@@ -4594,8 +4752,35 @@ where
                 continue;
             }
 
+            let mut quote_price =
+                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+            if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
+            {
+                execution_block_reason.get_or_insert(reason);
+                execution_block_timestamp = Some(quote.timestamp);
+                continue;
+            }
+            saw_non_blocked_execution_price = true;
+            if !self.price_satisfies_limit(
+                side,
+                quote_price,
+                limit_price,
+                snapshot.effective_price_tick(),
+            ) {
+                continue;
+            }
+
             if let Some(cash) = cash_limit {
                 while take_qty > 0 {
+                    quote_price =
+                        self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+                    if !quote_price.is_finite() || quote_price <= 0.0 {
+                        budget_block_reason = Some("invalid execution price");
+                        take_qty = 0;
+                        break;
+                    }
+                    quote_price =
+                        self.execution_price_with_limit_slippage(quote_price, limit_price);
                     let candidate_gross = gross_amount + quote_price * take_qty as f64;
                     if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
                         budget_block_reason = Some("value budget limit");
@@ -4606,7 +4791,11 @@ where
                         );
                         continue;
                     }
-                    if candidate_gross <= cash + 1e-6 {
+                    let candidate_cost = self
+                        .cost_model
+                        .calculate(snapshot.date, OrderSide::Buy, candidate_gross)
+                        .total();
+                    if candidate_gross + candidate_cost <= cash + 1e-6 {
                         break;
                     }
                     budget_block_reason = Some("insufficient cash after fees");
@@ -4621,6 +4810,10 @@ where
                 }
             }
 
+            quote_price =
+                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+            quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
+
             gross_amount += quote_price * take_qty as f64;
             filled_qty += take_qty;
             last_timestamp = Some(quote.timestamp);
@@ -4743,6 +4936,7 @@ fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
         "tick no volume"
         | "tick volume limit"
         | "intraday quote liquidity exhausted"
+        | "no execution quotes at or before start"
         | "no execution quotes after start"
         | "upper_limit"
         | "lower_limit"
@@ -4757,6 +4951,7 @@ fn final_partial_fill_status(partial_reason: Option<&str>) -> OrderStatus {
         Some(reason)
             if reason.contains("market liquidity or volume limit")
                 || reason.contains("intraday quote liquidity exhausted")
+                || reason.contains("no execution quotes at or before start")
                 || reason.contains("no execution quotes after start")
                 || reason.contains("upper_limit")
                 || reason.contains("lower_limit")
@@ -4788,12 +4983,17 @@ fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
 
 #[cfg(test)]
 mod tests {
-    use super::{BrokerSimulator, MatchingType};
+    use std::collections::BTreeMap;
+
+    use super::{BrokerExecutionReport, BrokerSimulator, MatchingType, SlippageModel};
     use crate::cost::ChinaAShareCostModel;
     use crate::data::{
-        CandidateEligibility, DailyMarketSnapshot, IntradayExecutionQuote, PriceField,
+        BenchmarkSnapshot, CandidateEligibility, DailyMarketSnapshot, DataSet,
+        IntradayExecutionQuote, PriceField,
     };
     use crate::events::OrderSide;
+    use crate::instrument::Instrument;
+    use crate::portfolio::PortfolioState;
     use crate::rules::ChinaEquityRuleHooks;
 
     fn limit_test_snapshot() -> DailyMarketSnapshot {
@@ -4855,6 +5055,30 @@ mod tests {
         }
     }
 
+    fn limit_test_instrument() -> Instrument {
+        Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: "PingAn".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }
+    }
+
+    fn limit_test_benchmark() -> BenchmarkSnapshot {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        BenchmarkSnapshot {
+            date,
+            benchmark: "000852.SH".to_string(),
+            open: 1000.0,
+            close: 1000.0,
+            prev_close: 1000.0,
+            volume: 1_000_000,
+        }
+    }
+
     #[test]
     fn next_tick_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() {
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
@@ -4880,6 +5104,217 @@ mod tests {
         assert!(liquidity_limited.quote_quantity_limited(MatchingType::NextTickLast));
     }
 
+    #[test]
+    fn target_value_valuation_uses_daily_snapshot_but_value_order_sizing_uses_intraday_tick() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_intraday_execution_start_time(date.and_hms_opt(9, 33, 0).unwrap().time());
+        let mut snapshot = limit_test_snapshot();
+        snapshot.last_price = 9.0;
+        snapshot.close = 10.0;
+        let mut quote = limit_test_quote(11.0, 10.99, 11.01);
+        quote.timestamp = date.and_hms_opt(9, 32, 58).expect("valid timestamp");
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot.clone()],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            vec![quote],
+        )
+        .expect("valid dataset");
+        let snapshot = data.market(date, "000001.SZ").expect("market snapshot");
+
+        assert_eq!(
+            broker.target_value_valuation_price(date, &data, "000001.SZ", snapshot),
+            10.0
+        );
+        assert_eq!(
+            broker.value_sell_sizing_price(date, &data, "000001.SZ", snapshot),
+            11.0
+        );
+    }
+
+    #[test]
+    fn next_tick_last_execution_uses_latest_quote_before_decision_time() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let snapshot = limit_test_snapshot();
+        let mut quote = limit_test_quote(10.8, 10.79, 10.81);
+        quote.timestamp = date.and_hms_opt(9, 32, 58).expect("valid timestamp");
+        let quote_timestamp = quote.timestamp;
+        let decision_time = date.and_hms_opt(9, 33, 0).expect("valid timestamp");
+
+        let fill = broker
+            .select_execution_fill(
+                &snapshot,
+                &[quote],
+                OrderSide::Sell,
+                MatchingType::NextTickLast,
+                Some(decision_time),
+                Some(decision_time),
+                200,
+                100,
+                100,
+                100,
+                false,
+                None,
+                None,
+                None,
+            )
+            .expect("fill from latest known quote before decision time");
+
+        assert_eq!(fill.quantity, 200);
+        assert_eq!(fill.legs.len(), 1);
+        assert_eq!(fill.legs[0].price, 10.8);
+        assert_eq!(
+            fill.next_cursor,
+            quote_timestamp + chrono::Duration::seconds(1)
+        );
+    }
+
+    #[test]
+    fn value_buy_process_uses_latest_quote_before_decision_time() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_intraday_execution_start_time(date.and_hms_opt(9, 33, 0).unwrap().time())
+        .with_slippage_model(SlippageModel::PriceRatio(0.002))
+        .with_strict_value_budget(true)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.day_open = 8.70;
+        snapshot.open = 8.70;
+        snapshot.high = 8.95;
+        snapshot.low = 8.60;
+        snapshot.last_price = 8.94;
+        snapshot.bid1 = 8.93;
+        snapshot.ask1 = 8.94;
+        snapshot.close = 8.94;
+        snapshot.upper_limit = 9.72;
+        snapshot.lower_limit = 7.96;
+        let mut quote = limit_test_quote(8.69, 8.69, 8.70);
+        quote.timestamp = date.and_hms_opt(9, 32, 55).expect("valid timestamp");
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            vec![quote],
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(10_000_000.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_value(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                125_000.0,
+                "periodic_rebalance_buy",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("value buy processed");
+
+        let position = portfolio.position("000001.SZ").unwrap_or_else(|| {
+            panic!(
+                "position created from latest known quote; events={:?}",
+                report.order_events
+            )
+        });
+        assert_eq!(position.quantity, 14_300);
+        assert_eq!(report.order_events.len(), 1);
+        assert_eq!(report.order_events[0].filled_quantity, 14_300);
+    }
+
+    #[test]
+    fn strict_value_buy_budget_includes_commission_at_execution_price() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_intraday_execution_start_time(date.and_hms_opt(9, 33, 0).unwrap().time())
+        .with_slippage_model(SlippageModel::PriceRatio(0.002))
+        .with_strict_value_budget(true)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.day_open = 7.14;
+        snapshot.open = 7.14;
+        snapshot.high = 7.20;
+        snapshot.low = 7.10;
+        snapshot.last_price = 7.14;
+        snapshot.bid1 = 7.14;
+        snapshot.ask1 = 7.15;
+        snapshot.close = 7.14;
+        snapshot.upper_limit = 7.85;
+        snapshot.lower_limit = 6.43;
+        let mut quote = limit_test_quote(7.14, 7.14, 7.15);
+        quote.timestamp = date.and_hms_opt(9, 32, 55).expect("valid timestamp");
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            vec![quote],
+        )
+        .expect("valid dataset");
+        let value_budget = 125_216.8131;
+        let mut portfolio = PortfolioState::new(10_000_000.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_value(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                value_budget,
+                "periodic_rebalance_buy",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("value buy processed");
+
+        let fill = report.fill_events.first().expect("fill event");
+        assert_eq!(fill.quantity, 17_400);
+        assert!(fill.gross_amount + fill.commission <= value_budget + 1e-6);
+        assert!((fill.price - 7.15428).abs() < 1e-6);
+    }
+
     #[test]
     fn instantaneous_twap_without_limits_does_not_cap_quote_quantity() {
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)

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;
 
@@ -445,6 +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>,
@@ -453,11 +485,12 @@ struct SymbolPriceSeries {
     closes: Vec<f64>,
     prev_closes: Vec<f64>,
     last_prices: Vec<f64>,
-    paused: Vec<bool>,
+    volumes: Vec<f64>,
     open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
     prev_close_prefix: Vec<f64>,
     last_prefix: Vec<f64>,
+    volume_prefix: Vec<f64>,
 }
 
 impl SymbolPriceSeries {
@@ -470,11 +503,15 @@ impl SymbolPriceSeries {
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
         let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
         let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
-        let paused = sorted.iter().map(|row| row.paused).collect::<Vec<_>>();
+        let volumes = sorted
+            .iter()
+            .map(|row| row.volume as f64)
+            .collect::<Vec<_>>();
         let open_prefix = prefix_sums(&opens);
         let close_prefix = prefix_sums(&closes);
         let prev_close_prefix = prefix_sums(&prev_closes);
         let last_prefix = prefix_sums(&last_prices);
+        let volume_prefix = prefix_sums(&volumes);
 
         Self {
             snapshots: sorted,
@@ -483,11 +520,12 @@ impl SymbolPriceSeries {
             closes,
             prev_closes,
             last_prices,
-            paused,
+            volumes,
             open_prefix,
             close_prefix,
             prev_close_prefix,
             last_prefix,
+            volume_prefix,
         }
     }
 
@@ -584,11 +622,15 @@ impl SymbolPriceSeries {
     }
 
     fn decision_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
-        let values = self.decision_volume_values(date, lookback)?;
-        if values.len() < lookback {
+        if lookback == 0 {
             return None;
         }
-        let sum = values.iter().sum::<f64>();
+        let end = self.previous_completed_end_index(date)?;
+        if end < lookback {
+            return None;
+        }
+        let start = end - lookback;
+        let sum = self.volume_prefix[end] - self.volume_prefix[start];
         Some(sum / lookback as f64)
     }
 
@@ -597,11 +639,11 @@ impl SymbolPriceSeries {
             return None;
         }
         let end = self.end_index(date)?;
-        let values = self.trailing_unpaused_volumes(end, lookback)?;
-        if values.len() < lookback {
+        if end < lookback {
             return None;
         }
-        let sum = values.iter().sum::<f64>();
+        let start = end - lookback;
+        let sum = self.volume_prefix[end] - self.volume_prefix[start];
         Some(sum / lookback as f64)
     }
 
@@ -610,33 +652,11 @@ impl SymbolPriceSeries {
             return None;
         }
         let end = self.previous_completed_end_index(date)?;
-        let values = self.trailing_unpaused_volumes(end, lookback)?;
-        if values.len() < lookback {
+        if end < lookback {
             return None;
         }
-        Some(values)
-    }
-
-    fn trailing_unpaused_volumes(&self, end: usize, lookback: usize) -> Option<Vec<f64>> {
-        if lookback == 0 || end == 0 {
-            return None;
-        }
-        let mut values = Vec::with_capacity(lookback);
-        for idx in (0..end).rev() {
-            if self.paused.get(idx).copied().unwrap_or(false) {
-                continue;
-            }
-            values.push(self.snapshots[idx].volume as f64);
-            if values.len() == lookback {
-                break;
-            }
-        }
-        if values.len() < lookback {
-            None
-        } else {
-            values.reverse();
-            Some(values)
-        }
+        let start = end - lookback;
+        Some(self.volumes[start..end].to_vec())
     }
 
     fn end_index(&self, date: NaiveDate) -> Option<usize> {
@@ -687,6 +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>,
 }
@@ -698,12 +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,
         }
@@ -713,6 +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;
@@ -730,6 +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,
@@ -787,7 +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>,
@@ -1071,7 +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
@@ -1101,7 +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,
@@ -1173,12 +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,
@@ -1192,10 +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
@@ -1315,10 +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<_>>();
@@ -1815,12 +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| {
@@ -2119,12 +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)
             }
@@ -2211,6 +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,
@@ -2240,6 +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,
@@ -3250,17 +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
@@ -3319,10 +3443,15 @@ fn build_eligible_universe(
             {
                 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| {
@@ -3381,6 +3510,17 @@ 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();
@@ -3414,6 +3554,14 @@ mod tests {
             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",
@@ -3456,7 +3604,29 @@ mod tests {
     }
 
     #[test]
-    fn decision_volume_average_skips_paused_days_before_counting_window() {
+    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(&[
@@ -3471,14 +3641,126 @@ mod tests {
                 NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
                 2
             ),
-            Some(200.0)
+            Some(150.0)
         );
         assert_eq!(
             series.decision_volume_moving_average(
                 NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
                 3
             ),
-            None
+            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)
         );
     }
 

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")]
@@ -314,6 +329,7 @@ pub struct BacktestEngine<S, 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>,
@@ -324,6 +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> {
@@ -340,6 +357,7 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             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(),
@@ -350,9 +368,24 @@ 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
@@ -363,6 +396,11 @@ impl<S, C, R> BacktestEngine<S, C, R> {
         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
@@ -467,6 +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,
@@ -1728,6 +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,
@@ -1932,6 +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)?;
@@ -2089,6 +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,
@@ -2534,7 +2641,11 @@ where
                     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 {
@@ -3077,6 +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

@@ -19,7 +19,9 @@ 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::{
@@ -32,7 +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::{
@@ -49,8 +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,

crates/fidc-core/src/platform_strategy_spec.rs

@@ -61,6 +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>,
 }
 
@@ -96,6 +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>,
@@ -246,6 +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>,
@@ -329,6 +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,
@@ -343,6 +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
@@ -382,20 +551,25 @@ pub fn platform_expr_config_from_spec(
         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() {
@@ -426,6 +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
@@ -607,6 +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;
             }
@@ -705,21 +893,51 @@ 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);
     }
-    if spec
+    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")
-    {
-        cfg.calendar_rebalance_interval = true;
+        .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
@@ -1113,6 +1331,7 @@ mod tests {
                     "stockFilterExpr": "stock_ma5 > stock_ma10"
                 },
                 "trading": {
+                    "refreshRateExpr": "year >= 2024 ? 5 : 20",
                     "rotationEnabled": false,
                     "dailyTopUp": true,
                     "retryEmptyRebalance": true,
@@ -1134,11 +1353,12 @@ 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.calendar_rebalance_interval);
         assert!(cfg.aiquant_transaction_cost);
         assert_eq!(cfg.explicit_actions.len(), 1);
         assert_eq!(
@@ -1147,6 +1367,117 @@ mod tests {
         );
     }
 
+    #[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!({
@@ -1163,7 +1494,7 @@ mod tests {
             cfg.intraday_execution_time,
             Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap())
         );
-        assert!(cfg.calendar_rebalance_interval);
+        assert!(!cfg.calendar_rebalance_interval);
         assert!(cfg.aiquant_transaction_cost);
     }
 }

crates/fidc-core/src/portfolio.rs

@@ -270,15 +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.entry_price -= dividend_per_share;
-            lot.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;
@@ -887,6 +903,23 @@ mod tests {
         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();

crates/fidc-core/src/risk_control.rs

@@ -26,11 +26,11 @@ impl ChinaAShareRiskControl {
             return Some("inactive_or_delisted");
         }
         let status = instrument.status.trim().to_ascii_lowercase();
-        if matches!(
+        let terminal_status = matches!(
             status.as_str(),
             "inactive" | "delisted" | "terminated" | "expired"
-        ) || status.contains("delist")
-        {
+        ) || status.contains("delist");
+        if terminal_status && instrument.delisted_at.is_none() {
             return Some("inactive_or_delisted");
         }
         None

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(),

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};
 
@@ -1485,6 +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();
@@ -1554,7 +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,
@@ -1700,7 +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());
 }
@@ -1889,7 +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,