chore: 更新 fidc-backtest-engine - 2026-05-22

crates/fidc-core/src/broker.rs

@@ -10,8 +10,10 @@ use crate::events::{
     AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
+use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
-use crate::rules::EquityRuleHooks;
+use crate::risk_control::ChinaAShareRiskControl;
+use crate::rules::{EquityRuleHooks, RuleCheck};
 use crate::strategy::{
     AlgoOrderStyle, OpenOrderView, OrderIntent, StrategyDecision, TargetPortfolioOrderPricing,
 };
@@ -111,6 +113,7 @@ pub struct BrokerSimulator<C, R> {
     inactive_limit: bool,
     liquidity_limit: bool,
     strict_value_budget: bool,
+    aiquant_rqalpha_execution_rules: bool,
     same_day_buy_close_mark_at_fill: bool,
     intraday_execution_start_time: Option<NaiveTime>,
     runtime_intraday_start_time: Cell<Option<NaiveTime>>,
@@ -133,6 +136,7 @@ impl<C, R> BrokerSimulator<C, R> {
             inactive_limit: true,
             liquidity_limit: true,
             strict_value_budget: false,
+            aiquant_rqalpha_execution_rules: false,
             same_day_buy_close_mark_at_fill: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
@@ -159,6 +163,7 @@ impl<C, R> BrokerSimulator<C, R> {
             inactive_limit: true,
             liquidity_limit: true,
             strict_value_budget: false,
+            aiquant_rqalpha_execution_rules: false,
             same_day_buy_close_mark_at_fill: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
@@ -188,6 +193,11 @@ impl<C, R> BrokerSimulator<C, R> {
         self
     }
 
+    pub fn with_aiquant_rqalpha_execution_rules(mut self, enabled: bool) -> Self {
+        self.aiquant_rqalpha_execution_rules = enabled;
+        self
+    }
+
     pub fn with_same_day_buy_close_mark_at_fill(mut self, enabled: bool) -> Self {
         self.same_day_buy_close_mark_at_fill = enabled;
         self
@@ -1825,6 +1835,82 @@ where
         Ok(())
     }
 
+    fn aiquant_limit_check_price(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+    ) -> f64 {
+        match (self.execution_price_field, side) {
+            (PriceField::Last, _) => snapshot.price(PriceField::Last),
+            (_, OrderSide::Buy) => snapshot.buy_price(self.execution_price_field),
+            (_, OrderSide::Sell) => snapshot.sell_price(self.execution_price_field),
+        }
+    }
+
+    fn buy_rule_check(
+        &self,
+        date: NaiveDate,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        candidate: &crate::data::CandidateEligibility,
+        instrument: Option<&Instrument>,
+    ) -> RuleCheck {
+        let check_price = if self.aiquant_rqalpha_execution_rules {
+            self.aiquant_limit_check_price(snapshot, OrderSide::Buy)
+        } else {
+            ChinaAShareRiskControl::buy_check_price(snapshot, self.execution_price_field)
+        };
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
+            date,
+            candidate,
+            snapshot,
+            instrument,
+            check_price,
+        ) {
+            return RuleCheck::reject(reason);
+        }
+        if !self.aiquant_rqalpha_execution_rules {
+            return self
+                .rules
+                .can_buy(date, snapshot, candidate, self.execution_price_field);
+        }
+        RuleCheck::allow()
+    }
+
+    fn sell_rule_check(
+        &self,
+        date: NaiveDate,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        candidate: &crate::data::CandidateEligibility,
+        instrument: Option<&Instrument>,
+        position: &crate::portfolio::Position,
+    ) -> RuleCheck {
+        let check_price = if self.aiquant_rqalpha_execution_rules {
+            self.aiquant_limit_check_price(snapshot, OrderSide::Sell)
+        } else {
+            ChinaAShareRiskControl::sell_check_price(snapshot, self.execution_price_field)
+        };
+        if let Some(reason) = ChinaAShareRiskControl::sell_rejection_reason(
+            date,
+            candidate,
+            snapshot,
+            instrument,
+            Some(position),
+            check_price,
+        ) {
+            return RuleCheck::reject(reason);
+        }
+        if !self.aiquant_rqalpha_execution_rules {
+            return self.rules.can_sell(
+                date,
+                snapshot,
+                candidate,
+                position,
+                self.execution_price_field,
+            );
+        }
+        RuleCheck::allow()
+    }
+
     fn minimum_target_quantity(
         &self,
         date: NaiveDate,
@@ -1847,13 +1933,8 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self.rules.can_sell(
-            date,
-            snapshot,
-            candidate,
-            position,
-            self.execution_price_field,
-        );
+        let rule =
+            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
         if !rule.allowed {
             return current_qty;
         }
@@ -1891,9 +1972,7 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self
-            .rules
-            .can_buy(date, snapshot, candidate, self.execution_price_field);
+        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
         if !rule.allowed {
             return current_qty;
         }
@@ -1937,13 +2016,8 @@ where
         let position = portfolio.position(symbol)?;
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule = self.rules.can_sell(
-            date,
-            snapshot,
-            candidate,
-            position,
-            self.execution_price_field,
-        );
+        let rule =
+            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
         if !rule.allowed {
             return rule.reason;
         }
@@ -1983,9 +2057,7 @@ where
     ) -> Option<String> {
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule = self
-            .rules
-            .can_buy(date, snapshot, candidate, self.execution_price_field);
+        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
         if !rule.allowed {
             return rule.reason;
         }
@@ -2055,18 +2127,15 @@ where
             );
         }
 
-        let rule = self.rules.can_sell(
-            date,
-            snapshot,
-            candidate,
-            position,
-            self.execution_price_field,
-        );
+        let rule =
+            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
                 Some("paused")
                 | Some("sell disabled by eligibility flags")
+                | Some("sell_disabled")
+                | Some("lower_limit")
                 | Some("open at or below lower limit") => OrderStatus::Canceled,
                 _ => OrderStatus::Rejected,
             };
@@ -2277,7 +2346,12 @@ where
             (fill.quantity, fill.legs)
         } else {
             let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Sell);
-            if !self.price_satisfies_limit(
+            if let Some(reason) =
+                self.execution_limit_rejection_reason(snapshot, OrderSide::Sell, execution_price)
+            {
+                partial_fill_reason = merge_partial_fill_reason(partial_fill_reason, Some(reason));
+                (0, Vec::new())
+            } else if !self.price_satisfies_limit(
                 OrderSide::Sell,
                 execution_price,
                 limit_price,
@@ -3489,14 +3563,14 @@ where
             );
         }
 
-        let rule = self
-            .rules
-            .can_buy(date, snapshot, candidate, self.execution_price_field);
+        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
                 Some("paused")
                 | Some("buy disabled by eligibility flags")
+                | Some("buy_disabled")
+                | Some("upper_limit")
                 | Some("open at or above upper limit") => OrderStatus::Canceled,
                 _ => OrderStatus::Rejected,
             };
@@ -3641,7 +3715,12 @@ where
             (fill.quantity, fill.legs)
         } else {
             let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Buy);
-            if !self.price_satisfies_limit(
+            if let Some(reason) =
+                self.execution_limit_rejection_reason(snapshot, OrderSide::Buy, execution_price)
+            {
+                partial_fill_reason = merge_partial_fill_reason(partial_fill_reason, Some(reason));
+                (0, Vec::new())
+            } else if !self.price_satisfies_limit(
                 OrderSide::Buy,
                 execution_price,
                 limit_price,
@@ -4275,6 +4354,26 @@ where
         }
     }
 
+    fn execution_limit_rejection_reason(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+        execution_price: f64,
+    ) -> Option<&'static str> {
+        if !execution_price.is_finite() || execution_price <= 0.0 {
+            return None;
+        }
+        match side {
+            OrderSide::Buy if snapshot.is_at_upper_limit_price(execution_price) => {
+                Some("open at or above upper limit")
+            }
+            OrderSide::Sell if snapshot.is_at_lower_limit_price(execution_price) => {
+                Some("open at or below lower limit")
+            }
+            _ => None,
+        }
+    }
+
     fn execution_price_with_limit_slippage(
         &self,
         execution_price: f64,
@@ -4288,7 +4387,10 @@ where
 
     fn limit_order_can_remain_open(partial_reason: Option<&str>) -> bool {
         !partial_reason.is_some_and(|reason| {
-            reason.contains("insufficient cash") || reason.contains("value budget")
+            reason.contains("insufficient cash")
+                || reason.contains("value budget")
+                || reason.contains("open at or above upper limit")
+                || reason.contains("open at or below lower limit")
         })
     }
 
@@ -4426,6 +4528,9 @@ where
         let mut last_timestamp = None;
         let mut legs = Vec::new();
         let mut budget_block_reason = None;
+        let mut execution_block_reason = None;
+        let mut execution_block_timestamp = None;
+        let mut saw_non_blocked_execution_price = false;
         let saw_quote_after_cursor = !eligible_quotes.is_empty();
 
         for (quote_index, quote) in eligible_quotes.iter().enumerate() {
@@ -4437,6 +4542,13 @@ where
             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,
@@ -4523,6 +4635,18 @@ where
         }
 
         if filled_qty == 0 {
+            if let Some(reason) = execution_block_reason
+                && !saw_non_blocked_execution_price
+            {
+                return Some(ExecutionFill {
+                    quantity: 0,
+                    next_cursor: execution_block_timestamp
+                        .expect("blocked execution quote timestamp")
+                        + Duration::seconds(1),
+                    legs: Vec::new(),
+                    unfilled_reason: Some(reason),
+                });
+            }
             return None;
         }
 
@@ -4619,7 +4743,11 @@ fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
         "tick no volume"
         | "tick volume limit"
         | "intraday quote liquidity exhausted"
-        | "no execution quotes after start" => OrderStatus::Canceled,
+        | "no execution quotes after start"
+        | "upper_limit"
+        | "lower_limit"
+        | "open at or above upper limit"
+        | "open at or below lower limit" => OrderStatus::Canceled,
         _ => OrderStatus::Rejected,
     }
 }
@@ -4629,7 +4757,11 @@ 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 after start") =>
+                || reason.contains("no execution quotes after start")
+                || reason.contains("upper_limit")
+                || reason.contains("lower_limit")
+                || reason.contains("open at or above upper limit")
+                || reason.contains("open at or below lower limit") =>
         {
             OrderStatus::Canceled
         }
@@ -4658,8 +4790,71 @@ fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
 mod tests {
     use super::{BrokerSimulator, MatchingType};
     use crate::cost::ChinaAShareCostModel;
+    use crate::data::{
+        CandidateEligibility, DailyMarketSnapshot, IntradayExecutionQuote, PriceField,
+    };
+    use crate::events::OrderSide;
     use crate::rules::ChinaEquityRuleHooks;
 
+    fn limit_test_snapshot() -> DailyMarketSnapshot {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        DailyMarketSnapshot {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp: Some("2025-01-02 09:33:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.5,
+            low: 9.5,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 10.0,
+            ask1: 10.0,
+            prev_close: 10.0,
+            volume: 1_000_000,
+            tick_volume: 10_000,
+            bid1_volume: 1_000,
+            ask1_volume: 1_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }
+    }
+
+    fn limit_test_quote(last_price: f64, bid1: f64, ask1: f64) -> IntradayExecutionQuote {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        IntradayExecutionQuote {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp: date.and_hms_opt(9, 33, 0).expect("valid timestamp"),
+            last_price,
+            bid1,
+            ask1,
+            bid1_volume: 1_000,
+            ask1_volume: 1_000,
+            volume_delta: 1_000,
+            amount_delta: last_price * 1_000.0,
+            trading_phase: Some("continuous".to_string()),
+        }
+    }
+
+    fn limit_test_candidate(allow_buy: bool, allow_sell: bool) -> CandidateEligibility {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        CandidateEligibility {
+            date,
+            symbol: "000001.SZ".to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy,
+            allow_sell,
+            is_kcb: false,
+            is_one_yuan: false,
+        }
+    }
+
     #[test]
     fn next_tick_last_without_volume_or_liquidity_limit_does_not_cap_quote_quantity() {
         let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
@@ -4706,4 +4901,113 @@ mod tests {
             Some(cursor + chrono::Duration::minutes(1))
         ));
     }
+
+    #[test]
+    fn intraday_execution_rejects_buy_at_upper_limit_price() {
+        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 quote = limit_test_quote(11.0, 10.99, 11.0);
+        let start = quote.timestamp;
+
+        let fill = broker
+            .select_execution_fill(
+                &snapshot,
+                &[quote],
+                OrderSide::Buy,
+                MatchingType::NextTickLast,
+                Some(start),
+                None,
+                100,
+                100,
+                100,
+                100,
+                false,
+                None,
+                None,
+                None,
+            )
+            .expect("zero fill with rejection reason");
+
+        assert_eq!(fill.quantity, 0);
+        assert_eq!(fill.unfilled_reason, Some("open at or above upper limit"));
+    }
+
+    #[test]
+    fn aiquant_rules_keep_structured_buy_risk_while_using_aiquant_limit_price() {
+        let mut snapshot = limit_test_snapshot();
+        snapshot.open = 11.0;
+        snapshot.day_open = 11.0;
+        snapshot.last_price = 10.98;
+        snapshot.ask1 = 11.0;
+        let candidate = limit_test_candidate(false, true);
+        let date = snapshot.date;
+
+        let default_broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        );
+        let default_rule = default_broker.buy_rule_check(date, &snapshot, &candidate, None);
+        assert!(!default_rule.allowed);
+        assert_eq!(default_rule.reason.as_deref(), Some("trade_disabled"));
+
+        let aiquant_broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_aiquant_rqalpha_execution_rules(true);
+        let aiquant_rule = aiquant_broker.buy_rule_check(date, &snapshot, &candidate, None);
+        assert!(!aiquant_rule.allowed);
+        assert_eq!(aiquant_rule.reason.as_deref(), Some("trade_disabled"));
+
+        let tradable_candidate = limit_test_candidate(true, true);
+        let aiquant_rule =
+            aiquant_broker.buy_rule_check(date, &snapshot, &tradable_candidate, None);
+        assert!(aiquant_rule.allowed);
+    }
+
+    #[test]
+    fn intraday_execution_rejects_sell_at_lower_limit_price() {
+        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 quote = limit_test_quote(9.0, 9.0, 9.01);
+        let start = quote.timestamp;
+
+        let fill = broker
+            .select_execution_fill(
+                &snapshot,
+                &[quote],
+                OrderSide::Sell,
+                MatchingType::NextTickLast,
+                Some(start),
+                None,
+                100,
+                100,
+                100,
+                100,
+                false,
+                None,
+                None,
+                None,
+            )
+            .expect("zero fill with rejection reason");
+
+        assert_eq!(fill.quantity, 0);
+        assert_eq!(fill.unfilled_reason, Some("open at or below lower limit"));
+    }
 }

crates/fidc-core/src/cost.rs

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

crates/fidc-core/src/data.rs

@@ -9,6 +9,7 @@ use thiserror::Error;
 use crate::calendar::TradingCalendar;
 use crate::futures::{FuturesCommissionType, FuturesTradingParameter};
 use crate::instrument::Instrument;
+use crate::risk_control::ChinaAShareRiskControl;
 
 mod date_format {
     use chrono::NaiveDate;
@@ -452,11 +453,11 @@ struct SymbolPriceSeries {
     closes: Vec<f64>,
     prev_closes: Vec<f64>,
     last_prices: Vec<f64>,
+    paused: Vec<bool>,
     open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
     prev_close_prefix: Vec<f64>,
     last_prefix: Vec<f64>,
-    volume_prefix: Vec<f64>,
 }
 
 impl SymbolPriceSeries {
@@ -469,15 +470,11 @@ impl SymbolPriceSeries {
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
         let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
         let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
-        let volumes = sorted
-            .iter()
-            .map(|row| row.volume as f64)
-            .collect::<Vec<_>>();
+        let paused = sorted.iter().map(|row| row.paused).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,
@@ -486,11 +483,11 @@ impl SymbolPriceSeries {
             closes,
             prev_closes,
             last_prices,
+            paused,
             open_prefix,
             close_prefix,
             prev_close_prefix,
             last_prefix,
-            volume_prefix,
         }
     }
 
@@ -587,15 +584,11 @@ impl SymbolPriceSeries {
     }
 
     fn decision_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
-        if lookback == 0 {
+        let values = self.decision_volume_values(date, lookback)?;
+        if values.len() < lookback {
             return None;
         }
-        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];
+        let sum = values.iter().sum::<f64>();
         Some(sum / lookback as f64)
     }
 
@@ -604,11 +597,11 @@ impl SymbolPriceSeries {
             return None;
         }
         let end = self.end_index(date)?;
-        if end < lookback {
+        let values = self.trailing_unpaused_volumes(end, lookback)?;
+        if values.len() < lookback {
             return None;
         }
-        let start = end - lookback;
-        let sum = self.volume_prefix[end] - self.volume_prefix[start];
+        let sum = values.iter().sum::<f64>();
         Some(sum / lookback as f64)
     }
 
@@ -617,16 +610,33 @@ impl SymbolPriceSeries {
             return None;
         }
         let end = self.previous_completed_end_index(date)?;
-        if end < lookback {
+        let values = self.trailing_unpaused_volumes(end, lookback)?;
+        if values.len() < lookback {
             return None;
         }
-        let start = end - lookback;
-        Some(
-            self.snapshots[start..end]
-                .iter()
-                .map(|snapshot| snapshot.volume as f64)
-                .collect(),
-        )
+        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)
+        }
     }
 
     fn end_index(&self, date: NaiveDate) -> Option<usize> {
@@ -1071,8 +1081,12 @@ impl DataSet {
         let market_series_by_symbol = build_market_series(&market_by_date);
         let benchmark_series_cache =
             BenchmarkPriceSeries::new(&benchmark_by_date.values().cloned().collect::<Vec<_>>());
-        let eligible_universe_by_date =
-            build_eligible_universe(&factor_by_date, &candidate_index, &market_index);
+        let eligible_universe_by_date = build_eligible_universe(
+            &factor_by_date,
+            &candidate_index,
+            &market_index,
+            &instruments,
+        );
         let futures_params_by_symbol = build_futures_params_index(futures_params);
 
         Ok(Self {
@@ -3278,6 +3292,7 @@ fn build_eligible_universe(
     factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
     candidate_index: &HashMap<(NaiveDate, String), CandidateEligibility>,
     market_index: &HashMap<(NaiveDate, String), DailyMarketSnapshot>,
+    instruments: &HashMap<String, Instrument>,
 ) -> BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>> {
     let mut per_date = BTreeMap::<NaiveDate, Vec<EligibleUniverseSnapshot>>::new();
 
@@ -3294,7 +3309,14 @@ fn build_eligible_universe(
             let Some(market) = market_index.get(&key) else {
                 continue;
             };
-            if !candidate.eligible_for_selection() || market.paused {
+            if ChinaAShareRiskControl::selection_rejection_reason(
+                *date,
+                candidate,
+                market,
+                instruments.get(&factor.symbol),
+            )
+            .is_some()
+            {
                 continue;
             }
             rows.push(EligibleUniverseSnapshot {
@@ -3315,6 +3337,11 @@ fn build_eligible_universe(
     per_date
 }
 
+#[cfg(test)]
+fn instrument_passes_baseline_selection(instrument: Option<&Instrument>, date: NaiveDate) -> bool {
+    ChinaAShareRiskControl::instrument_rejection_reason(instrument, date).is_none()
+}
+
 #[cfg(test)]
 mod tests {
     use super::*;
@@ -3354,6 +3381,49 @@ mod tests {
         }
     }
 
+    #[test]
+    fn baseline_selection_uses_structured_instrument_dates_and_status_only() {
+        let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
+        let instrument = |name: &str, status: &str, delisted_at: Option<NaiveDate>| Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: name.to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(NaiveDate::parse_from_str("2020-01-01", "%Y-%m-%d").unwrap()),
+            delisted_at,
+            status: status.to_string(),
+        };
+
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("Short History Stock", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("*ST测试", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("ST测试", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("退市测试", "active", None)),
+            date
+        ));
+        assert!(!instrument_passes_baseline_selection(
+            Some(&instrument("正常名称", "delisted", None)),
+            date
+        ));
+        assert!(!instrument_passes_baseline_selection(
+            Some(&instrument(
+                "正常名称",
+                "active",
+                Some(NaiveDate::parse_from_str("2025-01-01", "%Y-%m-%d").unwrap()),
+            )),
+            date
+        ));
+    }
+
     #[test]
     fn decision_volume_average_uses_previous_completed_days_only() {
         let series = SymbolPriceSeries::new(&[
@@ -3385,6 +3455,33 @@ mod tests {
         );
     }
 
+    #[test]
+    fn decision_volume_average_skips_paused_days_before_counting_window() {
+        let mut paused = market_row("2025-01-03", 11.0, 0);
+        paused.paused = true;
+        let series = SymbolPriceSeries::new(&[
+            market_row("2025-01-02", 10.0, 100),
+            paused,
+            market_row("2025-01-06", 12.0, 300),
+            market_row("2025-01-07", 13.0, 10_000),
+        ]);
+
+        assert_eq!(
+            series.decision_volume_moving_average(
+                NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
+                2
+            ),
+            Some(200.0)
+        );
+        assert_eq!(
+            series.decision_volume_moving_average(
+                NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
+                3
+            ),
+            None
+        );
+    }
+
     #[test]
     fn reads_mixed_numeric_and_text_extra_factors_from_quoted_csv_json() {
         let path = temp_csv_path("mixed_factor_maps");

crates/fidc-core/src/engine.rs

@@ -313,6 +313,7 @@ pub struct BacktestEngine<S, C, R> {
     broker: BrokerSimulator<C, R>,
     config: BacktestConfig,
     dividend_reinvestment: bool,
+    cash_dividends_enabled: bool,
     process_event_bus: ProcessEventBus,
     dynamic_universe: Option<BTreeSet<String>>,
     subscriptions: BTreeSet<String>,
@@ -338,6 +339,7 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             broker,
             config,
             dividend_reinvestment: false,
+            cash_dividends_enabled: true,
             process_event_bus: ProcessEventBus::new(),
             dynamic_universe: None,
             subscriptions: BTreeSet::new(),
@@ -356,6 +358,11 @@ impl<S, C, R> BacktestEngine<S, C, R> {
         self
     }
 
+    pub fn with_cash_dividends(mut self, enabled: bool) -> Self {
+        self.cash_dividends_enabled = enabled;
+        self
+    }
+
     pub fn with_futures_account(mut self, account: FuturesAccountState) -> Self {
         self.futures_account = Some(account);
         self
@@ -2521,7 +2528,7 @@ where
                 continue;
             }
 
-            if action.share_cash.abs() > f64::EPSILON {
+            if self.cash_dividends_enabled && action.share_cash.abs() > f64::EPSILON {
                 let cash_before = portfolio.cash();
                 let (cash_delta, quantity_after, average_cost) = {
                     let position = portfolio
@@ -2990,24 +2997,17 @@ where
             }
 
             let quantity = position.quantity;
-            let fallback_reference_price = if position.last_price > 0.0 {
+            let settlement_price = if position.last_price.is_finite() && position.last_price > 0.0 {
                 position.last_price
-            } else {
+            } else if position.average_cost.is_finite() && position.average_cost > 0.0 {
                 position.average_cost
+            } else {
+                0.0
             };
             let effective_delisted_at = instrument
                 .delisted_at
                 .or_else(|| self.data.calendar().previous_day(date))
                 .unwrap_or(date);
-            let settlement_price = self
-                .data
-                .price_on_or_before(effective_delisted_at, &symbol, PriceField::Close)
-                .or_else(|| {
-                    self.data
-                        .price_on_or_before(date, &symbol, PriceField::Close)
-                })
-                .filter(|price| price.is_finite() && *price > 0.0)
-                .unwrap_or(fallback_reference_price);
             if !settlement_price.is_finite() || settlement_price <= 0.0 {
                 return Err(BacktestError::Execution(format!(
                     "missing delisting settlement price for {} on {}",

crates/fidc-core/src/lib.rs

@@ -12,6 +12,7 @@ pub mod platform_expr_strategy;
 pub mod platform_runtime_schema;
 pub mod platform_strategy_spec;
 pub mod portfolio;
+pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
@@ -66,6 +67,7 @@ pub use platform_strategy_spec::{
     StrategyRuntimeSpec, platform_expr_config_from_spec, platform_expr_config_from_value,
 };
 pub use portfolio::{CashReceivable, HoldingSummary, PendingCashFlow, PortfolioState, Position};
+pub use risk_control::ChinaAShareRiskControl;
 pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};
 pub use scheduler::{
     ScheduleFrequency, ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler, default_stage_time,

crates/fidc-core/src/platform_strategy_spec.rs

@@ -52,6 +52,8 @@ pub struct StrategyUniverseSpec {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExecutionSpec {
+    #[serde(default)]
+    pub compatibility_profile: Option<String>,
     #[serde(default)]
     pub matching_type: Option<String>,
     #[serde(default)]
@@ -370,6 +372,13 @@ pub fn platform_expr_config_from_spec(
         {
             cfg.rebalance_schedule = Some(schedule);
         }
+        if let Some(time) = engine
+            .rebalance_schedule
+            .as_ref()
+            .and_then(parse_schedule_execution_time)
+        {
+            cfg.intraday_execution_time = Some(time);
+        }
         if let Some(stock_ma_filter) = engine.stock_ma_filter.as_ref() {
             if let Some(days) = stock_ma_filter.short_days.filter(|value| *value > 0) {
                 cfg.stock_short_ma_days = days;
@@ -499,6 +508,13 @@ pub fn platform_expr_config_from_spec(
         {
             cfg.rebalance_schedule = Some(schedule);
         }
+        if let Some(time) = runtime_expr
+            .schedule
+            .as_ref()
+            .and_then(parse_schedule_execution_time)
+        {
+            cfg.intraday_execution_time = Some(time);
+        }
         if let Some(selection) = runtime_expr.selection.as_ref() {
             if let Some(expr) = selection
                 .limit_expr
@@ -628,6 +644,13 @@ pub fn platform_expr_config_from_spec(
             {
                 cfg.explicit_action_schedule = Some(schedule);
             }
+            if let Some(time) = trading
+                .schedule
+                .as_ref()
+                .and_then(parse_schedule_execution_time)
+            {
+                cfg.intraday_execution_time = Some(time);
+            }
             cfg.explicit_actions = trading
                 .actions
                 .iter()
@@ -688,6 +711,16 @@ pub fn platform_expr_config_from_spec(
     if !cfg.benchmark_symbol.trim().is_empty() {
         cfg.benchmark_symbol = normalize_symbol(&cfg.benchmark_symbol, None);
     }
+    if 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;
+        cfg.aiquant_transaction_cost = true;
+    }
 
     cfg
 }
@@ -744,6 +777,16 @@ fn parse_schedule_time_rule(
     }
 }
 
+fn parse_schedule_execution_time(schedule: &StrategyExpressionScheduleConfig) -> Option<NaiveTime> {
+    match parse_schedule_time_rule(schedule)? {
+        ScheduleTimeRule::BeforeTrading => NaiveTime::from_hms_opt(9, 0, 0),
+        ScheduleTimeRule::MinuteOfDay(minutes) => {
+            let seconds = minutes.checked_mul(60)?;
+            NaiveTime::from_num_seconds_from_midnight_opt(seconds, 0)
+        }
+    }
+}
+
 fn parse_schedule_clock_time(raw: Option<&str>) -> Option<NaiveTime> {
     let value = raw?.trim();
     if value.is_empty() {
@@ -1060,6 +1103,7 @@ mod tests {
             "signalSymbol": "000852.SH",
             "benchmark": { "instrumentId": "000852.SH" },
             "universe": { "exclude": ["paused", "st", "kcb", "one_yuan"] },
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
             "runtimeExpressions": {
                 "prelude": "let stocknum = 8;",
                 "selection": {
@@ -1094,10 +1138,32 @@ mod tests {
         assert!(!cfg.rotation_enabled);
         assert!(cfg.daily_top_up_enabled);
         assert!(cfg.retry_empty_rebalance);
+        assert!(cfg.calendar_rebalance_interval);
+        assert!(cfg.aiquant_transaction_cost);
         assert_eq!(cfg.explicit_actions.len(), 1);
         assert_eq!(
             cfg.explicit_action_stage,
             PlatformExplicitActionStage::OpenAuction
         );
     }
+
+    #[test]
+    fn parses_daily_schedule_time_for_aiquant_execution_quotes() {
+        let spec = serde_json::json!({
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
+            "runtimeExpressions": {
+                "schedule": { "frequency": "daily", "time": "09:33" }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(cfg.rebalance_schedule, None);
+        assert_eq!(
+            cfg.intraday_execution_time,
+            Some(NaiveTime::from_hms_opt(9, 33, 0).unwrap())
+        );
+        assert!(cfg.calendar_rebalance_interval);
+        assert!(cfg.aiquant_transaction_cost);
+    }
 }

crates/fidc-core/src/portfolio.rs

@@ -9,6 +9,7 @@ use crate::data::{DataSet, DataSetError, PriceField};
 pub struct PositionLot {
     pub acquired_date: NaiveDate,
     pub quantity: u32,
+    pub entry_price: f64,
     pub price: f64,
 }
 
@@ -72,6 +73,7 @@ impl Position {
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
+            entry_price: price,
             price,
         });
         self.quantity += quantity;
@@ -230,13 +232,28 @@ impl Position {
     }
 
     pub fn holding_return(&self, price: f64) -> Option<f64> {
-        if self.quantity == 0 || self.average_cost <= 0.0 {
+        let Some(avg_price) = self.average_entry_price() else {
+            return None;
+        };
+        if avg_price <= 0.0 {
             None
         } else {
-            Some((price / self.average_cost) - 1.0)
+            Some((price / avg_price) - 1.0)
         }
     }
 
+    pub fn average_entry_price(&self) -> Option<f64> {
+        if self.quantity == 0 {
+            return None;
+        }
+        let total = self
+            .lots
+            .iter()
+            .map(|lot| lot.entry_price * lot.quantity as f64)
+            .sum::<f64>();
+        Some(total / self.quantity as f64)
+    }
+
     fn recalculate_average_cost(&mut self) {
         if self.quantity == 0 {
             self.average_cost = 0.0;
@@ -258,6 +275,7 @@ impl Position {
         }
 
         for lot in &mut self.lots {
+            lot.entry_price -= dividend_per_share;
             lot.price -= dividend_per_share;
         }
         self.average_cost -= dividend_per_share;
@@ -280,6 +298,7 @@ impl Position {
             .map(|lot| PositionLot {
                 acquired_date: lot.acquired_date,
                 quantity: round_half_up_u32(lot.quantity as f64 * ratio),
+                entry_price: lot.entry_price / ratio,
                 price: lot.price / ratio,
             })
             .collect::<Vec<_>>();
@@ -759,6 +778,7 @@ impl PortfolioState {
             .map(|lot| PositionLot {
                 acquired_date: lot.acquired_date,
                 quantity: round_half_up_u32(lot.quantity as f64 * ratio),
+                entry_price: lot.entry_price / ratio,
                 price: lot.price / ratio,
             })
             .collect::<Vec<_>>();
@@ -855,6 +875,18 @@ mod tests {
         );
     }
 
+    #[test]
+    fn strategy_entry_price_excludes_buy_commission_cost_basis() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("600561.SH");
+        position.buy(date, 22_200, 5.66);
+        position.record_buy_trade_cost(22_200, 100.0);
+
+        assert!(position.average_cost > 5.66);
+        assert!((position.average_entry_price().unwrap() - 5.66).abs() < 1e-12);
+        assert!((position.holding_return(6.06).unwrap() - (6.06 / 5.66 - 1.0)).abs() < 1e-12);
+    }
+
     #[test]
     fn 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

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

crates/fidc-core/src/rules.rs

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

crates/fidc-core/src/strategy.rs

@@ -17,6 +17,7 @@ use crate::events::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEvent}
 use crate::futures::{FuturesAccountState, FuturesOrderIntent};
 use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
+use crate::risk_control::ChinaAShareRiskControl;
 use crate::scheduler::ScheduleRule;
 use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSelector};
 
@@ -2330,18 +2331,6 @@ impl OmniMicroCapStrategy {
         true
     }
 
-    fn special_name(&self, ctx: &StrategyContext<'_>, symbol: &str) -> bool {
-        let instrument_name = ctx
-            .data
-            .instruments()
-            .get(symbol)
-            .map(|instrument| instrument.name.as_str())
-            .unwrap_or("");
-        instrument_name.contains("ST")
-            || instrument_name.contains('*')
-            || instrument_name.contains('退')
-    }
-
     fn can_sell_position(&self, ctx: &StrategyContext<'_>, date: NaiveDate, symbol: &str) -> bool {
         let Some(position) = ctx.portfolio.position(symbol) else {
             return false;
@@ -2355,11 +2344,15 @@ impl OmniMicroCapStrategy {
         let Ok(candidate) = ctx.data.require_candidate(date, symbol) else {
             return false;
         };
-        let lower_limit_check_price = market.price(PriceField::Last);
-        !(market.paused
-            || candidate.is_paused
-            || !candidate.allow_sell
-            || market.is_at_lower_limit_price(lower_limit_check_price))
+        ChinaAShareRiskControl::sell_rejection_reason(
+            date,
+            candidate,
+            market,
+            ctx.data.instrument(symbol),
+            Some(position),
+            ChinaAShareRiskControl::sell_check_price(market, PriceField::Last),
+        )
+        .is_none()
     }
 
     fn buy_rejection_reason(
@@ -2371,30 +2364,14 @@ impl OmniMicroCapStrategy {
         let market = ctx.data.require_market(date, symbol)?;
         let candidate = ctx.data.require_candidate(date, symbol)?;
 
-        if market.paused || candidate.is_paused {
-            return Ok(Some("paused".to_string()));
-        }
-        if candidate.is_st || self.special_name(ctx, symbol) {
-            return Ok(Some("st_or_special_name".to_string()));
-        }
-        if candidate.is_kcb {
-            return Ok(Some("kcb".to_string()));
-        }
-        if !candidate.allow_buy {
-            return Ok(Some("buy_disabled".to_string()));
-        }
-        if market.is_at_upper_limit_price(market.day_open)
-            || market.is_at_upper_limit_price(market.buy_price(PriceField::Last))
-        {
-            return Ok(Some("upper_limit".to_string()));
-        }
-        if market.is_at_lower_limit_price(market.day_open)
-            || market.is_at_lower_limit_price(market.sell_price(PriceField::Last))
-        {
-            return Ok(Some("lower_limit".to_string()));
-        }
-        if market.day_open <= 1.0 {
-            return Ok(Some("one_yuan".to_string()));
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
+            date,
+            candidate,
+            market,
+            ctx.data.instrument(symbol),
+            ChinaAShareRiskControl::buy_check_price(market, PriceField::Last),
+        ) {
+            return Ok(Some(reason.to_string()));
         }
         if !self.truth_selection_contains(date, symbol)
             && !self.stock_passes_ma_filter(ctx, date, symbol)
@@ -2744,8 +2721,7 @@ impl Strategy for OmniMicroCapStrategy {
             let stop_hit = current_price
                 <= position.average_cost * self.config.stop_loss_ratio
                     + self.stop_loss_tolerance(market);
-            let profit_hit = !market.is_at_upper_limit_price(current_price)
-                && current_price / position.average_cost > self.config.take_profit_ratio;
+            let profit_hit = current_price / position.average_cost > self.config.take_profit_ratio;
             let can_sell = self.can_sell_position(ctx, date, &position.symbol);
             if stop_hit || profit_hit {
                 let sell_reason = if stop_hit {

crates/fidc-core/src/strategy_ai.rs

@@ -546,8 +546,8 @@ pub fn build_optimization_prompt(
     prompt.push_str("你是 OmniQuant 平台策略脚本优化器。必须输出完整、可运行的平台策略脚本，不要输出解释文本。\n");
     prompt.push_str("输出格式硬约束：回复第一行必须是 strategy(\"...\")、let、fn、const 或 //；回复中不得包含 Markdown、解释、思考过程、手册复述、JSON 包装或自然语言总结。\n");
     prompt.push_str("长度硬约束：策略代码目标 80 行以内，只保留必要 let/fn/strategy 块；不要复制下面的手册片段、历史策略全文或字段清单。\n");
-    prompt.push_str("只修改与优化目标相关的少量参数或过滤条件，保留原策略的市场、基准、信号指数和核心风控；不要引入手册未列出的字段或外部平台 API 名称。\n");
-    prompt.push_str("优化可以调整调仓周期、持仓数、市值带、filter.stock_expr、ordering.rank_expr、allocation.buy_scale、止盈止损；如上一轮无交易或质量分过低，必须先放宽过滤条件并优先使用已入库指标因子、rolling_mean/ma/vma/rolling_stddev/pct_change 等支持函数。\n");
+    prompt.push_str("优化不限制在原策略已有参数或少量扰动。只要 OmniQuant/FIDC 已支持，可以自由增加、修改、删除策略代码、参数、候选池、过滤函数、排序、仓位、止盈止损、调仓周期、指标因子和辅助函数；不得引入手册未列出的字段或外部平台 API 名称。\n");
+    prompt.push_str("可以使用所有已入库日频字段、指标因子和表达式函数，例如 rolling_mean/ma/vma/rolling_sum/rolling_stddev/pct_change/factor/factor_value/factors；如上一轮无交易或质量分过低，必须先扩大候选覆盖并修正不可交易过滤，再优化收益。\n");
     prompt.push_str("优化目标：\n");
     prompt.push_str(&format!("- {}\n\n", request.objective));
     prompt.push_str("当前策略代码如下，仅作为输入参考；回复时不要包含 Markdown 代码围栏：\n");

crates/fidc-core/tests/corporate_actions.rs

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

crates/fidc-core/tests/delisting.rs

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