修正策略止盈止损和补仓投影

crates/fidc-core/src/broker.rs

@@ -10,7 +10,9 @@ use crate::events::{
     AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
+use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
+use crate::risk_control::ChinaAShareRiskControl;
 use crate::rules::{EquityRuleHooks, RuleCheck};
 use crate::strategy::{
     AlgoOrderStyle, OpenOrderView, OrderIntent, StrategyDecision, TargetPortfolioOrderPricing,
@@ -78,12 +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)]
@@ -233,6 +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()
@@ -304,6 +366,7 @@ where
         &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()
@@ -317,7 +380,7 @@ where
             }
         };
 
-        self.apply_slippage(snapshot, side, raw_price)
+        self.apply_slippage(snapshot, side, raw_price, quantity)
     }
 
     fn is_open_auction_matching(&self) -> bool {
@@ -329,6 +392,7 @@ 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;
@@ -338,6 +402,7 @@ 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) => {
@@ -356,6 +421,13 @@ 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)
@@ -392,8 +464,9 @@ 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(
@@ -409,7 +482,7 @@ where
 
     fn select_quote_reference_price(
         &self,
-        snapshot: &crate::data::DailyMarketSnapshot,
+        _snapshot: &crate::data::DailyMarketSnapshot,
         quote: &IntradayExecutionQuote,
         side: OrderSide,
         matching_type: MatchingType,
@@ -460,9 +533,8 @@ where
                 OrderSide::Sell => quote.sell_price(),
             },
         }?;
-        let execution_price = self.quote_execution_price(snapshot, side, raw_price);
+        if raw_price.is_finite() && raw_price > 0.0 {
-        if execution_price.is_finite() && execution_price > 0.0 {
+            Some(raw_price)
-            Some(execution_price)
         } else {
             None
         }
@@ -1850,19 +1922,27 @@ where
         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);
         }
-        if snapshot.paused || candidate.is_paused {
-            return RuleCheck::reject("paused");
-        }
-        let check_price = self.aiquant_limit_check_price(snapshot, OrderSide::Buy);
-        if snapshot.is_at_upper_limit_price(check_price) {
-            return RuleCheck::reject("open at or above upper limit");
-        }
         RuleCheck::allow()
     }
 
@@ -1871,8 +1951,24 @@ where
         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,
@@ -1882,16 +1978,6 @@ where
                 self.execution_price_field,
             );
         }
-        if snapshot.paused || candidate.is_paused {
-            return RuleCheck::reject("paused");
-        }
-        let check_price = self.aiquant_limit_check_price(snapshot, OrderSide::Sell);
-        if snapshot.is_at_lower_limit_price(check_price) {
-            return RuleCheck::reject("open at or below lower limit");
-        }
-        if position.sellable_qty(date) == 0 {
-            return RuleCheck::reject("t+1 sellable quantity is zero");
-        }
         RuleCheck::allow()
     }
 
@@ -1917,7 +2003,8 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self.sell_rule_check(date, snapshot, candidate, position);
+        let rule =
+            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
         if !rule.allowed {
             return current_qty;
         }
@@ -1955,7 +2042,7 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self.buy_rule_check(date, snapshot, candidate);
+        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
         if !rule.allowed {
             return current_qty;
         }
@@ -1999,7 +2086,8 @@ 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.sell_rule_check(date, snapshot, candidate, position);
+        let rule =
+            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
         if !rule.allowed {
             return rule.reason;
         }
@@ -2039,7 +2127,7 @@ where
     ) -> Option<String> {
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule = self.buy_rule_check(date, snapshot, candidate);
+        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
         if !rule.allowed {
             return rule.reason;
         }
@@ -2109,12 +2197,15 @@ where
             );
         }
 
-        let rule = self.sell_rule_check(date, snapshot, candidate, position);
+        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,
             };
@@ -2324,7 +2415,8 @@ 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)
             {
@@ -2342,7 +2434,7 @@ where
                 );
                 (0, Vec::new())
             } else {
-                let execution_price =
+                execution_price =
                     self.execution_price_with_limit_slippage(execution_price, limit_price);
                 (
                     fillable_qty,
@@ -3542,12 +3634,14 @@ where
             );
         }
 
-        let rule = self.buy_rule_check(date, snapshot, candidate);
+        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,
             };
@@ -3691,7 +3785,8 @@ 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)
             {
@@ -3709,7 +3804,7 @@ 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,
@@ -3720,6 +3815,12 @@ where
                     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,
@@ -4514,28 +4615,11 @@ 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;
@@ -4571,8 +4655,35 @@ 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");
@@ -4598,6 +4709,10 @@ 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);
@@ -4721,6 +4836,8 @@ fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
         | "tick volume limit"
         | "intraday quote liquidity exhausted"
         | "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,
@@ -4733,6 +4850,8 @@ fn final_partial_fill_status(partial_reason: Option<&str>) -> OrderStatus {
             if reason.contains("market liquidity or volume limit")
                 || reason.contains("intraday quote liquidity exhausted")
                 || 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") =>
         {
@@ -4913,7 +5032,7 @@ mod tests {
     }
 
     #[test]
-    fn aiquant_rules_allow_buy_when_day_flags_block_but_last_price_is_tradable() {
+    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;
@@ -4927,12 +5046,9 @@ mod tests {
             ChinaEquityRuleHooks,
             PriceField::Last,
         );
-        let default_rule = default_broker.buy_rule_check(date, &snapshot, &candidate);
+        let default_rule = default_broker.buy_rule_check(date, &snapshot, &candidate, None);
         assert!(!default_rule.allowed);
-        assert_eq!(
+        assert_eq!(default_rule.reason.as_deref(), Some("trade_disabled"));
-            default_rule.reason.as_deref(),
-            Some("buy disabled by eligibility flags")
-        );
 
         let aiquant_broker = BrokerSimulator::new_with_execution_price(
             ChinaAShareCostModel::default(),
@@ -4940,7 +5056,13 @@ mod tests {
             PriceField::Last,
         )
         .with_aiquant_rqalpha_execution_rules(true);
-        let aiquant_rule = aiquant_broker.buy_rule_check(date, &snapshot, &candidate);
+        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);
     }
 

crates/fidc-core/src/data.rs

@@ -1,4 +1,4 @@
-use std::collections::{BTreeMap, HashMap};
+use std::collections::{BTreeMap, HashMap, HashSet};
 use std::fs;
 use std::path::Path;
 
@@ -9,6 +9,7 @@ use thiserror::Error;
 use crate::calendar::TradingCalendar;
 use crate::futures::{FuturesCommissionType, FuturesTradingParameter};
 use crate::instrument::Instrument;
+use crate::risk_control::ChinaAShareRiskControl;
 
 mod date_format {
     use chrono::NaiveDate;
@@ -452,11 +453,13 @@ 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>,
+    unpaused_volumes: Vec<f64>,
+    unpaused_volume_prefix: Vec<f64>,
+    unpaused_count_prefix: Vec<usize>,
 }
 
 impl SymbolPriceSeries {
@@ -469,11 +472,20 @@ impl SymbolPriceSeries {
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
         let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
         let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
-        let 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 mut unpaused_volumes = Vec::new();
+        let mut unpaused_count_prefix = Vec::with_capacity(sorted.len() + 1);
+        unpaused_count_prefix.push(0);
+        for row in &sorted {
+            if !row.paused {
+                unpaused_volumes.push(row.volume as f64);
+            }
+            unpaused_count_prefix.push(unpaused_volumes.len());
+        }
+        let unpaused_volume_prefix = prefix_sums(&unpaused_volumes);
 
         Self {
             snapshots: sorted,
@@ -482,11 +494,13 @@ impl SymbolPriceSeries {
             closes,
             prev_closes,
             last_prices,
-            paused,
             open_prefix,
             close_prefix,
             prev_close_prefix,
             last_prefix,
+            unpaused_volumes,
+            unpaused_volume_prefix,
+            unpaused_count_prefix,
         }
     }
 
@@ -596,11 +610,12 @@ impl SymbolPriceSeries {
             return None;
         }
         let end = self.end_index(date)?;
-        let values = self.trailing_unpaused_volumes(end, lookback)?;
+        let end_count = *self.unpaused_count_prefix.get(end)?;
-        if values.len() < lookback {
+        if end_count < lookback {
             return None;
         }
-        let sum = values.iter().sum::<f64>();
+        let start_count = end_count - lookback;
+        let sum = self.unpaused_volume_prefix[end_count] - self.unpaused_volume_prefix[start_count];
         Some(sum / lookback as f64)
     }
 
@@ -620,22 +635,12 @@ impl SymbolPriceSeries {
         if lookback == 0 || end == 0 {
             return None;
         }
-        let mut values = Vec::with_capacity(lookback);
+        let end_count = *self.unpaused_count_prefix.get(end)?;
-        for idx in (0..end).rev() {
+        if end_count < lookback {
-            if self.paused.get(idx).copied().unwrap_or(false) {
+            return None;
-                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_count = end_count - lookback;
+        Some(self.unpaused_volumes[start_count..end_count].to_vec())
     }
 
     fn end_index(&self, date: NaiveDate) -> Option<usize> {
@@ -1080,8 +1085,12 @@ impl DataSet {
         let market_series_by_symbol = build_market_series(&market_by_date);
         let benchmark_series_cache =
             BenchmarkPriceSeries::new(&benchmark_by_date.values().cloned().collect::<Vec<_>>());
-        let eligible_universe_by_date =
+        let eligible_universe_by_date = build_eligible_universe(
-            build_eligible_universe(&factor_by_date, &candidate_index, &market_index);
+            &factor_by_date,
+            &candidate_index,
+            &market_index,
+            &instruments,
+        );
         let futures_params_by_symbol = build_futures_params_index(futures_params);
 
         Ok(Self {
@@ -1174,6 +1183,33 @@ impl DataSet {
             .unwrap_or(&[])
     }
 
+    pub fn execution_quote_key_set(&self) -> HashSet<(NaiveDate, String)> {
+        self.execution_quotes_index.keys().cloned().collect()
+    }
+
+    pub fn add_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
+        let mut added = 0usize;
+        let mut touched = HashSet::<(NaiveDate, String)>::new();
+        for quote in quotes {
+            let key = (quote.date, quote.symbol.clone());
+            let rows = self.execution_quotes_index.entry(key.clone()).or_default();
+            if rows.iter().any(|existing| {
+                existing.timestamp == quote.timestamp && existing.symbol == quote.symbol
+            }) {
+                continue;
+            }
+            rows.push(quote);
+            touched.insert(key);
+            added += 1;
+        }
+        for key in touched {
+            if let Some(rows) = self.execution_quotes_index.get_mut(&key) {
+                rows.sort_by_key(|quote| quote.timestamp);
+            }
+        }
+        added
+    }
+
     pub fn order_book_depth_on(
         &self,
         date: NaiveDate,
@@ -2114,12 +2150,10 @@ impl DataSet {
                 self.market_moving_average(date, symbol, lookback, PriceField::Close)
             }
             "volume" | "stock_volume" => self
-                .factor_moving_average(date, symbol, "daily_volume", lookback)
+                .market_series_by_symbol
-                .or_else(|| {
+                .get(symbol)
-                    self.market_series_by_symbol
+                .and_then(|series| series.current_volume_moving_average(date, lookback))
-                        .get(symbol)
+                .or_else(|| self.factor_moving_average(date, symbol, "daily_volume", lookback)),
-                        .and_then(|series| series.current_volume_moving_average(date, lookback))
-                }),
             "day_open" | "dayopen" => {
                 self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
             }
@@ -3287,6 +3321,7 @@ fn build_eligible_universe(
     factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
     candidate_index: &HashMap<(NaiveDate, String), CandidateEligibility>,
     market_index: &HashMap<(NaiveDate, String), DailyMarketSnapshot>,
+    instruments: &HashMap<String, Instrument>,
 ) -> BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>> {
     let mut per_date = BTreeMap::<NaiveDate, Vec<EligibleUniverseSnapshot>>::new();
 
@@ -3303,7 +3338,14 @@ fn build_eligible_universe(
             let Some(market) = market_index.get(&key) else {
                 continue;
             };
-            if !candidate.eligible_for_selection() || market.paused {
+            if ChinaAShareRiskControl::selection_rejection_reason(
+                *date,
+                candidate,
+                market,
+                instruments.get(&factor.symbol),
+            )
+            .is_some()
+            {
                 continue;
             }
             rows.push(EligibleUniverseSnapshot {
@@ -3324,6 +3366,11 @@ fn build_eligible_universe(
     per_date
 }
 
+#[cfg(test)]
+fn instrument_passes_baseline_selection(instrument: Option<&Instrument>, date: NaiveDate) -> bool {
+    ChinaAShareRiskControl::instrument_rejection_reason(instrument, date).is_none()
+}
+
 #[cfg(test)]
 mod tests {
     use super::*;
@@ -3363,6 +3410,49 @@ mod tests {
         }
     }
 
+    #[test]
+    fn baseline_selection_uses_structured_instrument_dates_and_status_only() {
+        let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
+        let instrument = |name: &str, status: &str, delisted_at: Option<NaiveDate>| Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: name.to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(NaiveDate::parse_from_str("2020-01-01", "%Y-%m-%d").unwrap()),
+            delisted_at,
+            status: status.to_string(),
+        };
+
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("Short History Stock", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("*ST测试", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("ST测试", "active", None)),
+            date
+        ));
+        assert!(instrument_passes_baseline_selection(
+            Some(&instrument("退市测试", "active", None)),
+            date
+        ));
+        assert!(!instrument_passes_baseline_selection(
+            Some(&instrument("正常名称", "delisted", None)),
+            date
+        ));
+        assert!(!instrument_passes_baseline_selection(
+            Some(&instrument(
+                "正常名称",
+                "active",
+                Some(NaiveDate::parse_from_str("2025-01-01", "%Y-%m-%d").unwrap()),
+            )),
+            date
+        ));
+    }
+
     #[test]
     fn decision_volume_average_uses_previous_completed_days_only() {
         let series = SymbolPriceSeries::new(&[

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 +3188,93 @@ where
     }
 }
 
+fn has_execution_quote_in_window(
+    data: &DataSet,
+    date: NaiveDate,
+    symbol: &str,
+    start_time: Option<chrono::NaiveTime>,
+    end_time: Option<chrono::NaiveTime>,
+) -> bool {
+    let start_cursor = start_time.map(|time| date.and_time(time));
+    let end_cursor = end_time.map(|time| date.and_time(time));
+    data.execution_quotes_on(date, symbol).iter().any(|quote| {
+        !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
+            && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
+    })
+}
+
+fn decision_has_algo_execution(decision: &StrategyDecision) -> bool {
+    decision.order_intents.iter().any(|intent| {
+        matches!(
+            intent,
+            OrderIntent::AlgoValue { .. }
+                | OrderIntent::AlgoPercent { .. }
+                | OrderIntent::TargetPortfolioSmart {
+                    order_prices: Some(TargetPortfolioOrderPricing::AlgoOrder { .. }),
+                    ..
+                }
+        )
+    })
+}
+
+fn execution_quote_symbols_for_decision(
+    decision: &StrategyDecision,
+    portfolio: &PortfolioState,
+    open_orders: &[OpenOrderView],
+) -> BTreeSet<String> {
+    let mut symbols = BTreeSet::new();
+    symbols.extend(open_orders.iter().map(|order| order.symbol.clone()));
+    if decision.rebalance {
+        symbols.extend(portfolio.positions().keys().cloned());
+        symbols.extend(decision.target_weights.keys().cloned());
+    }
+    if !decision.exit_symbols.is_empty() {
+        symbols.extend(decision.exit_symbols.iter().cloned());
+    }
+
+    for intent in &decision.order_intents {
+        match intent {
+            OrderIntent::Shares { symbol, .. }
+            | OrderIntent::LimitShares { symbol, .. }
+            | OrderIntent::Lots { symbol, .. }
+            | OrderIntent::LimitLots { symbol, .. }
+            | OrderIntent::TargetShares { symbol, .. }
+            | OrderIntent::LimitTargetShares { symbol, .. }
+            | OrderIntent::TargetValue { symbol, .. }
+            | OrderIntent::LimitTargetValue { symbol, .. }
+            | OrderIntent::Value { symbol, .. }
+            | OrderIntent::LimitValue { symbol, .. }
+            | OrderIntent::Percent { symbol, .. }
+            | OrderIntent::LimitPercent { symbol, .. }
+            | OrderIntent::TargetPercent { symbol, .. }
+            | OrderIntent::LimitTargetPercent { symbol, .. }
+            | OrderIntent::AlgoValue { symbol, .. }
+            | OrderIntent::AlgoPercent { symbol, .. }
+            | OrderIntent::CancelSymbol { symbol, .. } => {
+                symbols.insert(symbol.clone());
+            }
+            OrderIntent::TargetPortfolioSmart { target_weights, .. } => {
+                symbols.extend(portfolio.positions().keys().cloned());
+                symbols.extend(target_weights.keys().cloned());
+            }
+            OrderIntent::CancelAll { .. } => {
+                symbols.extend(open_orders.iter().map(|order| order.symbol.clone()));
+            }
+            OrderIntent::UpdateUniverse { .. }
+            | OrderIntent::Subscribe { .. }
+            | OrderIntent::Unsubscribe { .. }
+            | OrderIntent::DepositWithdraw { .. }
+            | OrderIntent::FinanceRepay { .. }
+            | OrderIntent::SetManagementFeeRate { .. }
+            | OrderIntent::CancelOrder { .. }
+            | OrderIntent::Futures { .. } => {}
+        }
+    }
+
+    symbols.retain(|symbol| !symbol.trim().is_empty());
+    symbols
+}
+
 fn collect_scheduled_decisions<S: Strategy>(
     strategy: &mut S,
     scheduler: &Scheduler<'_>,

crates/fidc-core/src/lib.rs

@@ -12,13 +12,16 @@ pub mod platform_expr_strategy;
 pub mod platform_runtime_schema;
 pub mod platform_strategy_spec;
 pub mod portfolio;
+pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
 pub mod strategy_ai;
 pub mod universe;
 
-pub use broker::{BrokerExecutionReport, BrokerSimulator, MatchingType, SlippageModel};
+pub use broker::{
+    BrokerExecutionReport, BrokerSimulator, DynamicSlippageConfig, MatchingType, SlippageModel,
+};
 pub use calendar::TradingCalendar;
 pub use cost::{ChinaAShareCostModel, CostModel, TradingCost};
 pub use data::{
@@ -31,7 +34,7 @@ pub use data::{
 pub use engine::{
     AnalyzerMonthlyReturnRow, AnalyzerPositionRow, AnalyzerReport, AnalyzerRiskSummary,
     AnalyzerTradeRow, BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError,
-    BacktestResult, DailyEquityPoint, FuturesValidationConfig,
+    BacktestResult, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
 };
 pub use event_bus::{BacktestProcessMod, BacktestProcessModLoader, ProcessEventBus};
 pub use events::{
@@ -48,8 +51,8 @@ pub use metrics::{BacktestMetrics, compute_backtest_metrics};
 pub use platform_expr_strategy::{
     PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
     PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
-    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
+    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformSelectionQuotePlan,
-    PlatformUniverseActionKind,
+    PlatformTradeAction, PlatformUniverseActionKind,
 };
 pub use platform_runtime_schema::{
     PLATFORM_RUNTIME_SCHEMA_VERSION, PlatformRuntimeSchema, reserved_scope_names,
@@ -66,6 +69,7 @@ pub use platform_strategy_spec::{
     StrategyRuntimeSpec, platform_expr_config_from_spec, platform_expr_config_from_value,
 };
 pub use portfolio::{CashReceivable, HoldingSummary, PendingCashFlow, PortfolioState, Position};
+pub use risk_control::ChinaAShareRiskControl;
 pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};
 pub use scheduler::{
     ScheduleFrequency, ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler, default_stage_time,

crates/fidc-core/src/platform_strategy_spec.rs

@@ -61,6 +61,12 @@ 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 strict_value_budget: Option<bool>,
 }
 
@@ -96,6 +102,12 @@ 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 strict_value_budget: Option<bool>,
     #[serde(default)]
     pub dividend_reinvestment: Option<bool>,
@@ -718,7 +730,6 @@ pub fn platform_expr_config_from_spec(
         .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;
     }
 
@@ -1138,7 +1149,7 @@ mod tests {
         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!(
@@ -1163,7 +1174,7 @@ 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

@@ -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 {
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
-            return RuleCheck::reject("paused");
+            _execution_date,
-        }
+            candidate,
-        if !candidate.allow_buy {
+            snapshot,
-            return RuleCheck::reject("buy disabled by eligibility flags");
+            None,
-        }
+            ChinaAShareRiskControl::buy_check_price(snapshot, price_field),
-        if Self::at_upper_limit(snapshot, price_field) {
+        ) {
-            return RuleCheck::reject("open at or above upper limit");
+            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 {
+        if let Some(reason) = ChinaAShareRiskControl::sell_rejection_reason(
-            return RuleCheck::reject("paused");
+            execution_date,
-        }
+            candidate,
-        if !candidate.allow_sell {
+            snapshot,
-            return RuleCheck::reject("sell disabled by eligibility flags");
+            None,
-        }
+            Some(position),
-        if Self::at_lower_limit(snapshot, price_field) {
+            ChinaAShareRiskControl::sell_check_price(snapshot, price_field),
-            return RuleCheck::reject("open at or below lower limit");
+        ) {
-        }
+            return RuleCheck::reject(reason);
-        if position.sellable_qty(execution_date) == 0 {
-            return RuleCheck::reject("t+1 sellable quantity is zero");
         }
 
         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);
+        ChinaAShareRiskControl::sell_rejection_reason(
-        !(market.paused
+            date,
-            || candidate.is_paused
+            candidate,
-            || !candidate.allow_sell
+            market,
-            || market.is_at_lower_limit_price(lower_limit_check_price))
+            ctx.data.instrument(symbol),
+            Some(position),
+            ChinaAShareRiskControl::sell_check_price(market, PriceField::Last),
+        )
+        .is_none()
     }
 
     fn buy_rejection_reason(
@@ -2371,25 +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 {
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
-            return Ok(Some("paused".to_string()));
+            date,
-        }
+            candidate,
-        if candidate.is_st || self.special_name(ctx, symbol) {
+            market,
-            return Ok(Some("st_or_special_name".to_string()));
+            ctx.data.instrument(symbol),
-        }
+            ChinaAShareRiskControl::buy_check_price(market, PriceField::Last),
-        if candidate.is_kcb {
+        ) {
-            return Ok(Some("kcb".to_string()));
+            return Ok(Some(reason.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.day_open <= 1.0 {
-            return Ok(Some("one_yuan".to_string()));
         }
         if !self.truth_selection_contains(date, symbol)
             && !self.stock_passes_ma_filter(ctx, date, symbol)

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/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,
+    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, DynamicSlippageConfig,
-    IntradayExecutionQuote, MatchingType, OrderIntent, OrderStatus, PortfolioState, PriceField,
+    Instrument, IntradayExecutionQuote, MatchingType, OrderIntent, OrderStatus, PortfolioState,
-    ProcessEventKind, SlippageModel, StrategyDecision, TargetPortfolioOrderPricing,
+    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();