修复FIDC策略滑点配置解析

crates/fidc-core/src/broker.rs

@@ -31,6 +31,7 @@ pub struct BrokerExecutionReport {
 #[derive(Debug, Clone, Copy)]
 struct ExecutionLeg {
     price: f64,
+    mark_price: f64,
     quantity: u32,
 }
 
@@ -96,7 +97,7 @@ impl DynamicSlippageConfig {
         }
     }
 
-    fn ratio(
+    pub(crate) fn ratio(
         &self,
         snapshot: &crate::data::DailyMarketSnapshot,
         raw_price: f64,
@@ -361,7 +362,30 @@ where
         symbol: &str,
         snapshot: &crate::data::DailyMarketSnapshot,
     ) -> f64 {
-        let _ = (date, data, symbol);
+        if self.aiquant_rqalpha_execution_rules && self.execution_price_field == PriceField::Last {
+            let start_cursor = self
+                .runtime_intraday_start_time
+                .get()
+                .or(self.intraday_execution_start_time)
+                .map(|start_time| date.and_time(start_time));
+            let matching_type = self.matching_type_for_algo_request(None);
+            if let Some(quote) = self.latest_known_quote_at_or_before(
+                data.execution_quotes_on(date, symbol),
+                start_cursor,
+                snapshot,
+                OrderSide::Buy,
+                matching_type,
+                false,
+            ) {
+                let fallback = self
+                    .select_quote_reference_price(snapshot, quote, OrderSide::Buy, matching_type)
+                    .unwrap_or(snapshot.last_price);
+                let mark_price = self.quote_mark_price(quote, fallback);
+                if mark_price.is_finite() && mark_price > 0.0 {
+                    return mark_price;
+                }
+            }
+        }
         if snapshot.close.is_finite() && snapshot.close > 0.0 {
             snapshot.close
         } else {
@@ -401,19 +425,37 @@ where
         side: OrderSide,
         quantity: Option<u32>,
     ) -> f64 {
-        let raw_price = if self.execution_price_field == PriceField::Last
+        let raw_price = self.snapshot_raw_execution_price(snapshot, side);
+        self.apply_slippage(snapshot, side, raw_price, quantity)
+    }
+
+    fn snapshot_raw_execution_price(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+    ) -> f64 {
+        if self.execution_price_field == PriceField::Last
             && self.intraday_execution_start_time.is_some()
         {
-            let _ = side;
-            snapshot.price(PriceField::Last)
-        } else {
+            return snapshot.price(PriceField::Last);
+        }
         match side {
             OrderSide::Buy => self.buy_price(snapshot),
             OrderSide::Sell => self.sell_price(snapshot),
         }
-        };
+    }
 
-        self.apply_slippage(snapshot, side, raw_price, quantity)
+    fn snapshot_mark_price(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+    ) -> f64 {
+        let price = snapshot.price(self.execution_price_field);
+        if price.is_finite() && price > 0.0 {
+            price
+        } else {
+            self.snapshot_raw_execution_price(snapshot, side)
+        }
     }
 
     fn is_open_auction_matching(&self) -> bool {
@@ -573,6 +615,14 @@ where
         }
     }
 
+    fn quote_mark_price(&self, quote: &IntradayExecutionQuote, fallback: f64) -> f64 {
+        if quote.last_price.is_finite() && quote.last_price > 0.0 {
+            quote.last_price
+        } else {
+            fallback
+        }
+    }
+
     pub fn execute(
         &self,
         date: NaiveDate,
@@ -2478,7 +2528,7 @@ where
                 merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
             (fill.quantity, fill.legs)
         } else {
-            let mut execution_price =
+            let 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)
@@ -2497,15 +2547,26 @@ where
                 );
                 (0, Vec::new())
             } else {
-                execution_price =
-                    self.execution_price_with_limit_slippage(execution_price, limit_price);
-                (
+                match self.execution_price_with_limit_slippage_or_rejection(
+                    snapshot,
+                    OrderSide::Sell,
+                    execution_price,
+                    limit_price,
+                ) {
+                    Ok(execution_price) => (
                         fillable_qty,
                         vec![ExecutionLeg {
                             price: execution_price,
+                            mark_price: self.snapshot_mark_price(snapshot, OrderSide::Sell),
                             quantity: fillable_qty,
                         }],
-                )
+                    ),
+                    Err(reason) => {
+                        partial_fill_reason =
+                            merge_partial_fill_reason(partial_fill_reason, Some(reason));
+                        (0, Vec::new())
+                    }
+                }
             }
         };
         if filled_qty == 0 {
@@ -2588,7 +2649,7 @@ where
             let net_cash = gross_amount - cost.total();
             let realized_pnl = portfolio
                 .position_mut(symbol)
-                .sell(leg.quantity, leg.price)
+                .sell_with_mark_price(leg.quantity, leg.price, leg.mark_price)
                 .map_err(BacktestError::Execution)?;
             if let Some(position) = portfolio.position_mut_if_exists(symbol) {
                 position.record_trade_cost(cost.total());
@@ -2787,8 +2848,13 @@ where
             return Ok(());
         }
 
+        let current_value = if self.aiquant_rqalpha_execution_rules {
             let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
-        let current_value = valuation_price * current_qty as f64;
+            valuation_price * current_qty as f64
+        } else {
+            let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
+            valuation_price * current_qty as f64
+        };
         let cash_delta = target_value.max(0.0) - current_value;
 
         if cash_delta.abs() > f64::EPSILON {
@@ -3857,7 +3923,7 @@ where
                 merge_partial_fill_reason(partial_fill_reason, fill.unfilled_reason);
             (fill.quantity, fill.legs)
         } else {
-            let mut execution_price =
+            let 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)
@@ -3876,9 +3942,19 @@ where
                 );
                 (0, Vec::new())
             } else {
-                execution_price =
-                    self.execution_price_with_limit_slippage(execution_price, limit_price);
-                let filled_qty = self.affordable_buy_quantity(
+                match self.execution_price_with_limit_slippage_or_rejection(
+                    snapshot,
+                    OrderSide::Buy,
+                    execution_price,
+                    limit_price,
+                ) {
+                    Err(reason) => {
+                        partial_fill_reason =
+                            merge_partial_fill_reason(partial_fill_reason, Some(reason));
+                        (0, Vec::new())
+                    }
+                    Ok(mut execution_price) => {
+                        let mut filled_qty = self.affordable_buy_quantity(
                             date,
                             buy_cash_limit,
                             value_gross_limit,
@@ -3887,12 +3963,33 @@ where
                             self.minimum_order_quantity(data, symbol),
                             self.order_step_size(data, symbol),
                         );
+                        let mut blocked_by_final_price = false;
                         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);
+                            execution_price = self.snapshot_execution_price(
+                                snapshot,
+                                OrderSide::Buy,
+                                Some(filled_qty),
+                            );
+                            match self.execution_price_with_limit_slippage_or_rejection(
+                                snapshot,
+                                OrderSide::Buy,
+                                execution_price,
+                                limit_price,
+                            ) {
+                                Ok(price) => execution_price = price,
+                                Err(reason) => {
+                                    partial_fill_reason = merge_partial_fill_reason(
+                                        partial_fill_reason,
+                                        Some(reason),
+                                    );
+                                    filled_qty = 0;
+                                    blocked_by_final_price = true;
                                 }
+                            }
+                        }
+                        if blocked_by_final_price {
+                            (0, Vec::new())
+                        } else {
                             if filled_qty < constrained_qty {
                                 partial_fill_reason = merge_partial_fill_reason(
                                     partial_fill_reason,
@@ -3909,10 +4006,14 @@ where
                                 filled_qty,
                                 vec![ExecutionLeg {
                                     price: execution_price,
+                                    mark_price: self.snapshot_mark_price(snapshot, OrderSide::Buy),
                                     quantity: filled_qty,
                                 }],
                             )
                         }
+                    }
+                }
+            }
         };
         if filled_qty == 0 {
             let detail = partial_fill_reason
@@ -3995,9 +4096,12 @@ where
             let cash_out = gross_amount + cost.total();
 
             portfolio.apply_cash_delta(-cash_out);
-            portfolio
-                .position_mut(symbol)
-                .buy(date, leg.quantity, leg.price);
+            portfolio.position_mut(symbol).buy_with_mark_price(
+                date,
+                leg.quantity,
+                leg.price,
+                leg.mark_price,
+            );
             if let Some(position) = portfolio.position_mut_if_exists(symbol) {
                 position.record_buy_trade_cost(leg.quantity, cost.total());
             }
@@ -4535,6 +4639,21 @@ where
         }
     }
 
+    fn execution_price_with_limit_slippage_or_rejection(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+        execution_price: f64,
+        limit_price: Option<f64>,
+    ) -> Result<f64, &'static str> {
+        let adjusted = self.execution_price_with_limit_slippage(execution_price, limit_price);
+        if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, adjusted) {
+            Err(reason)
+        } else {
+            Ok(adjusted)
+        }
+    }
+
     fn limit_order_can_remain_open(partial_reason: Option<&str>) -> bool {
         !partial_reason.is_some_and(|reason| {
             reason.contains("insufficient cash")
@@ -4674,8 +4793,12 @@ where
         let quote_quantity_limited =
             self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor);
         let lot = round_lot.max(1);
-        let use_decision_time_quote =
-            matching_type == MatchingType::NextTickLast && start_cursor.is_some();
+        let exact_time_order_quote = matching_type != MatchingType::NextTickLast
+            && start_cursor.is_some()
+            && end_cursor.is_some()
+            && start_cursor == end_cursor;
+        let use_decision_time_quote = start_cursor.is_some()
+            && (matching_type == MatchingType::NextTickLast || exact_time_order_quote);
         let eligible_quotes: Vec<&IntradayExecutionQuote> = if use_decision_time_quote {
             self.latest_known_quote_at_or_before(
                 quotes,
@@ -4700,6 +4823,7 @@ where
         };
         let mut filled_qty = 0_u32;
         let mut gross_amount = 0.0_f64;
+        let mut mark_amount = 0.0_f64;
         let mut last_timestamp = None;
         let mut legs = Vec::new();
         let mut budget_block_reason = None;
@@ -4717,6 +4841,7 @@ where
             else {
                 continue;
             };
+            let mark_price = self.quote_mark_price(quote, raw_quote_price);
             let remaining_qty = requested_qty.saturating_sub(filled_qty);
             if remaining_qty == 0 {
                 break;
@@ -4781,6 +4906,14 @@ where
                     }
                     quote_price =
                         self.execution_price_with_limit_slippage(quote_price, limit_price);
+                    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);
+                        take_qty = 0;
+                        break;
+                    }
                     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");
@@ -4813,12 +4946,20 @@ 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);
+            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;
+            }
 
             gross_amount += quote_price * take_qty as f64;
+            mark_amount += mark_price * take_qty as f64;
             filled_qty += take_qty;
             last_timestamp = Some(quote.timestamp);
             legs.push(ExecutionLeg {
                 price: quote_price,
+                mark_price,
                 quantity: take_qty,
             });
 
@@ -4849,6 +4990,7 @@ where
             legs: if matching_type == MatchingType::Vwap {
                 vec![ExecutionLeg {
                     price: gross_amount / filled_qty as f64,
+                    mark_price: mark_amount / filled_qty as f64,
                     quantity: filled_qty,
                 }]
             } else {
@@ -5140,6 +5282,127 @@ mod tests {
         );
     }
 
+    #[test]
+    fn aiquant_target_value_delta_uses_scheduled_mark_price() {
+        let date = chrono::NaiveDate::from_ymd_opt(2023, 5, 8).expect("valid date");
+        let symbol = "603101.SH";
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel {
+                commission_rate: 0.0003,
+                stamp_tax_rate_before_change: 0.0005,
+                stamp_tax_rate_after_change: 0.0005,
+                minimum_commission: 5.0,
+            },
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_intraday_execution_start_time(date.and_hms_opt(10, 40, 0).unwrap().time())
+        .with_slippage_model(SlippageModel::PriceRatio(0.002))
+        .with_strict_value_budget(true)
+        .with_aiquant_rqalpha_execution_rules(true)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let snapshot = DailyMarketSnapshot {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: Some("2023-05-08 15:00:00".to_string()),
+            day_open: 5.86,
+            open: 5.86,
+            high: 5.90,
+            low: 5.76,
+            close: 5.81,
+            last_price: 5.81,
+            bid1: 5.82,
+            ask1: 5.83,
+            prev_close: 5.85,
+            volume: 1_000_000,
+            tick_volume: 262,
+            bid1_volume: 54,
+            ask1_volume: 143,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 6.44,
+            lower_limit: 5.27,
+            price_tick: 0.01,
+        };
+        let quote = IntradayExecutionQuote {
+            date,
+            symbol: symbol.to_string(),
+            timestamp: date.and_hms_opt(10, 39, 59).expect("valid timestamp"),
+            last_price: 5.83,
+            bid1: 5.82,
+            ask1: 5.83,
+            bid1_volume: 54,
+            ask1_volume: 143,
+            volume_delta: 262,
+            amount_delta: 152_501.0,
+            trading_phase: Some("continuous".to_string()),
+        };
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: symbol.to_string(),
+                board: "SH".to_string(),
+                round_lot: 100,
+                listed_at: Some(date),
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![snapshot],
+            Vec::new(),
+            vec![CandidateEligibility {
+                date,
+                symbol: symbol.to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            }],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1002.0,
+                prev_close: 998.0,
+                volume: 1_000_000,
+            }],
+            Vec::new(),
+            vec![quote],
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(8_261_416.62);
+        portfolio.position_mut(symbol).buy(date, 21_200, 5.8817);
+        let mut report = BrokerExecutionReport::default();
+        broker
+            .process_target_value(
+                date,
+                &mut portfolio,
+                &data,
+                symbol,
+                9_996_284.62 * 0.5 / 40.0,
+                "daily_position_target_adjust",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("process target value");
+
+        assert_eq!(
+            portfolio.position(symbol).map(|pos| pos.quantity),
+            Some(21_400)
+        );
+        if let Some(order) = report.order_events.last() {
+            assert_eq!(order.requested_quantity, 200);
+            assert_eq!(order.filled_quantity, 200);
+        }
+    }
+
     #[test]
     fn next_tick_last_execution_uses_latest_quote_before_decision_time() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
@@ -5252,6 +5515,66 @@ mod tests {
         assert_eq!(report.order_events[0].filled_quantity, 14_300);
     }
 
+    #[test]
+    fn value_buy_rejects_when_slippage_clamps_execution_price_to_upper_limit() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_slippage_model(SlippageModel::PriceRatio(0.002))
+        .with_strict_value_budget(true)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.day_open = 10.98;
+        snapshot.open = 10.98;
+        snapshot.last_price = 10.98;
+        snapshot.close = 10.98;
+        snapshot.bid1 = 10.98;
+        snapshot.ask1 = 10.98;
+        snapshot.upper_limit = 11.0;
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            Vec::new(),
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(10_000_000.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_value(
+                date,
+                &mut portfolio,
+                &data,
+                "000001.SZ",
+                125_000.0,
+                "periodic_rebalance_buy",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("value buy processed");
+
+        assert!(portfolio.position("000001.SZ").is_none());
+        assert_eq!(report.order_events.len(), 1);
+        assert_eq!(report.order_events[0].filled_quantity, 0);
+        assert!(
+            report.order_events[0]
+                .reason
+                .contains("open at or above upper limit")
+        );
+    }
+
     #[test]
     fn strict_value_buy_budget_includes_commission_at_execution_price() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
@@ -5391,7 +5714,7 @@ mod tests {
         );
         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"));
+        assert_eq!(default_rule.reason.as_deref(), Some("buy_disabled"));
 
         let aiquant_broker = BrokerSimulator::new_with_execution_price(
             ChinaAShareCostModel::default(),
@@ -5401,12 +5724,17 @@ mod tests {
         .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"));
+        assert_eq!(aiquant_rule.reason.as_deref(), Some("buy_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);
+
+        let lower_limit_buyable_candidate = limit_test_candidate(true, false);
+        let aiquant_rule =
+            aiquant_broker.buy_rule_check(date, &snapshot, &lower_limit_buyable_candidate, None);
+        assert!(aiquant_rule.allowed);
     }
 
     #[test]

crates/fidc-core/src/data.rs

@@ -159,14 +159,14 @@ impl DailyMarketSnapshot {
         if !self.upper_limit.is_finite() || self.upper_limit <= 0.0 {
             return false;
         }
-        price >= self.upper_limit - self.effective_price_tick() + 1e-6
+        price >= self.upper_limit - 1e-9
     }
 
     pub fn is_at_lower_limit_price(&self, price: f64) -> bool {
         if !self.lower_limit.is_finite() || self.lower_limit <= 0.0 {
             return false;
         }
-        price <= self.lower_limit + self.effective_price_tick() - 1e-6
+        price <= self.lower_limit + 1e-9
     }
 }
 
@@ -1237,6 +1237,13 @@ impl DataSet {
             .unwrap_or(&[])
     }
 
+    pub fn has_execution_quotes_on_date(&self, date: NaiveDate) -> bool {
+        self.execution_quotes_by_date
+            .get(&date)
+            .map(|rows_by_symbol| !rows_by_symbol.is_empty())
+            .unwrap_or(false)
+    }
+
     pub fn execution_quote_key_set(&self) -> HashSet<(NaiveDate, String)> {
         self.execution_quotes_by_date
             .iter()

crates/fidc-core/src/engine.rs

@@ -1,6 +1,6 @@
 use std::collections::{BTreeMap, BTreeSet};
 
-use chrono::{Datelike, NaiveDate};
+use chrono::{Datelike, NaiveDate, NaiveTime};
 use serde::Serialize;
 use thiserror::Error;
 
@@ -341,6 +341,8 @@ pub struct BacktestEngine<S, C, R> {
     futures_cost_model: FuturesTransactionCostModel,
     futures_validation_config: FuturesValidationConfig,
     execution_quote_loader: Option<ExecutionQuoteLoader>,
+    execution_quote_request_cache:
+        BTreeSet<(NaiveDate, String, Option<NaiveTime>, Option<NaiveTime>)>,
 }
 
 impl<S, C, R> BacktestEngine<S, C, R> {
@@ -369,6 +371,7 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             futures_cost_model: FuturesTransactionCostModel::default(),
             futures_validation_config: FuturesValidationConfig::default(),
             execution_quote_loader: None,
+            execution_quote_request_cache: BTreeSet::new(),
         }
     }
 
@@ -523,20 +526,55 @@ where
             return Ok(());
         }
 
-        let start_time = start_time.or_else(|| self.broker.intraday_execution_start_time());
+        let caller_start_time = start_time;
+        let caller_end_time = end_time;
+        let start_time = caller_start_time.or_else(|| self.broker.intraday_execution_start_time());
         let mut symbols = execution_quote_symbols_for_decision(decision, portfolio, open_orders);
+        self.load_missing_execution_quotes(execution_date, start_time, end_time, &mut symbols)?;
+
+        if caller_start_time.is_none() && caller_end_time.is_none() {
+            for ((intent_start_time, intent_end_time), mut intent_symbols) in
+                algo_execution_quote_windows_for_decision(decision, portfolio)
+            {
+                self.load_missing_execution_quotes(
+                    execution_date,
+                    intent_start_time,
+                    intent_end_time,
+                    &mut intent_symbols,
+                )?;
+            }
+        }
+
+        Ok(())
+    }
+
+    fn load_missing_execution_quotes(
+        &mut self,
+        execution_date: NaiveDate,
+        start_time: Option<NaiveTime>,
+        end_time: Option<NaiveTime>,
+        symbols: &mut BTreeSet<String>,
+    ) -> Result<(), BacktestError> {
         symbols.retain(|symbol| {
+            let request_key = (execution_date, symbol.clone(), start_time, end_time);
+            if self.execution_quote_request_cache.contains(&request_key) {
+                return false;
+            }
+            if start_time.is_some() && end_time.is_none() {
+                return true;
+            }
             !has_execution_quote_in_window(&self.data, execution_date, symbol, start_time, end_time)
         });
         if symbols.is_empty() {
             return Ok(());
         }
 
+        let requested_symbols = symbols.iter().cloned().collect::<Vec<_>>();
         let request = ExecutionQuoteRequest {
             date: execution_date,
             start_time,
             end_time,
-            symbols,
+            symbols: std::mem::take(symbols),
         };
         let quotes = self
             .execution_quote_loader
@@ -544,6 +582,43 @@ where
             .expect("checked execution quote loader")
             .as_mut()(request)?;
         self.data.add_execution_quotes(quotes);
+        for symbol in requested_symbols {
+            self.execution_quote_request_cache.insert((
+                execution_date,
+                symbol,
+                start_time,
+                end_time,
+            ));
+        }
+        Ok(())
+    }
+
+    fn ensure_execution_quotes_for_portfolio_times(
+        &mut self,
+        execution_date: NaiveDate,
+        portfolio: &PortfolioState,
+        quote_times: &[NaiveTime],
+    ) -> Result<(), BacktestError> {
+        if self.execution_quote_loader.is_none() || quote_times.is_empty() {
+            return Ok(());
+        }
+        let base_symbols = portfolio
+            .positions()
+            .keys()
+            .cloned()
+            .collect::<BTreeSet<_>>();
+        if base_symbols.is_empty() {
+            return Ok(());
+        }
+        for quote_time in quote_times {
+            let mut symbols = base_symbols.clone();
+            self.load_missing_execution_quotes(
+                execution_date,
+                Some(*quote_time),
+                None,
+                &mut symbols,
+            )?;
+        }
         Ok(())
     }
 
@@ -1875,6 +1950,12 @@ where
                 "on_day:pre",
             )?;
             let on_day_open_orders = self.open_order_views();
+            let decision_quote_times = self.strategy.decision_quote_times();
+            self.ensure_execution_quotes_for_portfolio_times(
+                execution_date,
+                &portfolio,
+                &decision_quote_times,
+            )?;
             let mut decision = decision_slot
                 .map(|(decision_idx, decision_date)| {
                     self.strategy.on_day(&StrategyContext {
@@ -3283,6 +3364,54 @@ fn execution_quote_symbols_for_decision(
     symbols
 }
 
+fn algo_execution_quote_windows_for_decision(
+    decision: &StrategyDecision,
+    portfolio: &PortfolioState,
+) -> BTreeMap<(Option<NaiveTime>, Option<NaiveTime>), BTreeSet<String>> {
+    let mut groups = BTreeMap::<(Option<NaiveTime>, Option<NaiveTime>), BTreeSet<String>>::new();
+    for intent in &decision.order_intents {
+        match intent {
+            OrderIntent::AlgoValue {
+                symbol,
+                start_time,
+                end_time,
+                ..
+            }
+            | OrderIntent::AlgoPercent {
+                symbol,
+                start_time,
+                end_time,
+                ..
+            } => {
+                if start_time.is_some() || end_time.is_some() {
+                    groups
+                        .entry((*start_time, *end_time))
+                        .or_default()
+                        .insert(symbol.clone());
+                }
+            }
+            OrderIntent::TargetPortfolioSmart {
+                target_weights,
+                order_prices:
+                    Some(TargetPortfolioOrderPricing::AlgoOrder {
+                        start_time,
+                        end_time,
+                        ..
+                    }),
+                ..
+            } => {
+                if start_time.is_some() || end_time.is_some() {
+                    let symbols = groups.entry((*start_time, *end_time)).or_default();
+                    symbols.extend(portfolio.positions().keys().cloned());
+                    symbols.extend(target_weights.keys().cloned());
+                }
+            }
+            _ => {}
+        }
+    }
+    groups
+}
+
 fn collect_scheduled_decisions<S: Strategy>(
     strategy: &mut S,
     scheduler: &Scheduler<'_>,

crates/fidc-core/src/platform_strategy_spec.rs

@@ -5,9 +5,10 @@ use serde::{Deserialize, Serialize};
 use serde_json::Value;
 
 use crate::{
-    PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
-    PlatformExplicitOrderKind, PlatformExprStrategyConfig, PlatformRebalanceSchedule,
-    PlatformScheduleFrequency, PlatformTradeAction, PlatformUniverseActionKind, ScheduleTimeRule,
+    DynamicSlippageConfig, MatchingType, PlatformAccountActionKind, PlatformExplicitActionStage,
+    PlatformExplicitCancelKind, PlatformExplicitOrderKind, PlatformExprStrategyConfig,
+    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
+    PlatformUniverseActionKind, ScheduleTimeRule, SlippageModel,
 };
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -22,6 +23,10 @@ pub struct StrategyRuntimeSpec {
     #[serde(default)]
     pub universe: Option<StrategyUniverseSpec>,
     #[serde(default)]
+    pub rebalance: Option<StrategyRebalanceSpec>,
+    #[serde(default)]
+    pub trade_times: Vec<String>,
+    #[serde(default)]
     pub signal_symbol: Option<String>,
     #[serde(default)]
     pub execution: Option<StrategyExecutionSpec>,
@@ -49,6 +54,13 @@ pub struct StrategyUniverseSpec {
     pub exclude: Vec<String>,
 }
 
+#[derive(Debug, Clone, Default, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase")]
+pub struct StrategyRebalanceSpec {
+    #[serde(default)]
+    pub trade_times: Vec<String>,
+}
+
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExecutionSpec {
@@ -165,6 +177,10 @@ pub struct MovingAverageFilterConfig {
     #[serde(default)]
     pub long_days: Option<usize>,
     #[serde(default)]
+    pub volume_short_days: Option<usize>,
+    #[serde(default)]
+    pub volume_long_days: Option<usize>,
+    #[serde(default)]
     pub rsi_rate: Option<f64>,
 }
 
@@ -284,6 +300,12 @@ pub struct StrategyExpressionTradingConfig {
     #[serde(default)]
     pub retry_empty_rebalance: Option<bool>,
     #[serde(default)]
+    pub delayed_limit_open_exit: Option<bool>,
+    #[serde(default)]
+    pub delayed_limit_open_exit_time: Option<String>,
+    #[serde(default)]
+    pub release_slot_on_exit_signal: Option<bool>,
+    #[serde(default)]
     pub subscription_guard_required: Option<bool>,
     #[serde(default)]
     pub actions: Vec<StrategyExpressionActionConfig>,
@@ -384,6 +406,97 @@ fn apply_cost_overrides(
     }
 }
 
+fn normalize_model_name(value: &str) -> String {
+    value.trim().to_ascii_lowercase().replace('-', "_")
+}
+
+fn parse_matching_type(value: Option<&str>) -> Option<MatchingType> {
+    match normalize_model_name(value?).as_str() {
+        "open_auction" => Some(MatchingType::OpenAuction),
+        "current_bar_close" => Some(MatchingType::CurrentBarClose),
+        "next_bar_open" => Some(MatchingType::NextBarOpen),
+        "next_tick_last" => Some(MatchingType::NextTickLast),
+        "next_tick_best_own" => Some(MatchingType::NextTickBestOwn),
+        "next_tick_best_counterparty" => Some(MatchingType::NextTickBestCounterparty),
+        "counterparty_offer" => Some(MatchingType::CounterpartyOffer),
+        "vwap" => Some(MatchingType::Vwap),
+        "twap" => Some(MatchingType::Twap),
+        _ => None,
+    }
+}
+
+fn parse_slippage_model(
+    model: Option<&str>,
+    value: Option<f64>,
+    impact_coefficient: Option<f64>,
+    volatility_coefficient: Option<f64>,
+    max_value: Option<f64>,
+) -> Option<SlippageModel> {
+    let value = valid_non_negative(value);
+    let impact_coefficient = valid_non_negative(impact_coefficient);
+    let volatility_coefficient = valid_non_negative(volatility_coefficient);
+    let max_value = valid_non_negative(max_value);
+    let model = model
+        .map(normalize_model_name)
+        .filter(|item| !item.is_empty())
+        .unwrap_or_else(|| {
+            if value.is_some_and(|item| item > 0.0) {
+                "price_ratio".to_string()
+            } else {
+                "none".to_string()
+            }
+        });
+
+    match model.as_str() {
+        "none" => Some(SlippageModel::None),
+        "price_ratio" => Some(SlippageModel::PriceRatio(value.unwrap_or(0.0))),
+        "tick_size" => Some(SlippageModel::TickSize(value.unwrap_or(0.0))),
+        "limit_price" => Some(SlippageModel::LimitPrice),
+        "dynamic" | "dynamic_volume_volatility" => {
+            Some(SlippageModel::Dynamic(DynamicSlippageConfig::new(
+                impact_coefficient.unwrap_or(0.5),
+                volatility_coefficient.unwrap_or(0.3),
+                max_value.or(value).unwrap_or(0.01),
+            )))
+        }
+        _ => None,
+    }
+}
+
+fn apply_execution_behavior_overrides(
+    cfg: &mut PlatformExprStrategyConfig,
+    matching_type: Option<&str>,
+    slippage_model: Option<&str>,
+    slippage_value: Option<f64>,
+    slippage_impact_coefficient: Option<f64>,
+    slippage_volatility_coefficient: Option<f64>,
+    slippage_max_value: Option<f64>,
+    strict_value_budget: Option<bool>,
+) {
+    if let Some(matching_type) = parse_matching_type(matching_type) {
+        cfg.matching_type = matching_type;
+    }
+    if slippage_model.is_some()
+        || slippage_value.is_some()
+        || slippage_impact_coefficient.is_some()
+        || slippage_volatility_coefficient.is_some()
+        || slippage_max_value.is_some()
+    {
+        if let Some(parsed) = parse_slippage_model(
+            slippage_model,
+            slippage_value,
+            slippage_impact_coefficient,
+            slippage_volatility_coefficient,
+            slippage_max_value,
+        ) {
+            cfg.slippage_model = parsed;
+        }
+    }
+    if let Some(enabled) = strict_value_budget {
+        cfg.strict_value_budget = enabled;
+    }
+}
+
 fn parse_usize_after(text: &str, start: usize) -> Option<(usize, usize)> {
     let bytes = text.as_bytes();
     let mut end = start;
@@ -607,6 +720,16 @@ pub fn platform_expr_config_from_spec(
             engine.stamp_tax_rate_before_change,
             engine.stamp_tax_rate_after_change,
         );
+        apply_execution_behavior_overrides(
+            &mut cfg,
+            engine.matching_type.as_deref(),
+            engine.slippage_model.as_deref(),
+            engine.slippage_value,
+            engine.slippage_impact_coefficient,
+            engine.slippage_volatility_coefficient,
+            engine.slippage_max_value,
+            engine.strict_value_budget,
+        );
     }
 
     if let Some(spec_signal_symbol) = spec
@@ -804,6 +927,20 @@ pub fn platform_expr_config_from_spec(
             if let Some(enabled) = trading.retry_empty_rebalance {
                 cfg.retry_empty_rebalance = enabled;
             }
+            if let Some(enabled) = trading.release_slot_on_exit_signal {
+                cfg.release_slot_on_exit_signal = enabled;
+            }
+            if let Some(enabled) = trading.delayed_limit_open_exit {
+                cfg.delayed_limit_open_exit_enabled = enabled;
+                if enabled {
+                    cfg.delayed_limit_open_exit_time = trading
+                        .delayed_limit_open_exit_time
+                        .as_deref()
+                        .and_then(|value| parse_schedule_clock_time(Some(value)));
+                } else {
+                    cfg.delayed_limit_open_exit_time = None;
+                }
+            }
             if let Some(enabled) = spec
                 .engine_config
                 .as_ref()
@@ -930,6 +1067,28 @@ pub fn platform_expr_config_from_spec(
             cfg.retry_empty_rebalance = true;
         }
     }
+    let trade_times = spec_trade_times(spec);
+    if let Some(main_trade_time) = trade_times.last().copied() {
+        cfg.intraday_execution_time = Some(main_trade_time);
+    }
+    let delayed_limit_open_exit_explicit = spec
+        .runtime_expressions
+        .as_ref()
+        .and_then(|runtime_expr| runtime_expr.trading.as_ref())
+        .and_then(|trading| trading.delayed_limit_open_exit)
+        .is_some();
+    if aiquant_compat && !delayed_limit_open_exit_explicit && trade_times.len() > 1 {
+        let delayed_time = trade_times[0];
+        if trade_times
+            .last()
+            .copied()
+            .map(|main_time| main_time != delayed_time)
+            .unwrap_or(true)
+        {
+            cfg.delayed_limit_open_exit_enabled = true;
+            cfg.delayed_limit_open_exit_time = Some(delayed_time);
+        }
+    }
     if let Some(execution) = spec.execution.as_ref() {
         apply_cost_overrides(
             &mut cfg,
@@ -938,6 +1097,23 @@ pub fn platform_expr_config_from_spec(
             execution.stamp_tax_rate_before_change,
             execution.stamp_tax_rate_after_change,
         );
+        apply_execution_behavior_overrides(
+            &mut cfg,
+            execution.matching_type.as_deref(),
+            execution.slippage_model.as_deref(),
+            execution.slippage_value,
+            execution.slippage_impact_coefficient,
+            execution.slippage_volatility_coefficient,
+            execution.slippage_max_value,
+            execution.strict_value_budget,
+        );
+    }
+    if cfg.aiquant_transaction_cost
+        && cfg
+            .minimum_commission
+            .is_some_and(|value| value.is_finite() && value <= 0.0)
+    {
+        cfg.minimum_commission = None;
     }
 
     cfg
@@ -1015,6 +1191,24 @@ fn parse_schedule_clock_time(raw: Option<&str>) -> Option<NaiveTime> {
         .or_else(|| NaiveTime::parse_from_str(value, "%H:%M").ok())
 }
 
+fn parse_trade_times(raw: &[String]) -> Vec<NaiveTime> {
+    raw.iter()
+        .filter_map(|item| parse_schedule_clock_time(Some(item.as_str())))
+        .collect()
+}
+
+fn spec_trade_times(spec: &StrategyRuntimeSpec) -> Vec<NaiveTime> {
+    let rebalance_times = spec
+        .rebalance
+        .as_ref()
+        .map(|rebalance| parse_trade_times(&rebalance.trade_times))
+        .unwrap_or_default();
+    if !rebalance_times.is_empty() {
+        return rebalance_times;
+    }
+    parse_trade_times(&spec.trade_times)
+}
+
 fn parse_platform_trade_action(
     action: &StrategyExpressionActionConfig,
 ) -> Option<PlatformTradeAction> {
@@ -1391,6 +1585,50 @@ mod tests {
         assert_eq!(cfg.stamp_tax_rate_after_change, Some(0.0005));
     }
 
+    #[test]
+    fn parses_execution_slippage_overrides_into_platform_config() {
+        let spec = serde_json::json!({
+            "execution": {
+                "compatibilityProfile": "aiquant_rqalpha",
+                "matchingType": "next_tick_last",
+                "slippageModel": "price_ratio",
+                "slippageValue": 0.001,
+                "strictValueBudget": true
+            },
+            "engineConfig": {
+                "matchingType": "current_bar_close",
+                "slippageModel": "none",
+                "slippageValue": 0.0,
+                "strictValueBudget": false
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(cfg.matching_type, MatchingType::NextTickLast);
+        assert_eq!(cfg.slippage_model, SlippageModel::PriceRatio(0.001));
+        assert!(cfg.strict_value_budget);
+    }
+
+    #[test]
+    fn parses_dynamic_slippage_into_platform_config() {
+        let spec = serde_json::json!({
+            "execution": {
+                "slippageModel": "dynamic",
+                "slippageImpactCoefficient": 0.6,
+                "slippageVolatilityCoefficient": 0.2,
+                "slippageMaxValue": 0.015
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(
+            cfg.slippage_model,
+            SlippageModel::Dynamic(DynamicSlippageConfig::new(0.6, 0.2, 0.015))
+        );
+    }
+
     #[test]
     fn aiquant_profile_defaults_to_daily_top_up_and_empty_retry() {
         let spec = serde_json::json!({
@@ -1497,4 +1735,73 @@ mod tests {
         assert!(!cfg.calendar_rebalance_interval);
         assert!(cfg.aiquant_transaction_cost);
     }
+
+    #[test]
+    fn parses_aiquant_rebalance_trade_times_for_delayed_limit_exit() {
+        let spec = serde_json::json!({
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
+            "rebalance": { "tradeTimes": ["10:31", "10:40"] },
+            "runtimeExpressions": {
+                "schedule": { "frequency": "daily", "time": "10:40" }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(
+            cfg.intraday_execution_time,
+            Some(NaiveTime::from_hms_opt(10, 40, 0).unwrap())
+        );
+        assert!(cfg.delayed_limit_open_exit_enabled);
+        assert_eq!(
+            cfg.delayed_limit_open_exit_time,
+            Some(NaiveTime::from_hms_opt(10, 31, 0).unwrap())
+        );
+    }
+
+    #[test]
+    fn parses_explicit_delayed_limit_open_exit() {
+        let spec = serde_json::json!({
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
+            "runtimeExpressions": {
+                "schedule": { "frequency": "daily", "time": "10:40" },
+                "trading": {
+                    "delayedLimitOpenExit": true,
+                    "delayedLimitOpenExitTime": "10:31"
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(
+            cfg.intraday_execution_time,
+            Some(NaiveTime::from_hms_opt(10, 40, 0).unwrap())
+        );
+        assert!(cfg.delayed_limit_open_exit_enabled);
+        assert_eq!(
+            cfg.delayed_limit_open_exit_time,
+            Some(NaiveTime::from_hms_opt(10, 31, 0).unwrap())
+        );
+    }
+
+    #[test]
+    fn explicit_delayed_limit_open_exit_false_overrides_aiquant_trade_times() {
+        let spec = serde_json::json!({
+            "execution": { "compatibilityProfile": "aiquant_rqalpha" },
+            "rebalance": { "tradeTimes": ["10:31", "10:40"] },
+            "runtimeExpressions": {
+                "schedule": { "frequency": "daily", "time": "10:40" },
+                "trading": {
+                    "delayedLimitOpenExit": false,
+                    "delayedLimitOpenExitTime": "10:31"
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert!(!cfg.delayed_limit_open_exit_enabled);
+        assert_eq!(cfg.delayed_limit_open_exit_time, None);
+    }
 }

crates/fidc-core/src/portfolio.rs

@@ -66,6 +66,16 @@ impl Position {
     }
 
     pub fn buy(&mut self, date: NaiveDate, quantity: u32, price: f64) {
+        self.buy_with_mark_price(date, quantity, price, price);
+    }
+
+    pub fn buy_with_mark_price(
+        &mut self,
+        date: NaiveDate,
+        quantity: u32,
+        execution_price: f64,
+        mark_price: f64,
+    ) {
         if quantity == 0 {
             return;
         }
@@ -73,19 +83,28 @@ impl Position {
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
-            entry_price: price,
-            price,
+            entry_price: execution_price,
+            price: execution_price,
         });
         self.quantity += quantity;
-        self.last_price = price;
+        self.last_price = normalized_mark_price(mark_price, execution_price);
         self.day_trade_quantity_delta += quantity as i32;
         self.day_buy_quantity += quantity;
-        self.day_buy_value += price * quantity as f64;
+        self.day_buy_value += execution_price * quantity as f64;
         self.recalculate_average_cost();
         self.refresh_day_pnl();
     }
 
     pub fn sell(&mut self, quantity: u32, price: f64) -> Result<f64, String> {
+        self.sell_with_mark_price(quantity, price, price)
+    }
+
+    pub fn sell_with_mark_price(
+        &mut self,
+        quantity: u32,
+        execution_price: f64,
+        mark_price: f64,
+    ) -> Result<f64, String> {
         if quantity > self.quantity {
             return Err(format!(
                 "sell quantity {} exceeds current quantity {} for {}",
@@ -102,7 +121,7 @@ impl Position {
             };
 
             let lot_sell = remaining.min(first_lot.quantity);
-            realized += (price - first_lot.price) * lot_sell as f64;
+            realized += (execution_price - first_lot.price) * lot_sell as f64;
             first_lot.quantity -= lot_sell;
             remaining -= lot_sell;
 
@@ -112,11 +131,11 @@ impl Position {
         }
 
         self.quantity -= quantity;
-        self.last_price = price;
+        self.last_price = normalized_mark_price(mark_price, execution_price);
         self.realized_pnl += realized;
         self.day_trade_quantity_delta -= quantity as i32;
         self.day_sell_quantity += quantity;
-        self.day_sell_value += price * quantity as f64;
+        self.day_sell_value += execution_price * quantity as f64;
         self.recalculate_average_cost();
         self.refresh_day_pnl();
         Ok(realized)
@@ -356,6 +375,14 @@ impl Position {
     }
 }
 
+fn normalized_mark_price(mark_price: f64, fallback: f64) -> f64 {
+    if mark_price.is_finite() && mark_price > 0.0 {
+        mark_price
+    } else {
+        fallback
+    }
+}
+
 #[derive(Debug, Clone)]
 pub struct PortfolioState {
     initial_cash: f64,

crates/fidc-core/src/risk_control.rs

@@ -41,6 +41,21 @@ impl ChinaAShareRiskControl {
         candidate: &CandidateEligibility,
         market: &DailyMarketSnapshot,
         instrument: Option<&Instrument>,
+    ) -> Option<&'static str> {
+        if let Some(reason) = Self::baseline_rejection_reason(date, candidate, market, instrument) {
+            return Some(reason);
+        }
+        if !candidate.allow_buy || !candidate.allow_sell {
+            return Some("trade_disabled");
+        }
+        None
+    }
+
+    pub fn baseline_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);
@@ -60,9 +75,6 @@ impl ChinaAShareRiskControl {
         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
     }
 
@@ -73,8 +85,7 @@ impl ChinaAShareRiskControl {
         instrument: Option<&Instrument>,
         check_price: f64,
     ) -> Option<&'static str> {
-        if let Some(reason) = Self::selection_rejection_reason(date, candidate, market, instrument)
-        {
+        if let Some(reason) = Self::baseline_rejection_reason(date, candidate, market, instrument) {
             return Some(reason);
         }
         if !candidate.allow_buy {

crates/fidc-core/src/strategy.rs

@@ -40,6 +40,9 @@ pub trait Strategy {
     fn schedule_rules(&self) -> Vec<ScheduleRule> {
         Vec::new()
     }
+    fn decision_quote_times(&self) -> Vec<NaiveTime> {
+        Vec::new()
+    }
     fn on_scheduled(
         &mut self,
         _ctx: &StrategyContext<'_>,
@@ -1536,6 +1539,8 @@ pub struct OmniMicroCapConfig {
     pub stock_short_ma_days: usize,
     pub stock_mid_ma_days: usize,
     pub stock_long_ma_days: usize,
+    pub stock_volume_short_ma_days: usize,
+    pub stock_volume_long_ma_days: usize,
     pub rsi_rate: f64,
     pub trade_rate: f64,
     pub stop_loss_ratio: f64,
@@ -1562,6 +1567,8 @@ impl OmniMicroCapConfig {
             stock_short_ma_days: 5,
             stock_mid_ma_days: 10,
             stock_long_ma_days: 20,
+            stock_volume_short_ma_days: 5,
+            stock_volume_long_ma_days: 60,
             rsi_rate: 1.0001,
             trade_rate: 0.5,
             stop_loss_ratio: 0.93,
@@ -1590,6 +1597,8 @@ impl OmniMicroCapConfig {
             stock_short_ma_days: 5,
             stock_mid_ma_days: 10,
             stock_long_ma_days: 30,
+            stock_volume_short_ma_days: 5,
+            stock_volume_long_ma_days: 60,
             rsi_rate: 1.0001,
             trade_rate: 0.5,
             stop_loss_ratio: 0.92,
@@ -2268,62 +2277,33 @@ impl OmniMicroCapStrategy {
             return false;
         };
 
-        // MA filter: ma_short > ma_mid * rsi_rate && ma_mid * rsi_rate > ma_long
         let ma_pass =
             ma_short > ma_mid * self.config.rsi_rate && ma_mid * self.config.rsi_rate > ma_long;
 
-        // Debug logging for ALL stocks on first decision date
-        static DEBUG_DATE: std::sync::Mutex<Option<NaiveDate>> = std::sync::Mutex::new(None);
-        let mut debug_date = DEBUG_DATE.lock().unwrap();
-        let should_debug = if let Some(d) = *debug_date {
-            d == date
-        } else {
-            *debug_date = Some(date);
-            true
-        };
-
-        if should_debug {
-            eprintln!(
-                "[MA_FILTER] {} cap={:.2} ma5={:.4} ma10={:.4} ma30={:.4} ma10*rsi={:.4} pass={} ({}>{:.4}? {} && {:.4}>{}? {})",
-                symbol,
-                ctx.data.market_decision_close(date, symbol).unwrap_or(0.0),
-                ma_short,
-                ma_mid,
-                ma_long,
-                ma_mid * self.config.rsi_rate,
-                ma_pass,
-                ma_short,
-                ma_mid * self.config.rsi_rate,
-                ma_short > ma_mid * self.config.rsi_rate,
-                ma_mid * self.config.rsi_rate,
-                ma_long,
-                ma_mid * self.config.rsi_rate > ma_long
-            );
-        }
-
         if !ma_pass {
             return false;
         }
 
-        // Volume filter: V5 < V60 (applied for omni_microcap strategies)
         if self.config.strategy_name.contains("aiquant")
             || self.config.strategy_name.contains("AiQuant")
             || self.config.strategy_name.contains("omni")
         {
-            let Some(volume_ma5) = ctx
-                .data
-                .market_decision_volume_moving_average(date, symbol, 5)
-            else {
+            let Some(volume_ma5) = ctx.data.market_decision_volume_moving_average(
+                date,
+                symbol,
+                self.config.stock_volume_short_ma_days,
+            ) else {
                 return false;
             };
-            let Some(volume_ma60) = ctx
-                .data
-                .market_decision_volume_moving_average(date, symbol, 60)
-            else {
+            let Some(volume_ma_long) = ctx.data.market_decision_volume_moving_average(
+                date,
+                symbol,
+                self.config.stock_volume_long_ma_days,
+            ) else {
                 return false;
             };
 
-            if volume_ma5 >= volume_ma60 {
+            if volume_ma5 >= volume_ma_long {
                 return false;
             }
         }
@@ -2516,18 +2496,6 @@ fn omni_truth_stock_list_candidates() -> Vec<PathBuf> {
             }
         }
     }
-
-    let suffix = PathBuf::from("data/demo/engine_truth_stock_list.csv");
-    let manifest_root = Path::new(env!("CARGO_MANIFEST_DIR"));
-    push_unique_truth_path(
-        &mut candidates,
-        manifest_root.join("../../../").join(&suffix),
-    );
-    if let Ok(current_dir) = env::current_dir() {
-        for ancestor in current_dir.ancestors() {
-            push_unique_truth_path(&mut candidates, ancestor.join(&suffix));
-        }
-    }
     candidates
 }
 
@@ -2696,10 +2664,6 @@ impl Strategy for OmniMicroCapStrategy {
             };
         // 使用前一交易日的指数价格计算市值区间（模拟实盘场景）
         let (band_low, band_high) = self.market_cap_band(prev_index_level);
-        eprintln!(
-            "[DEBUG] date={} current_index={:.2} prev_index={:.2} band=[{:.0}, {:.0}]",
-            date, index_level, prev_index_level, band_low, band_high
-        );
         let (stock_list, selection_notes) = self.select_symbols(ctx, date, band_low, band_high)?;
         let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
         let mut projected = ctx.portfolio.clone();
@@ -2723,7 +2687,8 @@ impl Strategy for OmniMicroCapStrategy {
                     + self.stop_loss_tolerance(market);
             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 at_upper_limit = market.is_at_upper_limit_price(current_price);
+            if stop_hit || (profit_hit && !at_upper_limit) {
                 let sell_reason = if stop_hit {
                     "stop_loss_exit"
                 } else {

crates/fidc-core/tests/core_rules.rs

@@ -175,7 +175,7 @@ fn china_rule_hooks_block_buy_at_limit_up_and_sell_at_limit_down() {
 }
 
 #[test]
-fn china_rule_hooks_use_tick_size_tolerance_for_price_limits() {
+fn china_rule_hooks_use_strict_price_limits() {
     let hooks = ChinaEquityRuleHooks;
     let candidate = candidate();
 
@@ -184,6 +184,13 @@ fn china_rule_hooks_use_tick_size_tolerance_for_price_limits() {
         ..snapshot(10.9995, 11.0, 9.0)
     };
     let buy_check = hooks.can_buy(d(2024, 1, 3), &near_upper, &candidate, PriceField::Open);
+    assert!(buy_check.allowed);
+
+    let exact_upper = DailyMarketSnapshot {
+        price_tick: 0.001,
+        ..snapshot(11.0, 11.0, 9.0)
+    };
+    let buy_check = hooks.can_buy(d(2024, 1, 3), &exact_upper, &candidate, PriceField::Open);
     assert!(!buy_check.allowed);
 
     let near_lower = DailyMarketSnapshot {
@@ -199,6 +206,19 @@ fn china_rule_hooks_use_tick_size_tolerance_for_price_limits() {
         &position,
         PriceField::Open,
     );
+    assert!(sell_check.allowed);
+
+    let exact_lower = DailyMarketSnapshot {
+        price_tick: 0.001,
+        ..snapshot(9.0, 11.0, 9.0)
+    };
+    let sell_check = hooks.can_sell(
+        d(2024, 1, 3),
+        &exact_lower,
+        &candidate,
+        &position,
+        PriceField::Open,
+    );
     assert!(!sell_check.allowed);
 }
 

crates/fidc-core/tests/decision_quote_preload.rs

@@ -0,0 +1,459 @@
+use chrono::{Duration, NaiveDate, NaiveTime};
+use fidc_core::{
+    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
+    ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
+    IntradayExecutionQuote, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext,
+    StrategyDecision,
+};
+use std::sync::{Arc, Mutex};
+
+fn d(year: i32, month: u32, day: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
+}
+
+fn t(hour: u32, minute: u32, second: u32) -> NaiveTime {
+    NaiveTime::from_hms_opt(hour, minute, second).expect("valid time")
+}
+
+#[derive(Default)]
+struct DecisionQuoteReader {
+    day_count: usize,
+}
+
+impl Strategy for DecisionQuoteReader {
+    fn name(&self) -> &str {
+        "decision_quote_reader"
+    }
+
+    fn decision_quote_times(&self) -> Vec<NaiveTime> {
+        vec![t(10, 40, 0)]
+    }
+
+    fn on_day(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        self.day_count += 1;
+        if self.day_count == 1 {
+            return Ok(StrategyDecision {
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000001.SZ".to_string(),
+                    value: 5_000.0,
+                    reason: "seed_position".to_string(),
+                }],
+                ..StrategyDecision::default()
+            });
+        }
+
+        assert!(
+            ctx.portfolio.position("000001.SZ").is_some(),
+            "second day should carry the first day position"
+        );
+        let quote_loaded_before_decision = ctx
+            .data
+            .execution_quotes_on(ctx.execution_date, "000001.SZ")
+            .iter()
+            .any(|quote| quote.timestamp.time() == t(10, 39, 59) && quote.last_price == 11.0);
+        assert!(
+            quote_loaded_before_decision,
+            "engine must load declared decision quote before strategy.on_day"
+        );
+        Ok(StrategyDecision::default())
+    }
+}
+
+#[test]
+fn engine_preloads_declared_decision_quotes_for_current_positions() {
+    let first = d(2026, 1, 5);
+    let second = d(2026, 1, 6);
+    let data = DataSet::from_components(
+        Vec::new(),
+        vec![
+            DailyMarketSnapshot {
+                date: first,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2026-01-05 15:00:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.2,
+                low: 9.9,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                prev_close: 9.8,
+                volume: 10_000,
+                tick_volume: 1_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 10.78,
+                lower_limit: 8.82,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date: second,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2026-01-06 15:00:00".to_string()),
+                day_open: 10.5,
+                open: 10.5,
+                high: 11.2,
+                low: 10.4,
+                close: 10.6,
+                last_price: 10.6,
+                bid1: 10.6,
+                ask1: 10.6,
+                prev_close: 10.0,
+                volume: 10_000,
+                tick_volume: 1_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date: first,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 10.0,
+                pe_ttm: 10.0,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                extra_factors: Default::default(),
+            },
+            DailyFactorSnapshot {
+                date: second,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 10.0,
+                pe_ttm: 10.0,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                extra_factors: Default::default(),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date: first,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+            CandidateEligibility {
+                date: second,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+        ],
+        vec![
+            BenchmarkSnapshot {
+                date: first,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 990.0,
+                volume: 1_000_000,
+            },
+            BenchmarkSnapshot {
+                date: second,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1001.0,
+                prev_close: 1000.0,
+                volume: 1_000_000,
+            },
+        ],
+    )
+    .expect("dataset");
+
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks,
+        PriceField::Last,
+    )
+    .with_matching_type(MatchingType::NextTickLast)
+    .with_intraday_execution_start_time(t(10, 40, 0));
+    let config = BacktestConfig {
+        initial_cash: 10_000.0,
+        benchmark_code: "000852.SH".to_string(),
+        start_date: Some(first),
+        end_date: Some(second),
+        decision_lag_trading_days: 0,
+        execution_price_field: PriceField::Last,
+    };
+    let mut engine = BacktestEngine::new(data, DecisionQuoteReader::default(), broker, config)
+        .with_execution_quote_loader(move |request| {
+            assert_eq!(
+                request.end_time, None,
+                "decision quote preload must request latest quote at or before start_time"
+            );
+            Ok(request
+                .symbols
+                .into_iter()
+                .map(|symbol| IntradayExecutionQuote {
+                    date: request.date,
+                    symbol,
+                    timestamp: request.date.and_time(t(10, 39, 59)),
+                    last_price: if request.date == second { 11.0 } else { 10.0 },
+                    bid1: if request.date == second { 11.0 } else { 10.0 },
+                    ask1: if request.date == second { 11.0 } else { 10.0 },
+                    bid1_volume: 10_000,
+                    ask1_volume: 10_000,
+                    volume_delta: 10_000,
+                    amount_delta: 100_000.0,
+                    trading_phase: Some("continuous".to_string()),
+                })
+                .collect())
+        });
+
+    engine.run().expect("backtest should run");
+}
+
+#[derive(Default)]
+struct MultiTimeDecisionQuoteReader {
+    day_count: usize,
+}
+
+impl Strategy for MultiTimeDecisionQuoteReader {
+    fn name(&self) -> &str {
+        "multi_time_decision_quote_reader"
+    }
+
+    fn decision_quote_times(&self) -> Vec<NaiveTime> {
+        vec![t(10, 31, 0), t(10, 40, 0)]
+    }
+
+    fn on_day(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        self.day_count += 1;
+        if self.day_count == 1 {
+            return Ok(StrategyDecision {
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000001.SZ".to_string(),
+                    value: 5_000.0,
+                    reason: "seed_position".to_string(),
+                }],
+                ..StrategyDecision::default()
+            });
+        }
+
+        let quote_times = ctx
+            .data
+            .execution_quotes_on(ctx.execution_date, "000001.SZ")
+            .iter()
+            .map(|quote| quote.timestamp.time())
+            .collect::<Vec<_>>();
+        assert!(
+            quote_times.contains(&t(10, 30, 59)),
+            "10:31 decision quote must be loaded"
+        );
+        assert!(
+            quote_times.contains(&t(10, 39, 59)),
+            "10:40 decision quote must not be skipped because 10:31 was loaded"
+        );
+        Ok(StrategyDecision::default())
+    }
+}
+
+#[test]
+fn engine_loads_distinct_decision_quote_times_on_same_day() {
+    let first = d(2026, 1, 5);
+    let second = d(2026, 1, 6);
+    let data = DataSet::from_components(
+        Vec::new(),
+        vec![
+            DailyMarketSnapshot {
+                date: first,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2026-01-05 15:00:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.2,
+                low: 9.9,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                prev_close: 9.8,
+                volume: 10_000,
+                tick_volume: 1_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 10.78,
+                lower_limit: 8.82,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date: second,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2026-01-06 15:00:00".to_string()),
+                day_open: 10.5,
+                open: 10.5,
+                high: 11.2,
+                low: 10.4,
+                close: 10.6,
+                last_price: 10.6,
+                bid1: 10.6,
+                ask1: 10.6,
+                prev_close: 10.0,
+                volume: 10_000,
+                tick_volume: 1_000,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date: first,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 10.0,
+                pe_ttm: 10.0,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                extra_factors: Default::default(),
+            },
+            DailyFactorSnapshot {
+                date: second,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 10.0,
+                pe_ttm: 10.0,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                extra_factors: Default::default(),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date: first,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+            CandidateEligibility {
+                date: second,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+        ],
+        vec![
+            BenchmarkSnapshot {
+                date: first,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 990.0,
+                volume: 1_000_000,
+            },
+            BenchmarkSnapshot {
+                date: second,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1001.0,
+                prev_close: 1000.0,
+                volume: 1_000_000,
+            },
+        ],
+    )
+    .expect("dataset");
+
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks,
+        PriceField::Last,
+    )
+    .with_matching_type(MatchingType::NextTickLast)
+    .with_intraday_execution_start_time(t(10, 40, 0));
+    let config = BacktestConfig {
+        initial_cash: 10_000.0,
+        benchmark_code: "000852.SH".to_string(),
+        start_date: Some(first),
+        end_date: Some(second),
+        decision_lag_trading_days: 0,
+        execution_price_field: PriceField::Last,
+    };
+    let requests = Arc::new(Mutex::new(Vec::<(NaiveDate, NaiveTime)>::new()));
+    let captured_requests = Arc::clone(&requests);
+    let mut engine = BacktestEngine::new(
+        data,
+        MultiTimeDecisionQuoteReader::default(),
+        broker,
+        config,
+    )
+    .with_execution_quote_loader(move |request| {
+        let start_time = request
+            .start_time
+            .expect("decision quote loader request must include start_time");
+        captured_requests
+            .lock()
+            .expect("request mutex")
+            .push((request.date, start_time));
+        Ok(request
+            .symbols
+            .into_iter()
+            .map(|symbol| IntradayExecutionQuote {
+                date: request.date,
+                symbol,
+                timestamp: request.date.and_time(start_time) - Duration::seconds(1),
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                volume_delta: 10_000,
+                amount_delta: 100_000.0,
+                trading_phase: Some("continuous".to_string()),
+            })
+            .collect())
+    });
+
+    engine.run().expect("backtest should run");
+
+    let requests = requests.lock().expect("request mutex").clone();
+    assert!(
+        requests.contains(&(second, t(10, 31, 0))),
+        "second-day 10:31 quote request is required"
+    );
+    assert!(
+        requests.contains(&(second, t(10, 40, 0))),
+        "second-day 10:40 quote request must not be skipped by earlier quote"
+    );
+}

crates/fidc-core/tests/explicit_order_flow.rs

@@ -1701,6 +1701,9 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
 
     assert_eq!(report.fill_events.len(), 1);
     assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
+    let position = portfolio.position("000002.SZ").expect("position");
+    assert!((position.last_price - 10.0).abs() < 1e-9);
+    assert!((position.market_value() - position.quantity as f64 * 10.0).abs() < 1e-6);
 }
 
 #[test]
@@ -4234,6 +4237,50 @@ fn broker_uses_limit_price_slippage_for_limit_orders() {
     assert!((report.fill_events[0].price - 10.1).abs() < 1e-9);
 }
 
+#[test]
+fn broker_rejects_limit_buy_when_final_execution_price_reaches_upper_limit() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = two_day_limit_order_data(10.0, 10.2);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    )
+    .with_slippage_model(SlippageModel::LimitPrice);
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::LimitShares {
+                    symbol: "000002.SZ".to_string(),
+                    quantity: 200,
+                    limit_price: 11.0,
+                    reason: "limit_entry_at_upper_limit".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert!(report.fill_events.is_empty());
+    assert_eq!(report.order_events.len(), 1);
+    assert_eq!(report.order_events[0].status, OrderStatus::Canceled);
+    assert!(
+        report.order_events[0]
+            .reason
+            .contains("open at or above upper limit")
+    );
+    assert!(portfolio.position("000002.SZ").is_none());
+}
+
 #[test]
 fn broker_executes_limit_value_and_limit_percent_intents() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();