懒加载日线序列缓存降低回测内存

This reverts commit 7ce28e6d0f.

crates/fidc-core/src/engine.rs

@@ -1,6 +1,6 @@
 use std::collections::{BTreeMap, BTreeSet};
 
-use chrono::{Datelike, NaiveDate};
+use chrono::{Datelike, Duration, 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 +526,60 @@ 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 !has_execution_quote_near_start_time(
+                    &self.data,
+                    execution_date,
+                    symbol,
+                    start_time.expect("checked start_time"),
+                );
+            }
             !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 +587,72 @@ 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(())
+    }
+
+    fn ensure_execution_quotes_for_symbols_at_times(
+        &mut self,
+        execution_date: NaiveDate,
+        symbols: &BTreeSet<String>,
+        quote_times: &[NaiveTime],
+    ) -> Result<(), BacktestError> {
+        if self.execution_quote_loader.is_none() || quote_times.is_empty() || symbols.is_empty() {
+            return Ok(());
+        }
+        let base_symbols = symbols
+            .iter()
+            .filter(|symbol| !symbol.trim().is_empty())
+            .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 +1984,39 @@ where
                 "on_day:pre",
             )?;
             let on_day_open_orders = self.open_order_views();
+            let decision_quote_times = self.strategy.decision_quote_times();
+            if !decision_quote_times.is_empty() {
+                let decision_quote_symbols =
+                    self.strategy.decision_quote_symbols(&StrategyContext {
+                        execution_date,
+                        decision_date,
+                        decision_index,
+                        data: &self.data,
+                        portfolio: &portfolio,
+                        futures_account: self.futures_account.as_ref(),
+                        open_orders: &on_day_open_orders,
+                        dynamic_universe: self.dynamic_universe.as_ref(),
+                        subscriptions: &self.subscriptions,
+                        process_events: &process_events,
+                        active_process_event: None,
+                        active_datetime: stage_datetime(
+                            execution_date,
+                            default_stage_time(ScheduleStage::OnDay),
+                        ),
+                        order_events: result.order_events.as_slice(),
+                        fills: result.fills.as_slice(),
+                    })?;
+                self.ensure_execution_quotes_for_symbols_at_times(
+                    execution_date,
+                    &decision_quote_symbols,
+                    &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 {
@@ -3211,12 +3353,31 @@ fn has_execution_quote_in_window(
     })
 }
 
+fn has_execution_quote_near_start_time(
+    data: &DataSet,
+    date: NaiveDate,
+    symbol: &str,
+    start_time: NaiveTime,
+) -> bool {
+    let cursor = date.and_time(start_time);
+    let Some(latest) = data
+        .execution_quotes_on(date, symbol)
+        .iter()
+        .filter(|quote| quote.timestamp <= cursor)
+        .max_by_key(|quote| quote.timestamp)
+    else {
+        return false;
+    };
+    cursor.signed_duration_since(latest.timestamp) <= Duration::seconds(90)
+}
+
 fn decision_has_algo_execution(decision: &StrategyDecision) -> bool {
     decision.order_intents.iter().any(|intent| {
         matches!(
             intent,
             OrderIntent::AlgoValue { .. }
                 | OrderIntent::AlgoPercent { .. }
+                | OrderIntent::TimedTargetValue { .. }
                 | OrderIntent::TargetPortfolioSmart {
                     order_prices: Some(TargetPortfolioOrderPricing::AlgoOrder { .. }),
                     ..
@@ -3249,6 +3410,7 @@ fn execution_quote_symbols_for_decision(
             | OrderIntent::TargetShares { symbol, .. }
             | OrderIntent::LimitTargetShares { symbol, .. }
             | OrderIntent::TargetValue { symbol, .. }
+            | OrderIntent::TimedTargetValue { symbol, .. }
             | OrderIntent::LimitTargetValue { symbol, .. }
             | OrderIntent::Value { symbol, .. }
             | OrderIntent::LimitValue { symbol, .. }
@@ -3283,6 +3445,60 @@ 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,
+                ..
+            }
+            | OrderIntent::TimedTargetValue {
+                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,
+    DynamicSlippageConfig, MatchingType, PlatformAccountActionKind, PlatformExplicitActionStage,
-    PlatformExplicitOrderKind, PlatformExprStrategyConfig, PlatformRebalanceSchedule,
+    PlatformExplicitCancelKind, PlatformExplicitOrderKind, PlatformExprStrategyConfig,
-    PlatformScheduleFrequency, PlatformTradeAction, PlatformUniverseActionKind, ScheduleTimeRule,
+    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 {
@@ -128,6 +140,8 @@ pub struct StrategyEngineConfig {
     #[serde(default)]
     pub dividend_reinvestment: Option<bool>,
     #[serde(default)]
+    pub weak_market_shrink_overweight_threshold: Option<f64>,
+    #[serde(default)]
     pub rebalance_schedule: Option<StrategyExpressionScheduleConfig>,
     #[serde(default)]
     pub skip_windows: Vec<SkipWindowConfig>,
@@ -165,6 +179,10 @@ 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 +302,14 @@ pub struct StrategyExpressionTradingConfig {
     #[serde(default)]
     pub retry_empty_rebalance: Option<bool>,
     #[serde(default)]
+    pub weak_market_shrink_overweight_threshold: Option<f64>,
+    #[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 +410,97 @@ 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;
@@ -453,6 +570,20 @@ fn sorted_unique_positive(mut values: Vec<usize>) -> Vec<usize> {
     values
 }
 
+fn stock_close_ma_expr(days: usize) -> String {
+    match days {
+        5 | 10 | 20 | 30 => format!("stock_ma{days}"),
+        _ => format!("rolling_mean(\"close\", {days})"),
+    }
+}
+
+fn stock_volume_ma_expr(days: usize) -> String {
+    match days {
+        5 | 10 | 20 | 60 | 100 => format!("stock_volume_ma{days}"),
+        _ => format!("rolling_mean(\"volume\", {days})"),
+    }
+}
+
 fn infer_expression_windows(
     cfg: &mut PlatformExprStrategyConfig,
     benchmark_short_explicit: bool,
@@ -534,6 +665,12 @@ pub fn platform_expr_config_from_spec(
         if let Some(refresh_rate) = engine.refresh_rate.filter(|value| *value > 0) {
             cfg.refresh_rate = refresh_rate;
         }
+        if let Some(threshold) = engine
+            .weak_market_shrink_overweight_threshold
+            .filter(|value| value.is_finite() && *value > 0.0)
+        {
+            cfg.weak_market_shrink_overweight_threshold = Some(threshold);
+        }
         if let Some(schedule) = engine
             .rebalance_schedule
             .as_ref()
@@ -607,6 +744,16 @@ 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 +951,26 @@ pub fn platform_expr_config_from_spec(
             if let Some(enabled) = trading.retry_empty_rebalance {
                 cfg.retry_empty_rebalance = enabled;
             }
+            if let Some(threshold) = trading
+                .weak_market_shrink_overweight_threshold
+                .filter(|value| value.is_finite() && *value > 0.0)
+            {
+                cfg.weak_market_shrink_overweight_threshold = Some(threshold);
+            }
+            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()
@@ -864,10 +1031,36 @@ pub fn platform_expr_config_from_spec(
         }
         if let Some(stock_ma_filter) = engine.stock_ma_filter.as_ref() {
             let ratio = stock_ma_filter.rsi_rate.unwrap_or(1.0001);
-            cfg.stock_filter_expr = format!(
+            let short_days = stock_ma_filter
-                "stock_ma_short > stock_ma_mid * {} && stock_ma_mid * {} > stock_ma_long",
+                .short_days
-                ratio, ratio
+                .unwrap_or(cfg.stock_short_ma_days);
-            );
+            let mid_days = stock_ma_filter.mid_days.unwrap_or(cfg.stock_mid_ma_days);
+            let long_days = stock_ma_filter.long_days.unwrap_or(cfg.stock_long_ma_days);
+            let mut conditions = vec![
+                format!(
+                    "{} > {} * {}",
+                    stock_close_ma_expr(short_days),
+                    stock_close_ma_expr(mid_days),
+                    ratio
+                ),
+                format!(
+                    "{} > {} * {}",
+                    stock_close_ma_expr(mid_days),
+                    stock_close_ma_expr(long_days),
+                    ratio
+                ),
+            ];
+            if let (Some(volume_short_days), Some(volume_long_days)) = (
+                stock_ma_filter.volume_short_days.filter(|value| *value > 0),
+                stock_ma_filter.volume_long_days.filter(|value| *value > 0),
+            ) {
+                conditions.push(format!(
+                    "{} < {}",
+                    stock_volume_ma_expr(volume_short_days),
+                    stock_volume_ma_expr(volume_long_days)
+                ));
+            }
+            cfg.stock_filter_expr = conditions.join(" && ");
         }
         if let Some(index_throttle) = engine.index_throttle.as_ref() {
             let ratio = index_throttle.rsi_rate.unwrap_or(1.0001);
@@ -930,6 +1123,28 @@ 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 +1153,23 @@ 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 +1247,24 @@ 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> {
@@ -1335,6 +1585,7 @@ mod tests {
                     "rotationEnabled": false,
                     "dailyTopUp": true,
                     "retryEmptyRebalance": true,
+                    "weakMarketShrinkOverweightThreshold": 1.1,
                     "stage": "open_auction",
                     "actions": [
                         {
@@ -1358,6 +1609,7 @@ mod tests {
         assert!(!cfg.rotation_enabled);
         assert!(cfg.daily_top_up_enabled);
         assert!(cfg.retry_empty_rebalance);
+        assert_eq!(cfg.weak_market_shrink_overweight_threshold, Some(1.1));
         assert!(!cfg.calendar_rebalance_interval);
         assert!(cfg.aiquant_transaction_cost);
         assert_eq!(cfg.explicit_actions.len(), 1);
@@ -1367,6 +1619,19 @@ mod tests {
         );
     }
 
+    #[test]
+    fn engine_config_parses_weak_market_shrink_overweight_threshold() {
+        let spec = serde_json::json!({
+            "engineConfig": {
+                "weakMarketShrinkOverweightThreshold": 1.2
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(cfg.weak_market_shrink_overweight_threshold, Some(1.2));
+    }
+
     #[test]
     fn parses_execution_cost_overrides_into_platform_config() {
         let spec = serde_json::json!({
@@ -1391,6 +1656,74 @@ 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 engine_stock_ma_filter_generates_price_and_volume_expr() {
+        let spec = serde_json::json!({
+            "engineConfig": {
+                "rankLimit": 40,
+                "stockMaFilter": {
+                    "shortDays": 5,
+                    "midDays": 10,
+                    "longDays": 30,
+                    "volumeShortDays": 5,
+                    "volumeLongDays": 100,
+                    "rsiRate": 1.00001
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+
+        assert_eq!(
+            cfg.stock_filter_expr,
+            "stock_ma5 > stock_ma10 * 1.00001 && stock_ma10 > stock_ma30 * 1.00001 && stock_volume_ma5 < stock_volume_ma100"
+        );
+    }
+
     #[test]
     fn aiquant_profile_defaults_to_daily_top_up_and_empty_retry() {
         let spec = serde_json::json!({
@@ -1497,4 +1830,73 @@ 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

@@ -20,6 +20,7 @@ pub struct Position {
     pub average_cost: f64,
     pub last_price: f64,
     pub realized_pnl: f64,
+    realized_entry_pnl: f64,
     pub trading_pnl: f64,
     pub position_pnl: f64,
     pub dividend_receivable: f64,
@@ -44,6 +45,7 @@ impl Position {
             average_cost: 0.0,
             last_price: 0.0,
             realized_pnl: 0.0,
+            realized_entry_pnl: 0.0,
             trading_pnl: 0.0,
             position_pnl: 0.0,
             dividend_receivable: 0.0,
@@ -66,6 +68,16 @@ 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 +85,28 @@ impl Position {
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
-            entry_price: price,
+            entry_price: execution_price,
-            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 {}",
@@ -95,6 +116,7 @@ impl Position {
 
         let mut remaining = quantity;
         let mut realized = 0.0;
+        let mut realized_entry = 0.0;
 
         while remaining > 0 {
             let Some(first_lot) = self.lots.first_mut() else {
@@ -102,7 +124,8 @@ 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;
+            realized_entry += (execution_price - first_lot.entry_price) * lot_sell as f64;
             first_lot.quantity -= lot_sell;
             remaining -= lot_sell;
 
@@ -112,11 +135,12 @@ impl Position {
         }
 
         self.quantity -= quantity;
-        self.last_price = price;
+        self.last_price = normalized_mark_price(mark_price, execution_price);
         self.realized_pnl += realized;
+        self.realized_entry_pnl += realized_entry;
         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)
@@ -138,10 +162,21 @@ impl Position {
         (self.last_price - self.average_cost) * self.quantity as f64
     }
 
+    pub fn unrealized_entry_pnl(&self) -> f64 {
+        let Some(avg_price) = self.average_entry_price() else {
+            return 0.0;
+        };
+        (self.last_price - avg_price) * self.quantity as f64
+    }
+
     pub fn pnl(&self) -> f64 {
         self.realized_pnl + self.unrealized_pnl()
     }
 
+    pub fn entry_pnl(&self) -> f64 {
+        self.realized_entry_pnl + self.unrealized_entry_pnl()
+    }
+
     pub fn day_start_quantity(&self) -> u32 {
         self.day_start_quantity
     }
@@ -356,6 +391,14 @@ 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,
@@ -738,21 +781,27 @@ impl PortfolioState {
         self.positions
             .values()
             .filter(|position| position.quantity > 0)
-            .map(|position| HoldingSummary {
+            .map(|position| {
+                let market_value = position.market_value();
+                let entry_average_cost = position
+                    .average_entry_price()
+                    .filter(|value| value.is_finite() && *value > 0.0)
+                    .unwrap_or(position.average_cost);
+                HoldingSummary {
                     date,
                     symbol: position.symbol.clone(),
                     quantity: position.quantity,
-                average_cost: position.average_cost,
+                    average_cost: entry_average_cost,
                     last_price: position.last_price,
-                market_value: position.market_value(),
+                    market_value,
                     value_percent: if total_equity > 0.0 {
-                    position.market_value() / total_equity
+                        market_value / total_equity
                     } else {
                         0.0
                     },
-                unrealized_pnl: position.unrealized_pnl(),
+                    unrealized_pnl: position.unrealized_entry_pnl(),
-                realized_pnl: position.realized_pnl,
+                    realized_pnl: position.realized_entry_pnl,
-                pnl: position.pnl(),
+                    pnl: position.entry_pnl(),
                     trading_pnl: position.trading_pnl,
                     position_pnl: position.position_pnl,
                     dividend_receivable: position.dividend_receivable,
@@ -765,6 +814,7 @@ impl PortfolioState {
                     sold_value: position.sold_value(),
                     transaction_cost: position.transaction_cost(),
                     day_trade_quantity_delta: position.day_trade_quantity_delta(),
+                }
             })
             .collect()
     }
@@ -788,6 +838,7 @@ impl PortfolioState {
         let old_quantity = old_position.quantity;
         let last_price = old_position.last_price;
         let realized_pnl = old_position.realized_pnl;
+        let realized_entry_pnl = old_position.realized_entry_pnl;
         let mut converted_lots = old_position
             .lots
             .into_iter()
@@ -824,6 +875,7 @@ impl PortfolioState {
         successor.lots.extend(converted_lots);
         successor.quantity = successor.lots.iter().map(|lot| lot.quantity).sum();
         successor.realized_pnl += realized_pnl;
+        successor.realized_entry_pnl += realized_entry_pnl;
         if converted_last_price > 0.0 {
             successor.last_price = converted_last_price;
         }
@@ -903,6 +955,31 @@ mod tests {
         assert!((position.holding_return(6.06).unwrap() - (6.06 / 5.66 - 1.0)).abs() < 1e-12);
     }
 
+    #[test]
+    fn holdings_summary_reports_entry_price_pnl_excluding_buy_commission() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut portfolio = PortfolioState::new(10_000.0);
+        {
+            let position = portfolio.position_mut("600561.SH");
+            position.buy(date, 100, 10.0);
+            position.record_buy_trade_cost(100, 5.0);
+            position.last_price = 10.5;
+        }
+
+        let summary = portfolio.holdings_summary(date);
+        assert_eq!(summary.len(), 1);
+        assert!((summary[0].average_cost - 10.0).abs() < 1e-12);
+        assert!((summary[0].unrealized_pnl - 50.0).abs() < 1e-12);
+        assert!((summary[0].realized_pnl - 0.0).abs() < 1e-12);
+        assert!(
+            portfolio
+                .position("600561.SH")
+                .expect("position")
+                .average_cost
+                > summary[0].average_cost
+        );
+    }
+
     #[test]
     fn cash_dividend_can_preserve_avg_cost_for_aiquant_compatibility() {
         let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
@@ -1009,6 +1086,7 @@ mod tests {
                         allow_sell: true,
                         is_kcb: false,
                         is_one_yuan: false,
+                        risk_level_code: None,
                     }],
                     vec![BenchmarkSnapshot {
                         date,
@@ -1095,6 +1173,7 @@ mod tests {
                         allow_sell: true,
                         is_kcb: false,
                         is_one_yuan: false,
+                        risk_level_code: None,
                     }],
                     vec![BenchmarkSnapshot {
                         date,

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 {
@@ -100,9 +111,10 @@ impl ChinaAShareRiskControl {
         if market.paused || candidate.is_paused {
             return Some("paused");
         }
-        if !candidate.allow_sell {
+        // `allow_sell` is derived from the daily candidate snapshot and may
-            return Some("sell_disabled");
+        // reflect an open/close fallback rather than the actual execution tick.
-        }
+        // A sell order must be blocked by the execution price lower-limit check
+        // below, while suspension and delisting are handled above.
         if market.is_at_lower_limit_price(check_price) {
             return Some("open at or below lower limit");
         }
@@ -123,3 +135,99 @@ impl ChinaAShareRiskControl {
         }
     }
 }
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    fn d(year: i32, month: u32, day: u32) -> NaiveDate {
+        NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
+    }
+
+    fn candidate(date: NaiveDate) -> CandidateEligibility {
+        CandidateEligibility {
+            date,
+            symbol: "002633.SZ".to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: false,
+            is_kcb: false,
+            is_one_yuan: false,
+            risk_level_code: None,
+        }
+    }
+
+    fn market(date: NaiveDate, last_price: f64, lower_limit: f64) -> DailyMarketSnapshot {
+        DailyMarketSnapshot {
+            date,
+            symbol: "002633.SZ".to_string(),
+            timestamp: Some(format!("{date} 10:18:00")),
+            day_open: last_price,
+            open: last_price,
+            high: last_price,
+            low: last_price,
+            close: last_price,
+            last_price,
+            bid1: last_price,
+            ask1: last_price,
+            prev_close: 6.25,
+            volume: 1_000_000,
+            tick_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 6.89,
+            lower_limit,
+            price_tick: 0.01,
+        }
+    }
+
+    fn position(prev_date: NaiveDate) -> Position {
+        let mut position = Position::new("002633.SZ");
+        position.buy(prev_date, 7_200, 8.48);
+        position
+    }
+
+    #[test]
+    fn sell_rejection_uses_execution_price_not_stale_allow_sell() {
+        let prev_date = d(2024, 4, 16);
+        let date = d(2024, 4, 17);
+        let candidate = candidate(date);
+        let market = market(date, 6.27, 5.63);
+        let position = position(prev_date);
+
+        let reason = ChinaAShareRiskControl::sell_rejection_reason(
+            date,
+            &candidate,
+            &market,
+            None,
+            Some(&position),
+            6.27,
+        );
+
+        assert_eq!(reason, None);
+    }
+
+    #[test]
+    fn sell_rejection_blocks_execution_price_at_lower_limit() {
+        let prev_date = d(2024, 4, 16);
+        let date = d(2024, 4, 17);
+        let candidate = candidate(date);
+        let market = market(date, 5.63, 5.63);
+        let position = position(prev_date);
+
+        let reason = ChinaAShareRiskControl::sell_rejection_reason(
+            date,
+            &candidate,
+            &market,
+            None,
+            Some(&position),
+            5.63,
+        );
+
+        assert_eq!(reason, Some("open at or below lower limit"));
+    }
+}

crates/fidc-core/src/strategy.rs

@@ -40,6 +40,15 @@ pub trait Strategy {
     fn schedule_rules(&self) -> Vec<ScheduleRule> {
         Vec::new()
     }
+    fn decision_quote_times(&self) -> Vec<NaiveTime> {
+        Vec::new()
+    }
+    fn decision_quote_symbols(
+        &mut self,
+        _ctx: &StrategyContext<'_>,
+    ) -> Result<BTreeSet<String>, BacktestError> {
+        Ok(BTreeSet::new())
+    }
     fn on_scheduled(
         &mut self,
         _ctx: &StrategyContext<'_>,
@@ -980,6 +989,14 @@ pub enum OrderIntent {
         target_value: f64,
         reason: String,
     },
+    TimedTargetValue {
+        symbol: String,
+        target_value: f64,
+        style: AlgoOrderStyle,
+        start_time: Option<NaiveTime>,
+        end_time: Option<NaiveTime>,
+        reason: String,
+    },
     LimitTargetValue {
         symbol: String,
         target_value: f64,
@@ -1536,6 +1553,8 @@ 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 +1581,8 @@ 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 +1611,8 @@ 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 +2291,33 @@ 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
+            let Some(volume_ma5) = ctx.data.market_decision_volume_moving_average(
-                .data
+                date,
-                .market_decision_volume_moving_average(date, symbol, 5)
+                symbol,
-            else {
+                self.config.stock_volume_short_ma_days,
+            ) else {
                 return false;
             };
-            let Some(volume_ma60) = ctx
+            let Some(volume_ma_long) = ctx.data.market_decision_volume_moving_average(
-                .data
+                date,
-                .market_decision_volume_moving_average(date, symbol, 60)
+                symbol,
-            else {
+                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 +2510,6 @@ 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 +2678,6 @@ 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 +2701,8 @@ 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/src/strategy_ai.rs

@@ -277,7 +277,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                     ManualField { name: "latest_symbol_open_order_status/latest_symbol_open_order_unfilled_qty".to_string(), field_type: "string/int".to_string(), detail: "当前证券最近一笔挂单的状态和未成交数量。".to_string() },
                     ManualField { name: "in_dynamic_universe/is_subscribed".to_string(), field_type: "bool".to_string(), detail: "当前证券是否在动态 universe 内，以及是否仍在订阅集合中。".to_string() },
                     ManualField { name: "stock_ma5/stock_ma10/stock_ma20/stock_ma30".to_string(), field_type: "float".to_string(), detail: "个股价格均线内建别名，按当前交易日前 N 个已完成交易日的收盘价计算；历史窗口不足时为 NaN，比较条件会自然不通过；15 日、45 日等任意窗口请改用 sma(\"close\", n)。".to_string() },
-                    ManualField { name: "stock_volume_ma5/stock_volume_ma10/stock_volume_ma20/stock_volume_ma60".to_string(), field_type: "float".to_string(), detail: "个股成交量均线内建别名，按当前交易日前 N 个已完成交易日的成交量计算，不包含回测当天未来成交量；历史窗口不足时为 NaN，比较条件会自然不通过；任意窗口请改用 rolling_mean(\"volume\", n)。".to_string() },
+                    ManualField { name: "stock_volume_ma5/stock_volume_ma10/stock_volume_ma20/stock_volume_ma60/stock_volume_ma100".to_string(), field_type: "float".to_string(), detail: "个股成交量均线内建别名，按当前交易日前 N 个已完成交易日的成交量计算，不包含回测当天未来成交量；历史窗口不足时为 NaN，比较条件会自然不通过；任意窗口请改用 rolling_mean(\"volume\", n)。".to_string() },
                     ManualField { name: "factors[\"field\"] / factor(\"field\")".to_string(), field_type: "float/string".to_string(), detail: "当前证券当日可用因子。默认可用字段以手册的“可用指标、参数和字段”清单为准；自定义因子需要预先写入策略数据或 extra_factors。数值字段返回数字，字符串字段返回字符串。".to_string() },
                     ManualField { name: "listed_days".to_string(), field_type: "int".to_string(), detail: "上市天数。".to_string() },
                 ],

crates/fidc-core/tests/core_rules.rs

@@ -23,6 +23,7 @@ fn candidate() -> CandidateEligibility {
         allow_sell: true,
         is_kcb: false,
         is_one_yuan: false,
+        risk_level_code: None,
     }
 }
 
@@ -175,7 +176,7 @@ 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 +185,13 @@ 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 +207,19 @@ 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/corporate_actions.rs

@@ -221,6 +221,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: ex_date,
@@ -232,6 +233,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: payable_date,
@@ -243,6 +245,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![

crates/fidc-core/tests/decision_quote_preload.rs

@@ -0,0 +1,646 @@
+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,
+                risk_level_code: None,
+            },
+            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,
+                risk_level_code: None,
+            },
+        ],
+        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");
+}
+
+#[test]
+fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
+    let first = d(2026, 1, 5);
+    let second = d(2026, 1, 6);
+    let data = DataSet::from_components_with_actions_and_quotes(
+        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,
+                risk_level_code: None,
+            },
+            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,
+                risk_level_code: None,
+            },
+        ],
+        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,
+            },
+        ],
+        Vec::new(),
+        vec![
+            IntradayExecutionQuote {
+                date: first,
+                symbol: "000001.SZ".to_string(),
+                timestamp: first.and_time(t(10, 39, 59)),
+                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()),
+            },
+            IntradayExecutionQuote {
+                date: second,
+                symbol: "000001.SZ".to_string(),
+                timestamp: second.and_time(t(10, 39, 59)),
+                last_price: 11.0,
+                bid1: 11.0,
+                ask1: 11.0,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                volume_delta: 10_000,
+                amount_delta: 100_000.0,
+                trading_phase: Some("continuous".to_string()),
+            },
+        ],
+    )
+    .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 loader_calls = Arc::new(Mutex::new(0usize));
+    let captured_loader_calls = Arc::clone(&loader_calls);
+    let mut engine = BacktestEngine::new(data, DecisionQuoteReader::default(), broker, config)
+        .with_execution_quote_loader(move |_| {
+            *captured_loader_calls.lock().expect("loader mutex") += 1;
+            Ok(Vec::new())
+        });
+
+    engine.run().expect("backtest should run");
+    assert_eq!(
+        *loader_calls.lock().expect("loader mutex"),
+        0,
+        "preloaded execution quotes should satisfy decision-time quote requests"
+    );
+}
+
+#[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,
+                risk_level_code: None,
+            },
+            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,
+                risk_level_code: None,
+            },
+        ],
+        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/delisting.rs

@@ -180,6 +180,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date1,
@@ -191,6 +192,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date2,
@@ -202,6 +204,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![
@@ -400,6 +403,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date1,
@@ -411,6 +415,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date2,
@@ -422,6 +427,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![

crates/fidc-core/tests/engine_hooks.rs

@@ -87,6 +87,7 @@ fn single_day_anchor_data(date: NaiveDate) -> DataSet {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -154,6 +155,7 @@ fn candidate_row(date: NaiveDate, symbol: &str) -> CandidateEligibility {
         allow_sell: true,
         is_kcb: false,
         is_one_yuan: false,
+        risk_level_code: None,
     }
 }
 
@@ -1116,6 +1118,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date2,
@@ -1127,6 +1130,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![
@@ -1273,6 +1277,7 @@ fn engine_executes_open_auction_decisions_before_on_day() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1371,6 +1376,7 @@ fn engine_executes_futures_order_intents_against_future_account() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1960,6 +1966,7 @@ fn engine_runs_subscribed_tick_hooks_and_executes_tick_orders() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2143,6 +2150,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
         allow_sell: true,
         is_kcb: false,
         is_one_yuan: false,
+        risk_level_code: None,
     })
     .collect::<Vec<_>>();
     let benchmarks = [
@@ -2302,6 +2310,7 @@ fn strategy_context_exposes_final_order_runtime_view() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2555,6 +2564,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date2,
@@ -2566,6 +2576,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![
@@ -2737,6 +2748,7 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date2,
@@ -2748,6 +2760,7 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![
@@ -2938,6 +2951,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date2,
@@ -2949,6 +2963,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date3,
@@ -2960,6 +2975,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![
@@ -3184,6 +3200,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date2,
@@ -3195,6 +3212,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: date3,
@@ -3206,6 +3224,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![
@@ -3538,6 +3557,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
                     allow_sell: true,
                     is_kcb: false,
                     is_one_yuan: false,
+                    risk_level_code: None,
                 },
                 CandidateEligibility {
                     date: *date,
@@ -3549,6 +3569,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
                     allow_sell: true,
                     is_kcb: false,
                     is_one_yuan: false,
+                    risk_level_code: None,
                 },
             ]
         })
@@ -3671,6 +3692,7 @@ fn engine_exposes_current_process_context_to_strategies() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,

crates/fidc-core/tests/explicit_order_flow.rs

@@ -61,6 +61,7 @@ fn order_value_rounding_data(date: NaiveDate, symbol: &str, price: f64) -> DataS
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -165,6 +166,7 @@ fn broker_executes_explicit_order_value_buy() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -314,6 +316,7 @@ fn broker_delayed_limit_open_sell_uses_tick_price() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -445,6 +448,7 @@ fn broker_executes_order_shares_and_order_lots() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -570,6 +574,7 @@ fn broker_executes_target_shares_like_order_to() {
             allow_buy: true,
             allow_sell: true,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -726,6 +731,7 @@ fn broker_executes_target_portfolio_smart_with_custom_prices() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date,
@@ -737,6 +743,7 @@ fn broker_executes_target_portfolio_smart_with_custom_prices() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![BenchmarkSnapshot {
@@ -867,6 +874,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1007,6 +1015,7 @@ fn broker_executes_order_percent_and_target_percent() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1127,6 +1136,7 @@ fn broker_uses_day_open_price_for_open_auction_matching() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1230,6 +1240,7 @@ fn broker_open_auction_uses_auction_volume_without_quote_liquidity() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1330,6 +1341,7 @@ fn broker_cancels_buy_when_open_hits_upper_limit() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1442,6 +1454,7 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1541,6 +1554,7 @@ fn broker_applies_dynamic_slippage_on_snapshot_fills() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1645,6 +1659,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1701,6 +1716,9 @@ 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]
@@ -1759,6 +1777,7 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1865,6 +1884,7 @@ fn broker_executes_intraday_last_on_start_quote_without_trade_delta() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -1980,6 +2000,7 @@ fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2107,6 +2128,7 @@ fn broker_cancels_market_buy_when_tick_has_no_volume() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2210,6 +2232,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2370,6 +2393,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2514,6 +2538,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2671,6 +2696,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2830,6 +2856,7 @@ fn broker_uses_best_own_price_for_intraday_matching() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -2944,6 +2971,7 @@ fn broker_uses_best_counterparty_price_for_intraday_matching() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -3108,6 +3136,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
                 allow_sell: false,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date,
@@ -3119,6 +3148,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![BenchmarkSnapshot {
@@ -3295,6 +3325,7 @@ fn rebalance_uses_prev_close_for_open_auction_valuation() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date,
@@ -3306,6 +3337,7 @@ fn rebalance_uses_prev_close_for_open_auction_valuation() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![BenchmarkSnapshot {
@@ -3476,6 +3508,7 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date,
@@ -3487,6 +3520,7 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![BenchmarkSnapshot {
@@ -3612,6 +3646,7 @@ fn broker_uses_board_specific_min_quantity_and_step_size_for_buy_sizing() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -3710,6 +3745,7 @@ fn broker_allows_bjse_quantities_above_minimum_without_round_lot_step() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -3810,6 +3846,7 @@ fn broker_allows_full_odd_lot_sell_when_liquidating_position() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,
@@ -3924,6 +3961,7 @@ fn same_day_sell_then_rebuy_reinserts_position_at_end() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         })
         .collect::<Vec<_>>();
     let data = DataSet::from_components(
@@ -4091,6 +4129,7 @@ fn two_day_limit_order_data(day1_open: f64, day2_open: f64) -> DataSet {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: day2,
@@ -4102,6 +4141,7 @@ fn two_day_limit_order_data(day1_open: f64, day2_open: f64) -> DataSet {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![
@@ -4234,6 +4274,50 @@ 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();
@@ -4455,6 +4539,7 @@ fn broker_reserves_sellable_quantity_for_open_limit_sells() {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }],
         vec![BenchmarkSnapshot {
             date,