懒加载日线序列缓存降低回测内存

This reverts commit 7ce28e6d0f.

crates/fidc-core/src/broker.rs

@@ -908,6 +908,29 @@ where
                 commission_state,
                 report,
             ),
+            OrderIntent::TimedTargetValue {
+                symbol,
+                target_value,
+                style,
+                start_time,
+                end_time,
+                reason,
+            } => self.process_timed_target_value(
+                date,
+                portfolio,
+                data,
+                symbol,
+                *target_value,
+                *style,
+                *start_time,
+                *end_time,
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                commission_state,
+                report,
+            ),
             OrderIntent::LimitTargetValue {
                 symbol,
                 target_value,
@@ -2030,6 +2053,34 @@ where
         }
     }
 
+    fn aiquant_order_limit_check_price(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+        algo_request: Option<&AlgoExecutionRequest>,
+    ) -> f64 {
+        let matching_type = self.matching_type_for_algo_request(algo_request);
+        let start_cursor = algo_request
+            .and_then(|request| request.start_time)
+            .or(self.runtime_intraday_start_time.get())
+            .or(self.intraday_execution_start_time)
+            .map(|start_time| date.and_time(start_time));
+        self.latest_known_quote_at_or_before(
+            data.execution_quotes_on(date, symbol),
+            start_cursor,
+            snapshot,
+            side,
+            matching_type,
+            false,
+        )
+        .and_then(|quote| self.select_quote_reference_price(snapshot, quote, side, matching_type))
+        .unwrap_or_else(|| self.aiquant_limit_check_price(snapshot, side))
+    }
+
+    #[cfg(test)]
     fn buy_rule_check(
         &self,
         date: NaiveDate,
@@ -2059,16 +2110,68 @@ where
         RuleCheck::allow()
     }
 
-    fn sell_rule_check(
+    fn buy_rule_check_for_order(
         &self,
         date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        candidate: &crate::data::CandidateEligibility,
+        instrument: Option<&Instrument>,
+        algo_request: Option<&AlgoExecutionRequest>,
+    ) -> RuleCheck {
+        let check_price = if self.aiquant_rqalpha_execution_rules {
+            self.aiquant_order_limit_check_price(
+                date,
+                data,
+                symbol,
+                snapshot,
+                OrderSide::Buy,
+                algo_request,
+            )
+        } else {
+            ChinaAShareRiskControl::buy_check_price(snapshot, self.execution_price_field)
+        };
+        if let Some(reason) = ChinaAShareRiskControl::buy_rejection_reason(
+            date,
+            candidate,
+            snapshot,
+            instrument,
+            check_price,
+        ) {
+            return RuleCheck::reject(reason);
+        }
+        if !self.aiquant_rqalpha_execution_rules {
+            return self
+                .rules
+                .can_buy(date, snapshot, candidate, self.execution_price_field);
+        }
+        RuleCheck::allow()
+    }
+
+    fn sell_rule_check_for_order(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbol: &str,
         snapshot: &crate::data::DailyMarketSnapshot,
         candidate: &crate::data::CandidateEligibility,
         instrument: Option<&Instrument>,
         position: &crate::portfolio::Position,
+        algo_request: Option<&AlgoExecutionRequest>,
     ) -> RuleCheck {
+        if !self.aiquant_rqalpha_execution_rules && !candidate.allow_sell {
+            return RuleCheck::reject("sell_disabled");
+        }
         let check_price = if self.aiquant_rqalpha_execution_rules {
-            self.aiquant_limit_check_price(snapshot, OrderSide::Sell)
+            self.aiquant_order_limit_check_price(
+                date,
+                data,
+                symbol,
+                snapshot,
+                OrderSide::Sell,
+                algo_request,
+            )
         } else {
             ChinaAShareRiskControl::sell_check_price(snapshot, self.execution_price_field)
         };
@@ -2116,8 +2219,16 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule =
-            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
+        let rule = self.sell_rule_check_for_order(
+            date,
+            data,
+            symbol,
+            snapshot,
+            candidate,
+            data.instrument(symbol),
+            position,
+            None,
+        );
         if !rule.allowed {
             return current_qty;
         }
@@ -2155,7 +2266,15 @@ where
         let Ok(candidate) = data.require_candidate(date, symbol) else {
             return current_qty;
         };
-        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
+        let rule = self.buy_rule_check_for_order(
+            date,
+            data,
+            symbol,
+            snapshot,
+            candidate,
+            data.instrument(symbol),
+            None,
+        );
         if !rule.allowed {
             return current_qty;
         }
@@ -2199,8 +2318,16 @@ where
         let position = portfolio.position(symbol)?;
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule =
-            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
+        let rule = self.sell_rule_check_for_order(
+            date,
+            data,
+            symbol,
+            snapshot,
+            candidate,
+            data.instrument(symbol),
+            position,
+            None,
+        );
         if !rule.allowed {
             return rule.reason;
         }
@@ -2240,7 +2367,15 @@ where
     ) -> Option<String> {
         let snapshot = data.require_market(date, symbol).ok()?;
         let candidate = data.require_candidate(date, symbol).ok()?;
-        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
+        let rule = self.buy_rule_check_for_order(
+            date,
+            data,
+            symbol,
+            snapshot,
+            candidate,
+            data.instrument(symbol),
+            None,
+        );
         if !rule.allowed {
             return rule.reason;
         }
@@ -2310,8 +2445,16 @@ where
             );
         }
 
-        let rule =
-            self.sell_rule_check(date, snapshot, candidate, data.instrument(symbol), position);
+        let rule = self.sell_rule_check_for_order(
+            date,
+            data,
+            symbol,
+            snapshot,
+            candidate,
+            data.instrument(symbol),
+            position,
+            algo_request,
+        );
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
@@ -2891,6 +3034,118 @@ where
         Ok(())
     }
 
+    #[allow(clippy::too_many_arguments)]
+    fn process_timed_target_value(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        symbol: &str,
+        target_value: f64,
+        style: AlgoOrderStyle,
+        start_time: Option<NaiveTime>,
+        end_time: Option<NaiveTime>,
+        reason: &str,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
+        report: &mut BrokerExecutionReport,
+    ) -> Result<(), BacktestError> {
+        let snapshot = data
+            .market(date, symbol)
+            .ok_or_else(|| BacktestError::MissingPrice {
+                date,
+                symbol: symbol.to_string(),
+                field: price_field_name(self.execution_price_field),
+            })?;
+        let current_qty = portfolio
+            .position(symbol)
+            .map(|pos| pos.quantity)
+            .unwrap_or(0);
+        let algo_request = AlgoExecutionRequest {
+            style: match style {
+                AlgoOrderStyle::Vwap => AlgoExecutionStyle::Vwap,
+                AlgoOrderStyle::Twap => AlgoExecutionStyle::Twap,
+            },
+            start_time,
+            end_time,
+        };
+
+        if target_value <= f64::EPSILON {
+            if current_qty == 0 {
+                report.order_events.push(OrderEvent {
+                    date,
+                    order_id: None,
+                    symbol: symbol.to_string(),
+                    side: OrderSide::Sell,
+                    requested_quantity: 0,
+                    filled_quantity: 0,
+                    status: OrderStatus::Filled,
+                    reason: format!("{reason}: already at target value"),
+                });
+                return Ok(());
+            }
+            self.process_sell(
+                date,
+                portfolio,
+                data,
+                symbol,
+                current_qty,
+                self.reserve_order_id(),
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                commission_state,
+                None,
+                false,
+                true,
+                Some(&algo_request),
+                report,
+            )?;
+            return Ok(());
+        }
+
+        let valuation_price = self.target_value_valuation_price(date, data, symbol, snapshot);
+        let current_value = valuation_price * current_qty as f64;
+        let cash_delta = target_value.max(0.0) - current_value;
+        if cash_delta.abs() > f64::EPSILON {
+            self.process_algo_value(
+                date,
+                portfolio,
+                data,
+                symbol,
+                cash_delta,
+                style,
+                start_time,
+                end_time,
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                commission_state,
+                report,
+            )?;
+        } else {
+            report.order_events.push(OrderEvent {
+                date,
+                order_id: None,
+                symbol: symbol.to_string(),
+                side: if current_qty > 0 {
+                    OrderSide::Sell
+                } else {
+                    OrderSide::Buy
+                },
+                requested_quantity: 0,
+                filled_quantity: 0,
+                status: OrderStatus::Filled,
+                reason: format!("{reason}: already at target value"),
+            });
+        }
+        Ok(())
+    }
+
     fn process_target_shares(
         &self,
         date: NaiveDate,
@@ -3765,7 +4020,15 @@ where
             );
         }
 
-        let rule = self.buy_rule_check(date, snapshot, candidate, data.instrument(symbol));
+        let rule = self.buy_rule_check_for_order(
+            date,
+            data,
+            symbol,
+            snapshot,
+            candidate,
+            data.instrument(symbol),
+            algo_request,
+        );
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
@@ -5137,6 +5400,7 @@ mod tests {
     use crate::instrument::Instrument;
     use crate::portfolio::PortfolioState;
     use crate::rules::ChinaEquityRuleHooks;
+    use crate::strategy::AlgoOrderStyle;
 
     fn limit_test_snapshot() -> DailyMarketSnapshot {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
@@ -5194,6 +5458,7 @@ mod tests {
             allow_sell,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         }
     }
 
@@ -5282,6 +5547,87 @@ mod tests {
         );
     }
 
+    #[test]
+    fn timed_target_value_zero_sells_full_position_at_requested_time_quote() {
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
+        let prev_date = chrono::NaiveDate::from_ymd_opt(2025, 1, 1).expect("valid date");
+        let symbol = "000001.SZ";
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_intraday_execution_start_time(date.and_hms_opt(10, 18, 0).unwrap().time())
+        .with_matching_type(MatchingType::NextTickLast)
+        .with_slippage_model(SlippageModel::PriceRatio(0.001))
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+        let mut snapshot = limit_test_snapshot();
+        snapshot.symbol = symbol.to_string();
+        snapshot.last_price = 4.21;
+        snapshot.close = 4.21;
+        snapshot.bid1 = 4.20;
+        snapshot.ask1 = 4.22;
+        snapshot.prev_close = 4.15;
+        snapshot.upper_limit = 4.98;
+        snapshot.lower_limit = 3.32;
+        let mut quote_0931 = limit_test_quote(4.11, 4.10, 4.12);
+        quote_0931.symbol = symbol.to_string();
+        quote_0931.timestamp = date.and_hms_opt(9, 31, 0).expect("valid timestamp");
+        let mut quote_1018 = limit_test_quote(4.21, 4.20, 4.22);
+        quote_1018.symbol = symbol.to_string();
+        quote_1018.timestamp = date.and_hms_opt(10, 18, 0).expect("valid timestamp");
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![limit_test_candidate(true, true)],
+            vec![limit_test_benchmark()],
+            Vec::new(),
+            vec![quote_0931, quote_1018],
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(1_000_000.0);
+        portfolio.position_mut(symbol).buy(prev_date, 72_600, 4.0);
+        portfolio.apply_cash_delta(-290_400.0);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_timed_target_value(
+                date,
+                &mut portfolio,
+                &data,
+                symbol,
+                0.0,
+                AlgoOrderStyle::Twap,
+                Some(date.and_hms_opt(9, 31, 0).unwrap().time()),
+                Some(date.and_hms_opt(9, 31, 0).unwrap().time()),
+                "risk_forced_exit",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("timed target value");
+
+        assert!(
+            !report.fill_events.is_empty(),
+            "order_events={:?}",
+            report.order_events
+        );
+        let fill = report.fill_events.last().expect("fill event");
+        assert_eq!(fill.quantity, 72_600);
+        assert!((fill.price - 4.10589).abs() < 1e-6, "{fill:?}");
+        assert_eq!(
+            portfolio
+                .position(symbol)
+                .map(|position| position.quantity)
+                .unwrap_or(0),
+            0
+        );
+    }
+
     #[test]
     fn aiquant_target_value_delta_uses_scheduled_mark_price() {
         let date = chrono::NaiveDate::from_ymd_opt(2023, 5, 8).expect("valid date");
@@ -5361,6 +5707,7 @@ mod tests {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             }],
             vec![BenchmarkSnapshot {
                 date,
@@ -5773,4 +6120,94 @@ mod tests {
         assert_eq!(fill.quantity, 0);
         assert_eq!(fill.unfilled_reason, Some("open at or below lower limit"));
     }
+
+    #[test]
+    fn aiquant_sell_rule_uses_intraday_quote_when_daily_snapshot_is_stale_lower_limit() {
+        let date = chrono::NaiveDate::from_ymd_opt(2024, 4, 17).expect("valid date");
+        let prev_date = chrono::NaiveDate::from_ymd_opt(2024, 4, 16).expect("valid date");
+        let symbol = "000001.SZ";
+        let broker = BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks,
+            PriceField::Last,
+        )
+        .with_aiquant_rqalpha_execution_rules(true)
+        .with_intraday_execution_start_time(date.and_hms_opt(10, 18, 0).unwrap().time())
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_inactive_limit(false)
+        .with_slippage_model(SlippageModel::None);
+
+        let mut snapshot = limit_test_snapshot();
+        snapshot.date = date;
+        snapshot.timestamp = Some("2024-04-17 10:18:00".to_string());
+        snapshot.day_open = 9.0;
+        snapshot.open = 9.0;
+        snapshot.high = 10.0;
+        snapshot.low = 9.0;
+        snapshot.close = 9.9;
+        snapshot.last_price = 9.0;
+        snapshot.bid1 = 9.0;
+        snapshot.ask1 = 9.0;
+        snapshot.prev_close = 10.0;
+        snapshot.upper_limit = 11.0;
+        snapshot.lower_limit = 9.0;
+        let mut candidate = limit_test_candidate(true, false);
+        candidate.date = date;
+        let mut quote = limit_test_quote(10.0, 9.99, 10.0);
+        quote.date = date;
+        quote.timestamp = date.and_hms_opt(10, 18, 0).unwrap();
+        quote.last_price = 10.0;
+        quote.bid1 = 9.99;
+        quote.ask1 = 10.0;
+
+        let data = DataSet::from_components_with_actions_and_quotes(
+            vec![limit_test_instrument()],
+            vec![snapshot],
+            Vec::new(),
+            vec![candidate],
+            vec![BenchmarkSnapshot {
+                date,
+                benchmark: "000852.SH".to_string(),
+                open: 1000.0,
+                close: 1000.0,
+                prev_close: 1000.0,
+                volume: 1_000_000,
+            }],
+            Vec::new(),
+            vec![quote],
+        )
+        .expect("valid dataset");
+        let mut portfolio = PortfolioState::new(100.0);
+        portfolio.position_mut(symbol).buy(prev_date, 7_200, 8.48);
+        let mut report = BrokerExecutionReport::default();
+
+        broker
+            .process_target_value(
+                date,
+                &mut portfolio,
+                &data,
+                symbol,
+                0.0,
+                "stop_loss_exit",
+                &mut BTreeMap::new(),
+                &mut BTreeMap::new(),
+                &mut None,
+                &mut BTreeMap::new(),
+                &mut report,
+            )
+            .expect("target sell processed");
+
+        assert_eq!(report.fill_events.len(), 1);
+        assert_eq!(report.fill_events[0].quantity, 7_200);
+        assert!(portfolio.position(symbol).is_none());
+        assert!(
+            report
+                .order_events
+                .iter()
+                .all(|event| !event.reason.contains("open at or below lower limit")),
+            "{:?}",
+            report.order_events
+        );
+    }
 }

crates/fidc-core/src/data.rs

@@ -1,6 +1,7 @@
 use std::collections::{BTreeMap, HashMap, HashSet};
 use std::fs;
 use std::path::Path;
+use std::sync::{Arc, OnceLock, RwLock};
 
 use chrono::{NaiveDate, NaiveDateTime};
 use serde::{Deserialize, Serialize};
@@ -207,6 +208,8 @@ pub struct CandidateEligibility {
     pub allow_sell: bool,
     pub is_kcb: bool,
     pub is_one_yuan: bool,
+    #[serde(default)]
+    pub risk_level_code: Option<String>,
 }
 
 impl CandidateEligibility {
@@ -364,6 +367,17 @@ pub struct DailySnapshotBundle {
     pub corporate_actions: Vec<CorporateAction>,
 }
 
+#[derive(Debug, Clone)]
+pub struct DataSetSnapshotComponents {
+    pub instruments: Vec<Instrument>,
+    pub market: Vec<DailyMarketSnapshot>,
+    pub factors: Vec<DailyFactorSnapshot>,
+    pub candidates: Vec<CandidateEligibility>,
+    pub benchmarks: Vec<BenchmarkSnapshot>,
+    pub corporate_actions: Vec<CorporateAction>,
+    pub execution_quotes: Vec<IntradayExecutionQuote>,
+}
+
 #[derive(Debug, Clone, Serialize)]
 pub struct PriceBar {
     #[serde(with = "date_format")]
@@ -466,7 +480,17 @@ pub fn decision_adjusted_cap_bn(
     raw_cap_bn * market.prev_close / market.close
 }
 
+fn factor_market_cap_is_decision_adjusted(factor: &DailyFactorSnapshot) -> bool {
+    factor
+        .extra_factors
+        .get("__market_cap_decision_adjusted")
+        .is_some_and(|value| value.is_finite() && *value > 0.0)
+}
+
 pub fn decision_market_cap_bn(factor: &DailyFactorSnapshot, market: &DailyMarketSnapshot) -> f64 {
+    if factor_market_cap_is_decision_adjusted(factor) {
+        return factor.market_cap_bn;
+    }
     decision_adjusted_cap_bn(factor.date, factor.market_cap_bn, market)
 }
 
@@ -474,18 +498,35 @@ pub fn decision_free_float_cap_bn(
     factor: &DailyFactorSnapshot,
     market: &DailyMarketSnapshot,
 ) -> f64 {
+    if factor_market_cap_is_decision_adjusted(factor) {
+        return factor.free_float_cap_bn;
+    }
     decision_adjusted_cap_bn(factor.date, factor.free_float_cap_bn, market)
 }
 
 #[derive(Debug, Clone)]
 struct SymbolPriceSeries {
-    snapshots: Vec<DailyMarketSnapshot>,
+    symbol: String,
     dates: Vec<NaiveDate>,
+    timestamps: Vec<Option<String>>,
+    day_opens: Vec<f64>,
     opens: Vec<f64>,
+    highs: Vec<f64>,
+    lows: Vec<f64>,
     closes: Vec<f64>,
     prev_closes: Vec<f64>,
     last_prices: Vec<f64>,
-    volumes: Vec<f64>,
+    bid1s: Vec<f64>,
+    ask1s: Vec<f64>,
+    volumes: Vec<u64>,
+    tick_volumes: Vec<u64>,
+    bid1_volumes: Vec<u64>,
+    ask1_volumes: Vec<u64>,
+    trading_phases: Vec<Option<String>>,
+    paused: Vec<bool>,
+    upper_limits: Vec<f64>,
+    lower_limits: Vec<f64>,
+    price_ticks: Vec<f64>,
     open_prefix: Vec<f64>,
     close_prefix: Vec<f64>,
     prev_close_prefix: Vec<f64>,
@@ -494,33 +535,71 @@ struct SymbolPriceSeries {
 }
 
 impl SymbolPriceSeries {
-    fn new(rows: &[DailyMarketSnapshot]) -> Self {
-        let mut sorted = rows.to_vec();
+    fn new<'a, I>(symbol: String, rows: I) -> Self
+    where
+        I: IntoIterator<Item = &'a DailyMarketSnapshot>,
+    {
+        let mut sorted = rows.into_iter().collect::<Vec<_>>();
         sorted.sort_by_key(|row| row.date);
 
         let dates = sorted.iter().map(|row| row.date).collect::<Vec<_>>();
+        let timestamps = sorted
+            .iter()
+            .map(|row| row.timestamp.clone())
+            .collect::<Vec<_>>();
+        let day_opens = sorted.iter().map(|row| row.day_open).collect::<Vec<_>>();
         let opens = sorted.iter().map(|row| row.open).collect::<Vec<_>>();
+        let highs = sorted.iter().map(|row| row.high).collect::<Vec<_>>();
+        let lows = sorted.iter().map(|row| row.low).collect::<Vec<_>>();
         let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
         let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
         let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
-        let volumes = sorted
+        let bid1s = sorted.iter().map(|row| row.bid1).collect::<Vec<_>>();
+        let ask1s = sorted.iter().map(|row| row.ask1).collect::<Vec<_>>();
+        let volumes = sorted.iter().map(|row| row.volume).collect::<Vec<_>>();
+        let tick_volumes = sorted.iter().map(|row| row.tick_volume).collect::<Vec<_>>();
+        let bid1_volumes = sorted.iter().map(|row| row.bid1_volume).collect::<Vec<_>>();
+        let ask1_volumes = sorted.iter().map(|row| row.ask1_volume).collect::<Vec<_>>();
+        let trading_phases = sorted
             .iter()
-            .map(|row| row.volume as f64)
+            .map(|row| row.trading_phase.clone())
             .collect::<Vec<_>>();
+        let paused = sorted.iter().map(|row| row.paused).collect::<Vec<_>>();
+        let upper_limits = sorted.iter().map(|row| row.upper_limit).collect::<Vec<_>>();
+        let lower_limits = sorted.iter().map(|row| row.lower_limit).collect::<Vec<_>>();
+        let price_ticks = sorted.iter().map(|row| row.price_tick).collect::<Vec<_>>();
         let open_prefix = prefix_sums(&opens);
         let close_prefix = prefix_sums(&closes);
         let prev_close_prefix = prefix_sums(&prev_closes);
         let last_prefix = prefix_sums(&last_prices);
-        let volume_prefix = prefix_sums(&volumes);
+        let volume_values = volumes
+            .iter()
+            .map(|value| *value as f64)
+            .collect::<Vec<_>>();
+        let volume_prefix = prefix_sums(&volume_values);
 
         Self {
-            snapshots: sorted,
+            symbol,
             dates,
+            timestamps,
+            day_opens,
             opens,
+            highs,
+            lows,
             closes,
             prev_closes,
             last_prices,
+            bid1s,
+            ask1s,
             volumes,
+            tick_volumes,
+            bid1_volumes,
+            ask1_volumes,
+            trading_phases,
+            paused,
+            upper_limits,
+            lower_limits,
+            price_ticks,
             open_prefix,
             close_prefix,
             prev_close_prefix,
@@ -548,7 +627,7 @@ impl SymbolPriceSeries {
             return Vec::new();
         };
         let start = end.saturating_sub(lookback);
-        self.values_for(field)[start..end].to_vec()
+        self.price_values_for(field)[start..end].to_vec()
     }
 
     fn trailing_snapshots(
@@ -569,7 +648,31 @@ impl SymbolPriceSeries {
             return Vec::new();
         };
         let start = end.saturating_sub(lookback);
-        self.snapshots[start..end].to_vec()
+        (start..end).map(|index| self.snapshot_at(index)).collect()
+    }
+
+    fn trailing_numeric_values(
+        &self,
+        date: NaiveDate,
+        lookback: usize,
+        field: &str,
+        include_now: bool,
+    ) -> Vec<f64> {
+        if lookback == 0 {
+            return Vec::new();
+        }
+        let end = if include_now {
+            self.end_index(date)
+        } else {
+            self.previous_completed_end_index(date)
+        };
+        let Some(end) = end else {
+            return Vec::new();
+        };
+        let start = end.saturating_sub(lookback);
+        (start..end)
+            .filter_map(|index| self.numeric_value_at(index, field))
+            .collect()
     }
 
     fn decision_price_on_or_before(&self, date: NaiveDate) -> Option<f64> {
@@ -656,7 +759,12 @@ impl SymbolPriceSeries {
             return None;
         }
         let start = end - lookback;
-        Some(self.volumes[start..end].to_vec())
+        Some(
+            self.volumes[start..end]
+                .iter()
+                .map(|value| *value as f64)
+                .collect(),
+        )
     }
 
     fn end_index(&self, date: NaiveDate) -> Option<usize> {
@@ -667,9 +775,9 @@ impl SymbolPriceSeries {
         }
     }
 
-    fn values_for(&self, field: PriceField) -> &[f64] {
+    fn price_values_for(&self, field: PriceField) -> &[f64] {
         match field {
-            PriceField::DayOpen => &self.opens,
+            PriceField::DayOpen => &self.day_opens,
             PriceField::Open => &self.opens,
             PriceField::Close => &self.closes,
             PriceField::Last => &self.last_prices,
@@ -681,15 +789,7 @@ impl SymbolPriceSeries {
         if end == 0 {
             return None;
         }
-        self.values_for(field).get(end - 1).copied()
-    }
-
-    fn snapshot_before(&self, date: NaiveDate) -> Option<&DailyMarketSnapshot> {
-        let end = self.previous_completed_end_index(date)?;
-        if end == 0 {
-            return None;
-        }
-        self.snapshots.get(end - 1)
+        self.price_values_for(field).get(end - 1).copied()
     }
 
     fn prefix_for(&self, field: PriceField) -> &[f64] {
@@ -700,6 +800,54 @@ impl SymbolPriceSeries {
             PriceField::Last => &self.last_prefix,
         }
     }
+
+    fn snapshot_at(&self, index: usize) -> DailyMarketSnapshot {
+        DailyMarketSnapshot {
+            date: self.dates[index],
+            symbol: self.symbol.clone(),
+            timestamp: self.timestamps[index].clone(),
+            day_open: self.day_opens[index],
+            open: self.opens[index],
+            high: self.highs[index],
+            low: self.lows[index],
+            close: self.closes[index],
+            last_price: self.last_prices[index],
+            bid1: self.bid1s[index],
+            ask1: self.ask1s[index],
+            prev_close: self.prev_closes[index],
+            volume: self.volumes[index],
+            tick_volume: self.tick_volumes[index],
+            bid1_volume: self.bid1_volumes[index],
+            ask1_volume: self.ask1_volumes[index],
+            trading_phase: self.trading_phases[index].clone(),
+            paused: self.paused[index],
+            upper_limit: self.upper_limits[index],
+            lower_limit: self.lower_limits[index],
+            price_tick: self.price_ticks[index],
+        }
+    }
+
+    fn numeric_value_at(&self, index: usize, field: &str) -> Option<f64> {
+        match normalize_field(field).as_str() {
+            "day_open" | "dayopen" => Some(self.day_opens[index]),
+            "open" => Some(self.opens[index]),
+            "high" => Some(self.highs[index]),
+            "low" => Some(self.lows[index]),
+            "close" | "price" => Some(self.closes[index]),
+            "last" | "last_price" => Some(self.last_prices[index]),
+            "prev_close" | "pre_close" => Some(self.prev_closes[index]),
+            "volume" => Some(self.volumes[index] as f64),
+            "tick_volume" => Some(self.tick_volumes[index] as f64),
+            "bid1" => Some(self.bid1s[index]),
+            "ask1" => Some(self.ask1s[index]),
+            "bid1_volume" => Some(self.bid1_volumes[index] as f64),
+            "ask1_volume" => Some(self.ask1_volumes[index] as f64),
+            "upper_limit" => Some(self.upper_limits[index]),
+            "lower_limit" => Some(self.lower_limits[index]),
+            "price_tick" => Some(self.price_ticks[index]),
+            _ => None,
+        }
+    }
 }
 
 #[derive(Debug, Clone)]
@@ -835,21 +983,18 @@ impl BenchmarkPriceSeries {
 pub struct DataSet {
     instruments: HashMap<String, Instrument>,
     calendar: TradingCalendar,
-    market_by_date: BTreeMap<NaiveDate, Vec<DailyMarketSnapshot>>,
-    market_index: HashMap<(NaiveDate, String), DailyMarketSnapshot>,
-    factor_by_date: BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
-    factor_index: HashMap<(NaiveDate, String), DailyFactorSnapshot>,
+    market_by_date: BTreeMap<NaiveDate, Vec<Arc<DailyMarketSnapshot>>>,
+    factor_by_date: BTreeMap<NaiveDate, Vec<Arc<DailyFactorSnapshot>>>,
     factor_text_by_date: BTreeMap<NaiveDate, Vec<FactorTextValue>>,
     factor_text_index: HashMap<(NaiveDate, String, String), FactorTextValue>,
-    candidate_by_date: BTreeMap<NaiveDate, Vec<CandidateEligibility>>,
-    candidate_index: HashMap<(NaiveDate, String), CandidateEligibility>,
+    candidate_by_date: BTreeMap<NaiveDate, Vec<Arc<CandidateEligibility>>>,
     corporate_actions_by_date: BTreeMap<NaiveDate, Vec<CorporateAction>>,
     execution_quotes_by_date: HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>,
     order_book_depth_index: HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>,
     benchmark_by_date: BTreeMap<NaiveDate, BenchmarkSnapshot>,
-    market_series_by_symbol: HashMap<String, SymbolPriceSeries>,
+    market_series_by_symbol: Arc<RwLock<HashMap<String, Arc<SymbolPriceSeries>>>>,
     benchmark_series_cache: BenchmarkPriceSeries,
-    eligible_universe_by_date: BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>>,
+    eligible_universe_by_date: Arc<OnceLock<BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>>>>,
     benchmark_code: String,
     futures_params_by_symbol: HashMap<String, Vec<FuturesTradingParameter>>,
 }
@@ -1087,24 +1232,23 @@ impl DataSet {
     ) -> Result<Self, DataSetError> {
         let benchmark_code = collect_benchmark_code(&benchmarks)?;
         let calendar = TradingCalendar::new(benchmarks.iter().map(|item| item.date).collect());
-        let factors = normalize_factor_snapshots(factors);
+        let factors = normalize_factor_snapshots(factors)
+            .into_iter()
+            .map(Arc::new)
+            .collect::<Vec<_>>();
+        let candidates = candidates.into_iter().map(Arc::new).collect::<Vec<_>>();
 
         let instruments = instruments
             .into_iter()
             .map(|instrument| (instrument.symbol.clone(), instrument))
             .collect::<HashMap<_, _>>();
 
-        let market_by_date = group_by_date(market.clone(), |item| item.date);
-        let market_index = market
-            .into_iter()
-            .map(|item| ((item.date, item.symbol.clone()), item))
-            .collect::<HashMap<_, _>>();
+        let market = market.into_iter().map(Arc::new).collect::<Vec<_>>();
+        let mut market_by_date = group_arc_by_date(&market, |item| item.date);
+        sort_arc_groups_by_symbol(&mut market_by_date, |item| item.symbol.as_str());
 
-        let factor_by_date = group_by_date(factors.clone(), |item| item.date);
-        let factor_index = factors
-            .into_iter()
-            .map(|item| ((item.date, item.symbol.clone()), item))
-            .collect::<HashMap<_, _>>();
+        let mut factor_by_date = group_arc_by_date(&factors, |item| item.date);
+        sort_arc_groups_by_symbol(&mut factor_by_date, |item| item.symbol.as_str());
         let factor_texts = factor_texts
             .into_iter()
             .filter_map(|mut item| {
@@ -1122,11 +1266,8 @@ impl DataSet {
             .map(|item| ((item.date, item.symbol.clone(), item.field.clone()), item))
             .collect::<HashMap<_, _>>();
 
-        let candidate_by_date = group_by_date(candidates.clone(), |item| item.date);
-        let candidate_index = candidates
-            .into_iter()
-            .map(|item| ((item.date, item.symbol.clone()), item))
-            .collect::<HashMap<_, _>>();
+        let mut candidate_by_date = group_arc_by_date(&candidates, |item| item.date);
+        sort_arc_groups_by_symbol(&mut candidate_by_date, |item| item.symbol.as_str());
         let corporate_actions_by_date = group_by_date(corporate_actions, |item| item.date);
         let execution_quotes_by_date = build_execution_quote_index(execution_quotes);
         let order_book_depth_index = build_order_book_depth_index(order_book_depth);
@@ -1135,35 +1276,25 @@ impl DataSet {
             .into_iter()
             .map(|item| (item.date, item))
             .collect::<BTreeMap<_, _>>();
-        let market_series_by_symbol = build_market_series(&market_by_date);
         let benchmark_series_cache =
             BenchmarkPriceSeries::new(&benchmark_by_date.values().cloned().collect::<Vec<_>>());
-        let eligible_universe_by_date = build_eligible_universe(
-            &factor_by_date,
-            &candidate_index,
-            &market_index,
-            &instruments,
-        );
         let futures_params_by_symbol = build_futures_params_index(futures_params);
 
         Ok(Self {
             instruments,
             calendar,
             market_by_date,
-            market_index,
             factor_by_date,
-            factor_index,
             factor_text_by_date,
             factor_text_index,
             candidate_by_date,
-            candidate_index,
             corporate_actions_by_date,
             execution_quotes_by_date,
             order_book_depth_index,
             benchmark_by_date,
-            market_series_by_symbol,
+            market_series_by_symbol: Arc::new(RwLock::new(HashMap::new())),
             benchmark_series_cache,
-            eligible_universe_by_date,
+            eligible_universe_by_date: Arc::new(OnceLock::new()),
             benchmark_code,
             futures_params_by_symbol,
         })
@@ -1207,15 +1338,54 @@ impl DataSet {
     }
 
     pub fn market(&self, date: NaiveDate, symbol: &str) -> Option<&DailyMarketSnapshot> {
-        self.market_index.get(&(date, symbol.to_string()))
+        self.market_by_date
+            .get(&date)
+            .and_then(|rows| find_arc_by_symbol(rows, symbol, |row| row.symbol.as_str()))
+    }
+
+    fn market_series(&self, symbol: &str) -> Option<Arc<SymbolPriceSeries>> {
+        if let Some(series) = self
+            .market_series_by_symbol
+            .read()
+            .expect("market series cache lock poisoned")
+            .get(symbol)
+            .cloned()
+        {
+            return Some(series);
+        }
+
+        let rows = self
+            .market_by_date
+            .values()
+            .filter_map(|day_rows| find_arc_by_symbol(day_rows, symbol, |row| row.symbol.as_str()))
+            .collect::<Vec<_>>();
+        if rows.is_empty() {
+            return None;
+        }
+
+        let series = Arc::new(SymbolPriceSeries::new(symbol.to_string(), rows));
+        let mut cache = self
+            .market_series_by_symbol
+            .write()
+            .expect("market series cache lock poisoned");
+        Some(
+            cache
+                .entry(symbol.to_string())
+                .or_insert_with(|| Arc::clone(&series))
+                .clone(),
+        )
     }
 
     pub fn factor(&self, date: NaiveDate, symbol: &str) -> Option<&DailyFactorSnapshot> {
-        self.factor_index.get(&(date, symbol.to_string()))
+        self.factor_by_date
+            .get(&date)
+            .and_then(|rows| find_arc_by_symbol(rows, symbol, |row| row.symbol.as_str()))
     }
 
     pub fn candidate(&self, date: NaiveDate, symbol: &str) -> Option<&CandidateEligibility> {
-        self.candidate_index.get(&(date, symbol.to_string()))
+        self.candidate_by_date
+            .get(&date)
+            .and_then(|rows| find_arc_by_symbol(rows, symbol, |row| row.symbol.as_str()))
     }
 
     pub fn benchmark(&self, date: NaiveDate) -> Option<&BenchmarkSnapshot> {
@@ -1255,6 +1425,14 @@ impl DataSet {
             .collect()
     }
 
+    pub fn execution_quote_count(&self) -> usize {
+        self.execution_quotes_by_date
+            .values()
+            .flat_map(|rows_by_symbol| rows_by_symbol.values())
+            .map(Vec::len)
+            .sum()
+    }
+
     pub fn add_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
         let mut added = 0usize;
         let mut touched = HashSet::<(NaiveDate, String)>::new();
@@ -1314,6 +1492,49 @@ impl DataSet {
         quotes
     }
 
+    pub fn snapshot_components(&self) -> DataSetSnapshotComponents {
+        let mut instruments = self.instruments.values().cloned().collect::<Vec<_>>();
+        instruments.sort_by(|left, right| left.symbol.cmp(&right.symbol));
+
+        let market = self
+            .market_by_date
+            .values()
+            .flat_map(|rows| rows.iter().map(|row| row.as_ref().clone()))
+            .collect::<Vec<_>>();
+        let factors = self
+            .factor_by_date
+            .values()
+            .flat_map(|rows| rows.iter().map(|row| row.as_ref().clone()))
+            .collect::<Vec<_>>();
+        let candidates = self
+            .candidate_by_date
+            .values()
+            .flat_map(|rows| rows.iter().map(|row| row.as_ref().clone()))
+            .collect::<Vec<_>>();
+        let benchmarks = self.benchmark_by_date.values().cloned().collect::<Vec<_>>();
+        let corporate_actions = self
+            .corporate_actions_by_date
+            .values()
+            .flat_map(|rows| rows.iter().cloned())
+            .collect::<Vec<_>>();
+        let execution_quotes = self
+            .execution_quotes_by_date
+            .values()
+            .flat_map(|rows_by_symbol| rows_by_symbol.values())
+            .flat_map(|rows| rows.iter().cloned())
+            .collect::<Vec<_>>();
+
+        DataSetSnapshotComponents {
+            instruments,
+            market,
+            factors,
+            candidates,
+            benchmarks,
+            corporate_actions,
+            execution_quotes,
+        }
+    }
+
     pub fn benchmark_series(&self) -> Vec<BenchmarkSnapshot> {
         self.benchmark_by_date.values().cloned().collect()
     }
@@ -1396,8 +1617,7 @@ impl DataSet {
         bar_count: usize,
         include_now: bool,
     ) -> Vec<DailyMarketSnapshot> {
-        self.market_series_by_symbol
-            .get(symbol)
+        self.market_series(symbol)
             .map(|series| series.trailing_snapshots(date, bar_count, include_now))
             .unwrap_or_default()
     }
@@ -1920,6 +2140,7 @@ impl DataSet {
                 .range(start..=end)
                 .flat_map(|(_, rows)| rows.iter())
                 .filter(|row| row.symbol == symbol)
+                .map(Arc::as_ref)
                 .map(daily_market_price_bar)
                 .collect(),
             Some("1m") | Some("tick") => {
@@ -1953,21 +2174,24 @@ impl DataSet {
         symbol: &str,
         field: PriceField,
     ) -> Option<f64> {
-        self.market_series_by_symbol
-            .get(symbol)
+        self.market_series(symbol)
             .and_then(|series| series.price_on_or_before(date, field))
     }
 
     pub fn market_before(&self, date: NaiveDate, symbol: &str) -> Option<&DailyMarketSnapshot> {
-        self.market_series_by_symbol
-            .get(symbol)
-            .and_then(|series| series.snapshot_before(date))
+        let series = self.market_series(symbol)?;
+        let end = series.previous_completed_end_index(date)?;
+        if end == 0 {
+            return None;
+        }
+        let previous_date = *series.dates.get(end - 1)?;
+        self.market(previous_date, symbol)
     }
 
     pub fn factor_snapshots_on(&self, date: NaiveDate) -> Vec<&DailyFactorSnapshot> {
         self.factor_by_date
             .get(&date)
-            .map(|rows| rows.iter().collect())
+            .map(|rows| rows.iter().map(Arc::as_ref).collect())
             .unwrap_or_default()
     }
 
@@ -1981,14 +2205,14 @@ impl DataSet {
     pub fn market_snapshots_on(&self, date: NaiveDate) -> Vec<&DailyMarketSnapshot> {
         self.market_by_date
             .get(&date)
-            .map(|rows| rows.iter().collect())
+            .map(|rows| rows.iter().map(Arc::as_ref).collect())
             .unwrap_or_default()
     }
 
     pub fn candidate_snapshots_on(&self, date: NaiveDate) -> Vec<&CandidateEligibility> {
         self.candidate_by_date
             .get(&date)
-            .map(|rows| rows.iter().collect())
+            .map(|rows| rows.iter().map(Arc::as_ref).collect())
             .unwrap_or_default()
     }
 
@@ -2000,12 +2224,20 @@ impl DataSet {
         Ok(DailySnapshotBundle {
             date,
             benchmark,
-            market: self.market_by_date.get(&date).cloned().unwrap_or_default(),
-            factors: self.factor_by_date.get(&date).cloned().unwrap_or_default(),
+            market: self
+                .market_by_date
+                .get(&date)
+                .map(|rows| rows.iter().map(|row| row.as_ref().clone()).collect())
+                .unwrap_or_default(),
+            factors: self
+                .factor_by_date
+                .get(&date)
+                .map(|rows| rows.iter().map(|row| row.as_ref().clone()).collect())
+                .unwrap_or_default(),
             candidates: self
                 .candidate_by_date
                 .get(&date)
-                .cloned()
+                .map(|rows| rows.iter().map(|row| row.as_ref().clone()).collect())
                 .unwrap_or_default(),
             corporate_actions: self
                 .corporate_actions_by_date
@@ -2020,8 +2252,7 @@ impl DataSet {
     }
 
     pub fn market_closes_up_to(&self, date: NaiveDate, symbol: &str, lookback: usize) -> Vec<f64> {
-        self.market_series_by_symbol
-            .get(symbol)
+        self.market_series(symbol)
             .map(|series| series.trailing_values(date, lookback, PriceField::Close))
             .unwrap_or_default()
     }
@@ -2034,10 +2265,9 @@ impl DataSet {
         field: &str,
         include_now: bool,
     ) -> Vec<f64> {
-        self.history_daily_snapshots(date, symbol, bar_count, include_now)
-            .into_iter()
-            .filter_map(|row| daily_market_numeric_value(&row, field))
-            .collect()
+        self.market_series(symbol)
+            .map(|series| series.trailing_numeric_values(date, bar_count, field, include_now))
+            .unwrap_or_default()
     }
 
     fn history_intraday_values(
@@ -2076,18 +2306,12 @@ impl DataSet {
         let start = days.len().saturating_sub(count);
         days[start..]
             .iter()
-            .map(|day| {
-                evaluator(
-                    self.candidate_index.get(&(*day, symbol.to_string())),
-                    self.market_index.get(&(*day, symbol.to_string())),
-                )
-            })
+            .map(|day| evaluator(self.candidate(*day, symbol), self.market(*day, symbol)))
             .collect()
     }
 
     pub fn market_decision_close(&self, date: NaiveDate, symbol: &str) -> Option<f64> {
-        self.market_series_by_symbol
-            .get(symbol)
+        self.market_series(symbol)
             .and_then(|series| series.decision_price_on_or_before(date))
     }
 
@@ -2097,8 +2321,7 @@ impl DataSet {
         symbol: &str,
         lookback: usize,
     ) -> Option<f64> {
-        self.market_series_by_symbol
-            .get(symbol)
+        self.market_series(symbol)
             .and_then(|series| series.decision_close_moving_average(date, lookback))
     }
 
@@ -2108,8 +2331,7 @@ impl DataSet {
         symbol: &str,
         lookback: usize,
     ) -> Option<f64> {
-        self.market_series_by_symbol
-            .get(symbol)
+        self.market_series(symbol)
             .and_then(|series| series.decision_volume_moving_average(date, lookback))
     }
 
@@ -2196,12 +2418,10 @@ impl DataSet {
         let field = normalize_field(field);
         match field.as_str() {
             "close" | "prev_close" | "stock_close" | "price" => self
-                .market_series_by_symbol
-                .get(symbol)
+                .market_series(symbol)
                 .and_then(|series| series.decision_close_moving_average(date, lookback)),
             "volume" | "stock_volume" => self
-                .market_series_by_symbol
-                .get(symbol)
+                .market_series(symbol)
                 .and_then(|series| series.decision_volume_moving_average(date, lookback)),
             "day_open" | "dayopen" => {
                 self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
@@ -2227,8 +2447,7 @@ impl DataSet {
                 self.market_moving_average(date, symbol, lookback, PriceField::Close)
             }
             "volume" | "stock_volume" => self
-                .market_series_by_symbol
-                .get(symbol)
+                .market_series(symbol)
                 .and_then(|series| series.current_volume_moving_average(date, lookback))
                 .or_else(|| self.factor_moving_average(date, symbol, "daily_volume", lookback)),
             "day_open" | "dayopen" => {
@@ -2255,28 +2474,23 @@ impl DataSet {
         let field = normalize_field(field);
         match field.as_str() {
             "close" | "prev_close" | "stock_close" | "price" => self
-                .market_series_by_symbol
-                .get(symbol)
+                .market_series(symbol)
                 .and_then(|series| series.decision_prev_close_values(date, lookback))
                 .unwrap_or_default(),
             "volume" | "stock_volume" => self
-                .market_series_by_symbol
-                .get(symbol)
+                .market_series(symbol)
                 .and_then(|series| series.decision_volume_values(date, lookback))
                 .unwrap_or_default(),
             "day_open" | "dayopen" => self
-                .market_series_by_symbol
-                .get(symbol)
+                .market_series(symbol)
                 .map(|series| series.trailing_values(date, lookback, PriceField::DayOpen))
                 .unwrap_or_default(),
             "open" => self
-                .market_series_by_symbol
-                .get(symbol)
+                .market_series(symbol)
                 .map(|series| series.trailing_values(date, lookback, PriceField::Open))
                 .unwrap_or_default(),
             "last" | "last_price" => self
-                .market_series_by_symbol
-                .get(symbol)
+                .market_series(symbol)
                 .map(|series| series.trailing_values(date, lookback, PriceField::Last))
                 .unwrap_or_default(),
             other => self.factor_numeric_values(date, symbol, other, lookback),
@@ -2308,8 +2522,7 @@ impl DataSet {
         lookback: usize,
         field: PriceField,
     ) -> Option<f64> {
-        self.market_series_by_symbol
-            .get(symbol)
+        self.market_series(symbol)
             .and_then(|series| series.moving_average(date, lookback, field))
     }
 
@@ -2378,6 +2591,14 @@ impl DataSet {
 
     pub fn eligible_universe_on(&self, date: NaiveDate) -> &[EligibleUniverseSnapshot] {
         self.eligible_universe_by_date
+            .get_or_init(|| {
+                build_eligible_universe(
+                    &self.factor_by_date,
+                    &self.candidate_by_date,
+                    &self.market_by_date,
+                    &self.instruments,
+                )
+            })
             .get(&date)
             .map(Vec::as_slice)
             .unwrap_or(&[])
@@ -2761,28 +2982,6 @@ fn factor_numeric_value(snapshot: &DailyFactorSnapshot, field: &str) -> Option<f
     }
 }
 
-fn daily_market_numeric_value(snapshot: &DailyMarketSnapshot, field: &str) -> Option<f64> {
-    match normalize_field(field).as_str() {
-        "day_open" | "dayopen" => Some(snapshot.day_open),
-        "open" => Some(snapshot.open),
-        "high" => Some(snapshot.high),
-        "low" => Some(snapshot.low),
-        "close" | "price" => Some(snapshot.close),
-        "last" | "last_price" => Some(snapshot.last_price),
-        "prev_close" | "pre_close" => Some(snapshot.prev_close),
-        "volume" => Some(snapshot.volume as f64),
-        "tick_volume" => Some(snapshot.tick_volume as f64),
-        "bid1" => Some(snapshot.bid1),
-        "ask1" => Some(snapshot.ask1),
-        "bid1_volume" => Some(snapshot.bid1_volume as f64),
-        "ask1_volume" => Some(snapshot.ask1_volume as f64),
-        "upper_limit" => Some(snapshot.upper_limit),
-        "lower_limit" => Some(snapshot.lower_limit),
-        "price_tick" => Some(snapshot.price_tick),
-        _ => None,
-    }
-}
-
 fn intraday_quote_numeric_value(snapshot: &IntradayExecutionQuote, field: &str) -> Option<f64> {
     match normalize_field(field).as_str() {
         "last" | "last_price" | "close" | "price" => Some(snapshot.last_price),
@@ -2918,6 +3117,13 @@ fn read_candidates(path: &Path) -> Result<Vec<CandidateEligibility>, DataSetErro
             allow_sell: row.parse_bool(6)?,
             is_kcb: row.parse_optional_bool(7).unwrap_or(false),
             is_one_yuan: row.parse_optional_bool(8).unwrap_or(false),
+            risk_level_code: row
+                .fields
+                .get(9)
+                .map(String::as_str)
+                .map(str::trim)
+                .filter(|value| !value.is_empty())
+                .map(ToOwned::to_owned),
         });
     }
     Ok(snapshots)
@@ -3275,6 +3481,38 @@ where
     grouped
 }
 
+fn group_arc_by_date<T, F>(rows: &[Arc<T>], mut date_of: F) -> BTreeMap<NaiveDate, Vec<Arc<T>>>
+where
+    F: FnMut(&T) -> NaiveDate,
+{
+    let mut grouped = BTreeMap::<NaiveDate, Vec<Arc<T>>>::new();
+    for row in rows {
+        grouped
+            .entry(date_of(row.as_ref()))
+            .or_default()
+            .push(Arc::clone(row));
+    }
+    grouped
+}
+
+fn sort_arc_groups_by_symbol<T, F>(groups: &mut BTreeMap<NaiveDate, Vec<Arc<T>>>, symbol_of: F)
+where
+    F: Fn(&T) -> &str + Copy,
+{
+    for rows in groups.values_mut() {
+        rows.sort_by(|left, right| symbol_of(left.as_ref()).cmp(symbol_of(right.as_ref())));
+    }
+}
+
+fn find_arc_by_symbol<'a, T, F>(rows: &'a [Arc<T>], symbol: &str, symbol_of: F) -> Option<&'a T>
+where
+    F: Fn(&T) -> &str,
+{
+    rows.binary_search_by(|row| symbol_of(row.as_ref()).cmp(symbol))
+        .ok()
+        .map(|index| rows[index].as_ref())
+}
+
 fn collect_benchmark_code(benchmarks: &[BenchmarkSnapshot]) -> Result<String, DataSetError> {
     let mut codes = benchmarks
         .iter()
@@ -3343,25 +3581,6 @@ mod optional_date_format {
     }
 }
 
-fn build_market_series(
-    market_by_date: &BTreeMap<NaiveDate, Vec<DailyMarketSnapshot>>,
-) -> HashMap<String, SymbolPriceSeries> {
-    let mut grouped = HashMap::<String, Vec<DailyMarketSnapshot>>::new();
-    for rows in market_by_date.values() {
-        for row in rows {
-            grouped
-                .entry(row.symbol.clone())
-                .or_default()
-                .push(row.clone());
-        }
-    }
-
-    grouped
-        .into_iter()
-        .map(|(symbol, rows)| (symbol, SymbolPriceSeries::new(&rows)))
-        .collect()
-}
-
 fn build_futures_params_index(
     rows: Vec<FuturesTradingParameter>,
 ) -> HashMap<String, Vec<FuturesTradingParameter>> {
@@ -3420,9 +3639,9 @@ fn build_order_book_depth_index(
 }
 
 fn build_eligible_universe(
-    factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
-    candidate_index: &HashMap<(NaiveDate, String), CandidateEligibility>,
-    market_index: &HashMap<(NaiveDate, String), DailyMarketSnapshot>,
+    factor_by_date: &BTreeMap<NaiveDate, Vec<Arc<DailyFactorSnapshot>>>,
+    candidate_by_date: &BTreeMap<NaiveDate, Vec<Arc<CandidateEligibility>>>,
+    market_by_date: &BTreeMap<NaiveDate, Vec<Arc<DailyMarketSnapshot>>>,
     instruments: &HashMap<String, Instrument>,
 ) -> BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>> {
     let mut per_date = BTreeMap::<NaiveDate, Vec<EligibleUniverseSnapshot>>::new();
@@ -3433,11 +3652,14 @@ fn build_eligible_universe(
             if factor.market_cap_bn <= 0.0 || !factor.market_cap_bn.is_finite() {
                 continue;
             }
-            let key = (*date, factor.symbol.clone());
-            let Some(candidate) = candidate_index.get(&key) else {
+            let Some(candidate) = candidate_by_date.get(date).and_then(|rows| {
+                find_arc_by_symbol(rows, &factor.symbol, |row| row.symbol.as_str())
+            }) else {
                 continue;
             };
-            let Some(market) = market_index.get(&key) else {
+            let Some(market) = market_by_date.get(date).and_then(|rows| {
+                find_arc_by_symbol(rows, &factor.symbol, |row| row.symbol.as_str())
+            }) else {
                 continue;
             };
             if ChinaAShareRiskControl::selection_rejection_reason(
@@ -3581,11 +3803,14 @@ mod tests {
 
     #[test]
     fn decision_volume_average_uses_previous_completed_days_only() {
-        let series = SymbolPriceSeries::new(&[
+        let series = SymbolPriceSeries::new(
+            "000001.SZ".to_string(),
+            &[
                 market_row("2025-01-02", 10.0, 100),
                 market_row("2025-01-03", 11.0, 200),
                 market_row("2025-01-06", 12.0, 10_000),
-        ]);
+            ],
+        );
 
         assert_eq!(
             series.decision_close_moving_average(
@@ -3615,11 +3840,14 @@ mod tests {
         let mut current = market_row("2025-01-06", 12.0, 10_000);
         current.close = 9_999.0;
         current.last_price = 9_999.0;
-        let series = SymbolPriceSeries::new(&[
+        let series = SymbolPriceSeries::new(
+            "000001.SZ".to_string(),
+            &[
                 market_row("2025-01-02", 10.0, 100),
                 market_row("2025-01-03", 11.0, 200),
                 current,
-        ]);
+            ],
+        );
         let decision_date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
 
         assert_eq!(
@@ -3636,12 +3864,15 @@ mod tests {
     fn decision_volume_average_includes_paused_zero_volume_days() {
         let mut paused = market_row("2025-01-03", 11.0, 0);
         paused.paused = true;
-        let series = SymbolPriceSeries::new(&[
+        let series = SymbolPriceSeries::new(
+            "000001.SZ".to_string(),
+            &[
                 market_row("2025-01-02", 10.0, 100),
                 paused,
                 market_row("2025-01-06", 12.0, 300),
                 market_row("2025-01-07", 13.0, 10_000),
-        ]);
+            ],
+        );
 
         assert_eq!(
             series.decision_volume_moving_average(
@@ -3715,6 +3946,7 @@ mod tests {
             allow_sell: true,
             is_kcb: false,
             is_one_yuan: false,
+            risk_level_code: None,
         };
         let data = DataSet::from_components(
             vec![instrument("000001.SZ"), instrument("000002.SZ")],
@@ -3747,6 +3979,49 @@ mod tests {
         assert!((rows[1].market_cap_bn - 10.0).abs() < 1e-9);
     }
 
+    #[test]
+    fn decision_market_cap_keeps_pre_adjusted_factor() {
+        let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
+        let market = DailyMarketSnapshot {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp: Some("2025-01-06 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 20.0,
+            low: 10.0,
+            close: 20.0,
+            last_price: 10.0,
+            bid1: 10.0,
+            ask1: 10.0,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 1_000,
+            bid1_volume: 1_000,
+            ask1_volume: 1_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        };
+        let mut extra_factors = BTreeMap::new();
+        extra_factors.insert("__market_cap_decision_adjusted".to_string(), 1.0);
+        let factor = DailyFactorSnapshot {
+            date,
+            symbol: "000001.SZ".to_string(),
+            market_cap_bn: 12.0,
+            free_float_cap_bn: 4.0,
+            pe_ttm: 10.0,
+            turnover_ratio: Some(1.0),
+            effective_turnover_ratio: Some(1.0),
+            extra_factors,
+        };
+
+        assert!((decision_market_cap_bn(&factor, &market) - 12.0).abs() < 1e-9);
+        assert!((decision_free_float_cap_bn(&factor, &market) - 4.0).abs() < 1e-9);
+    }
+
     #[test]
     fn benchmark_decision_close_windows_exclude_current_close() {
         let series = BenchmarkPriceSeries::new(&[

crates/fidc-core/src/engine.rs

@@ -1,6 +1,6 @@
 use std::collections::{BTreeMap, BTreeSet};
 
-use chrono::{Datelike, NaiveDate, NaiveTime};
+use chrono::{Datelike, Duration, NaiveDate, NaiveTime};
 use serde::Serialize;
 use thiserror::Error;
 
@@ -561,7 +561,12 @@ where
                 return false;
             }
             if start_time.is_some() && end_time.is_none() {
-                return true;
+                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)
         });
@@ -622,6 +627,35 @@ where
         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(())
+    }
+
     fn apply_strategy_directives(
         &mut self,
         execution_date: NaiveDate,
@@ -1951,6 +1985,33 @@ where
             )?;
             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,
@@ -3292,12 +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 { .. }),
                     ..
@@ -3330,6 +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, .. }
@@ -3382,6 +3463,12 @@ fn algo_execution_quote_windows_for_decision(
                 start_time,
                 end_time,
                 ..
+            }
+            | OrderIntent::TimedTargetValue {
+                symbol,
+                start_time,
+                end_time,
+                ..
             } => {
                 if start_time.is_some() || end_time.is_some() {
                     groups

crates/fidc-core/src/platform_strategy_spec.rs

@@ -140,6 +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>,
@@ -300,6 +302,8 @@ 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>,
@@ -566,6 +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,
@@ -647,6 +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()
@@ -927,6 +951,12 @@ 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;
             }
@@ -1001,10 +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!(
-                "stock_ma_short > stock_ma_mid * {} && stock_ma_mid * {} > stock_ma_long",
-                ratio, ratio
-            );
+            let short_days = stock_ma_filter
+                .short_days
+                .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);
@@ -1529,6 +1585,7 @@ mod tests {
                     "rotationEnabled": false,
                     "dailyTopUp": true,
                     "retryEmptyRebalance": true,
+                    "weakMarketShrinkOverweightThreshold": 1.1,
                     "stage": "open_auction",
                     "actions": [
                         {
@@ -1552,6 +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);
@@ -1561,6 +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!({
@@ -1629,6 +1700,30 @@ mod tests {
         );
     }
 
+    #[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!({

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,
@@ -114,6 +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 {
@@ -122,6 +125,7 @@ impl Position {
 
             let lot_sell = remaining.min(first_lot.quantity);
             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;
 
@@ -133,6 +137,7 @@ impl Position {
         self.quantity -= quantity;
         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 += execution_price * quantity as f64;
@@ -157,10 +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
     }
@@ -765,21 +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(),
-                realized_pnl: position.realized_pnl,
-                pnl: position.pnl(),
+                    unrealized_pnl: position.unrealized_entry_pnl(),
+                    realized_pnl: position.realized_entry_pnl,
+                    pnl: position.entry_pnl(),
                     trading_pnl: position.trading_pnl,
                     position_pnl: position.position_pnl,
                     dividend_receivable: position.dividend_receivable,
@@ -792,6 +814,7 @@ impl PortfolioState {
                     sold_value: position.sold_value(),
                     transaction_cost: position.transaction_cost(),
                     day_trade_quantity_delta: position.day_trade_quantity_delta(),
+                }
             })
             .collect()
     }
@@ -815,6 +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()
@@ -851,6 +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;
         }
@@ -930,6 +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();
@@ -1036,6 +1086,7 @@ mod tests {
                         allow_sell: true,
                         is_kcb: false,
                         is_one_yuan: false,
+                        risk_level_code: None,
                     }],
                     vec![BenchmarkSnapshot {
                         date,
@@ -1122,6 +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

@@ -111,9 +111,10 @@ impl ChinaAShareRiskControl {
         if market.paused || candidate.is_paused {
             return Some("paused");
         }
-        if !candidate.allow_sell {
-            return Some("sell_disabled");
-        }
+        // `allow_sell` is derived from the daily candidate snapshot and may
+        // 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");
         }
@@ -134,3 +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

@@ -43,6 +43,12 @@ pub trait Strategy {
     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<'_>,
@@ -983,6 +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,

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,
     }
 }
 

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

@@ -149,6 +149,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: second,
@@ -160,6 +161,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![
@@ -226,6 +228,189 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
     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,
@@ -361,6 +546,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
             CandidateEligibility {
                 date: second,
@@ -372,6 +558,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
                 allow_sell: true,
                 is_kcb: false,
                 is_one_yuan: false,
+                risk_level_code: None,
             },
         ],
         vec![

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,
@@ -1762,6 +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,
@@ -1868,6 +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,
@@ -1983,6 +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,
@@ -2110,6 +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,
@@ -2213,6 +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,
@@ -2373,6 +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,
@@ -2517,6 +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,
@@ -2674,6 +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,
@@ -2833,6 +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,
@@ -2947,6 +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,
@@ -3111,6 +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,
@@ -3122,6 +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 {
@@ -3298,6 +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,
@@ -3309,6 +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 {
@@ -3479,6 +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,
@@ -3490,6 +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 {
@@ -3615,6 +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,
@@ -3713,6 +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,
@@ -3813,6 +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,
@@ -3927,6 +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(
@@ -4094,6 +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,
@@ -4105,6 +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![
@@ -4502,6 +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,