修正周期调仓等权资金预算

This reverts commit 556ed9b848.

Cargo.lock

@@ -37,16 +37,6 @@ version = "2.11.1"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "c4512299f36f043ab09a583e57bceb5a5aab7a73db1805848e8fef3c9e8c78b3"
 
-[[package]]
-name = "bt-demo"
-version = "0.1.0"
-dependencies = [
- "chrono",
- "fidc-core",
- "serde",
- "serde_json",
-]
-
 [[package]]
 name = "bumpalo"
 version = "3.20.2"

Cargo.toml

@@ -1,7 +1,6 @@
 [workspace]
 members = [
     "crates/fidc-core",
-    "crates/bt-demo",
 ]
 resolver = "2"
 

README.md

@@ -4,7 +4,7 @@
 
 ## 当前能力
 
-- 日频、分钟、tick 级策略生命周期与确定性回放。
+- 日频和分钟执行价策略生命周期与确定性回放。
 - A 股行情、估值、因子、基准、候选资格、涨跌停触达、停牌和 ST 标记。
 - 平台策略 DSL 与 `StrategyContext` 数据 API，不暴露非平台脚本语法。
 - `BacktestConfig` 支持起止日期、初始资金、决策滞后、执行价格字段、基准代码。
@@ -22,7 +22,6 @@
 .
 ├── Cargo.toml
 ├── crates
-│   ├── bt-demo
 │   └── fidc-core
 │       └── src
 │           ├── broker.rs
@@ -37,7 +36,6 @@
 │           ├── scheduler.rs
 │           ├── strategy.rs
 │           └── strategy_ai.rs
-├── data/demo
 └── docs
 ```
 
@@ -51,7 +49,7 @@
 - `futures`: 期货账户、合约参数、保证金、手续费和多空持仓。
 - `rules`: 中国市场交易规则和风控校验。
 - `broker`: 股票撮合、订单簿、滑点、成交量约束、限价和显式订单执行。
-- `scheduler`: 日、周、月、分钟、tick 调度规则。
+- `scheduler`: 日、周、月和分钟调度规则。
 - `platform_expr_strategy`: 平台 DSL 解析后的表达式策略执行模型。
 - `strategy`: 策略 trait、内置策略和运行时视图。
 - `strategy_ai`: 策略 AI 手册、提示词生成和数据库字段目录合并。
@@ -96,45 +94,9 @@
 
 ## 运行方式
 
-默认运行仓库 demo 数据：
+`fidc-backtest-engine` 不再维护本地 CSV demo、partitioned snapshot 目录或导出融合表作为运行入口。生产和集成回测由 `fidc-backtest-service` runner 创建 `DataSet`，数据来自 Strategy Factory Source Lake 的 Arrow/Parquet、manifest/data_epoch 缓存和运行时逻辑视图。
 
-```bash
+本仓库只保留核心库构建和测试入口：
-cargo run --bin bt-demo
-```
-
-运行平台内置微盘策略：
-
-```bash
-FIDC_BT_STRATEGY=omni-microcap \
-FIDC_BT_SIGNAL_SYMBOL=000001.SH \
-cargo run --release --bin bt-demo
-```
-
-接入真实分区 snapshot 目录：
-
-```bash
-FIDC_BT_DATA_LAYOUT=partitioned \
-FIDC_BT_DATA_DIR=/path/to/snapshots \
-FIDC_BT_SIGNAL_SYMBOL=000001.SH \
-cargo run --bin bt-demo
-```
-
-约定目录结构：
-
-```text
-snapshots/
-├── instruments.csv
-├── benchmark/YYYY/MM/*.csv
-├── market/YYYY/MM/*.csv
-├── factors/YYYY/MM/*.csv
-└── candidates/YYYY/MM/*.csv
-```
-
-运行后默认生成：
-
-- `output/demo/equity_curve.csv`
-- `output/demo/trades.csv`
-- `output/demo/holdings_summary.csv`
 
 ## 测试与构建
 

crates/bt-demo/Cargo.toml

@@ -1,12 +0,0 @@
-[package]
-name = "bt-demo"
-version.workspace = true
-edition.workspace = true
-license.workspace = true
-authors.workspace = true
-
-[dependencies]
-chrono = { workspace = true }
-fidc-core = { path = "../fidc-core" }
-serde = { workspace = true }
-serde_json = "1"

crates/bt-demo/src/main.rs

@@ -1,567 +0,0 @@
-use std::collections::BTreeSet;
-use std::error::Error;
-use std::fs;
-use std::io::Write;
-use std::path::{Path, PathBuf};
-
-use chrono::{NaiveDate, NaiveTime};
-use fidc_core::{
-    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, ChinaAShareCostModel,
-    ChinaEquityRuleHooks, CnSmallCapRotationConfig, CnSmallCapRotationStrategy, DailyEquityPoint,
-    DataSet, FillEvent, HoldingSummary, OmniMicroCapConfig, OmniMicroCapStrategy, PortfolioState,
-    PriceField, Strategy, StrategyContext,
-};
-use serde_json::json;
-
-fn main() -> Result<(), Box<dyn Error>> {
-    let root = workspace_root();
-    let data_dir = std::env::var("FIDC_BT_DATA_DIR")
-        .map(PathBuf::from)
-        .unwrap_or_else(|_| root.join("data/demo"));
-    let data_layout = std::env::var("FIDC_BT_DATA_LAYOUT").unwrap_or_else(|_| "flat".to_string());
-    let output_dir = std::env::var("FIDC_BT_OUTPUT_DIR")
-        .map(PathBuf::from)
-        .unwrap_or_else(|_| root.join("output/demo"));
-    let json_output = std::env::var("FIDC_BT_JSON")
-        .map(|value| value == "1" || value.eq_ignore_ascii_case("true"))
-        .unwrap_or(false);
-
-    fs::create_dir_all(&output_dir)?;
-
-    let data = if data_layout == "partitioned" {
-        DataSet::from_partitioned_dir(&data_dir)?
-    } else {
-        DataSet::from_csv_dir(&data_dir)?
-    };
-    let strategy_name =
-        std::env::var("FIDC_BT_STRATEGY").unwrap_or_else(|_| "cn-smallcap-rotation".to_string());
-    let debug_date = std::env::var("FIDC_BT_DEBUG_DATE")
-        .ok()
-        .filter(|value| !value.trim().is_empty())
-        .map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
-        .transpose()?;
-    let decision_lag = std::env::var("FIDC_BT_DECISION_LAG")
-        .ok()
-        .and_then(|value| value.parse::<usize>().ok());
-    let execution_price =
-        std::env::var("FIDC_BT_EXECUTION_PRICE")
-            .ok()
-            .map(|value| match value.as_str() {
-                "close" => PriceField::Close,
-                "last" => PriceField::Last,
-                _ => PriceField::Open,
-            });
-    let initial_cash = std::env::var("FIDC_BT_INITIAL_CASH")
-        .ok()
-        .and_then(|value| value.parse::<f64>().ok());
-    let start_date = std::env::var("FIDC_BT_START_DATE")
-        .ok()
-        .filter(|value| !value.trim().is_empty())
-        .map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
-        .transpose()?;
-    let end_date = std::env::var("FIDC_BT_END_DATE")
-        .ok()
-        .filter(|value| !value.trim().is_empty())
-        .map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
-        .transpose()?;
-    let mut config = BacktestConfig {
-        initial_cash: initial_cash.unwrap_or(1_000_000.0),
-        benchmark_code: data.benchmark_code().to_string(),
-        start_date,
-        end_date,
-        decision_lag_trading_days: 1,
-        execution_price_field: PriceField::Open,
-    };
-    let result = match strategy_name.as_str() {
-        "cn-smallcap-rotation" | "cn-dyn-smallcap-band" => {
-            let mut strategy_cfg = if strategy_name == "cn-dyn-smallcap-band" {
-                CnSmallCapRotationConfig::cn_dyn_smallcap_band()
-            } else {
-                CnSmallCapRotationConfig::demo()
-            };
-            if strategy_cfg.strategy_name == "cn-smallcap-rotation" {
-                strategy_cfg.base_index_level = 3000.0;
-                strategy_cfg.base_cap_floor = 38.0;
-                strategy_cfg.cap_span = 25.0;
-            }
-            if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
-                if !signal_symbol.trim().is_empty() {
-                    strategy_cfg.signal_symbol = Some(signal_symbol);
-                }
-            }
-            config.decision_lag_trading_days = decision_lag.unwrap_or(1);
-            config.execution_price_field = execution_price.unwrap_or(PriceField::Open);
-            let strategy = CnSmallCapRotationStrategy::new(strategy_cfg);
-            let broker = BrokerSimulator::new_with_execution_price(
-                ChinaAShareCostModel::default(),
-                ChinaEquityRuleHooks::default(),
-                config.execution_price_field,
-            );
-            let mut engine = BacktestEngine::new(data, strategy, broker, config);
-            engine.run()?
-        }
-        "aiquant-v104" => {
-            let mut strategy_cfg = OmniMicroCapConfig::aiquant_v104();
-            if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
-                if !signal_symbol.trim().is_empty() {
-                    strategy_cfg.benchmark_signal_symbol = signal_symbol;
-                }
-            }
-            if let Some(date) = debug_date {
-                let eligible = data.eligible_universe_on(date);
-                eprintln!(
-                    "DEBUG eligible_universe_on {} count={}",
-                    date,
-                    eligible.len()
-                );
-                for row in eligible.iter().take(20) {
-                    eprintln!("  {} {:.6}", row.symbol, row.market_cap_bn);
-                }
-                let mut debug_strategy = OmniMicroCapStrategy::new(strategy_cfg.clone());
-                let debug_subscriptions = BTreeSet::new();
-                let decision = debug_strategy.on_day(&StrategyContext {
-                    execution_date: date,
-                    decision_date: date,
-                    decision_index: 1,
-                    data: &data,
-                    portfolio: &PortfolioState::new(20_000.0),
-                    futures_account: None,
-                    open_orders: &[],
-                    dynamic_universe: None,
-                    subscriptions: &debug_subscriptions,
-                    process_events: &[],
-                    active_process_event: None,
-                    active_datetime: None,
-                    order_events: &[],
-                    fills: &[],
-                })?;
-                eprintln!("DEBUG notes={:?}", decision.notes);
-                eprintln!("DEBUG diagnostics={:?}", decision.diagnostics);
-                return Ok(());
-            }
-            config.decision_lag_trading_days = decision_lag.unwrap_or(1);
-            config.execution_price_field = execution_price.unwrap_or(PriceField::Close);
-            config.initial_cash = initial_cash.unwrap_or(20_000.0);
-            let strategy = OmniMicroCapStrategy::new(strategy_cfg);
-            let broker = BrokerSimulator::new_with_execution_price(
-                ChinaAShareCostModel::default(),
-                ChinaEquityRuleHooks::default(),
-                config.execution_price_field,
-            );
-            let mut engine = BacktestEngine::new(data, strategy, broker, config);
-            engine.run()?
-        }
-        _ => {
-            let mut strategy_cfg = OmniMicroCapConfig::omni_microcap();
-            if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
-                if !signal_symbol.trim().is_empty() {
-                    strategy_cfg.benchmark_signal_symbol = signal_symbol;
-                }
-            }
-            if let Some(date) = debug_date {
-                let eligible = data.eligible_universe_on(date);
-                eprintln!(
-                    "DEBUG eligible_universe_on {} count={}",
-                    date,
-                    eligible.len()
-                );
-                for row in eligible.iter().take(20) {
-                    eprintln!("  {} {:.6}", row.symbol, row.market_cap_bn);
-                }
-                let mut debug_strategy = OmniMicroCapStrategy::new(strategy_cfg.clone());
-                let debug_subscriptions = BTreeSet::new();
-                let decision = debug_strategy.on_day(&StrategyContext {
-                    execution_date: date,
-                    decision_date: date,
-                    decision_index: 1,
-                    data: &data,
-                    portfolio: &PortfolioState::new(10_000_000.0),
-                    futures_account: None,
-                    open_orders: &[],
-                    dynamic_universe: None,
-                    subscriptions: &debug_subscriptions,
-                    process_events: &[],
-                    active_process_event: None,
-                    active_datetime: None,
-                    order_events: &[],
-                    fills: &[],
-                })?;
-                eprintln!("DEBUG notes={:?}", decision.notes);
-                eprintln!("DEBUG diagnostics={:?}", decision.diagnostics);
-                return Ok(());
-            }
-            config.decision_lag_trading_days = decision_lag.unwrap_or(0);
-            config.execution_price_field = execution_price.unwrap_or(PriceField::Last);
-            config.initial_cash = initial_cash.unwrap_or(10_000_000.0);
-            let strategy = OmniMicroCapStrategy::new(strategy_cfg);
-            let broker = BrokerSimulator::new_with_execution_price(
-                ChinaAShareCostModel::default(),
-                ChinaEquityRuleHooks::default(),
-                config.execution_price_field,
-            )
-            .with_intraday_execution_start_time(
-                NaiveTime::parse_from_str("10:18:00", "%H:%M:%S").expect("valid 10:18:00"),
-            )
-            .with_volume_limit(false)
-            .with_inactive_limit(false)
-            .with_liquidity_limit(false);
-            let mut engine = BacktestEngine::new(data, strategy, broker, config);
-            engine.run()?
-        }
-    };
-
-    write_equity_curve_csv(&output_dir.join("equity_curve.csv"), &result.equity_curve)?;
-    write_trades_csv(&output_dir.join("trades.csv"), &result.fills)?;
-    write_holdings_csv(
-        &output_dir.join("holdings_summary.csv"),
-        &result.holdings_summary,
-    )?;
-
-    let summary = build_summary(
-        &result.strategy_name,
-        &result.equity_curve,
-        &result.fills,
-        &result.holdings_summary,
-        result.benchmark_series.last(),
-        &output_dir,
-    );
-
-    print_summary(&summary, &result.equity_curve, &result.holdings_summary);
-    println!("Artifacts written under {}", output_dir.display());
-    if json_output {
-        println!("{}", serde_json::to_string(&summary)?);
-    }
-    Ok(())
-}
-
-fn workspace_root() -> PathBuf {
-    Path::new(env!("CARGO_MANIFEST_DIR"))
-        .join("../..")
-        .canonicalize()
-        .expect("workspace root")
-}
-
-fn write_equity_curve_csv(path: &Path, rows: &[DailyEquityPoint]) -> Result<(), Box<dyn Error>> {
-    let mut file = fs::File::create(path)?;
-    writeln!(
-        file,
-        "date,cash,market_value,total_equity,benchmark_close,benchmark_prev_close,notes,diagnostics"
-    )?;
-    for row in rows {
-        writeln!(
-            file,
-            "{},{:.2},{:.2},{:.2},{:.2},{:.2},{},{}",
-            row.date,
-            row.cash,
-            row.market_value,
-            row.total_equity,
-            row.benchmark_close,
-            row.benchmark_prev_close,
-            sanitize_csv_field(&row.notes),
-            sanitize_csv_field(&row.diagnostics),
-        )?;
-    }
-    Ok(())
-}
-
-fn write_trades_csv(path: &Path, rows: &[FillEvent]) -> Result<(), Box<dyn Error>> {
-    let mut file = fs::File::create(path)?;
-    writeln!(
-        file,
-        "date,symbol,side,quantity,price,gross_amount,commission,stamp_tax,net_cash_flow,reason"
-    )?;
-    for row in rows {
-        writeln!(
-            file,
-            "{},{},{:?},{},{:.2},{:.2},{:.2},{:.2},{:.2},{}",
-            row.date,
-            row.symbol,
-            row.side,
-            row.quantity,
-            row.price,
-            row.gross_amount,
-            row.commission,
-            row.stamp_tax,
-            row.net_cash_flow,
-            sanitize_csv_field(&row.reason),
-        )?;
-    }
-    Ok(())
-}
-
-fn write_holdings_csv(path: &Path, rows: &[HoldingSummary]) -> Result<(), Box<dyn Error>> {
-    let mut file = fs::File::create(path)?;
-    writeln!(
-        file,
-        "date,symbol,quantity,average_cost,last_price,market_value,unrealized_pnl,realized_pnl"
-    )?;
-    for row in rows {
-        writeln!(
-            file,
-            "{},{},{},{:.2},{:.2},{:.2},{:.2},{:.2}",
-            row.date,
-            row.symbol,
-            row.quantity,
-            row.average_cost,
-            row.last_price,
-            row.market_value,
-            row.unrealized_pnl,
-            row.realized_pnl,
-        )?;
-    }
-    Ok(())
-}
-
-fn sanitize_csv_field(text: &str) -> String {
-    text.replace(',', ";")
-}
-
-#[derive(Debug, serde::Serialize)]
-struct RunSummary {
-    strategy: String,
-    start_date: String,
-    end_date: String,
-    start_equity: f64,
-    final_equity: f64,
-    total_return: f64,
-    trade_count: usize,
-    holding_count: usize,
-    benchmark_code: Option<String>,
-    benchmark_last_close: Option<f64>,
-    output_dir: String,
-    diagnostics: serde_json::Value,
-    warnings: Vec<String>,
-    equity_preview: Vec<serde_json::Value>,
-    trades_preview: Vec<serde_json::Value>,
-}
-
-fn build_summary(
-    strategy_name: &str,
-    equity_curve: &[DailyEquityPoint],
-    fills: &[FillEvent],
-    holdings: &[HoldingSummary],
-    benchmark_last: Option<&BenchmarkSnapshot>,
-    output_dir: &Path,
-) -> RunSummary {
-    let first = equity_curve.first();
-    let last = equity_curve.last();
-    let start_equity = first.map(|row| row.total_equity).unwrap_or_default();
-    let final_equity = last.map(|row| row.total_equity).unwrap_or_default();
-    let total_return = if start_equity.abs() < f64::EPSILON {
-        0.0
-    } else {
-        (final_equity / start_equity) - 1.0
-    };
-
-    let diagnostics = extract_diagnostics(equity_curve);
-    let warnings = build_warnings(fills, holdings, &diagnostics);
-    let equity_preview = equity_curve
-        .iter()
-        .rev()
-        .take(5)
-        .collect::<Vec<_>>()
-        .into_iter()
-        .rev()
-        .map(|row| {
-            json!({
-                "date": row.date.to_string(),
-                "cash": row.cash,
-                "marketValue": row.market_value,
-                "totalEquity": row.total_equity,
-                "benchmarkClose": row.benchmark_close,
-                "benchmarkPrevClose": row.benchmark_prev_close,
-                "notes": row.notes,
-                "diagnostics": row.diagnostics,
-            })
-        })
-        .collect::<Vec<_>>();
-    let trades_preview = fills
-        .iter()
-        .rev()
-        .take(10)
-        .collect::<Vec<_>>()
-        .into_iter()
-        .rev()
-        .map(|row| {
-            json!({
-                "date": row.date.to_string(),
-                "symbol": row.symbol,
-                "side": format!("{:?}", row.side),
-                "quantity": row.quantity,
-                "price": row.price,
-                "grossAmount": row.gross_amount,
-                "netCashFlow": row.net_cash_flow,
-                "reason": row.reason,
-            })
-        })
-        .collect::<Vec<_>>();
-
-    RunSummary {
-        strategy: strategy_name.to_string(),
-        start_date: first.map(|row| row.date.to_string()).unwrap_or_default(),
-        end_date: last.map(|row| row.date.to_string()).unwrap_or_default(),
-        start_equity,
-        final_equity,
-        total_return,
-        trade_count: fills.len(),
-        holding_count: holdings.len(),
-        benchmark_code: benchmark_last.map(|row| row.benchmark.clone()),
-        benchmark_last_close: benchmark_last.map(|row| row.close),
-        output_dir: output_dir.display().to_string(),
-        diagnostics,
-        warnings,
-        equity_preview,
-        trades_preview,
-    }
-}
-
-fn extract_diagnostics(equity_curve: &[DailyEquityPoint]) -> serde_json::Value {
-    let last = equity_curve.last();
-    let text = last.map(|row| row.diagnostics.as_str()).unwrap_or("");
-    let notes = last.map(|row| row.notes.as_str()).unwrap_or("");
-    let mut map = serde_json::Map::new();
-    map.insert("latestText".to_string(), json!(text));
-    map.insert("latestNotes".to_string(), json!(notes));
-    map.insert("equityPointCount".to_string(), json!(equity_curve.len()));
-
-    for part in text.split(" | ") {
-        let part = part.trim();
-        if let Some(rest) = part.strip_prefix("selection_diag ") {
-            for token in rest.split_whitespace() {
-                if let Some((k, v)) = token.split_once('=') {
-                    map.insert(k.to_string(), parse_diag_value(v));
-                }
-            }
-        } else if let Some(rest) = part.strip_prefix("selection_band ") {
-            for token in rest.split_whitespace() {
-                if let Some((k, v)) = token.split_once('=') {
-                    map.insert(k.to_string(), parse_diag_value(v));
-                }
-            }
-        } else if let Some(rest) =
-            part.strip_prefix("market_cap_missing likely blocks selection; sample=")
-        {
-            map.insert(
-                "marketCapMissingSample".to_string(),
-                json!(
-                    rest.split('|')
-                        .filter(|s| !s.is_empty())
-                        .collect::<Vec<_>>()
-                ),
-            );
-        } else if let Some(rest) = part.strip_prefix("selection_rejections sample=") {
-            map.insert(
-                "selectionRejectionsSample".to_string(),
-                json!(
-                    rest.split(" | ")
-                        .filter(|s| !s.is_empty())
-                        .collect::<Vec<_>>()
-                ),
-            );
-        } else if let Some(rest) = part.strip_prefix("ma_filter_rejections sample=") {
-            map.insert(
-                "maFilterRejectionsSample".to_string(),
-                json!(
-                    rest.split('|')
-                        .filter(|s| !s.is_empty())
-                        .collect::<Vec<_>>()
-                ),
-            );
-        } else if let Some(rest) = part.strip_prefix("selected=") {
-            map.insert("selectedLine".to_string(), json!(rest));
-        }
-    }
-
-    serde_json::Value::Object(map)
-}
-
-fn parse_diag_value(value: &str) -> serde_json::Value {
-    if let Ok(v) = value.parse::<i64>() {
-        return json!(v);
-    }
-    if let Ok(v) = value.parse::<f64>() {
-        return json!(v);
-    }
-    json!(value)
-}
-
-fn build_warnings(
-    fills: &[FillEvent],
-    holdings: &[HoldingSummary],
-    diagnostics: &serde_json::Value,
-) -> Vec<String> {
-    let mut warnings = Vec::new();
-    if fills.is_empty() {
-        warnings.push("本次回测没有产生任何成交。".to_string());
-    }
-    if holdings.is_empty() {
-        warnings.push("期末没有持仓。".to_string());
-    }
-    let selected_after_ma_is_empty = diagnostics
-        .get("selected_after_ma")
-        .and_then(|v| v.as_i64())
-        .unwrap_or(0)
-        == 0;
-    if selected_after_ma_is_empty && fills.is_empty() && holdings.is_empty() {
-        warnings
-            .push("最终没有股票通过完整选股链路，结果为空时请优先查看 diagnostics。".to_string());
-    }
-    if diagnostics
-        .get("market_cap_missing_count")
-        .and_then(|v| v.as_i64())
-        .unwrap_or(0)
-        > 0
-    {
-        warnings.push("存在 market_cap 缺失或非正值，当前会直接阻断该股票进入候选池。".to_string());
-    }
-    warnings
-}
-
-fn print_summary(
-    summary: &RunSummary,
-    equity_curve: &[DailyEquityPoint],
-    holdings: &[HoldingSummary],
-) {
-    if equity_curve.is_empty() {
-        println!("No equity curve points generated.");
-        return;
-    }
-
-    println!("Strategy: {}", summary.strategy);
-    println!("Start equity: {:.2}", summary.start_equity);
-    println!("Final equity: {:.2}", summary.final_equity);
-    println!("Total return: {:.2}%", summary.total_return * 100.0);
-    println!("Trades: {}", summary.trade_count);
-    println!("Final holdings: {}", summary.holding_count);
-
-    if let (Some(code), Some(close)) = (&summary.benchmark_code, summary.benchmark_last_close) {
-        println!("Benchmark last close: {} {:.2}", code, close);
-    }
-
-    println!("Recent equity points:");
-    for point in equity_curve
-        .iter()
-        .rev()
-        .take(3)
-        .collect::<Vec<_>>()
-        .into_iter()
-        .rev()
-    {
-        println!(
-            "  {} equity {:.2} cash {:.2} mv {:.2}",
-            point.date, point.total_equity, point.cash, point.market_value
-        );
-    }
-
-    if holdings.is_empty() {
-        println!("No holdings at the end of the demo run.");
-    } else {
-        println!("Ending holdings:");
-        for holding in holdings {
-            println!(
-                "  {} qty {} mv {:.2} pnl {:.2}",
-                holding.symbol, holding.quantity, holding.market_value, holding.unrealized_pnl
-            );
-        }
-    }
-}

crates/fidc-core/src/cost.rs

@@ -3,6 +3,7 @@ use std::collections::BTreeMap;
 use chrono::NaiveDate;
 
 use crate::events::OrderSide;
+use crate::risk_control::TradingConstraintConfig;
 
 pub const STOCK_PIT_TAX_CHANGE_DATE: (i32, u32, u32) = (2023, 8, 28);
 
@@ -38,6 +39,7 @@ pub struct ChinaAShareCostModel {
     pub commission_rate: f64,
     pub stamp_tax_rate_before_change: f64,
     pub stamp_tax_rate_after_change: f64,
+    pub stamp_tax_change_date: NaiveDate,
     pub minimum_commission: f64,
 }
 
@@ -47,20 +49,32 @@ impl Default for ChinaAShareCostModel {
             commission_rate: 0.0008,
             stamp_tax_rate_before_change: 0.001,
             stamp_tax_rate_after_change: 0.0005,
+            stamp_tax_change_date: default_stamp_tax_change_date(),
             minimum_commission: 5.0,
         }
     }
 }
 
 impl ChinaAShareCostModel {
-    pub fn aiquant_rqalpha_default() -> Self {
+    pub fn aiquant_default() -> Self {
         Self {
+            commission_rate: 0.0003,
             stamp_tax_rate_before_change: 0.0005,
             stamp_tax_rate_after_change: 0.0005,
             ..Self::default()
         }
     }
 
+    pub fn from_trading_constraints(config: TradingConstraintConfig) -> Self {
+        Self {
+            commission_rate: config.commission_rate,
+            stamp_tax_rate_before_change: config.stamp_tax_rate_before_change,
+            stamp_tax_rate_after_change: config.stamp_tax_rate_after_change,
+            stamp_tax_change_date: config.stamp_tax_change_date,
+            minimum_commission: config.minimum_commission,
+        }
+    }
+
     pub fn commission_for(&self, gross_amount: f64) -> f64 {
         if gross_amount <= 0.0 {
             return 0.0;
@@ -69,13 +83,7 @@ impl ChinaAShareCostModel {
     }
 
     pub fn stamp_tax_rate_for(&self, date: NaiveDate) -> f64 {
-        let change_date = NaiveDate::from_ymd_opt(
+        if date < self.stamp_tax_change_date {
-            STOCK_PIT_TAX_CHANGE_DATE.0,
-            STOCK_PIT_TAX_CHANGE_DATE.1,
-            STOCK_PIT_TAX_CHANGE_DATE.2,
-        )
-        .expect("valid pit tax change date");
-        if date < change_date {
             self.stamp_tax_rate_before_change
         } else {
             self.stamp_tax_rate_after_change
@@ -127,6 +135,15 @@ impl ChinaAShareCostModel {
     }
 }
 
+fn default_stamp_tax_change_date() -> NaiveDate {
+    NaiveDate::from_ymd_opt(
+        STOCK_PIT_TAX_CHANGE_DATE.0,
+        STOCK_PIT_TAX_CHANGE_DATE.1,
+        STOCK_PIT_TAX_CHANGE_DATE.2,
+    )
+    .expect("valid pit tax change date")
+}
+
 impl CostModel for ChinaAShareCostModel {
     fn calculate(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> TradingCost {
         if gross_amount <= 0.0 {
@@ -169,3 +186,51 @@ impl CostModel for ChinaAShareCostModel {
         }
     }
 }
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn aiquant_default_matches_current_backtest_fee_model() {
+        let model = ChinaAShareCostModel::aiquant_default();
+        let date = NaiveDate::from_ymd_opt(2025, 11, 11).expect("valid date");
+
+        assert!((model.commission_for(248_059.812) - 74.4179436).abs() < 1e-9);
+        assert!(
+            (model.stamp_tax_for(date, OrderSide::Sell, 245_747.007) - 122.8735035).abs() < 1e-9
+        );
+    }
+
+    #[test]
+    fn cost_model_can_use_configurable_stamp_tax_change_date() {
+        let config = TradingConstraintConfig {
+            commission_rate: 0.0003,
+            minimum_commission: 5.0,
+            stamp_tax_rate_before_change: 0.002,
+            stamp_tax_rate_after_change: 0.001,
+            stamp_tax_change_date: NaiveDate::from_ymd_opt(2025, 1, 10).expect("valid date"),
+            ..TradingConstraintConfig::default()
+        };
+        let model = ChinaAShareCostModel::from_trading_constraints(config);
+
+        assert!(
+            (model.stamp_tax_for(
+                NaiveDate::from_ymd_opt(2025, 1, 9).expect("valid date"),
+                OrderSide::Sell,
+                10_000.0
+            ) - 20.0)
+                .abs()
+                < 1e-9
+        );
+        assert!(
+            (model.stamp_tax_for(
+                NaiveDate::from_ymd_opt(2025, 1, 10).expect("valid date"),
+                OrderSide::Sell,
+                10_000.0
+            ) - 10.0)
+                .abs()
+                < 1e-9
+        );
+    }
+}

crates/fidc-core/src/events.rs

@@ -23,6 +23,33 @@ mod date_format {
     }
 }
 
+mod optional_date_format {
+    use chrono::NaiveDate;
+    use serde::{self, Deserialize, Deserializer, Serializer};
+
+    const FORMAT: &str = "%Y-%m-%d";
+
+    pub fn serialize<S>(date: &Option<NaiveDate>, serializer: S) -> Result<S::Ok, S::Error>
+    where
+        S: Serializer,
+    {
+        match date {
+            Some(date) => serializer.serialize_some(&date.format(FORMAT).to_string()),
+            None => serializer.serialize_none(),
+        }
+    }
+
+    pub fn deserialize<'de, D>(deserializer: D) -> Result<Option<NaiveDate>, D::Error>
+    where
+        D: Deserializer<'de>,
+    {
+        let value = Option::<String>::deserialize(deserializer)?;
+        value
+            .map(|text| NaiveDate::parse_from_str(&text, FORMAT).map_err(serde::de::Error::custom))
+            .transpose()
+    }
+}
+
 #[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
 pub enum OrderSide {
     Buy,
@@ -63,6 +90,12 @@ impl OrderStatus {
 pub struct OrderEvent {
     #[serde(with = "date_format")]
     pub date: NaiveDate,
+    #[serde(default, with = "optional_date_format")]
+    pub decision_date: Option<NaiveDate>,
+    #[serde(default, with = "optional_date_format")]
+    pub order_created_date: Option<NaiveDate>,
+    #[serde(default, with = "optional_date_format")]
+    pub execution_date: Option<NaiveDate>,
     #[serde(default)]
     pub order_id: Option<u64>,
     pub symbol: String,
@@ -77,6 +110,12 @@ pub struct OrderEvent {
 pub struct FillEvent {
     #[serde(with = "date_format")]
     pub date: NaiveDate,
+    #[serde(default, with = "optional_date_format")]
+    pub decision_date: Option<NaiveDate>,
+    #[serde(default, with = "optional_date_format")]
+    pub order_created_date: Option<NaiveDate>,
+    #[serde(default, with = "optional_date_format")]
+    pub execution_date: Option<NaiveDate>,
     #[serde(default)]
     pub order_id: Option<u64>,
     pub symbol: String,
@@ -123,9 +162,9 @@ pub enum ProcessEventKind {
     PreBar,
     Bar,
     PostBar,
-    PreTick,
+    PreMinute,
-    Tick,
+    Minute,
-    PostTick,
+    PostMinute,
     PreScheduled,
     PostScheduled,
     PreOnDay,
@@ -165,9 +204,9 @@ impl ProcessEventKind {
             Self::PreBar => "pre_bar",
             Self::Bar => "bar",
             Self::PostBar => "post_bar",
-            Self::PreTick => "pre_tick",
+            Self::PreMinute => "pre_minute",
-            Self::Tick => "tick",
+            Self::Minute => "minute",
-            Self::PostTick => "post_tick",
+            Self::PostMinute => "post_minute",
             Self::PreScheduled => "pre_scheduled",
             Self::PostScheduled => "post_scheduled",
             Self::PreOnDay => "pre_on_day",

crates/fidc-core/src/futures.rs

@@ -746,6 +746,9 @@ impl FuturesAccountState {
             );
             report.order_events.push(OrderEvent {
                 date,
+                decision_date: None,
+                order_created_date: None,
+                execution_date: None,
                 order_id,
                 symbol: intent.symbol,
                 side,
@@ -823,6 +826,9 @@ impl FuturesAccountState {
                     intent.price * intent.quantity as f64 * intent.spec.contract_multiplier;
                 report.fill_events.push(FillEvent {
                     date,
+                    decision_date: None,
+                    order_created_date: None,
+                    execution_date: None,
                     order_id,
                     symbol: intent.symbol.clone(),
                     side,
@@ -889,6 +895,9 @@ impl FuturesAccountState {
                 });
                 report.order_events.push(OrderEvent {
                     date,
+                    decision_date: None,
+                    order_created_date: None,
+                    execution_date: None,
                     order_id,
                     symbol: intent.symbol,
                     side,
@@ -915,6 +924,9 @@ impl FuturesAccountState {
                 );
                 report.order_events.push(OrderEvent {
                     date,
+                    decision_date: None,
+                    order_created_date: None,
+                    execution_date: None,
                     order_id,
                     symbol: intent.symbol,
                     side,

crates/fidc-core/src/instrument.rs

@@ -40,6 +40,11 @@ impl Instrument {
             .is_some_and(|delisted_at| delisted_at < date)
     }
 
+    pub fn is_delisted_on_or_before(&self, date: NaiveDate) -> bool {
+        self.delisted_at
+            .is_some_and(|delisted_at| delisted_at <= date)
+    }
+
     pub fn is_active_on(&self, date: NaiveDate) -> bool {
         self.listed_at.is_none_or(|listed_at| listed_at <= date)
             && !self.is_delisted_before(date)

crates/fidc-core/src/lib.rs

@@ -20,7 +20,8 @@ pub mod strategy_ai;
 pub mod universe;
 
 pub use broker::{
-    BrokerExecutionReport, BrokerSimulator, DynamicSlippageConfig, MatchingType, SlippageModel,
+    BrokerExecutionReport, BrokerSimulator, DynamicSlippageConfig, MatchingType, RebalanceCashMode,
+    SlippageModel,
 };
 pub use calendar::TradingCalendar;
 pub use cost::{ChinaAShareCostModel, CostModel, TradingCost};
@@ -69,7 +70,10 @@ pub use platform_strategy_spec::{
     StrategyRuntimeSpec, platform_expr_config_from_spec, platform_expr_config_from_value,
 };
 pub use portfolio::{CashReceivable, HoldingSummary, PendingCashFlow, PortfolioState, Position};
-pub use risk_control::ChinaAShareRiskControl;
+pub use risk_control::{
+    ChinaAShareRiskControl, FidcRiskControlConfig, FidcRiskDecisionAudit, RiskCheckScope,
+    StaticRiskRuleConfig, TradingConstraintConfig,
+};
 pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};
 pub use scheduler::{
     ScheduleFrequency, ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler, default_stage_time,
@@ -81,9 +85,10 @@ pub use strategy::{
 };
 pub use strategy_ai::{
     ManualExample, ManualFactorSource, ManualField, ManualFieldGroup, ManualFunction,
-    ManualSection, StrategyAiCatalog, StrategyAiGenerateRequest, StrategyAiManual,
+    ManualSection, StrategyAiCatalog, StrategyAiGenerateRequest, StrategyAiHoldingCountContract,
-    StrategyAiOptimizeRequest, build_generation_prompt, build_optimization_prompt,
+    StrategyAiManual, StrategyAiOptimizeRequest, build_generation_prompt,
-    built_in_strategy_manual, merge_catalog_into_manual, render_manual_markdown,
+    build_optimization_prompt, built_in_strategy_manual, merge_catalog_into_manual,
+    render_manual_markdown,
 };
 pub use universe::{
     BandRegime, DynamicMarketCapBandSelector, SelectionContext, SelectionDiagnostics,

crates/fidc-core/src/platform_runtime_schema.rs

@@ -135,11 +135,12 @@ const RESERVED_SCOPE_NAMES: &[&str] = &[
     "free_float_cap",
     "pe_ttm",
     "volume",
-    "tick_volume",
+    "minute_volume",
     "bid1_volume",
     "ask1_volume",
     "turnover_ratio",
     "effective_turnover_ratio",
+    "up_days_stock",
     "open",
     "high",
     "low",
@@ -154,7 +155,9 @@ const RESERVED_SCOPE_NAMES: &[&str] = &[
     "round_lot",
     "paused",
     "is_st",
+    "is_star_st",
     "is_kcb",
+    "is_bjse",
     "is_one_yuan",
     "is_new_listing",
     "allow_buy",
@@ -327,6 +330,7 @@ mod tests {
             "avg_cost",
             "current_price",
             "stock_ma_short",
+            "up_days_stock",
         ] {
             assert!(
                 names.contains(required),

crates/fidc-core/src/portfolio.rs

@@ -82,6 +82,8 @@ impl Position {
             return;
         }
 
+        let previous_quantity = self.quantity;
+        let previous_average_cost = self.average_cost;
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
@@ -93,7 +95,18 @@ impl Position {
         self.day_trade_quantity_delta += quantity as i32;
         self.day_buy_quantity += quantity;
         self.day_buy_value += execution_price * quantity as f64;
+        if previous_quantity > 0
+            && previous_average_cost.is_finite()
+            && previous_average_cost > 0.0
+            && execution_price.is_finite()
+            && execution_price > 0.0
+        {
+            self.average_cost = (previous_average_cost * previous_quantity as f64
+                + execution_price * quantity as f64)
+                / self.quantity as f64;
+        } else {
             self.recalculate_average_cost();
+        }
         self.refresh_day_pnl();
     }
 
@@ -117,6 +130,7 @@ impl Position {
         let mut remaining = quantity;
         let mut realized = 0.0;
         let mut realized_entry = 0.0;
+        let average_cost_before_sell = self.average_cost;
 
         while remaining > 0 {
             let Some(first_lot) = self.lots.first_mut() else {
@@ -141,7 +155,13 @@ impl Position {
         self.day_trade_quantity_delta -= quantity as i32;
         self.day_sell_quantity += quantity;
         self.day_sell_value += execution_price * quantity as f64;
+        if self.quantity == 0 {
             self.recalculate_average_cost();
+        } else if average_cost_before_sell.is_finite() && average_cost_before_sell > 0.0 {
+            self.average_cost = average_cost_before_sell;
+        } else {
+            self.recalculate_average_cost();
+        }
         self.refresh_day_pnl();
         Ok(realized)
     }
@@ -252,8 +272,12 @@ impl Position {
         }
         if let Some(lot) = self.lots.last_mut() {
             lot.price += cost / quantity as f64;
+            if self.quantity > 0 && self.average_cost.is_finite() && self.average_cost > 0.0 {
+                self.average_cost += cost / self.quantity as f64;
+            } else {
                 self.recalculate_average_cost();
             }
+        }
         self.day_trade_cost += cost;
         self.refresh_day_pnl();
     }
@@ -370,7 +394,11 @@ impl Position {
         self.lots = scaled_lots;
         self.quantity = self.lots.iter().map(|lot| lot.quantity).sum();
         self.last_price /= ratio;
+        if self.average_cost.is_finite() && self.average_cost > 0.0 {
+            self.average_cost /= ratio;
+        } else {
             self.recalculate_average_cost();
+        }
         self.day_split_ratio *= ratio;
         self.refresh_day_pnl();
         self.quantity as i32 - old_quantity as i32
@@ -837,6 +865,7 @@ impl PortfolioState {
 
         let old_quantity = old_position.quantity;
         let last_price = old_position.last_price;
+        let old_average_cost = old_position.average_cost;
         let realized_pnl = old_position.realized_pnl;
         let realized_entry_pnl = old_position.realized_entry_pnl;
         let mut converted_lots = old_position
@@ -872,6 +901,8 @@ impl PortfolioState {
             .positions
             .entry(new_symbol.to_string())
             .or_insert_with(|| Position::new(new_symbol));
+        let successor_quantity_before = successor.quantity;
+        let successor_average_cost_before = successor.average_cost;
         successor.lots.extend(converted_lots);
         successor.quantity = successor.lots.iter().map(|lot| lot.quantity).sum();
         successor.realized_pnl += realized_pnl;
@@ -879,7 +910,30 @@ impl PortfolioState {
         if converted_last_price > 0.0 {
             successor.last_price = converted_last_price;
         }
+        let converted_average_cost = if old_average_cost.is_finite()
+            && old_average_cost > 0.0
+            && ratio.is_finite()
+            && ratio > 0.0
+        {
+            Some(old_average_cost / ratio)
+        } else {
+            None
+        };
+        if let Some(converted_average_cost) = converted_average_cost {
+            if successor_quantity_before > 0
+                && successor_average_cost_before.is_finite()
+                && successor_average_cost_before > 0.0
+            {
+                successor.average_cost = (successor_average_cost_before
+                    * successor_quantity_before as f64
+                    + converted_average_cost * converted_quantity as f64)
+                    / successor.quantity as f64;
+            } else {
+                successor.average_cost = converted_average_cost;
+            }
+        } else {
             successor.recalculate_average_cost();
+        }
         successor.refresh_day_pnl();
 
         Some(SuccessorConversionOutcome {
@@ -955,6 +1009,45 @@ mod tests {
         assert!((position.holding_return(6.06).unwrap() - (6.06 / 5.66 - 1.0)).abs() < 1e-12);
     }
 
+    #[test]
+    fn partial_sell_preserves_remaining_average_cost() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("603958.SH");
+        position.buy(date, 800, 18.0981);
+        position.record_buy_trade_cost(800, 5.0);
+        position.buy(date, 1700, 19.4694);
+        position.record_buy_trade_cost(1700, 8.27451625);
+        position.buy(date, 200, 18.4584);
+        position.record_buy_trade_cost(200, 5.0);
+        position.buy(date, 100, 17.8378);
+        position.record_buy_trade_cost(100, 5.0);
+        let average_cost_before = position.average_cost;
+
+        position.sell(2700, 16.8331).expect("partial sell");
+
+        assert_eq!(position.quantity, 100);
+        assert!((position.average_cost - average_cost_before).abs() < 1e-12);
+    }
+
+    #[test]
+    fn buy_after_partial_sell_continues_moving_average_cost_basis() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut position = Position::new("300405.SZ");
+        position.buy(date, 100, 10.0);
+        position.buy(date, 100, 5.0);
+        assert!((position.average_cost - 7.5).abs() < 1e-12);
+
+        position.sell(100, 6.0).expect("partial sell");
+        assert_eq!(position.quantity, 100);
+        assert!((position.average_cost - 7.5).abs() < 1e-12);
+        assert!((position.average_entry_price().unwrap() - 5.0).abs() < 1e-12);
+
+        position.buy(date, 100, 5.0);
+        assert_eq!(position.quantity, 200);
+        assert!((position.average_cost - 6.25).abs() < 1e-12);
+        assert!((position.average_entry_price().unwrap() - 5.0).abs() < 1e-12);
+    }
+
     #[test]
     fn holdings_summary_reports_entry_price_pnl_excluding_buy_commission() {
         let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
@@ -981,7 +1074,7 @@ mod tests {
     }
 
     #[test]
-    fn cash_dividend_can_preserve_avg_cost_for_aiquant_compatibility() {
+    fn cash_dividend_can_preserve_avg_cost_for_aiquant_rules() {
         let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
         let mut position = Position::new("603102.SH");
         position.buy(date, 1000, 46.45);
@@ -1033,7 +1126,7 @@ mod tests {
                             ask1: 10.01,
                             prev_close: 9.8,
                             volume: 1000,
-                            tick_volume: 1000,
+                            minute_volume: 1000,
                             bid1_volume: 1000,
                             ask1_volume: 1000,
                             trading_phase: None,
@@ -1056,7 +1149,7 @@ mod tests {
                             ask1: 10.51,
                             prev_close: 10.0,
                             volume: 1000,
-                            tick_volume: 1000,
+                            minute_volume: 1000,
                             bid1_volume: 1000,
                             ask1_volume: 1000,
                             trading_phase: None,
@@ -1080,6 +1173,7 @@ mod tests {
                         date,
                         symbol: "000001.SZ".to_string(),
                         is_st: false,
+                        is_star_st: false,
                         is_new_listing: false,
                         is_paused: false,
                         allow_buy: true,
@@ -1144,7 +1238,7 @@ mod tests {
                         ask1: 10.51,
                         prev_close: 10.0,
                         volume: 1000,
-                        tick_volume: 1000,
+                        minute_volume: 1000,
                         bid1_volume: 1000,
                         ask1_volume: 1000,
                         trading_phase: None,
@@ -1167,6 +1261,7 @@ mod tests {
                         date,
                         symbol: "000001.SZ".to_string(),
                         is_st: false,
+                        is_star_st: false,
                         is_new_listing: false,
                         is_paused: false,
                         allow_buy: true,
@@ -1228,7 +1323,7 @@ mod tests {
                 ask1: 10.31,
                 prev_close: 10.0,
                 volume: 1000,
-                tick_volume: 1000,
+                minute_volume: 1000,
                 bid1_volume: 1000,
                 ask1_volume: 1000,
                 trading_phase: None,
@@ -1297,7 +1392,7 @@ mod tests {
                     ask1: 3.02,
                     prev_close: 2.98,
                     volume: 152_975,
-                    tick_volume: 152_975,
+                    minute_volume: 152_975,
                     bid1_volume: 338,
                     ask1_volume: 2476,
                     trading_phase: None,
@@ -1320,7 +1415,7 @@ mod tests {
                     ask1: 3.07,
                     prev_close: 3.06,
                     volume: 160_000,
-                    tick_volume: 160_000,
+                    minute_volume: 160_000,
                     bid1_volume: 1000,
                     ask1_volume: 1000,
                     trading_phase: None,

crates/fidc-core/src/rules.rs

@@ -27,6 +27,10 @@ impl RuleCheck {
 }
 
 pub trait EquityRuleHooks {
+    fn duplicates_standard_china_risk(&self) -> bool {
+        false
+    }
+
     fn can_buy(
         &self,
         execution_date: NaiveDate,
@@ -49,6 +53,10 @@ pub trait EquityRuleHooks {
 pub struct ChinaEquityRuleHooks;
 
 impl EquityRuleHooks for ChinaEquityRuleHooks {
+    fn duplicates_standard_china_risk(&self) -> bool {
+        true
+    }
+
     fn can_buy(
         &self,
         _execution_date: NaiveDate,

crates/fidc-core/src/scheduler.rs

@@ -7,7 +7,7 @@ pub enum ScheduleStage {
     BeforeTrading,
     OpenAuction,
     Bar,
-    Tick,
+    Minute,
     OnDay,
     AfterTrading,
     Settlement,
@@ -225,7 +225,7 @@ pub fn default_stage_time(stage: ScheduleStage) -> Option<NaiveTime> {
         ScheduleStage::BeforeTrading => Some(NaiveTime::from_hms_opt(9, 0, 0).expect("valid time")),
         ScheduleStage::OpenAuction => Some(NaiveTime::from_hms_opt(9, 31, 0).expect("valid time")),
         ScheduleStage::Bar => Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid time")),
-        ScheduleStage::Tick => None,
+        ScheduleStage::Minute => None,
         ScheduleStage::OnDay => Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid time")),
         ScheduleStage::AfterTrading => Some(NaiveTime::from_hms_opt(15, 0, 0).expect("valid time")),
         ScheduleStage::Settlement => Some(NaiveTime::from_hms_opt(15, 1, 0).expect("valid time")),

crates/fidc-core/src/strategy_ai.rs

@@ -69,7 +69,30 @@ pub struct StrategyAiCatalog {
     pub indicator_factors: Vec<String>,
     #[serde(default)]
     #[serde(skip_serializing_if = "Vec::is_empty")]
-    pub clickhouse_table_fields: Vec<ManualFactorSource>,
+    pub data_lake_fields: Vec<ManualFactorSource>,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize)]
+pub struct StrategyAiHoldingCountContract {
+    #[serde(
+        default,
+        alias = "holdingCount",
+        alias = "holding_count",
+        alias = "targetHoldingCount",
+        alias = "target_holding_count"
+    )]
+    #[serde(skip_serializing_if = "Option::is_none")]
+    pub count: Option<i64>,
+    #[serde(
+        default,
+        alias = "kind",
+        alias = "holdingCountMode",
+        alias = "holding_count_mode",
+        alias = "targetHoldingCountMode",
+        alias = "target_holding_count_mode"
+    )]
+    #[serde(skip_serializing_if = "Option::is_none")]
+    pub mode: Option<String>,
 }
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
@@ -79,6 +102,9 @@ pub struct StrategyAiGenerateRequest {
     pub market: String,
     pub benchmark_symbol: String,
     pub signal_symbol: String,
+    #[serde(default, alias = "holdingCountContract")]
+    #[serde(skip_serializing_if = "Option::is_none")]
+    pub holding_count_contract: Option<StrategyAiHoldingCountContract>,
 }
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
@@ -87,8 +113,15 @@ pub struct StrategyAiOptimizeRequest {
     pub objective: String,
     pub result_summary: serde_json::Value,
     pub diagnostics: Vec<String>,
+    #[serde(default, alias = "holdingCountContract")]
+    #[serde(skip_serializing_if = "Option::is_none")]
+    pub holding_count_contract: Option<StrategyAiHoldingCountContract>,
 }
 
+const DEFAULT_THREE_YEAR_RETURN_TARGET_PROMPT: &str = "默认收益目标：用户没有明确指定更高收益阈值时，三年回测区间策略总收益严格 > 120% 才视为满足收益目标，120.00% 本身不算达标；达到该阈值后可以继续优化夏普、回撤、换手和稳定性，但不得把已达标策略判为失败或为了追更高收益破坏无未来数据、持仓数量和同条件对账合同。";
+const DEFAULT_RISK_POLICY_DSL_PROMPT: &str = "reject_st_selection=false、reject_st_buy=true、reject_star_st_selection=false、reject_star_st_buy=true、reject_paused_selection=false、reject_paused_buy=true、reject_paused_sell=true、reject_inactive_selection=false、reject_inactive_buy=true、reject_inactive_sell=true、reject_new_listing_selection=false、reject_new_listing_buy=true、reject_kcb_selection=false、reject_kcb_buy=true、reject_bjse_selection=false、reject_bjse_buy=true、reject_one_yuan_selection=false、reject_one_yuan_buy=true、respect_allow_buy_sell=true、reject_upper_limit_selection=false、reject_lower_limit_selection=false、reject_upper_limit_buy=true、reject_lower_limit_sell=true、forbid_same_day_rebuy_after_sell=true、blacklist_enabled=true、allow_market_orders=true、live_trading_enabled=false、volume_limit_enabled=true、liquidity_limit_enabled=true、volume_percent=0.25、commission_rate=0.0003、minimum_commission=5、stamp_tax_rate_before_change=0.001、stamp_tax_rate_after_change=0.0005、stamp_tax_change_date=\"2023-08-28\"";
+const DEFAULT_RISK_POLICY_DSL_CODE: &str = "reject_st_selection=false, reject_st_buy=true, reject_star_st_selection=false, reject_star_st_buy=true, reject_paused_selection=false, reject_paused_buy=true, reject_paused_sell=true, reject_inactive_selection=false, reject_inactive_buy=true, reject_inactive_sell=true, reject_new_listing_selection=false, reject_new_listing_buy=true, reject_kcb_selection=false, reject_kcb_buy=true, reject_bjse_selection=false, reject_bjse_buy=true, reject_one_yuan_selection=false, reject_one_yuan_buy=true, respect_allow_buy_sell=true, reject_upper_limit_selection=false, reject_lower_limit_selection=false, reject_upper_limit_buy=true, reject_lower_limit_sell=true, forbid_same_day_rebuy_after_sell=true, blacklist_enabled=true, allow_market_orders=true, live_trading_enabled=false, volume_limit_enabled=true, liquidity_limit_enabled=true, volume_percent=0.25, commission_rate=0.0003, minimum_commission=5, stamp_tax_rate_before_change=0.001, stamp_tax_rate_after_change=0.0005, stamp_tax_change_date=\"2023-08-28\"";
+
 pub fn built_in_strategy_manual() -> StrategyAiManual {
     StrategyAiManual {
         title: "OmniQuant 平台策略脚本手册".to_string(),
@@ -97,11 +130,12 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             "平台策略脚本采用声明式 DSL + 表达式执行模型。".to_string(),
             "支持 let 变量、fn 自定义函数、when/unless/else 条件块、可用指标/因子字段映射。".to_string(),
             "支持数值型和字符串型因子，字符串字段可用于行业、概念、标签、板块等分类过滤。".to_string(),
-            "当前默认回测数据已支持 OHLCV、市值、流通市值、换手率、有效换手率、上市天数、停牌/ST/板块、涨跌停价格、tick 触达涨跌停、常用价格/成交量均线，以及 stock_indicator_factors_v1 中已入库的通用指标因子。".to_string(),
+            "用户明确指定目标持仓数量或最低持仓数量时，selection.limit 必须严格表达该数量；不要因为优化收益、减少交易或转换框架而擅自改小持仓数。".to_string(),
+            "当前默认回测数据已支持 OHLCV、市值、流通市值、换手率、有效换手率、上市天数、停牌/ST/板块、涨跌停价格、分钟线触达涨跌停、常用价格/成交量均线，以及 stock_indicator_factors_v1 中已入库的通用指标因子。".to_string(),
             "AI 生成策略时只能输出完整 engine-script 代码，不输出 Markdown、解释、推理过程、JSON 包装或手册复述。".to_string(),
             "表达式字段以运行时字段为准：市值使用 market_cap，流通市值使用 free_float_cap；不要在策略表达式中使用数据库原始字段 float_market_cap。".to_string(),
             "任意窗口价格均线使用 rolling_mean(\"close\", n) 或 ma(\"close\", n)，任意窗口均量使用 rolling_mean(\"volume\", n) 或 vma(n)；不要使用未列出的 ma60、stock_ma60、signal_ma60 或 benchmark_ma60 变量。".to_string(),
-            "next_bar_open 会用决策日信号生成订单，并在下一可交易开盘撮合；不得把执行日 open/high/low/close 当成下单前已知信息。".to_string(),
+            "next_bar_open 会用决策日信号生成订单，并在下一可交易开盘撮合；不得把执行日 open/high/low/close 当成下单前已知信息；涨停买入和跌停卖出风控必须用实际 next-open 成交价比较，不能用执行日 close/last 或 next-close。".to_string(),
             "自定义 fn 必须通过参数传入运行时字段；不要用 fn score() 这类零参数函数直接引用 market_cap、close、ma5 等股票字段。".to_string(),
             "禁止自由 Python/JavaScript 命令式语句，最终必须输出平台 DSL。".to_string(),
         ],
@@ -203,8 +237,8 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 detail: "支持按交易周或交易月调仓，例如 rebalance.weekly(weekday=5).at([\"10:18\"])、rebalance.weekly(tradingday=-1).at([\"10:18\"])、rebalance.monthly(tradingday=1).at([\"10:18\"])。`.at([...])` 的最后一个时刻会编进分钟级 schedule/time_rule；当前平台把 on_day 近似到 10:18，把 open_auction 近似到 09:31。".to_string(),
             },
             ManualSection {
-                title: "bar / tick 生命周期".to_string(),
+                title: "bar / minute execution 生命周期".to_string(),
-                detail: "回测内核支持 平台内核 风格的 bar/tick 生命周期：日内会发布 pre_bar/bar/post_bar 过程事件；存在 tick 订阅或 tick 调度规则时，会按 execution_quotes 的时间顺序发布 pre_tick/tick/post_tick，并把 tick 阶段下单限制在当前 tick 时间窗内撮合。平台 DSL 中可通过 subscribe([...])、trading.subscription_guard(true) 和 process_event 字段配合显式订单模拟 tick 订阅策略。".to_string(),
+                detail: "回测内核支持 平台内核 风格的 bar/分钟执行价生命周期：日内会发布 pre_bar/bar/post_bar 过程事件；存在分钟执行价订阅或分钟调度规则时，会按 execution_quotes 的时间顺序发布 pre_minute/minute/post_minute 过程事件，并把日内阶段下单限制在当前分钟执行价时间窗内撮合。平台 DSL 中可通过 subscribe([...])、trading.subscription_guard(true) 和 process_event 字段配合显式订单模拟日内订阅策略。".to_string(),
             },
             ManualSection {
                 title: "selection.market_cap_band / selection.limit / ordering.rank_by / ordering.rank_expr".to_string(),
@@ -214,21 +248,25 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 title: "filter.stock_expr / risk.stop_loss / risk.take_profit / allocation.buy_scale".to_string(),
                 detail: "表达式型规则，支持多条组合。stop_loss/take_profit 多条按 OR 组合，filter.stock_expr 多条按 AND 组合。".to_string(),
             },
+            ManualSection {
+                title: "risk.policy / risk.blacklist".to_string(),
+                detail: "统一配置 FIDC 基础风控。risk.policy(...) 支持 reject_st_selection、reject_st_buy、reject_star_st_selection、reject_star_st_buy、reject_paused_selection、reject_paused_buy、reject_paused_sell、reject_inactive_selection、reject_inactive_buy、reject_inactive_sell、reject_new_listing_selection、reject_new_listing_buy、reject_kcb_selection、reject_kcb_buy、reject_bjse_selection、reject_bjse_buy、reject_one_yuan_selection、reject_one_yuan_buy、respect_allow_buy_sell、reject_upper_limit_selection、reject_lower_limit_selection、reject_upper_limit_buy、reject_lower_limit_sell、forbid_same_day_rebuy_after_sell、blacklist_enabled、allow_market_orders、live_trading_enabled、blacklisted_symbols、volume_limit_enabled、liquidity_limit_enabled、volume_percent、commission_rate、minimum_commission、stamp_tax_rate_before_change、stamp_tax_rate_after_change、stamp_tax_change_date 等命名参数；risk.blacklist([\"600000.SH\"]) 写策略级黑名单。ST、*ST、停牌、退市、科创、北交所、一元、涨跌停、同日卖出禁买、黑名单、成交量和费用等基础风控必须走 risk.policy 或运行态 RiskLimits，不要写进 universe.exclude 或 filter.stock_expr。PG/Source Lake 是真相源，Redis 只可做当日锁、热配置缓存和配置变更通知。".to_string(),
+            },
             ManualSection {
                 title: "corporate_actions.dividend_reinvestment".to_string(),
                 detail: "支持 corporate_actions.dividend_reinvestment(true)。开启后，现金分红到账会优先按 round lot 回补成同一只股票，零头保留为现金。".to_string(),
             },
             ManualSection {
                 title: "execution.matching_type / execution.slippage".to_string(),
-                detail: "设置撮合模式和滑点。支持 execution.matching_type(\"next_tick_last\" | \"next_tick_best_own\" | \"next_tick_best_counterparty\" | \"counterparty_offer\" | \"vwap\" | \"current_bar_close\" | \"next_bar_open\" | \"open_auction\")。其中 next_tick_last 使用 tick 的 last_price；next_tick_best_own / next_tick_best_counterparty 会按 L1 买一卖一近似 平台内核 的 tick 最优价语义；counterparty_offer 在存在 order_book_depth 多档盘口数据时会按真实档位逐档扫单并计算加权成交价，不存在 depth 时回退 L1 对手方报价；vwap 会在盘中执行价链路上聚合多笔成交为单条 VWAP 成交；next_bar_open 使用决策日信号并在下一可交易日开盘撮合，禁止把执行日 open/high/low/close 解释为下单前已知数据；open_auction 使用当日集合竞价开盘价 day_open 进行撮合，且不额外施加滑点，并按竞价成交量而不是盘口一档流动性限制成交；滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(),
+                detail: "设置回测全局撮合模式和滑点。日线回测只允许 execution.matching_type(\"current_bar_close\") 或 execution.matching_type(\"next_bar_open\")；current_bar_close 使用决策日当日 close，next_bar_open 使用决策日信号并在下一可交易日 open 撮合，禁止把执行日 open/high/low/close 解释为下单前已知数据；next_bar_open 的涨停买入和跌停卖出判断必须比较实际 open 成交价与涨跌停价，不能用执行日 close/last 或 next-close。分钟线回测使用当前分钟价格成交，只能写 execution.matching_type(\"minute_last\")；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type，这些只属于显式订单或内部撮合能力。日线调仓现金口径由 execution.rebalance_cash_mode(\"sell_then_buy\" | \"same_point_net\" | \"pre_open_cash\") 或页面/API 参数控制，默认 sell_then_buy；sell_then_buy_delay_slippage_rate 只来自页面/API 执行参数，默认 0，不要写进策略表达式。滑点支持 execution.slippage(\"none\") / execution.slippage(\"price_ratio\", 0.001) / execution.slippage(\"tick_size\", 1) / execution.slippage(\"limit_price\")，其中 limit_price 会在限价单成交时按挂单价模拟 平台内核 的最坏成交价。".to_string(),
             },
             ManualSection {
                 title: "期货提交校验".to_string(),
-                detail: "期货订单进入撮合前会先执行账户与交易规则校验：合约必须在上市/退市日期范围内，日行情不能停牌，trading_phase 需处于 continuous/trading/open_auction/auction/call_auction/opening_auction 等可交易阶段，限价必须为正且按 futures_trading_parameters.price_tick 或日行情 price_tick 对齐，并且不能越过 upper_limit/lower_limit；随后继续检查反向挂单自成交风险、保证金和可平数量。服务层可通过 FuturesValidationConfig 分别关闭 active instrument、trading phase、limit price tick、price limit 校验，用于兼容特殊数据，但默认全部开启。".to_string(),
+                detail: "期货订单进入撮合前会先执行账户与交易规则校验：合约必须在上市/退市日期范围内，日行情不能停牌，trading_phase 需处于 continuous/trading/open_auction/auction/call_auction/opening_auction 等可交易阶段，限价必须为正且按 futures_trading_parameters.price_tick 或日行情 price_tick 对齐，并且不能越过 upper_limit/lower_limit；随后继续检查反向挂单自成交风险、保证金和可平数量。服务层可通过 FuturesValidationConfig 分别关闭 active instrument、trading phase、限价最小价位、price limit 校验，但默认全部开启。".to_string(),
             },
             ManualSection {
                 title: "trading.rotation / order.* / cancel.* / update_universe / subscribe".to_string(),
-                detail: "支持显式下单、撤单、AlgoOrder、动态 universe 和账户资金动作。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段；需要模拟 平台内核 的 tick 订阅保护时，可写 trading.subscription_guard(true)，未订阅 symbol 的显式订单会被拦截，TargetPortfolioSmart + AlgoOrder 会过滤未订阅标的。用 trading.schedule.daily().at([\"10:18\"]) / trading.schedule.weekly(weekday=5).at([\"10:18\"]) / trading.schedule.weekly(tradingday=-1).at([\"10:18\"]) / trading.schedule.monthly(tradingday=1).at([\"10:18\"]) 指定触发频率和分钟级 time_rule，然后写 order.shares(\"600000.SH\", 1000)、order.target_shares(\"600000.SH\", 2000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99)、order.vwap_value(\"600000.SH\", cash * 0.25, \"09:31\", \"09:40\")、order.twap_percent(\"600000.SH\", 0.05, \"10:00\", \"10:30\")、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices=VWAPOrder(930, 940), valuation_prices={\"600000.SH\": prev_close})、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices={\"600000.SH\": open * 0.99}, valuation_prices={\"600000.SH\": prev_close})、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()、update_universe([\"600000.SH\", \"000001.SZ\"])、subscribe([\"000001.SZ\"])、unsubscribe([\"000001.SZ\"])、account.deposit_withdraw(100000, receiving_days=0)、account.finance_repay(50000)、account.set_management_fee_rate(0.001)。其中 order.target_shares(...) 对应 平台内核 的 order_to，order.target_portfolio_smart(...) 对应 平台内核 的 order_target_portfolio_smart 批量目标权重语义；account.deposit_withdraw(...) 和 account.finance_repay(...) 对应 平台内核 账户出入金与融资/还款语义；order_prices 既可以是逐标的限价映射，也可以是 VWAPOrder/TWAPOrder 这类全局 AlgoOrder；order.vwap_* / order.twap_* 对应 平台内核 的 AlgoOrder 时间窗订单风格，而 update_universe/subscribe/unsubscribe 对应 平台内核 的动态 universe 与订阅接口。symbol 使用标准证券代码；数量、金额、仓位、时间窗、限价、order_id 和 symbol 列表都支持表达式；这些语句也支持放进 when/unless 条件块。".to_string(),
+                detail: "支持显式下单、撤单、AlgoOrder、动态 universe 和账户资金动作。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段；需要模拟 平台内核 的日内订阅保护时，可写 trading.subscription_guard(true)，未订阅 symbol 的显式订单会被拦截，TargetPortfolioSmart + AlgoOrder 会过滤未订阅标的。用 trading.schedule.daily().at([\"10:18\"]) / trading.schedule.weekly(weekday=5).at([\"10:18\"]) / trading.schedule.weekly(tradingday=-1).at([\"10:18\"]) / trading.schedule.monthly(tradingday=1).at([\"10:18\"]) 指定触发频率和分钟级 time_rule，然后写 order.shares(\"600000.SH\", 1000)、order.target_shares(\"600000.SH\", 2000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99)、order.vwap_value(\"600000.SH\", cash * 0.25, \"09:31\", \"09:40\")、order.twap_percent(\"600000.SH\", 0.05, \"10:00\", \"10:30\")、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices=VWAPOrder(930, 940), valuation_prices={\"600000.SH\": prev_close})、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices={\"600000.SH\": open * 0.99}, valuation_prices={\"600000.SH\": prev_close})、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()、update_universe([\"600000.SH\", \"000001.SZ\"])、subscribe([\"000001.SZ\"])、unsubscribe([\"000001.SZ\"])、account.deposit_withdraw(100000, receiving_days=0)、account.finance_repay(50000)、account.set_management_fee_rate(0.001)。其中 order.target_shares(...) 对应 平台内核 的 order_to，order.target_portfolio_smart(...) 对应 平台内核 的 order_target_portfolio_smart 批量目标权重语义；account.deposit_withdraw(...) 和 account.finance_repay(...) 对应 平台内核 账户出入金与融资/还款语义；order_prices 既可以是逐标的限价映射，也可以是 VWAPOrder/TWAPOrder 这类全局 AlgoOrder；order.vwap_* / order.twap_* 对应 平台内核 的 AlgoOrder 时间窗订单风格，而 update_universe/subscribe/unsubscribe 对应 平台内核 的动态 universe 与订阅接口。symbol 使用标准证券代码；数量、金额、仓位、时间窗、限价、order_id 和 symbol 列表都支持表达式；这些语句也支持放进 when/unless 条件块。".to_string(),
             },
             ManualSection {
                 title: "when / unless / else".to_string(),
@@ -267,12 +305,12 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 fields: vec![
                     ManualField { name: "symbol".to_string(), field_type: "string".to_string(), detail: "证券代码。".to_string() },
                     ManualField { name: "market_cap/free_float_cap".to_string(), field_type: "float".to_string(), detail: "总市值、流通市值。".to_string() },
-                    ManualField { name: "turnover/turnover_ratio/effective_turnover_ratio".to_string(), field_type: "float".to_string(), detail: "换手率、换手率标准字段、有效换手率；turnover 是 turnover_ratio 的兼容别名。".to_string() },
+                    ManualField { name: "turnover_ratio/effective_turnover_ratio".to_string(), field_type: "float".to_string(), detail: "换手率标准字段和有效换手率。".to_string() },
                     ManualField { name: "open/high/low/close/last/last_price/prev_close/amount".to_string(), field_type: "float".to_string(), detail: "开盘、最高、最低、收盘、盘中价、昨收和成交额。".to_string() },
                     ManualField { name: "upper_limit/lower_limit/price_tick/round_lot/minimum_order_quantity/order_step_size".to_string(), field_type: "float/int".to_string(), detail: "涨跌停、最小价位、整手、最小下单量和数量步长。KSH/BJSE 等板块可与 round_lot 不同。".to_string() },
-                    ManualField { name: "paused/is_st/is_kcb/is_one_yuan/is_new_listing".to_string(), field_type: "bool".to_string(), detail: "可交易性与板块标志。".to_string() },
+                    ManualField { name: "paused/is_st/is_star_st/is_kcb/is_one_yuan/is_new_listing".to_string(), field_type: "bool".to_string(), detail: "可交易性与板块标志，ST 与 *ST 是独立字段。".to_string() },
                     ManualField { name: "allow_buy/allow_sell/at_upper_limit/at_lower_limit".to_string(), field_type: "bool".to_string(), detail: "盘中买卖与涨跌停状态。".to_string() },
-                    ManualField { name: "touched_upper_limit/touched_lower_limit/hit_upper_limit/hit_lower_limit".to_string(), field_type: "bool".to_string(), detail: "当日 tick 曾经触达涨跌停。".to_string() },
+                    ManualField { name: "touched_upper_limit/touched_lower_limit/hit_upper_limit/hit_lower_limit".to_string(), field_type: "bool".to_string(), detail: "当日分钟执行价曾经触达涨跌停。".to_string() },
                     ManualField { name: "symbol_open_order_count/symbol_open_buy_qty/symbol_open_sell_qty/latest_symbol_open_order_id".to_string(), field_type: "int".to_string(), detail: "当前证券在挂单簿中的未成交挂单摘要和最近挂单 id。".to_string() },
                     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() },
@@ -304,13 +342,13 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
         functions: vec![
             ManualFunction { name: "factor".to_string(), signature: "factor(\"column_name\")".to_string(), detail: "读取当前股票当日可用因子列。数值因子返回 float，字符串因子返回 string；缺失字段默认返回 0 或空字符串，建议重要条件配合 diagnostics 查看候选过滤数量。".to_string() },
             ManualFunction { name: "day_factor".to_string(), signature: "day_factor(\"field_name\")".to_string(), detail: "读取日级/指数级字段映射。".to_string() },
-            ManualFunction { name: "history_bars".to_string(), signature: "ctx.history_bars(symbol, count, \"1d\" | \"1m\" | \"tick\", \"close\", include_now)".to_string(), detail: "回测内核策略上下文数据 API，返回指定证券最近 N 条数值序列。日线字段支持 open/high/low/close/last/prev_close/volume/upper_limit/lower_limit；分钟或 tick 字段支持 last/bid1/ask1/volume_delta/amount_delta。日线 include_now=false 排除当前交易日；分钟/tick 会按当前 on_bar、on_tick 或调度时刻截断，include_now=false 排除当前 bar/tick，避免未来函数。".to_string() },
+            ManualFunction { name: "history_bars".to_string(), signature: "ctx.history_bars(symbol, count, \"1d\" | \"1m\", \"close\", include_now)".to_string(), detail: "回测内核策略上下文数据 API，返回指定证券最近 N 条数值序列。日线字段支持 open/high/low/close/last/prev_close/volume/upper_limit/lower_limit；分钟字段支持 last/bid1/ask1/volume_delta/amount_delta。日线 include_now=false 排除当前信号日；分钟线会按当前 on_bar、日内事件或调度时刻截断，include_now=false 排除当前分钟执行价。next_bar_open 下该 API 只能看到信号日数据，不能读取实际成交日数据。".to_string() },
-            ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前交易日指定证券的日级快照，可用于获得当日 open/close/last/upper_limit/lower_limit 等字段。".to_string() },
+            ManualFunction { name: "current_snapshot".to_string(), signature: "ctx.current_snapshot(symbol)".to_string(), detail: "读取当前信号日指定证券的日级快照，可用于获得信号日 open/close/last/upper_limit/lower_limit 等字段；next_bar_open 的实际成交日涨跌停、停牌、ST、退市、一元、黑名单、成交量和盘口流动性由撮合层按执行日判断。".to_string() },
             ManualFunction { name: "instrument/instruments/all_instruments".to_string(), signature: "ctx.instrument(symbol)".to_string(), detail: "读取证券元数据，包括名称、板块、上市日期、退市日期、最小下单量、整手、最小价位等；all_instruments 按证券代码稳定排序返回全量证券。".to_string() },
-            ManualFunction { name: "active_instruments/instruments_history".to_string(), signature: "ctx.active_instruments(&[symbol])".to_string(), detail: "active_instruments 返回当前交易日已上市且未退市的证券；instruments_history 返回给定代码的历史证券记录，包含当前已退市标的，对齐 平台内核 的 active_instruments/instruments_history 能力。".to_string() },
+            ManualFunction { name: "active_instruments/instruments_history".to_string(), signature: "ctx.active_instruments(&[symbol])".to_string(), detail: "active_instruments 返回当前信号日已上市且未退市的证券；instruments_history 返回给定代码的历史证券记录，包含当前已退市标的，对齐 平台内核 的 active_instruments/instruments_history 能力。".to_string() },
             ManualFunction { name: "get_trading_dates/get_previous_trading_date/get_next_trading_date".to_string(), signature: "ctx.get_previous_trading_date(date, n)".to_string(), detail: "交易日历 API。get_trading_dates 返回闭区间交易日；previous/next 返回相对某日向前或向后的第 n 个交易日，当前日自身不计入。".to_string() },
-            ManualFunction { name: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前交易日最近 count 个交易日的停牌或 ST 标记，返回 bool 序列，顺序从旧到新；对应平台内核的 is_suspended/is_st_stock 数据能力。".to_string() },
+            ManualFunction { name: "is_suspended/is_st_stock".to_string(), signature: "ctx.is_suspended(symbol, count)".to_string(), detail: "读取指定证券截至当前信号日最近 count 个交易日的停牌或 ST 标记，返回 bool 序列，顺序从旧到新；对应平台内核的 is_suspended/is_st_stock 数据能力。执行日停牌或 ST 只能由撮合风控判断，不能在 next_bar_open 的 T 日提前固化。".to_string() },
-            ManualFunction { name: "get_price".to_string(), signature: "ctx.get_price(symbol, start_date, end_date, \"1d\" | \"1m\" | \"tick\")".to_string(), detail: "按日期区间读取统一 PriceBar 序列。日线返回 open/high/low/close/last/volume/盘口字段；分钟或 tick 返回按 timestamp 排序的 last/bid1/ask1/volume_delta/amount_delta 映射，便于服务层转成表格或前端明细。".to_string() },
+            ManualFunction { name: "get_price".to_string(), signature: "ctx.get_price(symbol, start_date, end_date, \"1d\" | \"1m\")".to_string(), detail: "按日期区间读取统一 PriceBar 序列。日线返回 open/high/low/close/last/volume/盘口字段；分钟线返回按 timestamp 排序的 last/bid1/ask1/volume_delta/amount_delta 映射，便于服务层转成表格或前端明细。".to_string() },
             ManualFunction { name: "get_dividend / dividend_cash / has_dividend".to_string(), signature: "dividend_cash(lookback) / has_dividend(lookback)".to_string(), detail: "高级数据 风格分红 API。Rust Context 可用 ctx.get_dividend(symbol, start_date) 读取明细；平台表达式可用 dividend_cash(lookback) 汇总当前股票最近 N 个交易日现金分红，用 has_dividend(lookback) 判断是否发生分红，也支持 dividend_cash(\"600000.SH\", lookback)。".to_string() },
             ManualFunction { name: "get_split / split_ratio / has_split".to_string(), signature: "split_ratio(lookback) / has_split(lookback)".to_string(), detail: "高级数据 风格拆分/送转 API。Rust Context 可用 ctx.get_split(symbol, start_date) 读取明细；平台表达式可用 split_ratio(lookback) 计算当前股票最近 N 个交易日累计拆分比例，has_split(lookback) 判断是否发生送转。".to_string() },
             ManualFunction { name: "get_factor / factor_value".to_string(), signature: "factor_value(\"field\", lookback=1)".to_string(), detail: "数值因子 API。factor(\"field\") 读取当前股票当日因子；factor_value(\"field\", lookback) 会在最近 N 个交易日内取该字段最新数值，适合读取任意可用指标或自定义数值因子。Rust Context 可用 ctx.get_factor(symbol, start, end, field) 读取完整数值序列。".to_string() },
@@ -328,13 +366,13 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             ManualFunction { name: "order/order_status/order_avg_price/order_transaction_cost".to_string(), signature: "ctx.order(order_id)".to_string(), detail: "按订单 id 查询运行时订单对象，支持已结束订单和当前挂单。返回字段包括 status、filled_quantity、unfilled_quantity、avg_price、transaction_cost、symbol、side、reason；可用便捷函数读取状态、成交均价和费用，对齐 平台内核 Order 的核心属性。".to_string() },
             ManualFunction { name: "account/portfolio_view/accounts".to_string(), signature: "ctx.account()".to_string(), detail: "返回当前股票账户/组合运行时视图，字段包括 account_type、cash、available_cash、frozen_cash、market_value、total_value、unit_net_value、daily_pnl、daily_returns、total_returns、transaction_cost、trading_pnl、position_pnl 等；DSL 中同名字段可直接使用。也可用 ctx.stock_account()、ctx.account_by_type(\"STOCK\")、ctx.accounts() 按账户类型读取；当前股票回测路径不会把 FUTURE 虚假映射成 STOCK。".to_string() },
             ManualFunction { name: "deposit_withdraw/finance_repay/management_fee".to_string(), signature: "account.deposit_withdraw(amount, receiving_days=0)".to_string(), detail: "策略账户资金动作。deposit_withdraw 正数入金、负数出金；receiving_days 大于 0 时按交易日延迟到账，并保持净值口径不把外部资金流当成收益。finance_repay 正数融资、负数还款，会同步维护 cash_liabilities。set_management_fee_rate 设置结算管理费率；普通策略可覆盖 management_fee(ctx, rate) 自定义计算器，对齐 平台内核 管理费回调能力。".to_string() },
-            ManualFunction { name: "rolling_mean / sma / ma".to_string(), signature: "rolling_mean(\"field\", lookback) / ma(\"close\", 20)".to_string(), detail: "任意字段滚动均值，支持 close、volume、amount、turnover_ratio、effective_turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 和所有数值型 extra_factors。个股 close 使用当前交易日前已完成收盘序列，volume 使用当前交易日前已完成成交量序列；历史窗口不足时在选股过滤和买入仓位表达式中按不通过/0 仓处理。".to_string() },
+            ManualFunction { name: "rolling_mean / sma / ma".to_string(), signature: "rolling_mean(\"field\", lookback) / ma(\"close\", 20)".to_string(), detail: "任意字段滚动均值，支持 close、volume、amount、turnover_ratio、effective_turnover_ratio、signal_open/signal_close、benchmark_open/benchmark_close 和所有数值型 extra_factors。第一个参数必须是字段名或字符串字段名，不能传嵌套表达式或另一个 helper 调用。个股 close 使用当前交易日前已完成收盘序列，volume 使用当前交易日前已完成成交量序列；历史窗口不足时在选股过滤和买入仓位表达式中按不通过/0 仓处理。".to_string() },
             ManualFunction { name: "vma".to_string(), signature: "vma(60)".to_string(), detail: "rolling_mean(\"volume\", lookback) 的便捷别名，用于任意窗口成交量均线，例如 vma(5) < vma(60)。".to_string() },
-            ManualFunction { name: "rolling_sum / rolling_min / rolling_max".to_string(), signature: "rolling_sum(\"volume\", 20)".to_string(), detail: "任意数值字段滚动求和、最小值、最大值。可用于量能收缩、区间高低点、资金活跃度等过滤或排序。".to_string() },
+            ManualFunction { name: "rolling_sum / rolling_min / rolling_max".to_string(), signature: "rolling_sum(\"volume\", 20)".to_string(), detail: "任意数值字段滚动求和、最小值、最大值。第一个参数必须是字段名或字符串字段名，不能传嵌套表达式或另一个 helper 调用。可用于量能收缩、区间高低点、资金活跃度等过滤或排序。".to_string() },
-            ManualFunction { name: "rolling_stddev / stddev / rolling_zscore / pct_change".to_string(), signature: "stddev(\"close\", 20) / pct_change(\"close\", 10)".to_string(), detail: "滚动标准差、最新值 Z 分数和区间涨跌幅。pct_change(field, n) 会读取 n+1 个窗口点并计算 latest / first - 1。".to_string() },
+            ManualFunction { name: "rolling_stddev / stddev / rolling_zscore / pct_change".to_string(), signature: "stddev(\"close\", 20) / pct_change(\"close\", 10)".to_string(), detail: "滚动标准差、最新值 Z 分数和区间涨跌幅。第一个参数必须是字段名或字符串字段名，不能传嵌套表达式或另一个 helper 调用；需要收益率波动时先使用已注册收益率字段或发布因子，不要写 rolling_stddev(pct_change(\"close\", 1), 20)。pct_change(field, n) 会读取 n+1 个窗口点并计算 latest / first - 1。".to_string() },
-            ManualFunction { name: "数据库指标因子".to_string(), signature: "factor_value(\"ths_valid_turnover_stock\", 1)".to_string(), detail: "stock_indicator_factors_v1 中的指标会进入 extra_factors，可用 factor(\"字段\")、factors[\"字段\"]、factor_value(\"字段\", lookback) 或 rolling_mean(\"字段\", n) 读取。市值类指标统一提供亿元口径别名 ths_market_value_stock、ths_market_value_stock_bn、ths_current_mv_stock、ths_current_mv_stock_bn，同时保留 raw 后缀原始值。".to_string() },
+            ManualFunction { name: "Source Lake 指标因子".to_string(), signature: "factor_value(\"ths_valid_turnover_stock\", 1)".to_string(), detail: "Strategy Factory Source Lake 中已完成 PIT/as-of 审计的 source rows 字段、已发布指标或因子 artifact 会进入 extra_factors，可用 factor(\"字段\")、factors[\"字段\"]、factor_value(\"字段\", lookback) 或 rolling_mean(\"字段\", n) 读取。市值类指标统一提供亿元口径别名 ths_market_value_stock、ths_market_value_stock_bn、ths_current_mv_stock、ths_current_mv_stock_bn，同时保留 raw 后缀原始值。".to_string() },
             ManualFunction { name: "round/floor/ceil/abs/min/max/clamp".to_string(), signature: "round(x)".to_string(), detail: "常用数值函数。".to_string() },
-            ManualFunction { name: "safe_div".to_string(), signature: "safe_div(lhs, rhs, fallback)".to_string(), detail: "安全除法。".to_string() },
+            ManualFunction { name: "safe_div".to_string(), signature: "safe_div(lhs, rhs) / safe_div(lhs, rhs, fallback)".to_string(), detail: "安全除法，两参数形式默认 fallback=0。".to_string() },
             ManualFunction { name: "contains/starts_with/ends_with/lower/upper/trim/strlen".to_string(), signature: "starts_with(symbol, \"60\")".to_string(), detail: "字符串辅助函数。".to_string() },
         ],
         factor_sources: vec![
@@ -360,12 +398,12 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             },
             ManualFactorSource {
                 table: "盘口深度参数".to_string(),
-                detail: "可选字段包括 date、symbol、timestamp、level、bid_price、bid_volume、ask_price、ask_volume。存在盘口深度时，期货 counterparty_offer / next_tick_best_counterparty 可按真实多档盘口逐档扫单；不存在时不会伪造 depth。".to_string(),
+                detail: "可选字段包括 date、symbol、timestamp、level、bid_price、bid_volume、ask_price、ask_volume。存在盘口深度时，期货 minute_best_counterparty 可按真实多档盘口逐档扫单；不存在时不会伪造 depth。".to_string(),
                 fields: vec![],
             },
             ManualFactorSource {
                 table: "期货交易参数".to_string(),
-                detail: "字段包括 symbol、effective_date、contract_multiplier、long_margin_rate、short_margin_rate、commission_type、open_commission_ratio、close_commission_ratio、close_today_commission_ratio、price_tick。回测会按交易日自动选择不晚于当前日期的最新参数，用于保证金、手续费和限价 tick 校验。".to_string(),
+                detail: "字段包括 symbol、effective_date、contract_multiplier、long_margin_rate、short_margin_rate、commission_type、open_commission_ratio、close_commission_ratio、close_today_commission_ratio、price_tick。回测会按交易日自动选择不晚于当前日期的最新参数，用于保证金、手续费和限价最小价位校验。".to_string(),
                 fields: vec![],
             },
         ],
@@ -383,8 +421,8 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 code: "filter.stock_expr(industry_name(\"citics\", 1) == \"电子\" && factor_text(\"concept\") == \"ai_chip\")".to_string(),
             },
             ManualExample {
-                title: "next tick 撮合 + tick 滑点".to_string(),
+                title: "分钟执行价撮合 + 最小价位滑点".to_string(),
-                code: "execution.matching_type(\"next_tick_last\")\nexecution.slippage(\"tick_size\", 1)".to_string(),
+                code: "execution.matching_type(\"minute_last\")\nexecution.slippage(\"tick_size\", 1)".to_string(),
             },
             ManualExample {
                 title: "动态 universe 和订阅".to_string(),
@@ -432,17 +470,21 @@ pub fn render_manual_markdown(manual: &StrategyAiManual) -> String {
     out.push_str("## AI 代码生成硬约束\n");
     out.push_str("- 只输出完整 `engine-script` 代码；第一行必须是 `strategy(\"...\")`、`let`、`fn`、`const` 或 `//`。\n");
     out.push_str("- 禁止输出 Markdown、解释、推理过程、JSON 包装、手册复述或结果报告。\n");
-    out.push_str("- 只使用支持语句块：`market`、`benchmark`、`signal`、`rebalance.every_days(...).at([...])`、`selection.limit`、`selection.market_cap_band`、`filter.stock_ma`、`filter.stock_expr`、`ordering.rank_by`、`ordering.rank_expr`、`allocation.buy_scale`、`risk.stop_loss`、`risk.take_profit`、`risk.index_exposure`、`execution.matching_type`、`execution.slippage`、`universe.exclude`。\n");
+    out.push_str("- 只使用支持语句块：`market`、`benchmark`、`signal`、`rebalance.every_days(...).at([...])`、`selection.limit`、`selection.market_cap_band`、`filter.stock_ma`、`filter.stock_expr`、`ordering.rank_by`、`ordering.rank_expr`、`allocation.buy_scale`、`risk.stop_loss`、`risk.take_profit`、`risk.index_exposure`、`risk.policy`、`risk.blacklist`、`execution.matching_type`、`execution.rebalance_cash_mode`、`execution.slippage`、`universe.exclude`。\n");
+    out.push_str("- `universe.exclude` 只用于用户明确要求的业务排除项；ST、停牌、退市、新股、科创、一元、涨跌停、同日卖出禁买、成交量、手续费和印花税等基础风控必须写 `risk.policy(...)` 或由运行态 RiskLimits 注入。\n");
     out.push_str("- 禁止伪 DSL：`filter(...)`、`rank(...)`、`select.top(...)`、`weight.equal(...)`、`sell_rule(...)`、`backtest(...)`、`risk.max_position(...)`。\n");
     out.push_str("- 市值表达式字段只能用 `market_cap` 或 `free_float_cap`；不要使用数据库原始字段 `float_market_cap`。\n");
     out.push_str("- 任意窗口价格均线使用 `rolling_mean(\"close\", n)` 或 `ma(\"close\", n)`；任意窗口均量使用 `rolling_mean(\"volume\", n)` 或 `vma(n)`；不要使用未列出的 `ma60`、`stock_ma60`、`signal_ma60` 或 `benchmark_ma60` 变量。\n");
+    out.push_str("- `rolling_mean`、`rolling_sum/min/max/stddev/zscore`、`pct_change`、`factor_value` 等 helper 的第一个参数必须是字段名或字符串字段名；不要输出 `rolling_stddev(pct_change(\"close\", 1), 20)` 这类嵌套表达式。\n");
     out.push_str("- 自定义 `fn` 必须通过参数传入运行时字段；不要用 `fn score()` 这类零参数函数直接引用 `market_cap`、`close`、`ma5` 等股票字段。\n");
     out.push_str("- `selection.market_cap_band` 必须写命名参数：`field=\"market_cap\"` 或 `field=\"free_float_cap\"`，并包含 `lower=...` 与 `upper=...`。\n");
     out.push_str(
         "- `risk.index_exposure(...)` 只能传一个表达式；不要生成 `risk.exposure(...)`。\n",
     );
+    out.push_str("- `filter.stock_expr(...)` 只写 alpha 或业务过滤条件；不要把 `!is_st`、`!paused`、`!at_upper_limit`、`!at_lower_limit` 这类基础风控散落在过滤表达式里。\n");
     out.push_str("- 完整三元表达式 `cond ? a : b` 可在表达式参数中使用；若当前运行环境报 `Unknown operator: '?'`，先重编译并重启回测服务，不要改写策略语义掩盖运行时漂移。\n");
     out.push_str("- `next_bar_open` 的选股、排序和仓位信号来自决策日，订单在下一可交易开盘撮合；不要使用执行日价格作为下单前信号。\n");
+    out.push_str("- `next_bar_open` 必须区分信号日、订单创建日和实际成交日：T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断；涨停买入和跌停卖出必须比较实际 next-open 成交价与涨跌停价，不能用执行日 close/last 或 next-close；禁止用 T 日执行状态拦截 T+1 可交易订单。\n");
     out.push_str("- `execution.matching_type(...)` 和 `execution.slippage(...)` 必须使用手册列出的合法取值。\n\n");
     out.push_str("## 语句块\n");
     for item in &manual.statement_blocks {
@@ -514,13 +556,19 @@ pub fn build_generation_prompt(
     prompt.push_str("- 不要输出解释文本。\n");
     prompt.push_str("- 必须使用 strategy(\"...\") { ... } 语法。\n");
     prompt.push_str("- 如需自定义参数，使用 let 和 fn。\n");
-    prompt.push_str("- 优先使用数据库已存在字段和 factors[...]。\n\n");
+    prompt.push_str("- 优先使用 Strategy Factory Source Lake 已注册 source rows 字段、已发布指标/因子 artifact 和运行时已存在字段、factors[...]；不要回退 ficlaw-data、QuantAPI、旧数据中心 HTTP、ClickHouse 或临时文件。\n\n");
     prompt.push_str("- 生成的代码必须能转换为 strategy_spec 并提交 POST /v1/backtests。\n");
+    prompt.push_str("- 用户指定“持仓N只、目标持仓N、stocknum=N、selection.limit(N)”时，必须把最终持仓槽位写成 N；用户指定“至少/不少于N只”时，最终持仓槽位必须 >= N。\n");
+    prompt.push_str("- ");
+    prompt.push_str(DEFAULT_THREE_YEAR_RETURN_TARGET_PROMPT);
+    prompt.push('\n');
     prompt.push_str("- 不要使用手册未列出的字段、函数或外部平台 API 名称。\n\n");
-    prompt.push_str("只允许使用这些可编译语句：market、benchmark、signal、rebalance.every_days(...).at([...])、selection.limit、selection.market_cap_band、filter.stock_ma、filter.stock_expr、ordering.rank_by、ordering.rank_expr、allocation.buy_scale、risk.stop_loss、risk.take_profit、risk.index_exposure、execution.matching_type、execution.slippage、universe.exclude。禁止输出 filter(...)、rank(...)、select.top(...)、weight.equal()、sell_rule(...)、backtest(...)、risk.max_position(...) 这类未支持伪语法。\n");
+    prompt.push_str("只允许使用这些可编译语句：market、benchmark、signal、rebalance.every_days(...).at([...])、selection.limit、selection.market_cap_band、filter.stock_ma、filter.stock_expr、ordering.rank_by、ordering.rank_expr、allocation.buy_scale、risk.stop_loss、risk.take_profit、risk.index_exposure、risk.policy、risk.blacklist、execution.matching_type、execution.slippage、universe.exclude。universe.exclude 只用于用户明确要求的业务排除项，不能表达 FIDC 基础风控。禁止输出 filter(...)、rank(...)、select.top(...)、weight.equal()、sell_rule(...)、backtest(...)、risk.max_position(...) 这类未支持伪语法。\n");
-    prompt.push_str("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，写 !is_st、!paused、!at_upper_limit、!at_lower_limit，不要写 is_st == 0；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；execution.matching_type 只能取 next_tick_last、next_tick_best_own、next_tick_best_counterparty、counterparty_offer、vwap、current_bar_close、next_bar_open、open_auction；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n");
+    prompt.push_str(&format!("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；rolling_mean、rolling_sum/min/max/stddev/zscore、pct_change、factor_value 等 helper 的第一个参数必须是字段名或字符串字段名，不能传嵌套表达式或另一个 helper 调用；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，不要写 is_st == 0；filter.stock_expr 只写 alpha 或业务过滤条件，不要把 !is_st、!paused、!at_upper_limit、!at_lower_limit 这类基础风控散落在表达式里；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；risk.policy 只写 FIDC 基础风控、成交量和交易成本命名参数，必须覆盖完整默认配置面，例如 {DEFAULT_RISK_POLICY_DSL_PROMPT}，不要用它表达策略择时或收益规则；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；日线回测 execution.matching_type 只能取 current_bar_close 或 next_bar_open，分钟线回测只能取 minute_last；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；next_bar_open 下 T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断；涨停买入和跌停卖出必须用实际 next-open 成交价比较，不能用执行日 close/last 或 next-close；禁止用 T 日执行状态拦截 T+1 可交易订单；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n"));
     prompt.push_str("回测成功但 tradeCount=0 或 holdingCount=0 是无效策略；第一版必须保持稳定买入覆盖率，复杂因子只能在后续优化中逐步加严。\n");
-    prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && !is_st && !paused && close > 2 && !at_upper_limit && !at_lower_limit)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.index_exposure(1.0)\nrisk.stop_loss(holding_return < -0.08)\nexecution.slippage(\"price_ratio\", 0.001)\n}\n\n");
+    prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && close > 2)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.policy(");
+    prompt.push_str(DEFAULT_RISK_POLICY_DSL_CODE);
+    prompt.push_str(")\nrisk.index_exposure(1.0)\nrisk.stop_loss(holding_return < -0.08)\nexecution.slippage(\"price_ratio\", 0.001)\n}\n\n");
     prompt.push_str("用户目标：\n");
     prompt.push_str(&format!("- {}\n", request.user_goal));
     if !request.constraints.is_empty() {
@@ -547,7 +595,10 @@ pub fn build_optimization_prompt(
     prompt.push_str("输出格式硬约束：回复第一行必须是 strategy(\"...\")、let、fn、const 或 //；回复中不得包含 Markdown、解释、思考过程、手册复述、JSON 包装或自然语言总结。\n");
     prompt.push_str("长度硬约束：策略代码目标 80 行以内，只保留必要 let/fn/strategy 块；不要复制下面的手册片段、历史策略全文或字段清单。\n");
     prompt.push_str("优化不限制在原策略已有参数或少量扰动。只要 OmniQuant/FIDC 已支持，可以自由增加、修改、删除策略代码、参数、候选池、过滤函数、排序、仓位、止盈止损、调仓周期、指标因子和辅助函数；不得引入手册未列出的字段或外部平台 API 名称。\n");
-    prompt.push_str("可以使用所有已入库日频字段、指标因子和表达式函数，例如 rolling_mean/ma/vma/rolling_sum/rolling_stddev/pct_change/factor/factor_value/factors；如上一轮无交易或质量分过低，必须先扩大候选覆盖并修正不可交易过滤，再优化收益。\n");
+    prompt.push_str("持仓数量属于策略合同，不是优化自由参数。原策略或用户目标明确 stocknum、selection.limit、目标持仓N只或不少于N只时，优化后必须保留该目标槽位或满足最低槽位，不能为了收益或交易次数擅自改小。\n");
+    prompt.push_str(DEFAULT_THREE_YEAR_RETURN_TARGET_PROMPT);
+    prompt.push('\n');
+    prompt.push_str("可以使用 Strategy Factory Source Lake 已注册并完成 PIT/as-of 审计的日频 source rows 字段、已发布指标/因子 artifact 和表达式函数，例如 rolling_mean/ma/vma/rolling_sum/rolling_stddev/pct_change/factor/factor_value/factors；这些滚动/因子 helper 的字段参数只能是字段名或字符串字段名，不要嵌套表达式；不要回退 ficlaw-data、QuantAPI、旧数据中心 HTTP、ClickHouse 或临时文件。如上一轮无交易或质量分过低，必须先扩大候选覆盖并修正不可交易过滤，再优化收益。\n");
     prompt.push_str("优化目标：\n");
     prompt.push_str(&format!("- {}\n\n", request.objective));
     prompt.push_str("当前策略代码如下，仅作为输入参考；回复时不要包含 Markdown 代码围栏：\n");
@@ -569,3 +620,63 @@ pub fn build_optimization_prompt(
     prompt.push_str(manual_markdown);
     prompt
 }
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use serde_json::json;
+
+    #[test]
+    fn generation_prompt_contains_three_year_return_acceptance_target() {
+        let prompt = build_generation_prompt(
+            "manual",
+            &StrategyAiGenerateRequest {
+                user_goal: "生成策略".to_string(),
+                constraints: Vec::new(),
+                market: "CN_A".to_string(),
+                benchmark_symbol: "000852.SH".to_string(),
+                signal_symbol: "000001.SH".to_string(),
+                holding_count_contract: None,
+            },
+        );
+
+        assert!(prompt.contains("三年回测区间策略总收益严格 > 120% 才视为满足收益目标"));
+        assert!(prompt.contains("不得把已达标策略判为失败"));
+        assert!(prompt.contains("Strategy Factory Source Lake 已注册 source rows 字段"));
+        assert!(prompt.contains("不要回退 ficlaw-data"));
+        assert!(prompt.contains("ClickHouse"));
+        assert!(prompt.contains("T 日只生成订单意图"));
+        assert!(prompt.contains("按实际成交日判断"));
+        assert!(prompt.contains("禁止用 T 日执行状态拦截 T+1 可交易订单"));
+        assert!(prompt.contains("必须覆盖完整默认配置面"));
+        assert!(prompt.contains("reject_inactive_buy=true"));
+        assert!(prompt.contains("reject_inactive_sell=true"));
+        assert!(prompt.contains("reject_new_listing_buy=true"));
+        assert!(prompt.contains("reject_kcb_buy=true"));
+        assert!(prompt.contains("reject_bjse_buy=true"));
+        assert!(prompt.contains("reject_one_yuan_buy=true"));
+        assert!(prompt.contains("respect_allow_buy_sell=true"));
+        assert!(prompt.contains("stamp_tax_rate_before_change=0.001"));
+        assert!(prompt.contains("stamp_tax_change_date=\"2023-08-28\""));
+    }
+
+    #[test]
+    fn optimization_prompt_contains_three_year_return_acceptance_target() {
+        let prompt = build_optimization_prompt(
+            "manual",
+            &StrategyAiOptimizeRequest {
+                current_code: "strategy(\"demo\") {}".to_string(),
+                objective: "优化收益".to_string(),
+                result_summary: json!({ "total_return": 1.49 }),
+                diagnostics: Vec::new(),
+                holding_count_contract: None,
+            },
+        );
+
+        assert!(prompt.contains("三年回测区间策略总收益严格 > 120% 才视为满足收益目标"));
+        assert!(prompt.contains("继续优化夏普、回撤、换手和稳定性"));
+        assert!(prompt.contains("Strategy Factory Source Lake 已注册并完成 PIT/as-of 审计"));
+        assert!(prompt.contains("不要回退 ficlaw-data"));
+        assert!(prompt.contains("ClickHouse"));
+    }
+}

crates/fidc-core/src/universe.rs

@@ -4,6 +4,7 @@ use chrono::NaiveDate;
 use serde::Serialize;
 
 use crate::data::{BenchmarkSnapshot, DataSet, EligibleUniverseSnapshot};
+use crate::risk_control::{ChinaAShareRiskControl, FidcRiskControlConfig, FidcRiskDecisionAudit};
 
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
 pub enum BandRegime {
@@ -39,6 +40,7 @@ pub struct SelectionDiagnostics {
     pub missing_market_cap_symbols: Vec<String>,
     pub selected_symbols: Vec<String>,
     pub rejection_examples: Vec<String>,
+    pub risk_decisions: Vec<FidcRiskDecisionAudit>,
 }
 
 pub struct SelectionContext<'a> {
@@ -47,20 +49,62 @@ pub struct SelectionContext<'a> {
     pub reference_level: f64,
     pub data: &'a DataSet,
     pub dynamic_universe: Option<&'a BTreeSet<String>>,
+    pub risk_config: Option<&'a FidcRiskControlConfig>,
+    pub defer_selection_risk: bool,
 }
 
 impl SelectionContext<'_> {
     fn eligible_universe(&self) -> Vec<EligibleUniverseSnapshot> {
-        let eligible = self.data.eligible_universe_on(self.decision_date);
+        let eligible = match (self.risk_config, self.defer_selection_risk) {
+            (Some(risk_config), false) => self
+                .data
+                .eligible_universe_on_with_risk_config(self.decision_date, risk_config),
+            _ => self.data.eligible_universe_on(self.decision_date).to_vec(),
+        };
         match self.dynamic_universe {
             Some(symbols) if !symbols.is_empty() => eligible
-                .iter()
+                .into_iter()
                 .filter(|row| symbols.contains(&row.symbol))
-                .cloned()
                 .collect(),
-            _ => eligible.to_vec(),
+            _ => eligible,
         }
     }
+
+    fn selection_risk_decisions(&self) -> Vec<FidcRiskDecisionAudit> {
+        let default_risk_config;
+        let risk_config = match self.risk_config {
+            Some(value) => value,
+            None => {
+                default_risk_config = FidcRiskControlConfig::default();
+                &default_risk_config
+            }
+        };
+        let mut decisions = Vec::new();
+        for factor in self.data.factor_snapshots_on(self.decision_date) {
+            if self
+                .dynamic_universe
+                .is_some_and(|symbols| !symbols.is_empty() && !symbols.contains(&factor.symbol))
+            {
+                continue;
+            }
+            let Some(candidate) = self.data.candidate(self.decision_date, &factor.symbol) else {
+                continue;
+            };
+            let Some(market) = self.data.market(self.decision_date, &factor.symbol) else {
+                continue;
+            };
+            if let Some(decision) = ChinaAShareRiskControl::selection_rejection_decision_with_config(
+                self.decision_date,
+                candidate,
+                market,
+                self.data.instrument(&factor.symbol),
+                risk_config,
+            ) {
+                decisions.push(decision);
+            }
+        }
+        decisions
+    }
 }
 
 pub trait UniverseSelector {
@@ -166,9 +210,23 @@ impl UniverseSelector for DynamicMarketCapBandSelector {
             missing_market_cap_symbols: Vec::new(),
             selected_symbols: Vec::new(),
             rejection_examples: Vec::new(),
+            risk_decisions: Vec::new(),
         };
 
         diagnostics.factor_total = ctx.data.factor_snapshots_on(ctx.decision_date).len();
+        diagnostics.risk_decisions = ctx.selection_risk_decisions();
+        diagnostics.not_eligible_count = diagnostics.risk_decisions.len();
+        diagnostics.paused_count = diagnostics
+            .risk_decisions
+            .iter()
+            .filter(|decision| decision.rule_code == "paused")
+            .count();
+        diagnostics.rejection_examples = diagnostics
+            .risk_decisions
+            .iter()
+            .take(8)
+            .map(|decision| format!("{} rejected by {}", decision.symbol, decision.rule_code))
+            .collect();
         let eligible = ctx.eligible_universe();
         diagnostics.market_cap_missing_count =
             diagnostics.factor_total.saturating_sub(eligible.len());
@@ -221,3 +279,266 @@ fn to_universe_candidate(
         band_high,
     }
 }
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use crate::data::{
+        BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
+    };
+    use crate::instrument::Instrument;
+
+    fn d() -> NaiveDate {
+        NaiveDate::from_ymd_opt(2025, 1, 2).unwrap()
+    }
+
+    fn instrument(symbol: &str) -> Instrument {
+        Instrument {
+            symbol: symbol.to_string(),
+            name: symbol.to_string(),
+            board: symbol.rsplit('.').next().unwrap_or("").to_string(),
+            round_lot: 100,
+            listed_at: Some(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap()),
+            delisted_at: None,
+            status: "active".to_string(),
+        }
+    }
+
+    fn market(symbol: &str, price: f64) -> DailyMarketSnapshot {
+        DailyMarketSnapshot {
+            date: d(),
+            symbol: symbol.to_string(),
+            timestamp: Some("2025-01-02 10:00:00".to_string()),
+            day_open: price,
+            open: price,
+            high: price,
+            low: price,
+            close: price,
+            last_price: price,
+            bid1: price,
+            ask1: price,
+            prev_close: price,
+            volume: 1_000_000,
+            minute_volume: 10_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: price * 1.1,
+            lower_limit: price * 0.9,
+            price_tick: 0.01,
+        }
+    }
+
+    fn factor(symbol: &str, market_cap_bn: f64) -> DailyFactorSnapshot {
+        DailyFactorSnapshot {
+            date: d(),
+            symbol: symbol.to_string(),
+            market_cap_bn,
+            free_float_cap_bn: market_cap_bn,
+            pe_ttm: 10.0,
+            turnover_ratio: Some(0.01),
+            effective_turnover_ratio: Some(0.01),
+            extra_factors: Default::default(),
+        }
+    }
+
+    fn candidate(symbol: &str, is_st: bool, is_kcb: bool) -> CandidateEligibility {
+        CandidateEligibility {
+            date: d(),
+            symbol: symbol.to_string(),
+            is_st,
+            is_star_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: true,
+            is_kcb,
+            is_one_yuan: false,
+            risk_level_code: None,
+        }
+    }
+
+    fn benchmark() -> BenchmarkSnapshot {
+        BenchmarkSnapshot {
+            date: d(),
+            benchmark: "000852.SH".to_string(),
+            open: 2000.0,
+            close: 2000.0,
+            prev_close: 1990.0,
+            volume: 1_000_000,
+        }
+    }
+
+    #[test]
+    fn selector_records_structured_selection_risk_decisions() {
+        let data = DataSet::from_components(
+            vec![
+                instrument("000001.SZ"),
+                instrument("688001.SH"),
+                instrument("000002.SZ"),
+            ],
+            vec![
+                market("000001.SZ", 10.0),
+                market("688001.SH", 10.0),
+                market("000002.SZ", 10.0),
+            ],
+            vec![
+                factor("000001.SZ", 8.0),
+                factor("688001.SH", 9.0),
+                factor("000002.SZ", 10.0),
+            ],
+            vec![
+                candidate("000001.SZ", true, false),
+                candidate("688001.SH", false, true),
+                candidate("000002.SZ", false, false),
+            ],
+            vec![benchmark()],
+        )
+        .unwrap();
+        let selector = DynamicMarketCapBandSelector::new(2000.0, 7.0, 10.0, 0.0, 10, 0.0, 0.0, 0.0);
+        let mut risk_config = FidcRiskControlConfig::default();
+        risk_config.static_rules.reject_st_selection = true;
+        risk_config.static_rules.reject_kcb_selection = true;
+        let (_selected, diagnostics) = selector.select_with_diagnostics(&SelectionContext {
+            decision_date: d(),
+            benchmark: &benchmark(),
+            reference_level: 2000.0,
+            data: &data,
+            dynamic_universe: None,
+            risk_config: Some(&risk_config),
+            defer_selection_risk: false,
+        });
+
+        let rules = diagnostics
+            .risk_decisions
+            .iter()
+            .map(|decision| decision.rule_code.as_str())
+            .collect::<BTreeSet<_>>();
+        assert!(rules.contains("st"), "{:?}", diagnostics.risk_decisions);
+        assert!(rules.contains("kcb"), "{:?}", diagnostics.risk_decisions);
+        assert_eq!(
+            diagnostics.not_eligible_count,
+            diagnostics.risk_decisions.len()
+        );
+        assert!(
+            diagnostics.risk_decisions[0]
+                .diagnostic_line()
+                .starts_with("risk_decision=")
+        );
+    }
+
+    #[test]
+    fn selector_applies_configured_selection_risk_on_decision_date() {
+        let data = DataSet::from_components(
+            vec![
+                instrument("000001.SZ"),
+                instrument("688001.SH"),
+                instrument("000002.SZ"),
+            ],
+            vec![
+                market("000001.SZ", 10.0),
+                market("688001.SH", 10.0),
+                market("000002.SZ", 10.0),
+            ],
+            vec![
+                factor("000001.SZ", 8.0),
+                factor("688001.SH", 9.0),
+                factor("000002.SZ", 10.0),
+            ],
+            vec![
+                candidate("000001.SZ", true, false),
+                candidate("688001.SH", false, true),
+                candidate("000002.SZ", false, false),
+            ],
+            vec![benchmark()],
+        )
+        .unwrap();
+        let selector = DynamicMarketCapBandSelector::new(2000.0, 7.0, 10.0, 0.0, 10, 0.0, 0.0, 0.0);
+        let mut risk_config = FidcRiskControlConfig::default();
+        risk_config.static_rules.reject_st_selection = true;
+        risk_config.static_rules.reject_kcb_selection = true;
+        let (selected, diagnostics) = selector.select_with_diagnostics(&SelectionContext {
+            decision_date: d(),
+            benchmark: &benchmark(),
+            reference_level: 2000.0,
+            data: &data,
+            dynamic_universe: None,
+            risk_config: Some(&risk_config),
+            defer_selection_risk: false,
+        });
+
+        let selected_symbols = selected
+            .iter()
+            .map(|candidate| candidate.symbol.as_str())
+            .collect::<BTreeSet<_>>();
+        assert!(!selected_symbols.contains("000001.SZ"));
+        assert!(!selected_symbols.contains("688001.SH"));
+        assert!(selected_symbols.contains("000002.SZ"));
+        assert_eq!(diagnostics.not_eligible_count, 2);
+        let rules = diagnostics
+            .risk_decisions
+            .iter()
+            .map(|decision| decision.rule_code.as_str())
+            .collect::<BTreeSet<_>>();
+        assert!(rules.contains("st"), "{:?}", diagnostics.risk_decisions);
+        assert!(rules.contains("kcb"), "{:?}", diagnostics.risk_decisions);
+    }
+
+    #[test]
+    fn selector_can_defer_configured_selection_risk_without_losing_diagnostics() {
+        let data = DataSet::from_components(
+            vec![
+                instrument("000001.SZ"),
+                instrument("688001.SH"),
+                instrument("000002.SZ"),
+            ],
+            vec![
+                market("000001.SZ", 10.0),
+                market("688001.SH", 10.0),
+                market("000002.SZ", 10.0),
+            ],
+            vec![
+                factor("000001.SZ", 8.0),
+                factor("688001.SH", 9.0),
+                factor("000002.SZ", 10.0),
+            ],
+            vec![
+                candidate("000001.SZ", true, false),
+                candidate("688001.SH", false, true),
+                candidate("000002.SZ", false, false),
+            ],
+            vec![benchmark()],
+        )
+        .unwrap();
+        let selector = DynamicMarketCapBandSelector::new(2000.0, 7.0, 10.0, 0.0, 10, 0.0, 0.0, 0.0);
+        let mut risk_config = FidcRiskControlConfig::default();
+        risk_config.static_rules.reject_st_selection = true;
+        risk_config.static_rules.reject_kcb_selection = true;
+
+        let (selected, diagnostics) = selector.select_with_diagnostics(&SelectionContext {
+            decision_date: d(),
+            benchmark: &benchmark(),
+            reference_level: 2000.0,
+            data: &data,
+            dynamic_universe: None,
+            risk_config: Some(&risk_config),
+            defer_selection_risk: true,
+        });
+
+        let selected_symbols = selected
+            .iter()
+            .map(|candidate| candidate.symbol.as_str())
+            .collect::<BTreeSet<_>>();
+        assert!(selected_symbols.contains("000001.SZ"));
+        assert!(selected_symbols.contains("688001.SH"));
+        assert!(selected_symbols.contains("000002.SZ"));
+        let rules = diagnostics
+            .risk_decisions
+            .iter()
+            .map(|decision| decision.rule_code.as_str())
+            .collect::<BTreeSet<_>>();
+        assert!(rules.contains("st"), "{:?}", diagnostics.risk_decisions);
+        assert!(rules.contains("kcb"), "{:?}", diagnostics.risk_decisions);
+    }
+}

crates/fidc-core/tests/core_rules.rs

@@ -17,6 +17,7 @@ fn candidate() -> CandidateEligibility {
         date: d(2024, 1, 3),
         symbol: "000001.SZ".to_string(),
         is_st: false,
+        is_star_st: false,
         is_new_listing: false,
         is_paused: false,
         allow_buy: true,
@@ -42,7 +43,7 @@ fn snapshot(open: f64, upper_limit: f64, lower_limit: f64) -> DailyMarketSnapsho
         ask1: open,
         prev_close: 10.0,
         volume: 1_000_000,
-        tick_volume: 100_000,
+        minute_volume: 100_000,
         bid1_volume: 50_000,
         ask1_volume: 50_000,
         trading_phase: Some("continuous".to_string()),
@@ -66,6 +67,22 @@ fn china_cost_model_applies_minimum_commission_and_stamp_tax() {
     assert!((sell.stamp_tax - 100.0).abs() < 1e-9);
 }
 
+#[test]
+fn aiquant_cost_model_matches_alv_run_options() {
+    let model = ChinaAShareCostModel::aiquant_default();
+
+    let buy = model.calculate(d(2026, 5, 19), OrderSide::Buy, 49_978.84);
+    assert!((buy.commission - 14.993652).abs() < 1e-9);
+    assert_eq!(buy.stamp_tax, 0.0);
+
+    let sell = model.calculate(d(2026, 5, 19), OrderSide::Sell, 100_724.72);
+    assert!((sell.commission - 30.217416).abs() < 1e-9);
+    assert!((sell.stamp_tax - 50.36236).abs() < 1e-9);
+
+    let small_buy = model.calculate(d(2026, 5, 19), OrderSide::Buy, 1_000.0);
+    assert!((small_buy.commission - 5.0).abs() < 1e-9);
+}
+
 #[test]
 fn china_cost_model_switches_stamp_tax_rate_after_2023_08_28() {
     let model = ChinaAShareCostModel::default();
@@ -244,7 +261,7 @@ fn china_rule_hooks_allow_sell_when_last_price_is_above_lower_limit() {
         ask1: 2.53,
         prev_close: 2.80,
         volume: 1_000_000,
-        tick_volume: 100_000,
+        minute_volume: 100_000,
         bid1_volume: 50_000,
         ask1_volume: 50_000,
         trading_phase: Some("continuous".to_string()),

crates/fidc-core/tests/corporate_actions.rs

@@ -88,10 +88,77 @@ impl Strategy for BuyAndHoldStrategy {
             },
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 }
 
+fn stock_market_snapshot(date: NaiveDate) -> DailyMarketSnapshot {
+    DailyMarketSnapshot {
+        date,
+        symbol: "000001.SZ".to_string(),
+        timestamp: Some(format!("{date} 10:18:00")),
+        day_open: 10.0,
+        open: 10.0,
+        high: 10.1,
+        low: 9.9,
+        close: 10.0,
+        last_price: 10.0,
+        bid1: 10.0,
+        ask1: 10.0,
+        prev_close: 10.0,
+        volume: 100_000,
+        minute_volume: 100_000,
+        bid1_volume: 100_000,
+        ask1_volume: 100_000,
+        trading_phase: Some("continuous".to_string()),
+        paused: false,
+        upper_limit: 11.0,
+        lower_limit: 9.0,
+        price_tick: 0.01,
+    }
+}
+
+fn stock_factor_snapshot(date: NaiveDate) -> DailyFactorSnapshot {
+    DailyFactorSnapshot {
+        date,
+        symbol: "000001.SZ".to_string(),
+        market_cap_bn: 20.0,
+        free_float_cap_bn: 18.0,
+        pe_ttm: 10.0,
+        turnover_ratio: Some(1.0),
+        effective_turnover_ratio: Some(1.0),
+        extra_factors: BTreeMap::new(),
+    }
+}
+
+fn stock_candidate(date: NaiveDate) -> CandidateEligibility {
+    CandidateEligibility {
+        date,
+        symbol: "000001.SZ".to_string(),
+        is_st: false,
+        is_star_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,
+    }
+}
+
+fn benchmark_snapshot(date: NaiveDate) -> BenchmarkSnapshot {
+    BenchmarkSnapshot {
+        date,
+        benchmark: "000300.SH".to_string(),
+        open: 100.0,
+        close: 100.0,
+        prev_close: 99.0,
+        volume: 1_000_000,
+    }
+}
+
 #[test]
 fn engine_reinvests_dividend_receivable_in_round_lots() {
     let buy_date = d(2025, 1, 1);
@@ -122,7 +189,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 ask1: 10.0,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -145,7 +212,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 ask1: 10.0,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -168,7 +235,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 ask1: 10.0,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -215,6 +282,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 date: buy_date,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -227,6 +295,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 date: ex_date,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -239,6 +308,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 date: payable_date,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -330,3 +400,96 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
     assert_eq!(reinvest_fill.commission, 0.0);
     assert_eq!(reinvest_fill.stamp_tax, 0.0);
 }
+
+#[test]
+fn engine_settles_same_day_dividend_after_split_for_aiquant_semantics() {
+    let buy_date = d(2025, 1, 1);
+    let ex_date = d(2025, 1, 2);
+    let data = DataSet::from_components_with_actions(
+        vec![Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: "Anchor".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(d(2020, 1, 1)),
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![
+            stock_market_snapshot(buy_date),
+            stock_market_snapshot(ex_date),
+        ],
+        vec![
+            stock_factor_snapshot(buy_date),
+            stock_factor_snapshot(ex_date),
+        ],
+        vec![stock_candidate(buy_date), stock_candidate(ex_date)],
+        vec![benchmark_snapshot(buy_date), benchmark_snapshot(ex_date)],
+        vec![CorporateAction {
+            date: ex_date,
+            symbol: "000001.SZ".to_string(),
+            payable_date: Some(ex_date),
+            share_cash: 1.05,
+            share_bonus: 0.2,
+            share_gift: 0.0,
+            issue_quantity: 0.0,
+            issue_price: 0.0,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: None,
+            successor_ratio: None,
+            successor_cash: None,
+        }],
+    )
+    .expect("dataset");
+
+    let mut engine = BacktestEngine::new(
+        data,
+        BuyAndHoldStrategy {
+            first_date: buy_date,
+        },
+        BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default(),
+            ChinaEquityRuleHooks::default(),
+            PriceField::Open,
+        ),
+        BacktestConfig {
+            initial_cash: 11_008.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(buy_date),
+            end_date: Some(ex_date),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_dividend_reinvestment(true);
+
+    let result = engine.run().expect("backtest run");
+    let final_holding = result
+        .holdings_summary
+        .iter()
+        .find(|row| row.symbol == "000001.SZ")
+        .expect("holding");
+    assert_eq!(final_holding.quantity, 1_300);
+
+    let reinvest_fill = result
+        .fills
+        .iter()
+        .find(|fill| fill.reason == "dividend_reinvestment")
+        .expect("reinvestment fill");
+    assert_eq!(reinvest_fill.quantity, 100);
+    assert!((reinvest_fill.price - ((10.0 - 1.05) / 1.2)).abs() < 1e-9);
+
+    assert!(
+        result
+            .position_events
+            .iter()
+            .any(|event| event.reason == "stock_split 1.200000" && event.quantity_after == 1_200)
+    );
+    assert!(
+        result
+            .account_events
+            .iter()
+            .any(|event| event.note.contains("cash_receivable_reinvested"))
+    );
+}

crates/fidc-core/tests/decision_quote_preload.rs

@@ -83,7 +83,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
                 ask1: 10.0,
                 prev_close: 9.8,
                 volume: 10_000,
-                tick_volume: 1_000,
+                minute_volume: 1_000,
                 bid1_volume: 10_000,
                 ask1_volume: 10_000,
                 trading_phase: Some("continuous".to_string()),
@@ -106,7 +106,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
                 ask1: 10.6,
                 prev_close: 10.0,
                 volume: 10_000,
-                tick_volume: 1_000,
+                minute_volume: 1_000,
                 bid1_volume: 10_000,
                 ask1_volume: 10_000,
                 trading_phase: Some("continuous".to_string()),
@@ -143,6 +143,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
                 date: first,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -155,6 +156,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
                 date: second,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -190,7 +192,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
         ChinaEquityRuleHooks,
         PriceField::Last,
     )
-    .with_matching_type(MatchingType::NextTickLast)
+    .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
         initial_cash: 10_000.0,
@@ -249,7 +251,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
                 ask1: 10.0,
                 prev_close: 9.8,
                 volume: 10_000,
-                tick_volume: 1_000,
+                minute_volume: 1_000,
                 bid1_volume: 10_000,
                 ask1_volume: 10_000,
                 trading_phase: Some("continuous".to_string()),
@@ -272,7 +274,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
                 ask1: 10.6,
                 prev_close: 10.0,
                 volume: 10_000,
-                tick_volume: 1_000,
+                minute_volume: 1_000,
                 bid1_volume: 10_000,
                 ask1_volume: 10_000,
                 trading_phase: Some("continuous".to_string()),
@@ -309,6 +311,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
                 date: first,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -321,6 +324,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
                 date: second,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -385,7 +389,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         ChinaEquityRuleHooks,
         PriceField::Last,
     )
-    .with_matching_type(MatchingType::NextTickLast)
+    .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
         initial_cash: 10_000.0,
@@ -480,7 +484,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
                 ask1: 10.0,
                 prev_close: 9.8,
                 volume: 10_000,
-                tick_volume: 1_000,
+                minute_volume: 1_000,
                 bid1_volume: 10_000,
                 ask1_volume: 10_000,
                 trading_phase: Some("continuous".to_string()),
@@ -503,7 +507,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
                 ask1: 10.6,
                 prev_close: 10.0,
                 volume: 10_000,
-                tick_volume: 1_000,
+                minute_volume: 1_000,
                 bid1_volume: 10_000,
                 ask1_volume: 10_000,
                 trading_phase: Some("continuous".to_string()),
@@ -540,6 +544,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
                 date: first,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -552,6 +557,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
                 date: second,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -587,7 +593,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         ChinaEquityRuleHooks,
         PriceField::Last,
     )
-    .with_matching_type(MatchingType::NextTickLast)
+    .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
         initial_cash: 10_000.0,

crates/fidc-core/tests/delisting.rs

@@ -34,6 +34,7 @@ impl Strategy for BuyThenHoldStrategy {
                 }],
                 notes: Vec::new(),
                 diagnostics: Vec::new(),
+                risk_decisions: Vec::new(),
             });
         }
         Ok(StrategyDecision::default())
@@ -81,7 +82,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 ask1: 10.0,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -104,7 +105,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 ask1: 5.01,
                 prev_close: 5.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -113,6 +114,29 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 lower_limit: 4.5,
                 price_tick: 0.01,
             },
+            DailyMarketSnapshot {
+                date: delist_date,
+                symbol: "000002.SZ".to_string(),
+                timestamp: Some("2025-01-03 10:18:00".to_string()),
+                day_open: 5.05,
+                open: 5.05,
+                high: 5.15,
+                low: 5.0,
+                close: 5.05,
+                last_price: 5.05,
+                bid1: 5.04,
+                ask1: 5.06,
+                prev_close: 5.0,
+                volume: 110_000,
+                minute_volume: 110_000,
+                bid1_volume: 110_000,
+                ask1_volume: 110_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 5.5,
+                lower_limit: 4.5,
+                price_tick: 0.01,
+            },
             DailyMarketSnapshot {
                 date: date2,
                 symbol: "000002.SZ".to_string(),
@@ -127,7 +151,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 ask1: 5.11,
                 prev_close: 5.0,
                 volume: 120_000,
-                tick_volume: 120_000,
+                minute_volume: 120_000,
                 bid1_volume: 120_000,
                 ask1_volume: 120_000,
                 trading_phase: Some("continuous".to_string()),
@@ -158,6 +182,16 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 effective_turnover_ratio: Some(1.0),
                 extra_factors: BTreeMap::new(),
             },
+            DailyFactorSnapshot {
+                date: delist_date,
+                symbol: "000002.SZ".to_string(),
+                market_cap_bn: 30.5,
+                free_float_cap_bn: 28.5,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::new(),
+            },
             DailyFactorSnapshot {
                 date: date2,
                 symbol: "000002.SZ".to_string(),
@@ -174,6 +208,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 date: date1,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -186,6 +221,20 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 date: date1,
                 symbol: "000002.SZ".to_string(),
                 is_st: false,
+                is_star_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: delist_date,
+                symbol: "000002.SZ".to_string(),
+                is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -198,6 +247,7 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 date: date2,
                 symbol: "000002.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -216,6 +266,14 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
                 prev_close: 99.0,
                 volume: 1_000_000,
             },
+            BenchmarkSnapshot {
+                date: delist_date,
+                benchmark: "000300.SH".to_string(),
+                open: 100.5,
+                close: 100.5,
+                prev_close: 100.0,
+                volume: 1_050_000,
+            },
             BenchmarkSnapshot {
                 date: date2,
                 benchmark: "000300.SH".to_string(),
@@ -304,7 +362,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 ask1: 10.0,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -327,7 +385,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 ask1: 20.0,
                 prev_close: 20.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -350,7 +408,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 ask1: 21.0,
                 prev_close: 20.0,
                 volume: 120_000,
-                tick_volume: 120_000,
+                minute_volume: 120_000,
                 bid1_volume: 120_000,
                 ask1_volume: 120_000,
                 trading_phase: Some("continuous".to_string()),
@@ -397,6 +455,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 date: date1,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -409,6 +468,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 date: date1,
                 symbol: "000002.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -421,6 +481,7 @@ fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
                 date: date2,
                 symbol: "000002.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,

crates/fidc-core/tests/engine_hooks.rs

@@ -58,7 +58,7 @@ fn single_day_anchor_data(date: NaiveDate) -> DataSet {
             ask1: 10.0,
             prev_close: 9.9,
             volume: 1_000_000,
-            tick_volume: 1_000_000,
+            minute_volume: 1_000_000,
             bid1_volume: 1_000_000,
             ask1_volume: 1_000_000,
             trading_phase: Some("continuous".to_string()),
@@ -81,6 +81,7 @@ fn single_day_anchor_data(date: NaiveDate) -> DataSet {
             date,
             symbol: "000001.SZ".to_string(),
             is_st: false,
+            is_star_st: false,
             is_new_listing: false,
             is_paused: false,
             allow_buy: true,
@@ -116,7 +117,7 @@ fn market_row(date: NaiveDate, symbol: &str, open: f64, close: f64) -> DailyMark
         ask1: close,
         prev_close: open,
         volume: 1_000_000,
-        tick_volume: 1_000_000,
+        minute_volume: 1_000_000,
         bid1_volume: 1_000_000,
         ask1_volume: 1_000_000,
         trading_phase: Some("continuous".to_string()),
@@ -149,6 +150,7 @@ fn candidate_row(date: NaiveDate, symbol: &str) -> CandidateEligibility {
         date,
         symbol: symbol.to_string(),
         is_st: false,
+        is_star_st: false,
         is_new_listing: false,
         is_paused: false,
         allow_buy: true,
@@ -294,6 +296,7 @@ impl Strategy for HookProbeStrategy {
             order_intents: Vec::new(),
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 
@@ -336,6 +339,7 @@ impl Strategy for AuctionOrderStrategy {
             }],
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 
@@ -384,6 +388,7 @@ impl Strategy for FuturesOrderStrategy {
             }],
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 }
@@ -627,7 +632,7 @@ struct UniverseDirectiveStrategy {
     snapshots: Rc<RefCell<Vec<String>>>,
 }
 
-struct TickProbeStrategy {
+struct MinuteProbeStrategy {
     seen_ticks: Rc<RefCell<Vec<String>>>,
     ordered: bool,
 }
@@ -716,6 +721,7 @@ impl Strategy for LimitCarryStrategy {
             }],
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 }
@@ -793,13 +799,14 @@ impl Strategy for UniverseDirectiveStrategy {
             order_intents,
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 }
 
-impl Strategy for TickProbeStrategy {
+impl Strategy for MinuteProbeStrategy {
     fn name(&self) -> &str {
-        "tick-probe"
+        "minute-probe"
     }
 
     fn on_day(
@@ -812,26 +819,27 @@ impl Strategy for TickProbeStrategy {
             exit_symbols: BTreeSet::new(),
             order_intents: vec![OrderIntent::Subscribe {
                 symbols: BTreeSet::from(["000001.SZ".to_string()]),
-                reason: "subscribe_tick_probe".to_string(),
+                reason: "subscribe_minute_probe".to_string(),
             }],
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 
-    fn on_tick(
+    fn on_minute(
         &mut self,
         ctx: &StrategyContext<'_>,
         quote: &IntradayExecutionQuote,
     ) -> Result<StrategyDecision, fidc_core::BacktestError> {
         let visible_last = ctx
-            .history_bars(&quote.symbol, 9, "tick", "last", true)
+            .history_bars(&quote.symbol, 9, "1m", "last", true)
             .iter()
             .map(|value| format!("{value:.2}"))
             .collect::<Vec<_>>()
             .join(",");
         let previous_last = ctx
-            .history_bars(&quote.symbol, 9, "tick", "last", false)
+            .history_bars(&quote.symbol, 9, "1m", "last", false)
             .iter()
             .map(|value| format!("{value:.2}"))
             .collect::<Vec<_>>()
@@ -853,10 +861,11 @@ impl Strategy for TickProbeStrategy {
             order_intents: vec![OrderIntent::Shares {
                 symbol: quote.symbol.clone(),
                 quantity: 100,
-                reason: "tick_buy".to_string(),
+                reason: "minute_buy".to_string(),
             }],
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 }
@@ -883,13 +892,13 @@ impl Strategy for DataApiProbeStrategy {
                 .map(|value| format!("{value:.2}"))
                 .collect::<Vec<_>>()
                 .join(",");
-            let tick_last = ctx
+            let minute_last = ctx
                 .history_bars("000001.SZ", 2, "1m", "last", true)
                 .iter()
                 .map(|value| format!("{value:.2}"))
                 .collect::<Vec<_>>()
                 .join(",");
-            let previous_tick_last = ctx
+            let previous_minute_last = ctx
                 .history_bars("000001.SZ", 2, "1m", "last", false)
                 .iter()
                 .map(|value| format!("{value:.2}"))
@@ -919,14 +928,18 @@ impl Strategy for DataApiProbeStrategy {
             let daily_price_count = ctx
                 .get_price("000001.SZ", d(2025, 1, 3), ctx.execution_date, "1d")
                 .len();
-            let tick_price_count = ctx
+            let minute_price_bars =
-                .get_price("000001.SZ", d(2025, 1, 3), ctx.execution_date, "tick")
+                ctx.get_price("000001.SZ", d(2025, 1, 3), ctx.execution_date, "1m");
-                .len();
+            let minute_price_count = minute_price_bars.len();
+            let minute_frequency = minute_price_bars
+                .first()
+                .map(|bar| bar.frequency.clone())
+                .unwrap_or_default();
             let instrument_history_count =
                 ctx.instruments_history(&["000001.SZ", "000002.SZ"]).len();
             let active_instrument_count = ctx.active_instruments(&["000001.SZ", "000002.SZ"]).len();
             self.snapshots.borrow_mut().push(format!(
-                "daily={daily_close};previous={previous_close};tick={tick_last};previous_tick={previous_tick_last};current={current_close};instrument={instrument_name};all={};history={instrument_history_count};active={active_instrument_count};range={trading_date_count};prev={prev_date};next={next_date};suspended={suspended};st={st_flags};price_daily={daily_price_count};price_tick={tick_price_count}",
+                "daily={daily_close};previous={previous_close};minute={minute_last};previous_minute={previous_minute_last};current={current_close};instrument={instrument_name};all={};history={instrument_history_count};active={active_instrument_count};range={trading_date_count};prev={prev_date};next={next_date};suspended={suspended};st={st_flags};price_daily={daily_price_count};price_tick={minute_price_count};minute_frequency={minute_frequency}",
                 ctx.all_instruments().len()
             ));
         }
@@ -954,6 +967,7 @@ impl Strategy for OrderInspectionStrategy {
             }],
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 
@@ -1011,6 +1025,7 @@ impl Strategy for AccountFlowStrategy {
             ],
             notes: Vec::new(),
             diagnostics: Vec::new(),
+            risk_decisions: Vec::new(),
         })
     }
 
@@ -1052,7 +1067,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
                 ask1: 10.0,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -1075,7 +1090,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
                 ask1: 10.1,
                 prev_close: 10.0,
                 volume: 110_000,
-                tick_volume: 110_000,
+                minute_volume: 110_000,
                 bid1_volume: 110_000,
                 ask1_volume: 110_000,
                 trading_phase: Some("continuous".to_string()),
@@ -1112,6 +1127,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
                 date: date1,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -1124,6 +1140,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
                 date: date2,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -1248,7 +1265,7 @@ fn engine_executes_open_auction_decisions_before_on_day() {
             ask1: 10.0,
             prev_close: 10.0,
             volume: 100_000,
-            tick_volume: 100_000,
+            minute_volume: 100_000,
             bid1_volume: 100_000,
             ask1_volume: 100_000,
             trading_phase: Some("open_auction".to_string()),
@@ -1271,6 +1288,7 @@ fn engine_executes_open_auction_decisions_before_on_day() {
             date,
             symbol: "000001.SZ".to_string(),
             is_st: false,
+            is_star_st: false,
             is_new_listing: false,
             is_paused: false,
             allow_buy: true,
@@ -1347,7 +1365,7 @@ fn engine_executes_futures_order_intents_against_future_account() {
             ask1: 10.0,
             prev_close: 9.9,
             volume: 1_000_000,
-            tick_volume: 1_000_000,
+            minute_volume: 1_000_000,
             bid1_volume: 1_000_000,
             ask1_volume: 1_000_000,
             trading_phase: Some("continuous".to_string()),
@@ -1370,6 +1388,7 @@ fn engine_executes_futures_order_intents_against_future_account() {
             date,
             symbol: "000001.SZ".to_string(),
             is_st: false,
+            is_star_st: false,
             is_new_listing: false,
             is_paused: false,
             allow_buy: true,
@@ -1838,7 +1857,7 @@ fn engine_sweeps_futures_order_book_depth_when_available() {
         ChinaEquityRuleHooks::default(),
         PriceField::Last,
     )
-    .with_matching_type(MatchingType::CounterpartyOffer);
+    .with_matching_type(MatchingType::MinuteBestCounterparty);
     let mut engine = BacktestEngine::new(
         data,
         FuturesDepthLimitOrderStrategy,
@@ -1911,7 +1930,7 @@ fn strategy_context_exposes_advanced_data_helpers() {
 }
 
 #[test]
-fn engine_runs_subscribed_tick_hooks_and_executes_tick_orders() {
+fn engine_runs_minute_hooks_and_executes_minute_orders() {
     let date = d(2025, 1, 2);
     let data = DataSet::from_components_with_actions_and_quotes(
         vec![Instrument {
@@ -1937,7 +1956,7 @@ fn engine_runs_subscribed_tick_hooks_and_executes_tick_orders() {
             ask1: 10.2,
             prev_close: 10.0,
             volume: 100_000,
-            tick_volume: 100_000,
+            minute_volume: 100_000,
             bid1_volume: 100_000,
             ask1_volume: 100_000,
             trading_phase: Some("continuous".to_string()),
@@ -1960,6 +1979,7 @@ fn engine_runs_subscribed_tick_hooks_and_executes_tick_orders() {
             date,
             symbol: "000001.SZ".to_string(),
             is_st: false,
+            is_star_st: false,
             is_new_listing: false,
             is_paused: false,
             allow_buy: true,
@@ -2009,7 +2029,7 @@ fn engine_runs_subscribed_tick_hooks_and_executes_tick_orders() {
     .expect("dataset");
 
     let seen_ticks = Rc::new(RefCell::new(Vec::new()));
-    let strategy = TickProbeStrategy {
+    let strategy = MinuteProbeStrategy {
         seen_ticks: seen_ticks.clone(),
         ordered: false,
     };
@@ -2042,25 +2062,25 @@ fn engine_runs_subscribed_tick_hooks_and_executes_tick_orders() {
         ]
     );
     assert_eq!(result.fills.len(), 1);
-    assert_eq!(result.fills[0].reason, "tick_buy");
+    assert_eq!(result.fills[0].reason, "minute_buy");
     assert_eq!(result.fills[0].quantity, 100);
     assert!(
         result
             .process_events
             .iter()
-            .any(|event| event.kind == ProcessEventKind::PreTick)
+            .any(|event| event.kind == ProcessEventKind::PreMinute)
     );
     assert!(
         result
             .process_events
             .iter()
-            .any(|event| event.kind == ProcessEventKind::Tick)
+            .any(|event| event.kind == ProcessEventKind::Minute)
     );
     assert!(
         result
             .process_events
             .iter()
-            .any(|event| event.kind == ProcessEventKind::PostTick)
+            .any(|event| event.kind == ProcessEventKind::PostMinute)
     );
 }
 
@@ -2110,7 +2130,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
             ask1: close + 0.01,
             prev_close,
             volume,
-            tick_volume: volume,
+            minute_volume: volume,
             bid1_volume: volume,
             ask1_volume: volume,
             trading_phase: Some("continuous".to_string()),
@@ -2144,6 +2164,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
         date,
         symbol: "000001.SZ".to_string(),
         is_st,
+        is_star_st: false,
         is_new_listing: false,
         is_paused,
         allow_buy: true,
@@ -2249,7 +2270,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
     assert_eq!(
         snapshots.borrow().as_slice(),
         [
-            "daily=10.10,10.20;previous=10.00,10.10;tick=10.15,10.25;previous_tick=10.15;current=10.20;instrument=Anchor;all=2;history=2;active=1;range=3;prev=2025-01-03;next=2025-01-06;suspended=0,1,0;st=0,1,0;price_daily=2;price_tick=3"
+            "daily=10.10,10.20;previous=10.00,10.10;minute=10.15,10.25;previous_minute=10.15;current=10.20;instrument=Anchor;all=2;history=2;active=1;range=3;prev=2025-01-03;next=2025-01-06;suspended=0,1,0;st=0,1,0;price_daily=2;price_tick=3;minute_frequency=1m"
         ]
     );
 }
@@ -2281,7 +2302,7 @@ fn strategy_context_exposes_final_order_runtime_view() {
             ask1: 10.2,
             prev_close: 10.0,
             volume: 100_000,
-            tick_volume: 100_000,
+            minute_volume: 100_000,
             bid1_volume: 100_000,
             ask1_volume: 100_000,
             trading_phase: Some("continuous".to_string()),
@@ -2304,6 +2325,7 @@ fn strategy_context_exposes_final_order_runtime_view() {
             date,
             symbol: "000001.SZ".to_string(),
             is_st: false,
+            is_star_st: false,
             is_new_listing: false,
             is_paused: false,
             allow_buy: true,
@@ -2498,7 +2520,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
                 ask1: 10.01,
                 prev_close: 9.9,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -2521,7 +2543,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
                 ask1: 10.01,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -2558,6 +2580,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
                 date: date1,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -2570,6 +2593,7 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
                 date: date2,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -2682,7 +2706,7 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
                 ask1: 10.0,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -2705,7 +2729,7 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
                 ask1: 9.7,
                 prev_close: 10.0,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("continuous".to_string()),
@@ -2742,6 +2766,7 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
                 date: date1,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -2754,6 +2779,7 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
                 date: date2,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -2852,7 +2878,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 ask1: 10.0,
                 prev_close: 9.9,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("open_auction".to_string()),
@@ -2875,7 +2901,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 ask1: 10.1,
                 prev_close: 10.0,
                 volume: 110_000,
-                tick_volume: 110_000,
+                minute_volume: 110_000,
                 bid1_volume: 110_000,
                 ask1_volume: 110_000,
                 trading_phase: Some("open_auction".to_string()),
@@ -2898,7 +2924,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 ask1: 10.2,
                 prev_close: 10.1,
                 volume: 120_000,
-                tick_volume: 120_000,
+                minute_volume: 120_000,
                 bid1_volume: 120_000,
                 ask1_volume: 120_000,
                 trading_phase: Some("open_auction".to_string()),
@@ -2945,6 +2971,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 date: date1,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -2957,6 +2984,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 date: date2,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -2969,6 +2997,7 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
                 date: date3,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -3101,7 +3130,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 ask1: 10.0,
                 prev_close: 9.9,
                 volume: 100_000,
-                tick_volume: 100_000,
+                minute_volume: 100_000,
                 bid1_volume: 100_000,
                 ask1_volume: 100_000,
                 trading_phase: Some("open_auction".to_string()),
@@ -3124,7 +3153,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 ask1: 10.1,
                 prev_close: 10.0,
                 volume: 110_000,
-                tick_volume: 110_000,
+                minute_volume: 110_000,
                 bid1_volume: 110_000,
                 ask1_volume: 110_000,
                 trading_phase: Some("open_auction".to_string()),
@@ -3147,7 +3176,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 ask1: 10.2,
                 prev_close: 10.1,
                 volume: 120_000,
-                tick_volume: 120_000,
+                minute_volume: 120_000,
                 bid1_volume: 120_000,
                 ask1_volume: 120_000,
                 trading_phase: Some("open_auction".to_string()),
@@ -3194,6 +3223,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 date: date1,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -3206,6 +3236,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 date: date2,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -3218,6 +3249,7 @@ fn engine_dispatches_process_events_to_external_bus_listeners() {
                 date: date3,
                 symbol: "000001.SZ".to_string(),
                 is_st: false,
+                is_star_st: false,
                 is_new_listing: false,
                 is_paused: false,
                 allow_buy: true,
@@ -3481,7 +3513,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
                     ask1: 10.01,
                     prev_close: 9.95,
                     volume: 100_000,
-                    tick_volume: 5_000,
+                    minute_volume: 5_000,
                     bid1_volume: 2_000,
                     ask1_volume: 2_000,
                     trading_phase: Some("continuous".to_string()),
@@ -3504,7 +3536,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
                     ask1: 20.01,
                     prev_close: 19.95,
                     volume: 100_000,
-                    tick_volume: 5_000,
+                    minute_volume: 5_000,
                     bid1_volume: 2_000,
                     ask1_volume: 2_000,
                     trading_phase: Some("continuous".to_string()),
@@ -3551,6 +3583,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
                     date: *date,
                     symbol: "000001.SZ".to_string(),
                     is_st: false,
+                    is_star_st: false,
                     is_new_listing: false,
                     is_paused: false,
                     allow_buy: true,
@@ -3563,6 +3596,7 @@ fn engine_applies_dynamic_universe_and_subscription_directives() {
                     date: *date,
                     symbol: "000002.SZ".to_string(),
                     is_st: false,
+                    is_star_st: false,
                     is_new_listing: false,
                     is_paused: false,
                     allow_buy: true,
@@ -3663,7 +3697,7 @@ fn engine_exposes_current_process_context_to_strategies() {
             ask1: 10.0,
             prev_close: 9.9,
             volume: 100_000,
-            tick_volume: 100_000,
+            minute_volume: 100_000,
             bid1_volume: 100_000,
             ask1_volume: 100_000,
             trading_phase: Some("continuous".to_string()),
@@ -3686,6 +3720,7 @@ fn engine_exposes_current_process_context_to_strategies() {
             date,
             symbol: "000001.SZ".to_string(),
             is_st: false,
+            is_star_st: false,
             is_new_listing: false,
             is_paused: false,
             allow_buy: true,
@@ -3761,6 +3796,7 @@ impl Strategy for BuyMissingRowThenHoldStrategy {
                 }],
                 notes: Vec::new(),
                 diagnostics: Vec::new(),
+                risk_decisions: Vec::new(),
             });
         }
         Ok(StrategyDecision::default())

crates/fidc-core/tests/partitioned_loader.rs

@@ -1,93 +0,0 @@
-use fidc_core::DataSet;
-use std::fs;
-use std::path::PathBuf;
-use std::time::{SystemTime, UNIX_EPOCH};
-
-fn temp_dir() -> PathBuf {
-    let uniq = SystemTime::now()
-        .duration_since(UNIX_EPOCH)
-        .expect("clock")
-        .as_nanos();
-    let dir = std::env::temp_dir().join(format!("fidc-bt-partitioned-{uniq}"));
-    fs::create_dir_all(&dir).expect("mkdir temp");
-    dir
-}
-
-#[test]
-fn can_load_partitioned_snapshot_dir() {
-    let dir = temp_dir();
-    fs::create_dir_all(dir.join("benchmark/2024/01")).unwrap();
-    fs::create_dir_all(dir.join("market/2024/01")).unwrap();
-    fs::create_dir_all(dir.join("factors/2024/01")).unwrap();
-    fs::create_dir_all(dir.join("candidates/2024/01")).unwrap();
-    fs::create_dir_all(dir.join("corporate_actions/2024/01")).unwrap();
-
-    fs::write(
-        dir.join("instruments.csv"),
-        "symbol,name,board,round_lot,listed_at,delisted_at,status\n000001.SZ,PingAn,SZ,100,2020-01-01,,active\n",
-    )
-    .unwrap();
-    fs::write(
-        dir.join("benchmark/2024/01/2024-01-02.csv"),
-        "date,benchmark,open,close,prev_close,volume\n2024-01-02,CSI300.DEMO,2990,3000,2980,100000000\n",
-    )
-    .unwrap();
-    fs::write(
-        dir.join("market/2024/01/2024-01-02.csv"),
-        "date,symbol,open,high,low,close,prev_close,volume,paused,upper_limit,lower_limit,day_open,last_price,bid1,ask1,price_tick\n2024-01-02,000001.SZ,10,10.5,9.9,10.2,10,100000,false,11,9,10.1,10.15,10.14,10.16,0.01\n",
-    )
-    .unwrap();
-    fs::write(
-        dir.join("factors/2024/01/2024-01-02.csv"),
-        "date,symbol,market_cap_bn,free_float_cap_bn,pe_ttm,turnover_ratio,effective_turnover_ratio\n2024-01-02,000001.SZ,40,35,12,3.2,2.1\n",
-    )
-    .unwrap();
-    fs::write(
-        dir.join("candidates/2024/01/2024-01-02.csv"),
-        "date,symbol,is_st,is_new_listing,is_paused,allow_buy,allow_sell,is_kcb,is_one_yuan\n2024-01-02,000001.SZ,false,false,false,true,true,false,false\n",
-    )
-    .unwrap();
-    fs::write(
-        dir.join("corporate_actions/2024/01/2024-01-02.csv"),
-        "date,symbol,payable_date,share_cash,share_bonus,share_gift,issue_quantity,issue_price,reform,adjust_factor\n2024-01-02,000001.SZ,2024-01-05,0.5,0.1,0.0,0,0,false,1.05\n",
-    )
-    .unwrap();
-
-    let data = DataSet::from_partitioned_dir(&dir).expect("partitioned dataset");
-    assert_eq!(data.benchmark_code(), "CSI300.DEMO");
-    assert!(
-        data.market_snapshots_on(chrono::NaiveDate::from_ymd_opt(2024, 1, 2).unwrap())
-            .len()
-            == 1
-    );
-    let market_rows =
-        data.market_snapshots_on(chrono::NaiveDate::from_ymd_opt(2024, 1, 2).unwrap());
-    let snapshot = market_rows.first().expect("market snapshot");
-    assert_eq!(snapshot.day_open, 10.1);
-    assert_eq!(snapshot.last_price, 10.15);
-    assert_eq!(snapshot.price_tick, 0.01);
-    assert_eq!(
-        data.instruments()
-            .get("000001.SZ")
-            .expect("instrument")
-            .round_lot,
-        100
-    );
-    assert_eq!(
-        data.instruments()
-            .get("000001.SZ")
-            .expect("instrument")
-            .listed_at,
-        Some(chrono::NaiveDate::from_ymd_opt(2020, 1, 1).unwrap())
-    );
-    let actions = data.corporate_actions_on(chrono::NaiveDate::from_ymd_opt(2024, 1, 2).unwrap());
-    assert_eq!(actions.len(), 1);
-    assert_eq!(
-        actions[0].payable_date,
-        Some(chrono::NaiveDate::from_ymd_opt(2024, 1, 5).unwrap())
-    );
-    assert!((actions[0].share_cash - 0.5).abs() < 1e-9);
-    assert!((actions[0].split_ratio() - 1.1).abs() < 1e-9);
-
-    let _ = fs::remove_dir_all(&dir);
-}

crates/fidc-core/tests/strategy_selection.rs

@@ -1,15 +1,582 @@
 use chrono::NaiveDate;
 use fidc_core::{
-    CnSmallCapRotationConfig, CnSmallCapRotationStrategy, DataSet, OmniMicroCapConfig,
+    BenchmarkSnapshot, CandidateEligibility, CnSmallCapRotationConfig, CnSmallCapRotationStrategy,
+    DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument, OmniMicroCapConfig,
     OmniMicroCapStrategy, PortfolioState, Strategy, StrategyContext,
 };
 use std::collections::BTreeSet;
-use std::path::PathBuf;
+
+fn d(value: &str) -> NaiveDate {
+    NaiveDate::parse_from_str(value, "%Y-%m-%d").unwrap()
+}
+
+fn instrument(symbol: &str, name: &str) -> Instrument {
+    Instrument {
+        symbol: symbol.to_string(),
+        name: name.to_string(),
+        board: "Main".to_string(),
+        round_lot: 100,
+        listed_at: None,
+        delisted_at: None,
+        status: "active".to_string(),
+    }
+}
+
+fn market(
+    date: &str,
+    symbol: &str,
+    open: f64,
+    high: f64,
+    low: f64,
+    close: f64,
+    prev_close: f64,
+    volume: u64,
+    paused: bool,
+) -> DailyMarketSnapshot {
+    DailyMarketSnapshot {
+        date: d(date),
+        symbol: symbol.to_string(),
+        timestamp: None,
+        day_open: open,
+        open,
+        high,
+        low,
+        close,
+        last_price: close,
+        bid1: close,
+        ask1: close,
+        prev_close,
+        volume,
+        minute_volume: 0,
+        bid1_volume: 0,
+        ask1_volume: 0,
+        trading_phase: None,
+        paused,
+        upper_limit: (prev_close * 1.10 * 100.0).round() / 100.0,
+        lower_limit: (prev_close * 0.90 * 100.0).round() / 100.0,
+        price_tick: 0.01,
+    }
+}
+
+fn factor(
+    date: &str,
+    symbol: &str,
+    market_cap_bn: f64,
+    free_float_cap_bn: f64,
+) -> DailyFactorSnapshot {
+    DailyFactorSnapshot {
+        date: d(date),
+        symbol: symbol.to_string(),
+        market_cap_bn,
+        free_float_cap_bn,
+        pe_ttm: 18.0,
+        turnover_ratio: None,
+        effective_turnover_ratio: None,
+        extra_factors: Default::default(),
+    }
+}
+
+fn candidate(
+    date: &str,
+    symbol: &str,
+    is_new_listing: bool,
+    is_paused: bool,
+    allow_buy: bool,
+    allow_sell: bool,
+) -> CandidateEligibility {
+    CandidateEligibility {
+        date: d(date),
+        symbol: symbol.to_string(),
+        is_st: false,
+        is_star_st: false,
+        is_new_listing,
+        is_paused,
+        allow_buy,
+        allow_sell,
+        is_kcb: false,
+        is_one_yuan: false,
+        risk_level_code: None,
+    }
+}
+
+fn benchmark(date: &str, open: f64, close: f64, prev_close: f64, volume: u64) -> BenchmarkSnapshot {
+    BenchmarkSnapshot {
+        date: d(date),
+        benchmark: "CSI300.DEMO".to_string(),
+        open,
+        close,
+        prev_close,
+        volume,
+    }
+}
+
+fn strategy_test_dataset() -> DataSet {
+    let dates = [
+        "2024-01-02",
+        "2024-01-03",
+        "2024-01-04",
+        "2024-01-05",
+        "2024-01-08",
+        "2024-01-09",
+        "2024-01-10",
+        "2024-01-11",
+        "2024-01-12",
+    ];
+    let instruments = vec![
+        instrument("000001.SZ", "Alpha Components"),
+        instrument("000002.SZ", "Beta Precision"),
+        instrument("000003.SZ", "Charlie Materials"),
+        instrument("600001.SH", "Delta Industrials"),
+    ];
+    let market = vec![
+        market(
+            "2024-01-02",
+            "000001.SZ",
+            10.0,
+            10.2,
+            9.9,
+            10.1,
+            9.8,
+            1_200_000,
+            false,
+        ),
+        market(
+            "2024-01-02",
+            "000002.SZ",
+            11.0,
+            11.3,
+            10.9,
+            11.2,
+            10.8,
+            1_100_000,
+            false,
+        ),
+        market(
+            "2024-01-02",
+            "000003.SZ",
+            8.0,
+            8.1,
+            7.8,
+            7.9,
+            8.0,
+            900_000,
+            false,
+        ),
+        market(
+            "2024-01-02",
+            "600001.SH",
+            15.0,
+            15.2,
+            14.9,
+            15.1,
+            15.0,
+            800_000,
+            false,
+        ),
+        market(
+            "2024-01-03",
+            "000001.SZ",
+            10.2,
+            10.5,
+            10.1,
+            10.4,
+            10.1,
+            1_250_000,
+            false,
+        ),
+        market(
+            "2024-01-03",
+            "000002.SZ",
+            11.2,
+            11.6,
+            11.1,
+            11.5,
+            11.2,
+            1_120_000,
+            false,
+        ),
+        market(
+            "2024-01-03",
+            "000003.SZ",
+            7.8,
+            7.9,
+            7.3,
+            7.4,
+            7.9,
+            930_000,
+            false,
+        ),
+        market(
+            "2024-01-03",
+            "600001.SH",
+            15.1,
+            15.3,
+            15.0,
+            15.2,
+            15.1,
+            820_000,
+            false,
+        ),
+        market(
+            "2024-01-04",
+            "000001.SZ",
+            10.5,
+            10.8,
+            10.4,
+            10.7,
+            10.4,
+            1_280_000,
+            false,
+        ),
+        market(
+            "2024-01-04",
+            "000002.SZ",
+            11.4,
+            11.9,
+            11.3,
+            11.8,
+            11.5,
+            1_150_000,
+            false,
+        ),
+        market(
+            "2024-01-04",
+            "000003.SZ",
+            7.3,
+            7.4,
+            7.0,
+            7.1,
+            7.4,
+            940_000,
+            false,
+        ),
+        market(
+            "2024-01-04",
+            "600001.SH",
+            15.2,
+            15.5,
+            15.1,
+            15.4,
+            15.2,
+            830_000,
+            false,
+        ),
+        market(
+            "2024-01-05",
+            "000001.SZ",
+            10.8,
+            11.1,
+            10.7,
+            11.0,
+            10.7,
+            1_300_000,
+            false,
+        ),
+        market(
+            "2024-01-05",
+            "000002.SZ",
+            11.9,
+            12.1,
+            11.8,
+            12.0,
+            11.8,
+            1_180_000,
+            false,
+        ),
+        market(
+            "2024-01-05",
+            "000003.SZ",
+            7.0,
+            7.1,
+            6.8,
+            6.9,
+            7.1,
+            950_000,
+            false,
+        ),
+        market(
+            "2024-01-05",
+            "600001.SH",
+            15.4,
+            15.6,
+            15.3,
+            15.5,
+            15.4,
+            840_000,
+            false,
+        ),
+        market(
+            "2024-01-08",
+            "000001.SZ",
+            11.1,
+            11.6,
+            11.0,
+            11.5,
+            11.0,
+            1_400_000,
+            false,
+        ),
+        market(
+            "2024-01-08",
+            "000002.SZ",
+            12.1,
+            12.5,
+            12.0,
+            12.4,
+            12.0,
+            1_200_000,
+            false,
+        ),
+        market(
+            "2024-01-08",
+            "000003.SZ",
+            7.0,
+            7.3,
+            6.9,
+            7.2,
+            6.9,
+            980_000,
+            false,
+        ),
+        market(
+            "2024-01-08",
+            "600001.SH",
+            15.5,
+            15.7,
+            15.4,
+            15.6,
+            15.5,
+            850_000,
+            false,
+        ),
+        market(
+            "2024-01-09",
+            "000001.SZ",
+            11.6,
+            12.4,
+            11.5,
+            12.3,
+            11.5,
+            1_500_000,
+            false,
+        ),
+        market(
+            "2024-01-09",
+            "000002.SZ",
+            12.5,
+            12.9,
+            12.4,
+            12.8,
+            12.4,
+            1_250_000,
+            false,
+        ),
+        market(
+            "2024-01-09",
+            "000003.SZ",
+            7.2,
+            7.5,
+            7.1,
+            7.4,
+            7.2,
+            990_000,
+            false,
+        ),
+        market(
+            "2024-01-09",
+            "600001.SH",
+            15.6,
+            15.7,
+            15.4,
+            15.5,
+            15.6,
+            860_000,
+            false,
+        ),
+        market(
+            "2024-01-10",
+            "000001.SZ",
+            12.2,
+            12.3,
+            11.9,
+            12.0,
+            12.3,
+            1_450_000,
+            false,
+        ),
+        market(
+            "2024-01-10",
+            "000002.SZ",
+            12.7,
+            12.8,
+            12.5,
+            12.6,
+            12.8,
+            1_220_000,
+            false,
+        ),
+        market(
+            "2024-01-10",
+            "000003.SZ",
+            7.5,
+            7.6,
+            7.4,
+            7.5,
+            7.4,
+            1_000_000,
+            false,
+        ),
+        market(
+            "2024-01-10",
+            "600001.SH",
+            15.4,
+            15.5,
+            15.1,
+            15.2,
+            15.5,
+            870_000,
+            false,
+        ),
+        market(
+            "2024-01-11",
+            "000001.SZ",
+            12.0,
+            12.1,
+            11.5,
+            11.6,
+            12.0,
+            1_420_000,
+            false,
+        ),
+        market(
+            "2024-01-11",
+            "000002.SZ",
+            12.5,
+            12.6,
+            12.1,
+            12.2,
+            12.6,
+            1_210_000,
+            false,
+        ),
+        market(
+            "2024-01-11",
+            "000003.SZ",
+            7.4,
+            7.5,
+            7.2,
+            7.3,
+            7.5,
+            980_000,
+            false,
+        ),
+        market(
+            "2024-01-11",
+            "600001.SH",
+            15.2,
+            15.2,
+            15.2,
+            15.2,
+            15.2,
+            0,
+            true,
+        ),
+        market(
+            "2024-01-12",
+            "000001.SZ",
+            11.5,
+            11.6,
+            11.1,
+            11.2,
+            11.6,
+            1_380_000,
+            false,
+        ),
+        market(
+            "2024-01-12",
+            "000002.SZ",
+            12.1,
+            12.2,
+            11.8,
+            11.9,
+            12.2,
+            1_190_000,
+            false,
+        ),
+        market(
+            "2024-01-12",
+            "000003.SZ",
+            7.2,
+            7.2,
+            6.9,
+            7.0,
+            7.3,
+            960_000,
+            false,
+        ),
+        market(
+            "2024-01-12",
+            "600001.SH",
+            14.8,
+            15.0,
+            14.7,
+            14.9,
+            15.2,
+            850_000,
+            false,
+        ),
+    ];
+    let factors = dates
+        .iter()
+        .enumerate()
+        .flat_map(|(idx, date)| {
+            let i = idx as f64;
+            [
+                factor(date, "000001.SZ", 38.0 + i, 24.0 + i * 0.5),
+                factor(date, "000002.SZ", 45.0 + i, 30.0 + i * 0.5),
+                factor(date, "000003.SZ", 65.0 - i, 40.0 - i * 0.5),
+                factor(date, "600001.SH", 85.0 + i, 55.0 + i * 0.5),
+            ]
+        })
+        .collect::<Vec<_>>();
+    let candidates = dates
+        .iter()
+        .flat_map(|date| {
+            let first_two = *date == "2024-01-02" || *date == "2024-01-03";
+            let paused_600001 = *date == "2024-01-11";
+            [
+                candidate(date, "000001.SZ", first_two, false, !first_two, true),
+                candidate(date, "000002.SZ", false, false, true, true),
+                candidate(date, "000003.SZ", false, false, true, true),
+                candidate(
+                    date,
+                    "600001.SH",
+                    false,
+                    paused_600001,
+                    !paused_600001,
+                    !paused_600001,
+                ),
+            ]
+        })
+        .collect::<Vec<_>>();
+    let benchmarks = vec![
+        benchmark("2024-01-02", 2990.0, 3000.0, 2980.0, 100_000_000),
+        benchmark("2024-01-03", 3005.0, 3020.0, 3000.0, 102_000_000),
+        benchmark("2024-01-04", 3025.0, 3050.0, 3020.0, 105_000_000),
+        benchmark("2024-01-05", 3055.0, 3080.0, 3050.0, 108_000_000),
+        benchmark("2024-01-08", 3085.0, 3110.0, 3080.0, 109_000_000),
+        benchmark("2024-01-09", 3100.0, 3090.0, 3110.0, 107_000_000),
+        benchmark("2024-01-10", 3080.0, 3040.0, 3090.0, 111_000_000),
+        benchmark("2024-01-11", 3030.0, 2990.0, 3040.0, 115_000_000),
+        benchmark("2024-01-12", 2980.0, 2950.0, 2990.0, 118_000_000),
+    ];
+    DataSet::from_components(instruments, market, factors, candidates, benchmarks)
+        .expect("strategy test dataset")
+}
 
 #[test]
 fn strategy_emits_target_weights_and_diagnostics() {
-    let data_dir = PathBuf::from(env!("CARGO_MANIFEST_DIR")).join("../../data/demo");
+    let data = strategy_test_dataset();
-    let data = DataSet::from_csv_dir(&data_dir).expect("demo data");
     let decision_date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let execution_date = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
     let portfolio = PortfolioState::new(1_000_000.0);
@@ -53,8 +620,7 @@ fn strategy_emits_target_weights_and_diagnostics() {
 
 #[test]
 fn omni_strategy_emits_same_day_decision() {
-    let data_dir = PathBuf::from(env!("CARGO_MANIFEST_DIR")).join("../../data/demo");
+    let data = strategy_test_dataset();
-    let data = DataSet::from_csv_dir(&data_dir).expect("demo data");
     let execution_date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let portfolio = PortfolioState::new(1_000_000.0);
     let mut cfg = OmniMicroCapConfig::omni_microcap();

data/demo/000852量价微盘平台策略.engine-script.txt

@@ -1,63 +0,0 @@
-let refresh_rate = 15;
-let stocknum = 40;
-let close_rate = 1.07;
-let loss_rate = 0.93;
-let rsi_rate = 1.0001;
-let trade_rate = 0.5;
-let xs = 4 / 500;
-let base_index_level = 2000;
-let base_cap_floor = 3;
-let base_cap_ceiling = 28;
-
-fn band_start(current_price, base_index_level, xs, base_cap_floor) {
-  if current_price == base_index_level {
-    base_cap_floor
-  } else if current_price > 0 {
-    round((current_price - base_index_level) * xs + base_cap_floor)
-  } else {
-    base_cap_floor
-  }
-}
-
-fn band_end(current_price, base_index_level, xs, base_cap_ceiling) {
-  if current_price == base_index_level {
-    base_cap_ceiling
-  } else if current_price > 0 {
-    round((current_price - base_index_level) * xs + base_cap_ceiling)
-  } else {
-    base_cap_ceiling
-  }
-}
-
-strategy("microcap_volume_trend_000852") {
-  market("CN_A")
-  benchmark("000852.SH")
-  signal("000852.SH")
-
-  rebalance.every_days(refresh_rate).at("10:18")
-
-  universe.exclude("paused", "st", "kcb", "one_yuan", "new_listing")
-
-  selection.limit(stocknum)
-  selection.market_cap_band(
-    field="market_cap",
-    lower=band_start(signal_close, base_index_level, xs, base_cap_floor),
-    upper=band_end(signal_close, base_index_level, xs, base_cap_ceiling)
-  )
-
-  risk.index_exposure(
-    signal_ma5 > signal_ma10 * rsi_rate ? 1.0 : trade_rate
-  )
-
-  filter.stock_expr(
-    stock_ma5 > stock_ma10 * rsi_rate &&
-    stock_ma10 > stock_ma30 * rsi_rate &&
-    rolling_mean("volume", 5) < rolling_mean("volume", 60)
-  )
-
-  risk.take_profit(close_rate)
-  risk.stop_loss(loss_rate)
-  allocation.buy_scale(touched_upper_limit ? 1.0 : trade_rate)
-
-  ordering.rank_by("market_cap", "asc")
-}

data/demo/000852量价微盘平台策略.strategy_spec.json

@@ -1,41 +0,0 @@
-{
-  "strategyId": "microcap_volume_trend_000852",
-  "version": "2",
-  "parser": "omniquant-engine-script-v2",
-  "market": "CN_A",
-  "signalSymbol": "000852.SH",
-  "benchmark": {
-    "instrumentId": "000852.SH",
-    "fallbackInstrumentId": "000852.SH"
-  },
-  "engineConfig": {
-    "market": "CN_A",
-    "signalSymbol": "000852.SH",
-    "benchmarkSymbol": "000852.SH",
-    "refreshRate": 15,
-    "rankLimit": 40
-  },
-  "runtimeExpressions": {
-    "prelude": "let refresh_rate = 15;\nlet stocknum = 40;\nlet close_rate = 1.07;\nlet loss_rate = 0.93;\nlet rsi_rate = 1.0001;\nlet trade_rate = 0.5;\nlet xs = 4 / 500;\nlet base_index_level = 2000;\nlet base_cap_floor = 3;\nlet base_cap_ceiling = 28;\nfn band_start(current_price, base_index_level, xs, base_cap_floor) {\n  if current_price == base_index_level {\n    base_cap_floor\n  } else if current_price > 0 {\n    round((current_price - base_index_level) * xs + base_cap_floor)\n  } else {\n    base_cap_floor\n  }\n}\nfn band_end(current_price, base_index_level, xs, base_cap_ceiling) {\n  if current_price == base_index_level {\n    base_cap_ceiling\n  } else if current_price > 0 {\n    round((current_price - base_index_level) * xs + base_cap_ceiling)\n  } else {\n    base_cap_ceiling\n  }\n}",
-    "selection": {
-      "limitExpr": "stocknum",
-      "marketCapField": "market_cap",
-      "marketCapLowerExpr": "band_start(signal_close, base_index_level, xs, base_cap_floor)",
-      "marketCapUpperExpr": "band_end(signal_close, base_index_level, xs, base_cap_ceiling)",
-      "stockFilterExpr": "stock_ma5 > stock_ma10 * rsi_rate && stock_ma10 > stock_ma30 * rsi_rate && rolling_mean(\"volume\", 5) < rolling_mean(\"volume\", 60)"
-    },
-    "risk": {
-      "exposureExpr": "signal_ma5 > signal_ma10 * rsi_rate ? 1.0 : trade_rate",
-      "stopLossExpr": "loss_rate",
-      "takeProfitExpr": "close_rate"
-    },
-    "allocation": {
-      "buyScaleExpr": "touched_upper_limit ? 1.0 : trade_rate"
-    },
-    "ordering": {
-      "rankBy": "market_cap",
-      "rankExpr": "",
-      "rankOrder": "asc"
-    }
-  }
-}

data/demo/ai_generated_000001_open_cap_band.engine-script.txt

@@ -1,42 +0,0 @@
-let refresh_rate = 15;
-let stocknum = 40;
-let xs = 0.008;
-let base_index_level = 2000;
-let lower_offset = 3;
-let upper_offset = 28;
-
-fn cap_floor(current_price, base_index_level, xs, lower_offset) {
-round((current_price - base_index_level) * xs + lower_offset)
-}
-
-fn cap_ceiling(current_price, base_index_level, xs, upper_offset) {
-round((current_price - base_index_level) * xs + upper_offset)
-}
-
-strategy("ai_generated_000001_open_cap_band") {
-market("CN_A")
-benchmark("000852.SH")
-signal("000001.SH")
-
-rebalance.every_days(refresh_rate).at("10:18")
-
-universe.exclude("paused", "st", "kcb", "one_yuan", "new_listing")
-
-selection.limit(stocknum)
-selection.market_cap_band(
-field="market_cap",
-lower=cap_floor(signal_open, base_index_level, xs, lower_offset),
-upper=cap_ceiling(signal_open, base_index_level, xs, upper_offset)
-)
-
-filter.stock_expr(
-stock_ma5 > stock_ma10 &&
-stock_ma10 > stock_ma30 &&
-rolling_mean("volume", 5) < rolling_mean("volume", 60) &&
-!ends_with(symbol, ".BJ") &&
-!at_upper_limit &&
-!at_lower_limit
-)
-
-  ordering.rank_by("market_cap", "asc")
-}

data/demo/ai_generated_000001_open_cap_band.strategy_spec.json

@@ -1,33 +0,0 @@
-{
-  "strategyId": "ai_generated_000001_open_cap_band",
-  "version": "2",
-  "parser": "omniquant-engine-script-v2",
-  "market": "CN_A",
-  "signalSymbol": "000001.SH",
-  "benchmark": {
-    "instrumentId": "000852.SH",
-    "fallbackInstrumentId": "000852.SH"
-  },
-  "engineConfig": {
-    "market": "CN_A",
-    "signalSymbol": "000001.SH",
-    "benchmarkSymbol": "000852.SH",
-    "refreshRate": 15,
-    "rankLimit": 40
-  },
-  "runtimeExpressions": {
-    "prelude": "let refresh_rate = 15;\nlet stocknum = 40;\nlet xs = 0.008;\nlet base_index_level = 2000;\nlet lower_offset = 3;\nlet upper_offset = 28;\n\nfn cap_floor(current_price, base_index_level, xs, lower_offset) {\nround((current_price - base_index_level) * xs + lower_offset)\n}\n\nfn cap_ceiling(current_price, base_index_level, xs, upper_offset) {\nround((current_price - base_index_level) * xs + upper_offset)\n}",
-    "selection": {
-      "limitExpr": "stocknum",
-      "marketCapField": "market_cap",
-      "marketCapLowerExpr": "cap_floor(signal_open, base_index_level, xs, lower_offset)",
-      "marketCapUpperExpr": "cap_ceiling(signal_open, base_index_level, xs, upper_offset)",
-      "stockFilterExpr": "stock_ma5 > stock_ma10 && stock_ma10 > stock_ma30 && rolling_mean(\"volume\", 5) < rolling_mean(\"volume\", 60) && !ends_with(symbol, \".BJ\") && !at_upper_limit && !at_lower_limit"
-    },
-    "ordering": {
-      "rankBy": "market_cap",
-      "rankExpr": "",
-      "rankOrder": "asc"
-    }
-  }
-}

data/demo/benchmark.csv

@@ -1,10 +0,0 @@
-date,benchmark,open,close,prev_close,volume
-2024-01-02,CSI300.DEMO,2990,3000,2980,100000000
-2024-01-03,CSI300.DEMO,3005,3020,3000,102000000
-2024-01-04,CSI300.DEMO,3025,3050,3020,105000000
-2024-01-05,CSI300.DEMO,3055,3080,3050,108000000
-2024-01-08,CSI300.DEMO,3085,3110,3080,109000000
-2024-01-09,CSI300.DEMO,3100,3090,3110,107000000
-2024-01-10,CSI300.DEMO,3080,3040,3090,111000000
-2024-01-11,CSI300.DEMO,3030,2990,3040,115000000
-2024-01-12,CSI300.DEMO,2980,2950,2990,118000000

data/demo/candidate_flags.csv

@@ -1,37 +0,0 @@
-date,symbol,is_st,is_new_listing,is_paused,allow_buy,allow_sell,is_kcb,is_one_yuan
-2024-01-02,000001.SZ,false,true,false,false,true,false,false
-2024-01-02,000002.SZ,false,false,false,true,true,false,false
-2024-01-02,000003.SZ,false,false,false,true,true,false,false
-2024-01-02,600001.SH,false,false,false,true,true,false,false
-2024-01-03,000001.SZ,false,true,false,false,true,false,false
-2024-01-03,000002.SZ,false,false,false,true,true,false,false
-2024-01-03,000003.SZ,false,false,false,true,true,false,false
-2024-01-03,600001.SH,false,false,false,true,true,false,false
-2024-01-04,000001.SZ,false,false,false,true,true,false,false
-2024-01-04,000002.SZ,false,false,false,true,true,false,false
-2024-01-04,000003.SZ,false,false,false,true,true,false,false
-2024-01-04,600001.SH,false,false,false,true,true,false,false
-2024-01-05,000001.SZ,false,false,false,true,true,false,false
-2024-01-05,000002.SZ,false,false,false,true,true,false,false
-2024-01-05,000003.SZ,false,false,false,true,true,false,false
-2024-01-05,600001.SH,false,false,false,true,true,false,false
-2024-01-08,000001.SZ,false,false,false,true,true,false,false
-2024-01-08,000002.SZ,false,false,false,true,true,false,false
-2024-01-08,000003.SZ,false,false,false,true,true,false,false
-2024-01-08,600001.SH,false,false,false,true,true,false,false
-2024-01-09,000001.SZ,false,false,false,true,true,false,false
-2024-01-09,000002.SZ,false,false,false,true,true,false,false
-2024-01-09,000003.SZ,false,false,false,true,true,false,false
-2024-01-09,600001.SH,false,false,false,true,true,false,false
-2024-01-10,000001.SZ,false,false,false,true,true,false,false
-2024-01-10,000002.SZ,false,false,false,true,true,false,false
-2024-01-10,000003.SZ,false,false,false,true,true,false,false
-2024-01-10,600001.SH,false,false,false,true,true,false,false
-2024-01-11,000001.SZ,false,false,false,true,true,false,false
-2024-01-11,000002.SZ,false,false,false,true,true,false,false
-2024-01-11,000003.SZ,false,false,false,true,true,false,false
-2024-01-11,600001.SH,false,false,true,false,false,false,false
-2024-01-12,000001.SZ,false,false,false,true,true,false,false
-2024-01-12,000002.SZ,false,false,false,true,true,false,false
-2024-01-12,000003.SZ,false,false,false,true,true,false,false
-2024-01-12,600001.SH,false,false,false,true,true,false,false

data/demo/factors.csv

@@ -1,37 +0,0 @@
-date,symbol,market_cap_bn,free_float_cap_bn,pe_ttm
-2024-01-02,000001.SZ,38,24,18
-2024-01-02,000002.SZ,45,30,20
-2024-01-02,000003.SZ,65,40,15
-2024-01-02,600001.SH,85,55,13
-2024-01-03,000001.SZ,39,24.5,18
-2024-01-03,000002.SZ,46,30.5,20
-2024-01-03,000003.SZ,64,39.5,15
-2024-01-03,600001.SH,85,55,13
-2024-01-04,000001.SZ,40,25,18
-2024-01-04,000002.SZ,47,31,20
-2024-01-04,000003.SZ,63,39,15
-2024-01-04,600001.SH,86,55.5,13
-2024-01-05,000001.SZ,41,25.5,18
-2024-01-05,000002.SZ,48,32,20
-2024-01-05,000003.SZ,62,38.5,15
-2024-01-05,600001.SH,86,56,13
-2024-01-08,000001.SZ,42,26,18
-2024-01-08,000002.SZ,50,33,21
-2024-01-08,000003.SZ,61,38,15
-2024-01-08,600001.SH,87,56.5,13
-2024-01-09,000001.SZ,44,27,19
-2024-01-09,000002.SZ,52,34,21
-2024-01-09,000003.SZ,60,37.5,15
-2024-01-09,600001.SH,88,57,13
-2024-01-10,000001.SZ,43,26.5,19
-2024-01-10,000002.SZ,53,34.5,21
-2024-01-10,000003.SZ,59,37,15
-2024-01-10,600001.SH,89,57.5,13
-2024-01-11,000001.SZ,42,26,18
-2024-01-11,000002.SZ,52,34,21
-2024-01-11,000003.SZ,58,36.5,15
-2024-01-11,600001.SH,90,58,13
-2024-01-12,000001.SZ,40,25,18
-2024-01-12,000002.SZ,50,33,20
-2024-01-12,000003.SZ,57,36,15
-2024-01-12,600001.SH,92,59,13

data/demo/instruments.csv

@@ -1,5 +0,0 @@
-symbol,name,board
-000001.SZ,Alpha Components,Main
-000002.SZ,Beta Precision,Main
-000003.SZ,Charlie Materials,Main
-600001.SH,Delta Industrials,Main

data/demo/market.csv

@@ -1,37 +0,0 @@
-date,symbol,open,high,low,close,prev_close,volume,paused
-2024-01-02,000001.SZ,10.0,10.2,9.9,10.1,9.8,1200000,false
-2024-01-02,000002.SZ,11.0,11.3,10.9,11.2,10.8,1100000,false
-2024-01-02,000003.SZ,8.0,8.1,7.8,7.9,8.0,900000,false
-2024-01-02,600001.SH,15.0,15.2,14.9,15.1,15.0,800000,false
-2024-01-03,000001.SZ,10.2,10.5,10.1,10.4,10.1,1250000,false
-2024-01-03,000002.SZ,11.2,11.6,11.1,11.5,11.2,1120000,false
-2024-01-03,000003.SZ,7.8,7.9,7.3,7.4,7.9,930000,false
-2024-01-03,600001.SH,15.1,15.3,15.0,15.2,15.1,820000,false
-2024-01-04,000001.SZ,10.5,10.8,10.4,10.7,10.4,1280000,false
-2024-01-04,000002.SZ,11.4,11.9,11.3,11.8,11.5,1150000,false
-2024-01-04,000003.SZ,7.3,7.4,7.0,7.1,7.4,940000,false
-2024-01-04,600001.SH,15.2,15.5,15.1,15.4,15.2,830000,false
-2024-01-05,000001.SZ,10.8,11.1,10.7,11.0,10.7,1300000,false
-2024-01-05,000002.SZ,11.9,12.1,11.8,12.0,11.8,1180000,false
-2024-01-05,000003.SZ,7.0,7.1,6.8,6.9,7.1,950000,false
-2024-01-05,600001.SH,15.4,15.6,15.3,15.5,15.4,840000,false
-2024-01-08,000001.SZ,11.1,11.6,11.0,11.5,11.0,1400000,false
-2024-01-08,000002.SZ,12.1,12.5,12.0,12.4,12.0,1200000,false
-2024-01-08,000003.SZ,7.0,7.3,6.9,7.2,6.9,980000,false
-2024-01-08,600001.SH,15.5,15.7,15.4,15.6,15.5,850000,false
-2024-01-09,000001.SZ,11.6,12.4,11.5,12.3,11.5,1500000,false
-2024-01-09,000002.SZ,12.5,12.9,12.4,12.8,12.4,1250000,false
-2024-01-09,000003.SZ,7.2,7.5,7.1,7.4,7.2,990000,false
-2024-01-09,600001.SH,15.6,15.7,15.4,15.5,15.6,860000,false
-2024-01-10,000001.SZ,12.2,12.3,11.9,12.0,12.3,1450000,false
-2024-01-10,000002.SZ,12.7,12.8,12.5,12.6,12.8,1220000,false
-2024-01-10,000003.SZ,7.5,7.6,7.4,7.5,7.4,1000000,false
-2024-01-10,600001.SH,15.4,15.5,15.1,15.2,15.5,870000,false
-2024-01-11,000001.SZ,12.0,12.1,11.5,11.6,12.0,1420000,false
-2024-01-11,000002.SZ,12.5,12.6,12.1,12.2,12.6,1210000,false
-2024-01-11,000003.SZ,7.4,7.5,7.2,7.3,7.5,980000,false
-2024-01-11,600001.SH,15.2,15.2,15.2,15.2,15.2,0,true
-2024-01-12,000001.SZ,11.5,11.6,11.1,11.2,11.6,1380000,false
-2024-01-12,000002.SZ,12.1,12.2,11.8,11.9,12.2,1190000,false
-2024-01-12,000003.SZ,7.2,7.2,6.9,7.0,7.3,960000,false
-2024-01-12,600001.SH,14.8,15.0,14.7,14.9,15.2,850000,false

docs/engine-capability-roadmap.md

@@ -52,22 +52,22 @@ futures path. Confirmed aligned areas:
 - [x] Rich explicit order styles exposed to platform scripts.
 - [x] Minute-level `time_rule` semantics including market-open, market-close,
       and physical-time style schedules.
-- [x] Fine-grained daily, minute, and tick strategy execution entrypoints.
+- [x] Fine-grained daily and minute execution quote strategy entrypoints.
 - [x] Scheduled actions evaluated against explicit intraday times.
 - [x] `update_universe`, `subscribe`, and `unsubscribe`.
-- [x] Tick-frequency subscription guards at strategy API level.
+- [x] Intraday subscription guards at strategy API level; intraday execution uses minute quote semantics.
 - [x] VWAP and TWAP explicit action styles.
 - [x] `order_target_portfolio_smart(..., order_prices=AlgoOrder, valuation_prices=...)`.
 - [x] Trading PnL, position PnL, dividend receivable, and richer position
       lifecycle fields.
 - [x] Stock position aliases including `order_book_id`, `avg_price`,
       `sellable`, `closable`, `equity`, and `position_prev_close`.
-- [x] `history_bars` numeric helper for daily, intraday, and tick fields.
+- [x] `history_bars` numeric helper for daily and minute execution quote fields.
 - [x] `current_snapshot`, instrument metadata, all-instrument queries, and
       active/historical instrument helpers.
 - [x] Trading-date range, previous-date, and next-date helpers.
-- [x] Phase-aware minute/tick history cursor semantics matching the active bar
+- [x] Phase-aware minute history cursor semantics matching the active bar or
-      or tick callback.
+      intraday execution quote callback.
 - [x] Suspension, ST, date-range price, active instrument, and instrument
       history helpers.
 - [x] Open-order status, unfilled quantity, final order lookup, average fill

scripts/verify-no-legacy-data-source.sh

@@ -0,0 +1,164 @@
+#!/usr/bin/env bash
+set -euo pipefail
+
+ROOT_DIR="$(cd "$(dirname "${BASH_SOURCE[0]}")/.." && pwd)"
+cd "$ROOT_DIR"
+
+fail() {
+  local message="$1"
+  local details="${2:-}"
+  printf '[FAIL] %s\n' "$message" >&2
+  if [[ -n "$details" ]]; then
+    printf '%s\n' "$details" >&2
+  fi
+  exit 1
+}
+
+runtime_hits="$(
+  rg -n \
+    --glob '!**/.git/**' \
+    --glob '!**/target/**' \
+    --glob '!**/docs/**' \
+    --glob '!**/*.md' \
+    --glob '!**/tests/**' \
+    --glob '!**/*.test.rs' \
+    --glob '!**/*_test.rs' \
+    --glob '!crates/fidc-core/src/strategy_ai.rs' \
+    --glob '!scripts/verify-no-legacy-data-source.sh' \
+    'fidatacenter|FIDATACENTER|/v1/backtest/data|/v1/xuntou|ClickHouse|clickhouse|CLICKHOUSE|FIDC_BT_INSTRUMENT_METADATA_CSV|FIDC_BT_WRITE_SNAPSHOTS|FIDC_BT_WRITE_CSV_SNAPSHOTS|FIDC_BT_WRITE_COMBINED_SOURCE_ROW_CACHE|write_csv_snapshot_files|write_csv\(|FIDC_RISK_RUNTIME_FILE|FIDC_RISK_RUNTIME_URL|FIDC_FIRISK_RUNTIME_FILE|FiRisk runtime snapshot' \
+    crates Cargo.toml \
+    2>/dev/null || true
+)"
+
+if [[ -n "$runtime_hits" ]]; then
+  fail "legacy fidatacenter/ClickHouse/CSV snapshot/FiRisk runtime data source references are not allowed in fidc-backtest-engine" "$runtime_hits"
+fi
+
+manifest_hits="$(
+  rg -n --glob '!scripts/verify-no-legacy-data-source.sh' '\b(mysql|mariadb|clickhouse|clickhouse-rs|mysql_async|sqlx-mysql)\b' Cargo.toml crates 2>/dev/null || true
+)"
+
+if [[ -n "$manifest_hits" ]]; then
+  fail "legacy database dependencies are not allowed in fidc-backtest-engine manifests" "$manifest_hits"
+fi
+
+local_only_hits="$(
+  rg -n \
+    --glob '!**/.git/**' \
+    --glob '!**/target/**' \
+    --glob '!**/docs/**' \
+    --glob '!**/*.md' \
+    --glob '!**/tests/**' \
+    --glob '!**/*.test.rs' \
+    --glob '!**/*_test.rs' \
+    --glob '!crates/fidc-core/src/strategy_ai.rs' \
+    --glob '!scripts/verify-no-legacy-data-source.sh' \
+    'FICLAW_DATA_AGENT_URL|ficlaw_data\.source_rows_v1|strategy-factory-source-lake://local|FIDC_BT_WRITE_COMBINED_SOURCE_ROW_CACHE' \
+    crates Cargo.toml \
+    2>/dev/null || true
+)"
+
+if [[ -n "$local_only_hits" ]]; then
+  fail "legacy or local-only data source references are not allowed in fidc-backtest-engine runtime" "$local_only_hits"
+fi
+
+json_query_hits="$(
+  rg -n \
+    --glob '!**/.git/**' \
+    --glob '!**/target/**' \
+    --glob '!**/docs/**' \
+    --glob '!**/*.md' \
+    --glob '!**/tests/**' \
+    --glob '!**/*.test.rs' \
+    --glob '!**/*_test.rs' \
+    --glob '!crates/fidc-core/src/strategy_ai.rs' \
+    --glob '!scripts/verify-no-legacy-data-source.sh' \
+    '/v1/query/(source-rows|daily-execution-prices|minute-execution-prices|instruments|corporate-actions)\.json' \
+    crates Cargo.toml \
+    2>/dev/null || true
+)"
+
+if [[ -n "$json_query_hits" ]]; then
+  fail "JSON Source Lake high-throughput endpoints are not allowed in fidc-backtest-engine runtime; use Arrow endpoints" "$json_query_hits"
+fi
+
+fused_hits="$(
+  rg -n \
+    --glob '!**/.git/**' \
+    --glob '!**/target/**' \
+    --glob '!**/docs/**' \
+    --glob '!**/*.md' \
+    --glob '!**/tests/**' \
+    --glob '!**/*.test.rs' \
+    --glob '!**/*_test.rs' \
+    --glob '!crates/fidc-core/src/strategy_ai.rs' \
+    --glob '!scripts/verify-no-legacy-data-source.sh' \
+    'exported_fused|fidc_fused|fusion|fused|wide_table|wide table|source_rows_export|exported_daily|merged_daily|daily_merged|merged_source|materialized[_ -]source|materialized_source_rows|source_rows_materialized|融合表|融合宽表' \
+    crates Cargo.toml \
+    2>/dev/null || true
+)"
+
+if [[ -n "$fused_hits" ]]; then
+  fail "exported fused tables are not allowed in fidc-backtest-engine runtime; use Strategy Factory Source Lake source rows directly" "$fused_hits"
+fi
+
+feature_store_hits="$(
+  rg -n \
+    --glob '!**/.git/**' \
+    --glob '!**/target/**' \
+    --glob '!**/docs/**' \
+    --glob '!**/*.md' \
+    --glob '!**/tests/**' \
+    --glob '!**/*.test.rs' \
+    --glob '!**/*_test.rs' \
+    --glob '!crates/fidc-core/src/strategy_ai.rs' \
+    --glob '!scripts/verify-no-legacy-data-source.sh' \
+    'research_feature_store|feature_store|FEATURE_STORE|daily_minute_current|FIDC_STRATEGY_FACTORY_ENABLE_FEATURE_STORE_CACHE|ALPHA_FACTORY_ENABLE_FEATURE_STORE_CACHE|ENABLE_FEATURE_STORE_CACHE' \
+    crates Cargo.toml \
+    2>/dev/null || true
+)"
+
+if [[ -n "$feature_store_hits" ]]; then
+  fail "historical feature-store paths are not allowed in fidc-backtest-engine runtime; use Strategy Factory Source Lake raw/indicator/artifact partitions and discardable caches" "$feature_store_hits"
+fi
+
+truth_csv_hits="$(
+  rg -n \
+    --glob '!**/.git/**' \
+    --glob '!**/target/**' \
+    --glob '!**/docs/**' \
+    --glob '!**/*.md' \
+    --glob '!**/tests/**' \
+    --glob '!**/*.test.rs' \
+    --glob '!**/*_test.rs' \
+    --glob '!crates/fidc-core/src/strategy_ai.rs' \
+    --glob '!scripts/verify-no-legacy-data-source.sh' \
+    'FIDC_BT_TRUTH_STOCK_LIST_CSV|OMNI_BT_TRUTH_STOCK_LIST_CSV|OMNI_BACKTEST_TRUTH_STOCK_LIST_CSV|selection_source=truth_csv|truth_stock_list|truth_csv' \
+    crates Cargo.toml \
+    2>/dev/null || true
+)"
+
+if [[ -n "$truth_csv_hits" ]]; then
+  fail "CSV truth stock-list overrides are not allowed in fidc-backtest-engine runtime; use Source Lake runtime spec selection only" "$truth_csv_hits"
+fi
+
+csv_snapshot_loader_hits="$(
+  rg -n \
+    --glob '!**/.git/**' \
+    --glob '!**/target/**' \
+    --glob '!**/docs/**' \
+    --glob '!**/*.md' \
+    --glob '!**/tests/**' \
+    --glob '!**/*.test.rs' \
+    --glob '!**/*_test.rs' \
+    --glob '!scripts/verify-no-legacy-data-source.sh' \
+    'from_csv_dir|from_partitioned_dir|instruments\.csv|candidate_flags\.csv|market\.csv|benchmark\.csv' \
+    crates Cargo.toml \
+    2>/dev/null || true
+)"
+
+if [[ -n "$csv_snapshot_loader_hits" ]]; then
+  fail "CSV snapshot loaders are not allowed in fidc-backtest-engine runtime; construct DataSet from Source Lake components" "$csv_snapshot_loader_hits"
+fi
+
+printf '[OK] fidc-backtest-engine has no legacy runtime data-source references\n'

scripts/verify-runtime-risk-contracts.sh

@@ -0,0 +1,61 @@
+#!/usr/bin/env bash
+set -euo pipefail
+
+ROOT_DIR="$(cd "$(dirname "${BASH_SOURCE[0]}")/.." && pwd)"
+cd "$ROOT_DIR"
+PYTHON_BIN="${PYTHON_BIN:-python3}"
+
+fail() {
+  local message="$1"
+  local details="${2:-}"
+  printf '[FAIL] %s\n' "$message" >&2
+  if [[ -n "$details" ]]; then
+    printf '%s\n' "$details" >&2
+  fi
+  exit 1
+}
+
+run_core_test() {
+  local filter="$1"
+  local tmp
+  tmp="$(mktemp)"
+  printf '[INFO] cargo test -p fidc-core %s\n' "$filter"
+  if cargo test -p fidc-core "$filter" -- --nocapture 2>&1 | tee "$tmp"; then
+    local passed_count
+    passed_count="$(
+      "$PYTHON_BIN" - "$tmp" <<'PY'
+import re
+import sys
+
+count = 0
+for line in open(sys.argv[1], encoding="utf-8", errors="replace"):
+    match = re.search(r"test result: ok\. (\d+) passed;", line)
+    if match:
+        count += int(match.group(1))
+print(count)
+PY
+    )"
+    rm -f "$tmp"
+    if [[ "$passed_count" -le 0 ]]; then
+      fail "cargo test filter matched 0 tests: package=fidc-core filter=${filter}"
+    fi
+    return 0
+  fi
+  local output
+  output="$(cat "$tmp")"
+  rm -f "$tmp"
+  fail "cargo test failed: package=fidc-core filter=${filter}" "$output"
+}
+
+run_core_test eligible_universe_does_not_require_candidate_risk_state_when_selection_risk_is_disabled
+run_core_test next_bar_open_eligible_universe_helper_does_not_block_on_decision_day_risk
+run_core_test platform_next_open_selection_records_risk_diagnostics_without_filtering
+run_core_test next_open_buy_risk_uses_execution_date_not_signal_date
+run_core_test next_open_buy_limit_risk_uses_open_not_close
+run_core_test next_open_sell_risk_uses_execution_date_not_signal_date
+run_core_test next_open_sell_limit_risk_uses_open_not_close
+run_core_test next_bar_open_sell_respects_allow_sell_policy_on_execution_day
+run_core_test volume_limit_uses_floor_for_odd_lot_sell
+run_core_test configurable_upper_limit_buy_filter_can_be_disabled
+
+printf '[OK] fidc-backtest-engine runtime risk contracts passed\n'