修正FIDC退市风控原因识别

Cargo.lock

@@ -99,43 +99,12 @@ version = "0.8.7"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "773648b94d0e5d620f64f280777445740e61fe701025087ec8b57f45c791888b"
 
-[[package]]
-name = "crossbeam-deque"
-version = "0.8.7"
-source = "registry+https://github.com/rust-lang/crates.io-index"
-checksum = "5181e0de7b61eb03a81e347d6dd8797bae9da5146707b51077e2d71a54ec0ceb"
-dependencies = [
- "crossbeam-epoch",
- "crossbeam-utils",
-]
-
-[[package]]
-name = "crossbeam-epoch"
-version = "0.9.20"
-source = "registry+https://github.com/rust-lang/crates.io-index"
-checksum = "2d6914041f254d6e9176c01941b21115dcfb7089e55135a35411081bd106ef3f"
-dependencies = [
- "crossbeam-utils",
-]
-
-[[package]]
-name = "crossbeam-utils"
-version = "0.8.22"
-source = "registry+https://github.com/rust-lang/crates.io-index"
-checksum = "61803da095bee82a81bb1a452ecc25d3b2f1416d1897eb86430c6159ef717c17"
-
 [[package]]
 name = "crunchy"
 version = "0.2.4"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "460fbee9c2c2f33933d720630a6a0bac33ba7053db5344fac858d4b8952d77d5"
 
-[[package]]
-name = "either"
-version = "1.17.0"
-source = "registry+https://github.com/rust-lang/crates.io-index"
-checksum = "9e5e8f6c15a24b9a3ee5efec809ccd006d3b30e8b3bb63c39af737c7f87daa1d"
-
 [[package]]
 name = "equivalent"
 version = "1.0.2"
@@ -148,7 +117,6 @@ version = "0.1.0"
 dependencies = [
  "chrono",
  "indexmap",
- "rayon",
  "rhai",
  "serde",
  "serde_json",
@@ -326,26 +294,6 @@ version = "5.3.0"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "69cdb34c158ceb288df11e18b4bd39de994f6657d83847bdffdbd7f346754b0f"
 
-[[package]]
-name = "rayon"
-version = "1.12.0"
-source = "registry+https://github.com/rust-lang/crates.io-index"
-checksum = "fb39b166781f92d482534ef4b4b1b2568f42613b53e5b6c160e24cfbfa30926d"
-dependencies = [
- "either",
- "rayon-core",
-]
-
-[[package]]
-name = "rayon-core"
-version = "1.13.0"
-source = "registry+https://github.com/rust-lang/crates.io-index"
-checksum = "22e18b0f0062d30d4230b2e85ff77fdfe4326feb054b9783a3460d8435c8ab91"
-dependencies = [
- "crossbeam-deque",
- "crossbeam-utils",
-]
-
 [[package]]
 name = "rhai"
 version = "1.23.6"

Cargo.toml

@@ -14,7 +14,6 @@ authors = ["OpenAI Codex"]
 chrono = { version = "=0.4.44", features = ["serde"] }
 indexmap = { version = "=2.11.4", features = ["serde"] }
 reqwest = { version = "=0.12.24", default-features = false, features = ["json", "rustls-tls"] }
-rayon = "=1.12.0"
 rhai = { version = "=1.23.6", features = ["sync"] }
 serde = { version = "=1.0.228", features = ["derive"] }
 serde_json = "=1.0.145"

README.md

@@ -14,7 +14,6 @@
 - Broker 支持目标权重、显式金额、目标股数、限价、VWAP/TWAP、挂单、撤单和订单查询。
 - 期货账户支持多空持仓、开平仓、今昨仓、保证金、手续费、结算和到期处理。
 - 报告输出支持权益曲线、成交、持仓、月度收益、风险指标、基准序列和 JSON 分析包。
-- 账户出入金以独立外部现金流记录保存；权益曲线同时输出 `externalCashFlow` 和现金流中性 `unitNav`，收益指标不把入金/出金计入交易收益。延迟出金在结算前做整批资金校验，不能把账户现金变成负数。
 - 内置 `OmniMicroCapStrategy`，覆盖动态市值带、均线过滤、止损止盈、固定频率再平衡和盘中执行近似。
 
 ## Workspace 布局
@@ -81,10 +80,6 @@
 
 任意数据库指标和自定义因子通过 `factor("field")`、`factor_value("field", lookback)`、`rolling_mean("field", n)`、`sma("close", n)` 等函数读取。未预计算的均线窗口可在回测中按已有历史数据实时计算。
 
-Source Lake 日线成交量保留原始可用性合同：源 `volume=null` 与真实 `volume=0` 含义不同。依赖成交量的 rolling 窗口只要包含源空值就返回缺失，不得把空值补成 0；停牌日明确提供的 0 成交量仍是合法观测。该合同随 runner 快照版本冻结，旧快照不能跨版本复用。
-
-`holdUntilExit=true` 与 `stopTakeReferencePriceMode=signal_day_post_adjusted_close` 组合表示持久模型组合语义：股票进入模型目标后即记录信号日和后复权参考价，不以买单是否成交为前提。涨停、停牌或其他执行风控导致买单未成交时，模型成员仍占用目标槽位、每天累计模型持有日并继续生成目标仓位；达到止盈、止损或最大模型持有期后才从模型组合移除。实际订单仍由成交日风控独立决定，不得用实际持仓集合覆盖模型目标集合。
-
 ## 内置微盘策略
 
 `OmniMicroCapStrategy` 是平台内置的微盘轮动策略，用于 demo、性能验证和策略迁移基线：

crates/fidc-core/Cargo.toml

@@ -8,7 +8,6 @@ authors.workspace = true
 [dependencies]
 chrono.workspace = true
 indexmap.workspace = true
-rayon.workspace = true
 rhai.workspace = true
 serde.workspace = true
 serde_json.workspace = true

crates/fidc-core/src/cost.rs

@@ -5,16 +5,17 @@ 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);
+
 #[derive(Debug, Clone, Copy)]
 pub struct TradingCost {
     pub commission: f64,
     pub stamp_tax: f64,
-    pub transfer_fee: f64,
 }
 
 impl TradingCost {
     pub fn total(self) -> f64 {
-        self.commission + self.stamp_tax + self.transfer_fee
+        self.commission + self.stamp_tax
     }
 }
 
@@ -40,16 +41,30 @@ pub struct ChinaAShareCostModel {
     pub stamp_tax_rate_after_change: f64,
     pub stamp_tax_change_date: NaiveDate,
     pub minimum_commission: f64,
-    pub transfer_fee_rate: f64,
 }
 
 impl Default for ChinaAShareCostModel {
     fn default() -> Self {
-        Self::from_trading_constraints(TradingConstraintConfig::default())
+        Self {
+            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_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,
@@ -57,7 +72,6 @@ impl ChinaAShareCostModel {
             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,
-            transfer_fee_rate: config.transfer_fee_rate,
         }
     }
 
@@ -83,13 +97,6 @@ impl ChinaAShareCostModel {
         gross_amount * self.stamp_tax_rate_for(date)
     }
 
-    pub fn transfer_fee_for(&self, gross_amount: f64) -> f64 {
-        if gross_amount <= 0.0 {
-            return 0.0;
-        }
-        gross_amount * self.transfer_fee_rate
-    }
-
     pub fn commission_for_order_fill(
         &self,
         gross_amount: f64,
@@ -128,24 +135,30 @@ 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 {
             return TradingCost {
                 commission: 0.0,
                 stamp_tax: 0.0,
-                transfer_fee: 0.0,
             };
         }
 
         let commission = self.commission_for(gross_amount);
         let stamp_tax = self.stamp_tax_for(date, side, gross_amount);
-        let transfer_fee = self.transfer_fee_for(gross_amount);
 
         TradingCost {
             commission,
             stamp_tax,
-            transfer_fee,
         }
     }
 
@@ -161,18 +174,15 @@ impl CostModel for ChinaAShareCostModel {
             return TradingCost {
                 commission: 0.0,
                 stamp_tax: 0.0,
-                transfer_fee: 0.0,
             };
         }
 
         let commission = self.commission_for_order_fill(gross_amount, order_id, commission_state);
         let stamp_tax = self.stamp_tax_for(date, side, gross_amount);
-        let transfer_fee = self.transfer_fee_for(gross_amount);
 
         TradingCost {
             commission,
             stamp_tax,
-            transfer_fee,
         }
     }
 }
@@ -182,8 +192,8 @@ mod tests {
     use super::*;
 
     #[test]
-    fn default_matches_configurable_trading_constraints() {
-        let model = ChinaAShareCostModel::default();
+    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);
@@ -197,7 +207,6 @@ mod tests {
         let config = TradingConstraintConfig {
             commission_rate: 0.0003,
             minimum_commission: 5.0,
-            transfer_fee_rate: 0.00001,
             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"),
@@ -205,8 +214,6 @@ mod tests {
         };
         let model = ChinaAShareCostModel::from_trading_constraints(config);
 
-        assert!((model.transfer_fee_for(10_000.0) - 0.1).abs() < 1e-12);
-
         assert!(
             (model.stamp_tax_for(
                 NaiveDate::from_ymd_opt(2025, 1, 9).expect("valid date"),

crates/fidc-core/src/engine.rs

@@ -78,13 +78,6 @@ pub struct DailyEquityPoint {
     pub cash: f64,
     pub market_value: f64,
     pub total_equity: f64,
-    /// External cash flow settled on this trading date (deposit positive,
-    /// withdrawal negative).  Trading cash movements are excluded.
-    #[serde(default)]
-    pub external_cash_flow: f64,
-    /// Cash-flow-neutral unit NAV after all activity on this date.
-    #[serde(default)]
-    pub unit_nav: f64,
     pub benchmark_close: f64,
     pub benchmark_prev_close: f64,
     pub notes: String,
@@ -203,7 +196,7 @@ impl BacktestResult {
                     quantity: fill.quantity,
                     price: fill.price,
                     gross_amount: fill.gross_amount,
-                    transaction_cost: fill.commission + fill.stamp_tax + fill.transfer_fee,
+                    transaction_cost: fill.commission + fill.stamp_tax,
                     net_cash_flow: fill.net_cash_flow,
                     reason: fill.reason.clone(),
                 })
@@ -237,34 +230,27 @@ impl BacktestResult {
 
     pub fn analyzer_monthly_returns(&self) -> Vec<AnalyzerMonthlyReturnRow> {
         let mut month_points = BTreeMap::<(i32, u32), (f64, f64, f64, f64)>::new();
-        let mut previous_equity = 1.0;
+        let mut previous_equity = self.metrics.initial_cash;
         let mut previous_benchmark = self
             .equity_curve
             .first()
             .map(|point| point.benchmark_prev_close)
             .unwrap_or_default();
         for point in &self.equity_curve {
-            let point_nav = if point.unit_nav.is_finite() && point.unit_nav > 0.0 {
-                point.unit_nav
-            } else if self.metrics.initial_cash.abs() > f64::EPSILON {
-                point.total_equity / self.metrics.initial_cash
-            } else {
-                1.0
-            };
             let key = (point.date.year(), point.date.month());
             month_points
                 .entry(key)
                 .and_modify(|(_, _, end_equity, end_benchmark)| {
-                    *end_equity = point_nav;
+                    *end_equity = point.total_equity;
                     *end_benchmark = point.benchmark_close;
                 })
                 .or_insert((
                     previous_equity,
                     previous_benchmark,
-                    point_nav,
+                    point.total_equity,
                     point.benchmark_close,
                 ));
-            previous_equity = point_nav;
+            previous_equity = point.total_equity;
             previous_benchmark = point.benchmark_close;
         }
         month_points
@@ -313,8 +299,6 @@ pub struct BacktestDayProgress {
     pub cash: f64,
     pub market_value: f64,
     pub total_equity: f64,
-    #[serde(default)]
-    pub external_cash_flow: f64,
     pub unit_nav: f64,
     pub total_return: f64,
     pub benchmark_close: f64,
@@ -1208,9 +1192,6 @@ where
         });
         report.order_events.push(OrderEvent {
             date,
-            decision_date: None,
-            order_created_date: None,
-            execution_date: None,
             order_id: Some(order_id),
             symbol: self
                 .futures_open_orders
@@ -1248,9 +1229,6 @@ where
         let mut report = FuturesExecutionReport::default();
         report.order_events.push(OrderEvent {
             date,
-            decision_date: None,
-            order_created_date: None,
-            execution_date: None,
             order_id: Some(order_id),
             symbol: intent.symbol.clone(),
             side,
@@ -1668,7 +1646,7 @@ where
         let mut portfolio = PortfolioState::new(self.config.initial_cash);
         let scheduler_calendar = self.data.calendar().clone();
         let scheduler = Scheduler::new(&scheduler_calendar);
-        let calendar_dates = self
+        let execution_dates = self
             .data
             .calendar()
             .iter()
@@ -1679,41 +1657,11 @@ where
                     .unwrap_or(true)
             })
             .filter(|date| self.config.end_date.map(|end| *date <= end).unwrap_or(true))
+            .filter(|date| {
+                !self.data.factor_snapshots_on(*date).is_empty()
+                    && !self.data.candidate_snapshots_on(*date).is_empty()
+            })
             .collect::<Vec<_>>();
-        let has_decision_inputs = |date: NaiveDate| {
-            !self.data.factor_snapshots_on(date).is_empty()
-                && !self.data.candidate_snapshots_on(date).is_empty()
-        };
-        let has_execution_market =
-            |date: NaiveDate| !self.data.market_snapshots_on(date).is_empty();
-        let mut execution_dates = Vec::new();
-        let mut decision_slots = Vec::new();
-        for (calendar_idx, execution_date) in calendar_dates.iter().copied().enumerate() {
-            if self.config.decision_lag_trading_days == 0 {
-                if has_decision_inputs(execution_date) {
-                    execution_dates.push(execution_date);
-                    decision_slots.push(Some((calendar_idx, execution_date)));
-                }
-                continue;
-            }
-            if !has_execution_market(execution_date) {
-                continue;
-            }
-            let decision_slot = calendar_idx
-                .checked_sub(self.config.decision_lag_trading_days)
-                .map(|decision_idx| (decision_idx, calendar_dates[decision_idx]));
-            match decision_slot {
-                Some((_, decision_date)) if has_decision_inputs(decision_date) => {
-                    execution_dates.push(execution_date);
-                    decision_slots.push(decision_slot);
-                }
-                None => {
-                    execution_dates.push(execution_date);
-                    decision_slots.push(None);
-                }
-                _ => {}
-            }
-        }
         let mut result = BacktestResult {
             strategy_name: self.strategy.name().to_string(),
             benchmark_series: self
@@ -1744,8 +1692,6 @@ where
             daily_holdings: Vec::new(),
             metrics: BacktestMetrics::default(),
         };
-        let mut stock_equity_by_date = BTreeMap::<NaiveDate, f64>::new();
-        let mut previous_external_cash_flow_total = portfolio.external_cash_flow_total();
 
         for (execution_idx, execution_date) in execution_dates.iter().copied().enumerate() {
             let mut corporate_action_notes = Vec::new();
@@ -1757,55 +1703,32 @@ where
                 execution_date,
                 &mut portfolio,
                 &mut corporate_action_notes,
-            )?;
-            self.extend_result(
-                &mut result,
-                pending_cash_flow_report,
-                execution_date,
-                execution_date,
             );
+            self.extend_result(&mut result, pending_cash_flow_report);
             let corporate_action_report = self.apply_corporate_actions(
                 execution_date,
                 &mut portfolio,
                 &mut corporate_action_notes,
             )?;
-            self.extend_result(
-                &mut result,
-                corporate_action_report,
-                execution_date,
-                execution_date,
-            );
+            self.extend_result(&mut result, corporate_action_report);
             let receivable_report = self.settle_cash_receivables(
                 execution_date,
                 &mut portfolio,
                 &mut corporate_action_notes,
             )?;
-            self.extend_result(
-                &mut result,
-                receivable_report,
+            self.extend_result(&mut result, receivable_report);
+            let delisting_report = self.settle_delisted_positions(
                 execution_date,
-                execution_date,
-            );
-            let delisting_report = self.audit_unresolved_delisted_positions(
-                execution_date,
-                &portfolio,
+                &mut portfolio,
                 &mut corporate_action_notes,
-            );
-            self.extend_result(
-                &mut result,
-                delisting_report,
-                execution_date,
-                execution_date,
-            );
+            )?;
+            self.extend_result(&mut result, delisting_report);
             let futures_open_order_report = self.process_futures_open_orders(execution_date);
-            self.extend_result(
-                &mut result,
-                futures_open_order_report,
-                execution_date,
-                execution_date,
-            );
+            self.extend_result(&mut result, futures_open_order_report);
 
-            let decision_slot = decision_slots.get(execution_idx).copied().flatten();
+            let decision_slot = execution_idx
+                .checked_sub(self.config.decision_lag_trading_days)
+                .map(|decision_idx| (decision_idx, execution_dates[decision_idx]));
             let Some((decision_index, decision_date)) = decision_slot else {
                 let mut process_events = Vec::new();
                 let mut report = BrokerExecutionReport::default();
@@ -1827,7 +1750,7 @@ where
                 let day_fills = report.fill_events.clone();
                 let broker_diagnostics = report.diagnostics.clone();
                 let execution_risk_decisions = risk_decisions_from_order_events(&day_orders);
-                self.extend_result(&mut result, report, execution_date, execution_date);
+                self.extend_result(&mut result, report);
                 result.risk_decisions.extend(execution_risk_decisions);
 
                 let benchmark =
@@ -1846,21 +1769,16 @@ where
                 .join(" | ");
                 let holdings_for_day = portfolio.holdings_summary(execution_date);
                 let day_process_events = process_events.clone();
+                let aggregate_initial_cash = self.aggregate_initial_cash();
                 let aggregate_cash = self.aggregate_cash(&portfolio);
                 let aggregate_market_value = self.aggregate_market_value(&portfolio);
                 let aggregate_total_equity = self.aggregate_total_equity(&portfolio);
-                let unit_nav = portfolio.unit_net_value();
-                let external_cash_flow =
-                    portfolio.external_cash_flow_total() - previous_external_cash_flow_total;
-                previous_external_cash_flow_total = portfolio.external_cash_flow_total();
 
                 result.equity_curve.push(DailyEquityPoint {
                     date: execution_date,
                     cash: aggregate_cash,
                     market_value: aggregate_market_value,
                     total_equity: aggregate_total_equity,
-                    external_cash_flow,
-                    unit_nav,
                     benchmark_close: benchmark.close,
                     benchmark_prev_close: benchmark.prev_close,
                     notes,
@@ -1876,9 +1794,16 @@ where
                     cash: latest.cash,
                     market_value: latest.market_value,
                     total_equity: latest.total_equity,
-                    external_cash_flow: latest.external_cash_flow,
-                    unit_nav: latest.unit_nav,
-                    total_return: latest.unit_nav - 1.0,
+                    unit_nav: if aggregate_initial_cash.abs() < f64::EPSILON {
+                        0.0
+                    } else {
+                        latest.total_equity / aggregate_initial_cash
+                    },
+                    total_return: if aggregate_initial_cash.abs() < f64::EPSILON {
+                        0.0
+                    } else {
+                        (latest.total_equity / aggregate_initial_cash) - 1.0
+                    },
                     benchmark_close: latest.benchmark_close,
                     daily_fill_count,
                     cumulative_trade_count: result.fills.len(),
@@ -1891,12 +1816,8 @@ where
                     process_events: day_process_events,
                 });
                 result.process_events.append(&mut process_events);
-                stock_equity_by_date.insert(execution_date, portfolio.total_equity());
                 continue;
             };
-            let decision_total_equity = (decision_date < execution_date)
-                .then(|| stock_equity_by_date.get(&decision_date).copied())
-                .flatten();
             let mut process_events = Vec::new();
             let mut directive_report = BrokerExecutionReport::default();
             let pre_open_orders = self.open_order_views();
@@ -2093,11 +2014,8 @@ where
                 None,
                 None,
             )?;
-            let mut report = self.broker.execute_with_event_dates_and_decision_equity(
+            let mut report = self.broker.execute(
                 execution_date,
-                decision_date,
-                decision_date,
-                decision_total_equity,
                 &mut portfolio,
                 &self.data,
                 &auction_decision,
@@ -2342,15 +2260,9 @@ where
                 None,
                 None,
             )?;
-            let mut intraday_report = self.broker.execute_with_event_dates_and_decision_equity(
-                execution_date,
-                decision_date,
-                decision_date,
-                decision_total_equity,
-                &mut portfolio,
-                &self.data,
-                &decision,
-            )?;
+            let mut intraday_report =
+                self.broker
+                    .execute(execution_date, &mut portfolio, &self.data, &decision)?;
             let post_intraday_open_orders = self.open_order_views();
             publish_process_events(
                 &mut self.strategy,
@@ -2514,19 +2426,14 @@ where
                         Some(minute_time),
                         Some(minute_time),
                     )?;
-                    let mut minute_report = self
-                        .broker
-                        .execute_between_with_event_dates_and_decision_equity(
-                            execution_date,
-                            decision_date,
-                            decision_date,
-                            decision_total_equity,
-                            &mut portfolio,
-                            &self.data,
-                            &minute_decision,
-                            Some(minute_time),
-                            Some(minute_time),
-                        )?;
+                    let mut minute_report = self.broker.execute_between(
+                        execution_date,
+                        &mut portfolio,
+                        &self.data,
+                        &minute_decision,
+                        Some(minute_time),
+                        Some(minute_time),
+                    )?;
                     let post_minute_open_orders = self.open_order_views();
                     publish_process_events(
                         &mut self.strategy,
@@ -2843,7 +2750,7 @@ where
             let day_fills = report.fill_events.clone();
             let broker_diagnostics = report.diagnostics.clone();
             let execution_risk_decisions = risk_decisions_from_order_events(&day_orders);
-            self.extend_result(&mut result, report, decision_date, execution_date);
+            self.extend_result(&mut result, report);
             result.risk_decisions.extend(decision.risk_decisions);
             result.risk_decisions.extend(execution_risk_decisions);
 
@@ -2866,21 +2773,16 @@ where
                 .join(" | ");
             let holdings_for_day = portfolio.holdings_summary(execution_date);
             let day_process_events = process_events.clone();
+            let aggregate_initial_cash = self.aggregate_initial_cash();
             let aggregate_cash = self.aggregate_cash(&portfolio);
             let aggregate_market_value = self.aggregate_market_value(&portfolio);
             let aggregate_total_equity = self.aggregate_total_equity(&portfolio);
-            let unit_nav = portfolio.unit_net_value();
-            let external_cash_flow =
-                portfolio.external_cash_flow_total() - previous_external_cash_flow_total;
-            previous_external_cash_flow_total = portfolio.external_cash_flow_total();
 
             result.equity_curve.push(DailyEquityPoint {
                 date: execution_date,
                 cash: aggregate_cash,
                 market_value: aggregate_market_value,
                 total_equity: aggregate_total_equity,
-                external_cash_flow,
-                unit_nav,
                 benchmark_close: benchmark.close,
                 benchmark_prev_close: benchmark.prev_close,
                 notes,
@@ -2896,9 +2798,16 @@ where
                 cash: latest.cash,
                 market_value: latest.market_value,
                 total_equity: latest.total_equity,
-                external_cash_flow: latest.external_cash_flow,
-                unit_nav: latest.unit_nav,
-                total_return: latest.unit_nav - 1.0,
+                unit_nav: if aggregate_initial_cash.abs() < f64::EPSILON {
+                    0.0
+                } else {
+                    latest.total_equity / aggregate_initial_cash
+                },
+                total_return: if aggregate_initial_cash.abs() < f64::EPSILON {
+                    0.0
+                } else {
+                    (latest.total_equity / aggregate_initial_cash) - 1.0
+                },
                 benchmark_close: latest.benchmark_close,
                 daily_fill_count,
                 cumulative_trade_count: result.fills.len(),
@@ -2911,7 +2820,6 @@ where
                 process_events: day_process_events,
             });
             result.process_events.extend(process_events);
-            stock_equity_by_date.insert(execution_date, portfolio.total_equity());
         }
 
         if let Some(last_date) = execution_dates.last().copied() {
@@ -2921,7 +2829,6 @@ where
             &result.equity_curve,
             &result.fills,
             &result.daily_holdings,
-            &result.account_events,
             self.aggregate_initial_cash(),
         );
 
@@ -2931,11 +2838,8 @@ where
     fn extend_result(
         &self,
         result: &mut BacktestResult,
-        mut report: BrokerExecutionReport,
-        decision_date: NaiveDate,
-        execution_date: NaiveDate,
+        report: BrokerExecutionReport,
     ) -> BrokerExecutionReport {
-        annotate_broker_report_dates(&mut report, decision_date, decision_date, execution_date);
         result.order_events.extend(report.order_events.clone());
         result.fills.extend(report.fill_events.clone());
         result
@@ -3159,9 +3063,6 @@ where
                         );
                         report.fill_events.push(FillEvent {
                             date,
-                            decision_date: None,
-                            order_created_date: None,
-                            execution_date: None,
                             order_id: None,
                             symbol: receivable.symbol.clone(),
                             side: OrderSide::Buy,
@@ -3170,7 +3071,6 @@ where
                             gross_amount: reinvest_cash,
                             commission: 0.0,
                             stamp_tax: 0.0,
-                            transfer_fee: 0.0,
                             net_cash_flow: -reinvest_cash,
                             reason: "dividend_reinvestment".to_string(),
                         });
@@ -3220,12 +3120,9 @@ where
         date: NaiveDate,
         portfolio: &mut PortfolioState,
         notes: &mut Vec<String>,
-    ) -> Result<BrokerExecutionReport, BacktestError> {
+    ) -> BrokerExecutionReport {
         let mut report = BrokerExecutionReport::default();
-        for flow in portfolio
-            .settle_pending_cash_flows(date)
-            .map_err(BacktestError::Execution)?
-        {
+        for flow in portfolio.settle_pending_cash_flows(date) {
             let cash_before = portfolio.cash() - flow.amount;
             let note = format!(
                 "deposit_withdraw_settled amount={:.2} payable_date={} reason={}",
@@ -3240,7 +3137,7 @@ where
                 note,
             });
         }
-        Ok(report)
+        report
     }
 
     fn settle_futures_expirations(&mut self, date: NaiveDate) -> BrokerExecutionReport {
@@ -3404,13 +3301,13 @@ where
         Ok(report)
     }
 
-    fn audit_unresolved_delisted_positions(
+    fn settle_delisted_positions(
         &self,
         date: NaiveDate,
-        portfolio: &PortfolioState,
+        portfolio: &mut PortfolioState,
         notes: &mut Vec<String>,
-    ) -> BrokerExecutionReport {
-        let report = BrokerExecutionReport::default();
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        let mut report = BrokerExecutionReport::default();
         let symbols = portfolio.positions().keys().cloned().collect::<Vec<_>>();
         for symbol in symbols {
             let Some(position) = portfolio.position(&symbol) else {
@@ -3422,29 +3319,92 @@ where
             let Some(instrument) = self.data.instrument(&symbol) else {
                 continue;
             };
-            let is_unresolved = instrument.is_delisted_on_or_before(date)
+            let should_settle = instrument.is_delisted_on_or_before(date)
                 || (instrument.status.eq_ignore_ascii_case("delisted")
                     && instrument.delisted_at.is_none()
                     && self.data.market(date, &symbol).is_none());
-            if !is_unresolved {
+            if !should_settle {
                 continue;
             }
+
+            let quantity = position.quantity;
+            let settlement_price = if position.last_price.is_finite() && position.last_price > 0.0 {
+                position.last_price
+            } else if position.average_cost.is_finite() && position.average_cost > 0.0 {
+                position.average_cost
+            } else {
+                0.0
+            };
             let effective_delisted_at = instrument
                 .delisted_at
                 .or_else(|| self.data.calendar().previous_day(date))
                 .unwrap_or(date);
-            let reason = format!(
-                concat!(
-                    "unresolved_delisted_position symbol={} quantity={} effective_date={} status={} ",
-                    "settlement_action=missing valuation_policy=zero no_order=true"
-                ),
-                symbol, position.quantity, effective_delisted_at, instrument.status
-            );
-            if instrument.delisted_at == Some(date) || instrument.delisted_at.is_none() {
-                notes.push(reason.clone());
+            if !settlement_price.is_finite() || settlement_price <= 0.0 {
+                return Err(BacktestError::Execution(format!(
+                    "missing delisting settlement price for {} on {}",
+                    symbol, date
+                )));
             }
+
+            let cash_before = portfolio.cash();
+            let gross_amount = settlement_price * quantity as f64;
+            let realized_pnl_delta = {
+                let position = portfolio
+                    .position_mut_if_exists(&symbol)
+                    .expect("position exists for delisting settlement");
+                position
+                    .sell(quantity, settlement_price)
+                    .map_err(BacktestError::Execution)?
+            };
+            portfolio.apply_cash_delta(gross_amount);
+            portfolio.prune_flat_positions();
+
+            let reason = format!(
+                "delisted_cash_settlement effective_date={} status={}",
+                effective_delisted_at, instrument.status
+            );
+            notes.push(reason.clone());
+            report.order_events.push(OrderEvent {
+                date,
+                order_id: None,
+                symbol: symbol.clone(),
+                side: OrderSide::Sell,
+                requested_quantity: quantity,
+                filled_quantity: quantity,
+                status: OrderStatus::Filled,
+                reason: reason.clone(),
+            });
+            report.fill_events.push(FillEvent {
+                date,
+                order_id: None,
+                symbol: symbol.clone(),
+                side: OrderSide::Sell,
+                quantity,
+                price: settlement_price,
+                gross_amount,
+                commission: 0.0,
+                stamp_tax: 0.0,
+                net_cash_flow: gross_amount,
+                reason: reason.clone(),
+            });
+            report.position_events.push(PositionEvent {
+                date,
+                symbol: symbol.clone(),
+                delta_quantity: -(quantity as i32),
+                quantity_after: 0,
+                average_cost: 0.0,
+                realized_pnl_delta,
+                reason: reason.clone(),
+            });
+            report.account_events.push(AccountEvent {
+                date,
+                cash_before,
+                cash_after: portfolio.cash(),
+                total_equity: portfolio.total_equity(),
+                note: reason,
+            });
         }
-        report
+        Ok(report)
     }
 }
 
@@ -3867,24 +3827,6 @@ fn merge_futures_report(target: &mut BrokerExecutionReport, incoming: FuturesExe
     target.diagnostics.extend(incoming.diagnostics);
 }
 
-fn annotate_broker_report_dates(
-    report: &mut BrokerExecutionReport,
-    decision_date: NaiveDate,
-    order_created_date: NaiveDate,
-    execution_date: NaiveDate,
-) {
-    for event in &mut report.order_events {
-        event.decision_date.get_or_insert(decision_date);
-        event.order_created_date.get_or_insert(order_created_date);
-        event.execution_date.get_or_insert(execution_date);
-    }
-    for fill in &mut report.fill_events {
-        fill.decision_date.get_or_insert(decision_date);
-        fill.order_created_date.get_or_insert(order_created_date);
-        fill.execution_date.get_or_insert(execution_date);
-    }
-}
-
 fn risk_decisions_from_order_events(order_events: &[OrderEvent]) -> Vec<FidcRiskDecisionAudit> {
     order_events
         .iter()
@@ -4079,9 +4021,6 @@ fn futures_cancel_report(
     });
     report.order_events.push(OrderEvent {
         date,
-        decision_date: None,
-        order_created_date: None,
-        execution_date: None,
         order_id: Some(order.order_id),
         symbol: order.intent.symbol.clone(),
         side,
@@ -4211,115 +4150,6 @@ mod tests {
         }
     }
 
-    #[derive(Debug)]
-    struct ScheduledBuyOnDecisionDateStrategy {
-        rule: ScheduleRule,
-        decision_date: NaiveDate,
-    }
-
-    impl Strategy for ScheduledBuyOnDecisionDateStrategy {
-        fn name(&self) -> &str {
-            "scheduled_buy_on_decision_date"
-        }
-
-        fn schedule_rules(&self) -> Vec<ScheduleRule> {
-            vec![self.rule.clone()]
-        }
-
-        fn on_scheduled(
-            &mut self,
-            ctx: &StrategyContext<'_>,
-            rule: &ScheduleRule,
-        ) -> Result<StrategyDecision, super::BacktestError> {
-            assert_eq!(rule.name, self.rule.name);
-            if ctx.decision_date != self.decision_date {
-                return Ok(StrategyDecision::default());
-            }
-            Ok(StrategyDecision {
-                order_intents: vec![OrderIntent::Shares {
-                    symbol: SYMBOL.to_string(),
-                    quantity: 100,
-                    reason: "scheduled_decision_date_buy".to_string(),
-                }],
-                ..StrategyDecision::default()
-            })
-        }
-    }
-
-    #[derive(Debug)]
-    struct ScheduledTargetPortfolioSmartStrategy {
-        rule: ScheduleRule,
-        decision_date: NaiveDate,
-        target_weights: BTreeMap<String, f64>,
-    }
-
-    impl Strategy for ScheduledTargetPortfolioSmartStrategy {
-        fn name(&self) -> &str {
-            "scheduled_target_portfolio_smart"
-        }
-
-        fn schedule_rules(&self) -> Vec<ScheduleRule> {
-            vec![self.rule.clone()]
-        }
-
-        fn on_scheduled(
-            &mut self,
-            ctx: &StrategyContext<'_>,
-            rule: &ScheduleRule,
-        ) -> Result<StrategyDecision, super::BacktestError> {
-            assert_eq!(rule.name, self.rule.name);
-            if ctx.decision_date != self.decision_date {
-                return Ok(StrategyDecision::default());
-            }
-            Ok(StrategyDecision {
-                order_intents: vec![OrderIntent::TargetPortfolioSmart {
-                    target_weights: self.target_weights.clone(),
-                    order_prices: None,
-                    valuation_prices: None,
-                    reason: "scheduled_target_portfolio_smart".to_string(),
-                }],
-                ..StrategyDecision::default()
-            })
-        }
-    }
-
-    #[derive(Debug)]
-    struct ScheduledTargetPercentStrategy {
-        first_decision_date: NaiveDate,
-        second_decision_date: NaiveDate,
-    }
-
-    impl Strategy for ScheduledTargetPercentStrategy {
-        fn name(&self) -> &str {
-            "scheduled_target_percent"
-        }
-
-        fn on_day(
-            &mut self,
-            ctx: &StrategyContext<'_>,
-        ) -> Result<StrategyDecision, super::BacktestError> {
-            let order_intents = if ctx.decision_date == self.first_decision_date {
-                vec![OrderIntent::Shares {
-                    symbol: SYMBOL.to_string(),
-                    quantity: 1_000,
-                    reason: "initial_position".to_string(),
-                }]
-            } else if ctx.decision_date == self.second_decision_date {
-                vec![OrderIntent::TargetPercent {
-                    symbol: SYMBOL.to_string(),
-                    target_percent: 0.5,
-                    reason: "frozen_target_percent".to_string(),
-                }]
-            } else {
-                Vec::new()
-            };
-            Ok(StrategyDecision {
-                order_intents,
-                ..StrategyDecision::default()
-            })
-        }
-    }
-
     #[derive(Debug)]
     struct ScheduledEligibleUniverseBuyStrategy {
         rule: ScheduleRule,
@@ -4949,146 +4779,9 @@ mod tests {
 
         assert_eq!(result.fills.len(), 1);
         assert_eq!(result.fills[0].date, d(2025, 1, 3));
-        assert_eq!(result.fills[0].decision_date, Some(d(2025, 1, 2)));
-        assert_eq!(result.fills[0].order_created_date, Some(d(2025, 1, 2)));
-        assert_eq!(result.fills[0].execution_date, Some(d(2025, 1, 3)));
         assert_eq!(result.fills[0].price, 12.0);
     }
 
-    #[test]
-    fn next_bar_open_target_portfolio_smart_sizes_with_execution_day_open() {
-        let first = d(2025, 1, 2);
-        let second = d(2025, 1, 3);
-        let dataset = DataSet::from_components(
-            vec![default_instrument()],
-            vec![market(first, 10.0, 10.0), market(second, 12.0, 12.0)],
-            vec![factor(first), factor(second)],
-            vec![candidate(first), candidate(second)],
-            vec![benchmark(first), benchmark(second)],
-        )
-        .expect("dataset");
-        let broker = scheduled_next_open_broker(FidcRiskControlConfig::default());
-        let config = BacktestConfig {
-            initial_cash: 100_000.0,
-            benchmark_code: "000852.SH".to_string(),
-            start_date: Some(first),
-            end_date: Some(second),
-            decision_lag_trading_days: 1,
-            execution_price_field: PriceField::Open,
-        };
-        let mut target_weights = BTreeMap::new();
-        target_weights.insert(SYMBOL.to_string(), 1.0);
-
-        let result = BacktestEngine::new(
-            dataset,
-            ScheduledTargetPortfolioSmartStrategy {
-                rule: ScheduleRule::daily("daily_target_portfolio", ScheduleStage::OnDay),
-                decision_date: first,
-                target_weights,
-            },
-            broker,
-            config,
-        )
-        .run()
-        .expect("backtest run");
-
-        assert_eq!(result.fills.len(), 1);
-        assert_eq!(result.fills[0].date, second);
-        assert_eq!(result.fills[0].decision_date, Some(first));
-        assert_eq!(result.fills[0].execution_date, Some(second));
-        assert_eq!(result.fills[0].price, 12.0);
-        assert_eq!(result.fills[0].quantity, 8_300);
-    }
-
-    #[test]
-    fn next_bar_open_target_percent_freezes_decision_day_equity() {
-        let first = d(2025, 1, 2);
-        let second = d(2025, 1, 3);
-        let third = d(2025, 1, 6);
-        let dataset = dataset_from_market_and_candidates(
-            vec![
-                market(first, 10.0, 10.0),
-                market(second, 10.0, 10.0),
-                market(third, 20.0, 20.0),
-            ],
-            vec![candidate(first), candidate(second), candidate(third)],
-        );
-        let config = BacktestConfig {
-            initial_cash: 100_000.0,
-            benchmark_code: "000852.SH".to_string(),
-            start_date: Some(first),
-            end_date: Some(third),
-            decision_lag_trading_days: 1,
-            execution_price_field: PriceField::Open,
-        };
-
-        let result = BacktestEngine::new(
-            dataset,
-            ScheduledTargetPercentStrategy {
-                first_decision_date: first,
-                second_decision_date: second,
-            },
-            scheduled_next_open_broker(FidcRiskControlConfig::default()),
-            config,
-        )
-        .run()
-        .expect("backtest run");
-
-        assert_eq!(result.fills.len(), 2, "fills={:?}", result.fills);
-        assert_eq!(result.fills[0].date, second);
-        assert_eq!(result.fills[0].quantity, 1_000);
-        assert_eq!(result.fills[1].date, third);
-        assert_eq!(result.fills[1].price, 20.0);
-        assert_eq!(result.fills[1].quantity, 1_400);
-        assert_eq!(result.fills[1].decision_date, Some(second));
-    }
-
-    #[test]
-    fn next_bar_open_executes_last_decision_without_execution_day_factor_snapshot() {
-        let first = d(2025, 1, 2);
-        let second = d(2025, 1, 3);
-        let third = d(2025, 1, 6);
-        let dataset = DataSet::from_components(
-            vec![default_instrument()],
-            vec![
-                market(first, 10.0, 11.5),
-                market(second, 12.0, 13.0),
-                market(third, 14.0, 15.0),
-            ],
-            vec![factor(first), factor(second)],
-            vec![candidate(first), candidate(second), candidate(third)],
-            vec![benchmark(first), benchmark(second), benchmark(third)],
-        )
-        .expect("dataset");
-        let broker = scheduled_next_open_broker(FidcRiskControlConfig::default());
-        let config = BacktestConfig {
-            initial_cash: 100_000.0,
-            benchmark_code: "000852.SH".to_string(),
-            start_date: Some(first),
-            end_date: Some(third),
-            decision_lag_trading_days: 1,
-            execution_price_field: PriceField::Open,
-        };
-
-        let result = BacktestEngine::new(
-            dataset,
-            ScheduledBuyOnDecisionDateStrategy {
-                rule: ScheduleRule::daily("daily_signal", ScheduleStage::OnDay),
-                decision_date: second,
-            },
-            broker,
-            config,
-        )
-        .run()
-        .expect("backtest run");
-
-        assert_eq!(result.fills.len(), 1);
-        assert_eq!(result.fills[0].date, third);
-        assert_eq!(result.fills[0].decision_date, Some(second));
-        assert_eq!(result.fills[0].execution_date, Some(third));
-        assert_eq!(result.fills[0].price, 14.0);
-    }
-
     #[test]
     fn next_bar_open_strategy_context_data_helpers_use_decision_date() {
         let first = d(2025, 1, 2);
@@ -5124,22 +4817,9 @@ mod tests {
                 .map(|snapshot| snapshot.close),
             Some(11.5)
         );
-        assert_eq!(
-            dataset
-                .eligible_universe_on(first)
-                .iter()
-                .map(|row| row.symbol.clone())
-                .collect::<Vec<_>>(),
-            vec![SYMBOL.to_string()],
-            "raw DataSet helper should not apply default selection risk"
-        );
-        let mut selection_risk_config = FidcRiskControlConfig::default();
-        selection_risk_config.static_rules.reject_paused_selection = true;
         assert!(
-            dataset
-                .eligible_universe_on_with_risk_config(first, &selection_risk_config)
-                .is_empty(),
-            "explicit raw DataSet selection risk can still filter the universe"
+            dataset.eligible_universe_on(first).is_empty(),
+            "raw DataSet helper remains a risk-filtered universe"
         );
         assert_eq!(
             manual_ctx
@@ -5152,7 +4832,7 @@ mod tests {
         );
         assert_eq!(
             manual_ctx
-                .eligible_universe_on_with_risk_config(first, &selection_risk_config)
+                .eligible_universe_on_with_risk_config(first, &FidcRiskControlConfig::default())
                 .into_iter()
                 .map(|row| row.symbol)
                 .collect::<Vec<_>>(),
@@ -5345,30 +5025,6 @@ mod tests {
         );
     }
 
-    #[test]
-    fn next_bar_open_execution_risk_uses_open_not_close_for_upper_limit_buy() {
-        let first = d(2025, 1, 2);
-        let second = d(2025, 1, 3);
-        let result = run_scheduled_next_open_with_dataset(dataset_with(
-            market(first, 10.0, 11.5),
-            market_with_state(second, 11.8, 12.0, false, 12.0, 1.0),
-            candidate(first),
-            candidate(second),
-        ));
-
-        assert_eq!(result.fills.len(), 1);
-        assert_eq!(result.fills[0].date, second);
-        assert_eq!(result.fills[0].price, 11.8);
-        assert!(
-            result
-                .order_events
-                .iter()
-                .all(|event| !event.reason.contains("upper limit")),
-            "{:?}",
-            result.order_events
-        );
-    }
-
     #[test]
     fn next_bar_open_execution_risk_rejects_execution_day_st_state() {
         let first = d(2025, 1, 2);
@@ -5503,47 +5159,6 @@ mod tests {
         assert_round_trip_sell_canceled_with_reason(&result, "open at or below lower limit");
     }
 
-    #[test]
-    fn next_bar_open_sell_risk_uses_open_not_close_for_lower_limit_sell() {
-        let first = d(2025, 1, 2);
-        let second = d(2025, 1, 3);
-        let third = d(2025, 1, 6);
-        let fourth = d(2025, 1, 7);
-        let result = run_scheduled_round_trip_next_open_with_dataset_and_broker(
-            dataset_from_market_and_candidates(
-                vec![
-                    market(first, 10.0, 10.5),
-                    market(second, 11.0, 11.5),
-                    market(third, 12.0, 12.5),
-                    market_with_state(fourth, 9.2, 9.0, false, 20.0, 9.0),
-                ],
-                vec![
-                    candidate(first),
-                    candidate(second),
-                    candidate(third),
-                    candidate(fourth),
-                ],
-            ),
-            scheduled_next_open_broker(FidcRiskControlConfig::default()),
-        );
-
-        let sell_fill = result
-            .fills
-            .iter()
-            .find(|fill| fill.side == OrderSide::Sell)
-            .expect("sell should execute when next-open is above lower limit");
-        assert_eq!(sell_fill.date, fourth);
-        assert_eq!(sell_fill.price, 9.2);
-        assert!(
-            result
-                .order_events
-                .iter()
-                .all(|event| !event.reason.contains("lower limit")),
-            "{:?}",
-            result.order_events
-        );
-    }
-
     #[test]
     fn next_bar_open_sell_respects_allow_sell_policy_on_execution_day() {
         let first = d(2025, 1, 2);

crates/fidc-core/src/events.rs

@@ -23,33 +23,6 @@ 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,
@@ -90,12 +63,6 @@ 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,
@@ -110,12 +77,6 @@ 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,
@@ -125,7 +86,6 @@ pub struct FillEvent {
     pub gross_amount: f64,
     pub commission: f64,
     pub stamp_tax: f64,
-    pub transfer_fee: f64,
     pub net_cash_flow: f64,
     pub reason: String,
 }

crates/fidc-core/src/futures.rs

@@ -746,9 +746,6 @@ impl FuturesAccountState {
             );
             report.order_events.push(OrderEvent {
                 date,
-                decision_date: None,
-                order_created_date: None,
-                execution_date: None,
                 order_id,
                 symbol: intent.symbol,
                 side,
@@ -826,9 +823,6 @@ 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,
@@ -837,7 +831,6 @@ impl FuturesAccountState {
                     gross_amount: notional,
                     commission: intent.transaction_cost.max(0.0),
                     stamp_tax: 0.0,
-                    transfer_fee: 0.0,
                     net_cash_flow: cash_delta,
                     reason: format!(
                         "{} direction={} effect={}",
@@ -896,9 +889,6 @@ impl FuturesAccountState {
                 });
                 report.order_events.push(OrderEvent {
                     date,
-                    decision_date: None,
-                    order_created_date: None,
-                    execution_date: None,
                     order_id,
                     symbol: intent.symbol,
                     side,
@@ -925,9 +915,6 @@ 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/lib.rs

@@ -20,8 +20,7 @@ pub mod strategy_ai;
 pub mod universe;
 
 pub use broker::{
-    BrokerExecutionReport, BrokerSimulator, DynamicSlippageConfig, MatchingType, RebalanceCashMode,
-    SlippageModel,
+    BrokerExecutionReport, BrokerSimulator, DynamicSlippageConfig, MatchingType, SlippageModel,
 };
 pub use calendar::TradingCalendar;
 pub use cost::{ChinaAShareCostModel, CostModel, TradingCost};
@@ -52,9 +51,8 @@ pub use metrics::{BacktestMetrics, compute_backtest_metrics};
 pub use platform_expr_strategy::{
     PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
     PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
-    PlatformPortfolioDrawdownControlConfig, PlatformRebalanceSchedule, PlatformScheduleFrequency,
-    PlatformSelectionQuotePlan, PlatformStopTakeReferencePriceMode, PlatformTradeAction,
-    PlatformUniverseActionKind,
+    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformSelectionQuotePlan,
+    PlatformTradeAction, PlatformUniverseActionKind,
 };
 pub use platform_runtime_schema::{
     PLATFORM_RUNTIME_SCHEMA_VERSION, PlatformRuntimeSchema, reserved_scope_names,
@@ -67,9 +65,8 @@ pub use platform_strategy_spec::{
     StrategyExpressionActionConfig, StrategyExpressionAllocationConfig,
     StrategyExpressionOrderingConfig, StrategyExpressionRiskConfig,
     StrategyExpressionScheduleConfig, StrategyExpressionSelectionConfig,
-    StrategyExpressionTradingConfig, StrategyPortfolioDrawdownControlConfig,
-    StrategyRuntimeEnvironment, StrategyRuntimeExpressions, StrategyRuntimeSpec,
-    platform_expr_config_from_spec, platform_expr_config_from_value,
+    StrategyExpressionTradingConfig, StrategyRuntimeEnvironment, StrategyRuntimeExpressions,
+    StrategyRuntimeSpec, platform_expr_config_from_spec, platform_expr_config_from_value,
 };
 pub use portfolio::{CashReceivable, HoldingSummary, PendingCashFlow, PortfolioState, Position};
 pub use risk_control::{
@@ -87,10 +84,9 @@ pub use strategy::{
 };
 pub use strategy_ai::{
     ManualExample, ManualFactorSource, ManualField, ManualFieldGroup, ManualFunction,
-    ManualSection, StrategyAiCatalog, StrategyAiGenerateRequest, StrategyAiHoldingCountContract,
-    StrategyAiManual, StrategyAiOptimizeRequest, build_generation_prompt,
-    build_optimization_prompt, built_in_strategy_manual, merge_catalog_into_manual,
-    render_manual_markdown,
+    ManualSection, StrategyAiCatalog, StrategyAiGenerateRequest, StrategyAiManual,
+    StrategyAiOptimizeRequest, build_generation_prompt, 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/metrics.rs

@@ -4,7 +4,7 @@ use chrono::{Datelike, NaiveDate};
 use serde::{Deserialize, Serialize};
 
 use crate::engine::DailyEquityPoint;
-use crate::events::{AccountEvent, FillEvent};
+use crate::events::FillEvent;
 use crate::portfolio::HoldingSummary;
 
 const TRADING_DAYS_PER_YEAR: f64 = 252.0;
@@ -47,11 +47,6 @@ pub struct BacktestMetrics {
     pub cash_balance: f64,
     pub unit_nav: f64,
     pub initial_cash: f64,
-    /// Sum of external deposits (positive) and withdrawals (negative).  This
-    /// is reported separately so callers cannot mistake a cash transfer for
-    /// trading performance.
-    #[serde(default)]
-    pub external_cash_flow_total: f64,
     pub excess_win_rate: f64,
     pub monthly_sharpe: f64,
     pub monthly_volatility: f64,
@@ -61,7 +56,6 @@ pub fn compute_backtest_metrics(
     equity_curve: &[DailyEquityPoint],
     fills: &[FillEvent],
     daily_holdings: &[HoldingSummary],
-    account_events: &[AccountEvent],
     initial_cash: f64,
 ) -> BacktestMetrics {
     let Some(first_point) = equity_curve.first() else {
@@ -87,28 +81,12 @@ pub fn compute_backtest_metrics(
     } else {
         first_point.benchmark_close
     };
-    let explicit_unit_nav = equity_curve.iter().any(|point| {
-        point.external_cash_flow.abs() > f64::EPSILON
-            || (point.unit_nav.is_finite()
-                && point.unit_nav > 0.0
-                && (point.unit_nav - safe_div(point.total_equity, initial_cash, 1.0)).abs() > 1e-12)
-    });
-    let portfolio_nav = if explicit_unit_nav {
-        equity_curve
-            .iter()
-            .map(|point| point_nav(point, initial_cash))
-            .collect::<Vec<_>>()
-    } else {
-        flow_neutral_nav_series(equity_curve, account_events, initial_cash)
-    };
-    let mut returns = Vec::with_capacity(portfolio_nav.len());
-    if let Some(first_nav) = portfolio_nav.first().copied() {
-        returns.push(pct_change(1.0, first_nav));
-    }
+    let mut returns = Vec::with_capacity(equity_curve.len());
+    returns.push(pct_change(initial_cash, first_point.total_equity));
     returns.extend(
-        portfolio_nav
+        equity_curve
             .windows(2)
-            .map(|window| pct_change(window[0], window[1])),
+            .map(|window| pct_change(window[0].total_equity, window[1].total_equity)),
     );
     let mut benchmark_returns = Vec::with_capacity(equity_curve.len());
     benchmark_returns.push(pct_change(benchmark_start, first_point.benchmark_close));
@@ -129,12 +107,15 @@ pub fn compute_backtest_metrics(
         last_point.benchmark_close / benchmark_start
     };
     let benchmark_cumulative_return = benchmark_net_value - 1.0;
-    let final_nav = portfolio_nav.last().copied().unwrap_or(1.0);
-    let total_return = final_nav - 1.0;
+    let total_return = if initial_cash.abs() < f64::EPSILON {
+        0.0
+    } else {
+        (last_point.total_equity / initial_cash) - 1.0
+    };
     let excess_cumulative_return = if benchmark_net_value.abs() < f64::EPSILON {
         total_return
     } else {
-        portfolio_nav.last().copied().unwrap_or(0.0) / benchmark_net_value - 1.0
+        (last_point.total_equity / initial_cash) / benchmark_net_value - 1.0
     };
     let excess_return = total_return - benchmark_cumulative_return;
     let annual_return = annualize_return(total_return, trade_days);
@@ -151,7 +132,10 @@ pub fn compute_backtest_metrics(
     let excess_sharpe = annualized_sharpe(&excess_returns, 0.0, TRADING_DAYS_PER_YEAR);
     let (alpha, beta) = alpha_beta(&returns, &benchmark_returns, daily_rf);
 
-    let equity_nav = portfolio_nav;
+    let equity_nav = equity_curve
+        .iter()
+        .map(|point| safe_div(point.total_equity, initial_cash, 1.0))
+        .collect::<Vec<_>>();
     let benchmark_nav_series = equity_curve
         .iter()
         .map(|point| safe_div(point.benchmark_close, benchmark_start, 1.0))
@@ -170,7 +154,8 @@ pub fn compute_backtest_metrics(
     let win_rate = ratio(winning_days, returns.len());
     let excess_win_rate = ratio(excess_winning_days, excess_returns.len());
 
-    let monthly_portfolio_returns = group_monthly_returns_from_values(equity_curve, &equity_nav);
+    let monthly_portfolio_returns =
+        group_monthly_returns(equity_curve, initial_cash, |point| point.total_equity);
     let monthly_benchmark_returns =
         group_monthly_returns(equity_curve, benchmark_start, |point| point.benchmark_close);
     let monthly_excess_returns = monthly_portfolio_returns
@@ -272,30 +257,14 @@ pub fn compute_backtest_metrics(
         average_daily_turnover,
         total_assets: last_point.total_equity,
         cash_balance: last_point.cash,
-        unit_nav: final_nav,
+        unit_nav: safe_div(last_point.total_equity, initial_cash, 0.0),
         initial_cash,
-        external_cash_flow_total: if explicit_unit_nav {
-            equity_curve
-                .iter()
-                .map(|point| point.external_cash_flow)
-                .sum()
-        } else {
-            external_flow_total_from_events(account_events)
-        },
         excess_win_rate,
         monthly_sharpe,
         monthly_volatility,
     }
 }
 
-fn point_nav(point: &DailyEquityPoint, initial_cash: f64) -> f64 {
-    if point.unit_nav.is_finite() && point.unit_nav > 0.0 {
-        point.unit_nav
-    } else {
-        safe_div(point.total_equity, initial_cash, 1.0)
-    }
-}
-
 fn pct_change(previous: f64, current: f64) -> f64 {
     if previous.abs() < f64::EPSILON {
         0.0
@@ -415,80 +384,6 @@ fn drawdown_stats(nav: &[f64]) -> (f64, usize) {
     (max_drawdown, max_duration)
 }
 
-fn flow_neutral_nav_series(
-    equity_curve: &[DailyEquityPoint],
-    account_events: &[AccountEvent],
-    initial_cash: f64,
-) -> Vec<f64> {
-    let mut external_flow_by_date = BTreeMap::<NaiveDate, f64>::new();
-    for event in account_events {
-        if !(event.note.starts_with("deposit_withdraw amount=")
-            || event.note.starts_with("deposit_withdraw_settled amount="))
-        {
-            continue;
-        }
-        *external_flow_by_date.entry(event.date).or_default() +=
-            event.cash_after - event.cash_before;
-    }
-
-    let mut units = initial_cash;
-    let mut previous_equity = initial_cash;
-    let mut navs = Vec::with_capacity(equity_curve.len());
-    for point in equity_curve {
-        let unit_nav_before_flow = safe_div(previous_equity, units, 1.0);
-        let external_flow = external_flow_by_date
-            .get(&point.date)
-            .copied()
-            .unwrap_or_default();
-        if external_flow.abs() > f64::EPSILON && unit_nav_before_flow.is_finite() {
-            units += external_flow / unit_nav_before_flow;
-        }
-        let unit_nav = safe_div(point.total_equity, units, 0.0);
-        navs.push(unit_nav);
-        previous_equity = point.total_equity;
-    }
-    navs
-}
-
-fn external_flow_total_from_events(account_events: &[AccountEvent]) -> f64 {
-    account_events
-        .iter()
-        .filter(|event| {
-            event.note.starts_with("deposit_withdraw amount=")
-                || event.note.starts_with("deposit_withdraw_settled amount=")
-        })
-        .map(|event| event.cash_after - event.cash_before)
-        .sum()
-}
-
-fn group_monthly_returns_from_values(
-    equity_curve: &[DailyEquityPoint],
-    values: &[f64],
-) -> Vec<f64> {
-    let mut month_last = BTreeMap::<(i32, u32), f64>::new();
-    let mut month_first = BTreeMap::<(i32, u32), f64>::new();
-    let mut previous_value = 1.0;
-    for (point, value) in equity_curve.iter().zip(values.iter().copied()) {
-        let key = (point.date.year(), point.date.month());
-        month_first.entry(key).or_insert(previous_value);
-        month_last.insert(key, value);
-        previous_value = value;
-    }
-    let mut keys = month_last.keys().copied().collect::<Vec<_>>();
-    keys.sort_unstable();
-    keys.into_iter()
-        .filter_map(|key| {
-            let first = month_first.get(&key).copied().unwrap_or_default();
-            let last = month_last.get(&key).copied().unwrap_or_default();
-            if first.abs() < f64::EPSILON {
-                None
-            } else {
-                Some((last / first) - 1.0)
-            }
-        })
-        .collect()
-}
-
 fn group_monthly_returns<F>(
     equity_curve: &[DailyEquityPoint],
     initial_value: f64,
@@ -591,8 +486,6 @@ mod tests {
             cash: total_equity,
             market_value: 0.0,
             total_equity,
-            external_cash_flow: 0.0,
-            unit_nav: total_equity / 100.0,
             benchmark_close,
             benchmark_prev_close,
             notes: String::new(),
@@ -606,38 +499,8 @@ mod tests {
             equity_point("2025-01-02", 100.0, 5797.089, 5957.717),
             equity_point("2025-12-31", 120.0, 7595.285, 7597.299),
         ];
-        let metrics = compute_backtest_metrics(&curve, &[], &[], &[], 100.0);
+        let metrics = compute_backtest_metrics(&curve, &[], &[], 100.0);
         let expected = 7595.285 / 5957.717 - 1.0;
         assert!((metrics.benchmark_cumulative_return - expected).abs() < 1e-12);
     }
-
-    #[test]
-    fn external_cash_flow_is_excluded_from_return_and_reported_separately() {
-        let curve = vec![
-            equity_point("2025-01-02", 100.0, 100.0, 100.0),
-            DailyEquityPoint {
-                date: NaiveDate::from_ymd_opt(2025, 1, 3).unwrap(),
-                cash: 220.0,
-                market_value: 0.0,
-                total_equity: 220.0,
-                external_cash_flow: 100.0,
-                unit_nav: 1.1,
-                benchmark_close: 100.0,
-                benchmark_prev_close: 100.0,
-                notes: String::new(),
-                diagnostics: String::new(),
-            },
-        ];
-        let events = vec![AccountEvent {
-            date: NaiveDate::from_ymd_opt(2025, 1, 3).unwrap(),
-            cash_before: 100.0,
-            cash_after: 200.0,
-            total_equity: 200.0,
-            note: "deposit_withdraw amount=100.00 reason=test".to_string(),
-        }];
-        let metrics = compute_backtest_metrics(&curve, &[], &[], &events, 100.0);
-        assert!((metrics.total_return - 0.1).abs() < 1e-12);
-        assert!((metrics.unit_nav - 1.1).abs() < 1e-12);
-        assert!((metrics.external_cash_flow_total - 100.0).abs() < 1e-12);
-    }
 }

crates/fidc-core/src/platform_runtime_schema.rs

@@ -67,7 +67,6 @@ const RESERVED_SCOPE_NAMES: &[&str] = &[
     // day-level
     "signal_close",
     "benchmark_close",
-    "benchmark_signal_close",
     "signal_ma5",
     "signal_ma10",
     "signal_ma20",
@@ -141,7 +140,6 @@ const RESERVED_SCOPE_NAMES: &[&str] = &[
     "ask1_volume",
     "turnover_ratio",
     "effective_turnover_ratio",
-    "up_days_stock",
     "open",
     "high",
     "low",
@@ -158,7 +156,6 @@ const RESERVED_SCOPE_NAMES: &[&str] = &[
     "is_st",
     "is_star_st",
     "is_kcb",
-    "is_bjse",
     "is_one_yuan",
     "is_new_listing",
     "allow_buy",
@@ -228,8 +225,6 @@ const RUNTIME_HELPER_FUNCTIONS: &[&str] = &[
     "day_factor",
     "rolling_mean",
     "rolling_mean_current",
-    "rolling_max_current",
-    "rolling_return_stddev_current",
     "ma",
     "sma",
     "vma",
@@ -329,12 +324,10 @@ mod tests {
         for required in [
             "signal_close",
             "benchmark_close",
-            "benchmark_signal_close",
             "close",
             "avg_cost",
             "current_price",
             "stock_ma_short",
-            "up_days_stock",
         ] {
             assert!(
                 names.contains(required),

crates/fidc-core/src/portfolio.rs

@@ -82,8 +82,6 @@ impl Position {
             return;
         }
 
-        let previous_quantity = self.quantity;
-        let previous_average_cost = self.average_cost;
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
@@ -95,18 +93,7 @@ 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.recalculate_average_cost();
         self.refresh_day_pnl();
     }
 
@@ -130,7 +117,6 @@ 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 {
@@ -155,13 +141,7 @@ 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.recalculate_average_cost();
         self.refresh_day_pnl();
         Ok(realized)
     }
@@ -272,11 +252,7 @@ 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.recalculate_average_cost();
         }
         self.day_trade_cost += cost;
         self.refresh_day_pnl();
@@ -394,11 +370,7 @@ 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.recalculate_average_cost();
         self.day_split_ratio *= ratio;
         self.refresh_day_pnl();
         self.quantity as i32 - old_quantity as i32
@@ -432,11 +404,6 @@ pub struct PortfolioState {
     initial_cash: f64,
     units: f64,
     cash: f64,
-    /// Cumulative external cash flow (deposits positive, withdrawals negative).
-    /// Trading proceeds, dividends, fees and financing are deliberately not
-    /// included.  The value is used by the engine to build a cash-flow-neutral
-    /// equity curve and is not a return measure itself.
-    external_cash_flow_total: f64,
     cash_liabilities: f64,
     management_fee_rate: f64,
     management_fees: f64,
@@ -470,7 +437,6 @@ impl PortfolioState {
             initial_cash,
             units: initial_cash,
             cash: initial_cash,
-            external_cash_flow_total: 0.0,
             cash_liabilities: 0.0,
             management_fee_rate: 0.0,
             management_fees: 0.0,
@@ -482,9 +448,7 @@ impl PortfolioState {
     }
 
     pub fn starting_cash(&self) -> f64 {
-        // Keep the configured opening capital stable. External flows change
-        // `units`, not the meaning of this reporting field.
-        self.initial_cash
+        self.units
     }
 
     pub fn initial_cash(&self) -> f64 {
@@ -499,10 +463,6 @@ impl PortfolioState {
         self.cash
     }
 
-    pub fn external_cash_flow_total(&self) -> f64 {
-        self.external_cash_flow_total
-    }
-
     pub fn cash_liabilities(&self) -> f64 {
         self.cash_liabilities
     }
@@ -561,17 +521,15 @@ impl PortfolioState {
         if !amount.is_finite() {
             return Err("deposit_withdraw amount must be finite".to_string());
         }
-        if amount < 0.0 && self.cash - self.pending_withdrawal_total() + amount < -1e-6 {
-            let available_cash = self.cash - self.pending_withdrawal_total();
+        if amount < 0.0 && self.cash + amount < -1e-6 {
             return Err(format!(
-                "insufficient cash for withdrawal amount={:.2} available_cash={:.2}",
-                amount, available_cash
+                "insufficient cash for withdrawal amount={:.2} cash={:.2}",
+                amount, self.cash
             ));
         }
 
         let unit_net_value = self.unit_net_value();
         self.cash += amount;
-        self.external_cash_flow_total += amount;
         self.rebase_units_after_external_cash_flow(unit_net_value);
         Ok(())
     }
@@ -585,11 +543,10 @@ impl PortfolioState {
         if !amount.is_finite() {
             return Err("deposit_withdraw amount must be finite".to_string());
         }
-        if amount < 0.0 && self.cash - self.pending_withdrawal_total() + amount < -1e-6 {
-            let available_cash = self.cash - self.pending_withdrawal_total();
+        if amount < 0.0 && self.cash + amount < -1e-6 {
             return Err(format!(
-                "insufficient cash for scheduled withdrawal amount={:.2} available_cash={:.2}",
-                amount, available_cash
+                "insufficient cash for scheduled withdrawal amount={:.2} cash={:.2}",
+                amount, self.cash
             ));
         }
         self.pending_cash_flows.push(PendingCashFlow {
@@ -602,74 +559,27 @@ impl PortfolioState {
         Ok(())
     }
 
-    pub fn settle_pending_cash_flows(
-        &mut self,
-        date: NaiveDate,
-    ) -> Result<Vec<PendingCashFlow>, String> {
-        let mut due = Vec::new();
+    pub fn settle_pending_cash_flows(&mut self, date: NaiveDate) -> Vec<PendingCashFlow> {
+        let mut settled = Vec::new();
         let mut pending = Vec::new();
         for flow in std::mem::take(&mut self.pending_cash_flows) {
             if flow.payable_date <= date {
-                due.push(flow);
+                let unit_net_value = self.unit_net_value();
+                self.cash += flow.amount;
+                self.rebase_units_after_external_cash_flow(unit_net_value);
+                settled.push(flow);
             } else {
                 pending.push(flow);
             }
         }
-
-        // A delayed withdrawal must not be allowed to make the account
-        // negative after trades on an earlier day.  Validate the complete due
-        // batch before mutating either cash or the pending queue so a failed
-        // settlement is atomic and can be diagnosed/retried safely.
-        let incoming = due
-            .iter()
-            .filter(|flow| flow.amount > 0.0)
-            .map(|flow| flow.amount)
-            .sum::<f64>();
-        let outgoing = due
-            .iter()
-            .filter(|flow| flow.amount < 0.0)
-            .map(|flow| flow.amount)
-            .sum::<f64>();
-        if self.cash + incoming + outgoing < -1e-6 {
-            self.pending_cash_flows = due.into_iter().chain(pending).collect();
-            self.pending_cash_flows
-                .sort_by_key(|flow| flow.payable_date);
-            return Err(format!(
-                "insufficient cash to settle delayed cash flows on {date}: cash={:.2} net_due={:.2}",
-                self.cash,
-                incoming + outgoing
-            ));
-        }
-
-        // There is no sub-day ordering in the strategy contract for flows
-        // sharing a payable date.  Apply deposits first, then withdrawals, so
-        // a same-day net-zero batch is deterministic and never fails merely
-        // because a withdrawal happened to be listed first.
-        due.sort_by_key(|flow| (flow.payable_date, flow.amount < 0.0));
-        let mut settled = Vec::with_capacity(due.len());
-        for flow in due {
-            let unit_net_value = self.unit_net_value();
-            self.cash += flow.amount;
-            self.external_cash_flow_total += flow.amount;
-            self.rebase_units_after_external_cash_flow(unit_net_value);
-            settled.push(flow);
-        }
         self.pending_cash_flows = pending;
-        Ok(settled)
+        settled
     }
 
     pub fn pending_cash_flows(&self) -> &[PendingCashFlow] {
         &self.pending_cash_flows
     }
 
-    pub fn pending_withdrawal_total(&self) -> f64 {
-        self.pending_cash_flows
-            .iter()
-            .filter(|flow| flow.amount < 0.0)
-            .map(|flow| -flow.amount)
-            .sum()
-    }
-
     pub fn finance_repay(&mut self, amount: f64) -> Result<(), String> {
         if !amount.is_finite() {
             return Err("finance_repay amount must be finite".to_string());
@@ -760,18 +670,6 @@ impl PortfolioState {
     ) -> Result<(), DataSetError> {
         let day_sold_symbols = self.day_sold_symbols.clone();
         for position in self.positions.values_mut() {
-            let current_market_missing = data.market(date, &position.symbol).is_none();
-            let unresolved_delisting = current_market_missing
-                && data.instrument(&position.symbol).is_some_and(|instrument| {
-                    instrument.is_delisted_on_or_before(date)
-                        || (instrument.status.eq_ignore_ascii_case("delisted")
-                            && instrument.delisted_at.is_none())
-                });
-            if unresolved_delisting {
-                position.last_price = 0.0;
-                position.refresh_day_pnl();
-                continue;
-            }
             let sold_today =
                 position.sold_quantity() > 0 || day_sold_symbols.contains(&position.symbol);
             if same_day_buy_close_mark_at_fill
@@ -939,7 +837,6 @@ 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
@@ -975,8 +872,6 @@ 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;
@@ -984,30 +879,7 @@ 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.recalculate_average_cost();
         successor.refresh_day_pnl();
 
         Some(SuccessorConversionOutcome {
@@ -1083,45 +955,6 @@ 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();
@@ -1645,51 +1478,6 @@ mod tests {
         assert!((portfolio.total_returns() - (portfolio.unit_net_value() - 1.0)).abs() < 1e-6);
         assert_eq!(portfolio.cash_receivables().len(), 0);
     }
-
-    #[test]
-    fn external_cash_flow_rebases_units_without_changing_nav() {
-        let mut portfolio = PortfolioState::new(10_000.0);
-        portfolio
-            .deposit_withdraw(5_000.0)
-            .expect("deposit should settle");
-        assert!((portfolio.cash() - 15_000.0).abs() < 1e-6);
-        assert!((portfolio.units() - 15_000.0).abs() < 1e-6);
-        assert!((portfolio.unit_net_value() - 1.0).abs() < 1e-12);
-        assert!((portfolio.external_cash_flow_total() - 5_000.0).abs() < 1e-6);
-        portfolio
-            .deposit_withdraw(-2_000.0)
-            .expect("withdrawal should settle");
-        assert!((portfolio.cash() - 13_000.0).abs() < 1e-6);
-        assert!((portfolio.units() - 13_000.0).abs() < 1e-6);
-        assert!((portfolio.unit_net_value() - 1.0).abs() < 1e-12);
-        assert!((portfolio.external_cash_flow_total() - 3_000.0).abs() < 1e-6);
-    }
-
-    #[test]
-    fn delayed_withdrawals_are_reserved_and_settled_atomically() {
-        let date = NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
-        let mut portfolio = PortfolioState::new(10_000.0);
-        portfolio
-            .schedule_deposit_withdraw(date, -8_000.0, "first")
-            .expect("first withdrawal should reserve cash");
-        assert!((portfolio.pending_withdrawal_total() - 8_000.0).abs() < 1e-6);
-        assert!(
-            portfolio
-                .schedule_deposit_withdraw(date, -3_000.0, "overcommit")
-                .is_err()
-        );
-
-        // A strategy cannot spend the reserved cash by scheduling a second
-        // withdrawal; settlement remains safe even if earlier trading reduced
-        // the current cash balance.
-        portfolio.apply_cash_delta(-3_000.0);
-        let error = portfolio
-            .settle_pending_cash_flows(date)
-            .expect_err("settlement must reject an underfunded withdrawal batch");
-        assert!(error.contains("insufficient cash"));
-        assert_eq!(portfolio.pending_cash_flows().len(), 1);
-        assert!((portfolio.cash() - 7_000.0).abs() < 1e-6);
-    }
 }
 
 #[derive(Debug, Clone, Serialize)]

crates/fidc-core/src/risk_control.rs

@@ -45,27 +45,27 @@ pub struct StaticRiskRuleConfig {
 impl Default for StaticRiskRuleConfig {
     fn default() -> Self {
         Self {
-            reject_st_selection: false,
+            reject_st_selection: true,
             reject_st_buy: true,
-            reject_star_st_selection: false,
+            reject_star_st_selection: true,
             reject_star_st_buy: true,
-            reject_paused_selection: false,
+            reject_paused_selection: true,
             reject_paused_buy: true,
             reject_paused_sell: true,
-            reject_inactive_selection: false,
+            reject_inactive_selection: true,
             reject_inactive_buy: true,
             reject_inactive_sell: true,
-            reject_new_listing_selection: false,
+            reject_new_listing_selection: true,
             reject_new_listing_buy: true,
-            reject_kcb_selection: false,
+            reject_kcb_selection: true,
             reject_kcb_buy: true,
-            reject_bjse_selection: false,
+            reject_bjse_selection: true,
             reject_bjse_buy: true,
-            reject_one_yuan_selection: false,
+            reject_one_yuan_selection: true,
             reject_one_yuan_buy: true,
             respect_allow_buy_sell: true,
-            reject_upper_limit_selection: false,
-            reject_lower_limit_selection: false,
+            reject_upper_limit_selection: true,
+            reject_lower_limit_selection: true,
             reject_upper_limit_buy: true,
             reject_lower_limit_sell: true,
             forbid_same_day_rebuy_after_sell: true,
@@ -82,7 +82,6 @@ pub struct TradingConstraintConfig {
     pub liquidity_limit_enabled: bool,
     pub commission_rate: f64,
     pub minimum_commission: f64,
-    pub transfer_fee_rate: f64,
     pub stamp_tax_rate_before_change: f64,
     pub stamp_tax_rate_after_change: f64,
     pub stamp_tax_change_date: NaiveDate,
@@ -96,7 +95,6 @@ impl Default for TradingConstraintConfig {
             liquidity_limit_enabled: true,
             commission_rate: 0.0003,
             minimum_commission: 5.0,
-            transfer_fee_rate: 0.0,
             stamp_tax_rate_before_change: 0.001,
             stamp_tax_rate_after_change: 0.0005,
             stamp_tax_change_date: NaiveDate::from_ymd_opt(2023, 8, 28)
@@ -201,7 +199,7 @@ impl ChinaAShareRiskControl {
         let terminal_status = matches!(
             status.as_str(),
             "inactive" | "delisted" | "terminated" | "expired"
-        );
+        ) || status.contains("delist");
         if terminal_status && instrument.delisted_at.is_none() {
             return Some("inactive_or_delisted");
         }
@@ -225,21 +223,6 @@ impl ChinaAShareRiskControl {
         Self::instrument_rejection_reason(instrument, date)
     }
 
-    pub fn active_status_rejection_reason_with_config(
-        date: NaiveDate,
-        candidate: Option<&CandidateEligibility>,
-        instrument: Option<&Instrument>,
-        config: &FidcRiskControlConfig,
-        scope: RiskCheckScope,
-    ) -> Option<&'static str> {
-        if let Some(reason) =
-            Self::instrument_rejection_reason_with_config(instrument, date, config, scope)
-        {
-            return Some(reason);
-        }
-        candidate.and_then(|candidate| candidate_active_status_rejection(candidate, config, scope))
-    }
-
     pub fn selection_rejection_reason(
         date: NaiveDate,
         candidate: &CandidateEligibility,
@@ -272,6 +255,11 @@ impl ChinaAShareRiskControl {
         ) {
             return Some(reason);
         }
+        if config.static_rules.respect_allow_buy_sell
+            && (!candidate.allow_buy || !candidate.allow_sell)
+        {
+            return Some("trade_disabled");
+        }
         let selection_price = market.price(PriceField::Last);
         if config.static_rules.reject_upper_limit_selection
             && market.is_at_upper_limit_price(selection_price)
@@ -518,9 +506,10 @@ impl ChinaAShareRiskControl {
         if config.static_rules.reject_paused_sell && (market.paused || candidate.is_paused) {
             return Some("paused");
         }
-        if config.static_rules.respect_allow_buy_sell && !candidate.allow_sell {
-            return Some("sell_disabled");
-        }
+        // `allow_sell` is derived from the daily candidate snapshot and may
+        // reflect an open/close fallback rather than the actual execution price.
+        // A sell order must be blocked by the execution price lower-limit check
+        // below, while suspension and delisting are handled above.
         if config.static_rules.reject_lower_limit_sell
             && market.is_at_lower_limit_price(check_price)
         {
@@ -601,7 +590,8 @@ fn missing_selection_risk_state_rejected(code: &str, config: &FidcRiskControlCon
             || config.static_rules.reject_bjse_selection
             || config.static_rules.reject_one_yuan_selection
             || config.static_rules.reject_upper_limit_selection
-            || config.static_rules.reject_lower_limit_selection;
+            || config.static_rules.reject_lower_limit_selection
+            || config.static_rules.respect_allow_buy_sell;
     }
     missing_field_rejected(&fields, config, RiskCheckScope::Selection)
 }
@@ -697,13 +687,15 @@ fn missing_single_field_rejected(
             RiskCheckScope::Sell => false,
         },
         "allow_buy" => match scope {
-            RiskCheckScope::Selection => false,
-            RiskCheckScope::Buy => config.static_rules.respect_allow_buy_sell,
+            RiskCheckScope::Selection | RiskCheckScope::Buy => {
+                config.static_rules.respect_allow_buy_sell
+            }
             RiskCheckScope::Sell => false,
         },
         "allow_sell" => match scope {
-            RiskCheckScope::Selection => false,
-            RiskCheckScope::Sell => config.static_rules.respect_allow_buy_sell,
+            RiskCheckScope::Selection | RiskCheckScope::Sell => {
+                config.static_rules.respect_allow_buy_sell
+            }
             RiskCheckScope::Buy => false,
         },
         "upper_limit" | "upper_limit_price" | "high_limit" | "high_limit_price" => match scope {
@@ -728,6 +720,7 @@ fn missing_single_field_rejected(
                     || config.static_rules.reject_one_yuan_selection
                     || config.static_rules.reject_upper_limit_selection
                     || config.static_rules.reject_lower_limit_selection
+                    || config.static_rules.respect_allow_buy_sell
             }
             RiskCheckScope::Buy => {
                 config.static_rules.reject_st_buy
@@ -767,45 +760,6 @@ mod tests {
         NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
     }
 
-    fn instrument(status: &str, delisted_at: Option<NaiveDate>) -> Instrument {
-        Instrument {
-            symbol: "002898.SZ".to_string(),
-            name: "赛隆退".to_string(),
-            board: "SZ".to_string(),
-            round_lot: 100,
-            listed_at: Some(d(2017, 9, 12)),
-            delisted_at,
-            status: status.to_string(),
-        }
-    }
-
-    #[test]
-    fn delisting_period_status_is_not_terminal_without_delisted_date() {
-        let date = d(2025, 3, 20);
-
-        assert_eq!(
-            ChinaAShareRiskControl::instrument_rejection_reason(
-                Some(&instrument("delisting", None)),
-                date,
-            ),
-            None
-        );
-        assert_eq!(
-            ChinaAShareRiskControl::instrument_rejection_reason(
-                Some(&instrument("delisted", None)),
-                date,
-            ),
-            Some("inactive_or_delisted")
-        );
-        assert_eq!(
-            ChinaAShareRiskControl::instrument_rejection_reason(
-                Some(&instrument("delisting", Some(d(2026, 7, 20)))),
-                d(2026, 7, 20),
-            ),
-            Some("inactive_or_delisted")
-        );
-    }
-
     fn candidate(date: NaiveDate) -> CandidateEligibility {
         CandidateEligibility {
             date,
@@ -855,7 +809,7 @@ mod tests {
     }
 
     #[test]
-    fn sell_rejection_respects_allow_sell_policy_on_execution_day() {
+    fn sell_rejection_uses_execution_price_not_stale_allow_sell() {
         let prev_date = d(2024, 4, 16);
         let date = d(2024, 4, 17);
         let candidate = candidate(date);
@@ -871,29 +825,14 @@ mod tests {
             6.27,
         );
 
-        assert_eq!(reason, Some("sell_disabled"));
-
-        let mut relaxed = FidcRiskControlConfig::default();
-        relaxed.static_rules.respect_allow_buy_sell = false;
-        let relaxed_reason = ChinaAShareRiskControl::sell_rejection_reason_with_config(
-            date,
-            &candidate,
-            &market,
-            None,
-            Some(&position),
-            6.27,
-            &relaxed,
-        );
-
-        assert_eq!(relaxed_reason, None);
+        assert_eq!(reason, None);
     }
 
     #[test]
     fn sell_rejection_blocks_execution_price_at_lower_limit() {
         let prev_date = d(2024, 4, 16);
         let date = d(2024, 4, 17);
-        let mut candidate = candidate(date);
-        candidate.allow_sell = true;
+        let candidate = candidate(date);
         let market = market(date, 5.63, 5.63);
         let position = position(prev_date);
 
@@ -940,19 +879,13 @@ mod tests {
         let default_reason =
             ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None);
         let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_kcb_selection = true;
-        let enabled_selection_reason =
-            ChinaAShareRiskControl::selection_rejection_reason_with_config(
-                date, &candidate, &market, None, &config,
-            );
         config.static_rules.reject_kcb_selection = false;
         config.static_rules.reject_kcb_buy = false;
         let configured_reason = ChinaAShareRiskControl::buy_rejection_reason_with_config(
             date, &candidate, &market, None, 6.27, &config,
         );
 
-        assert_eq!(default_reason, None);
-        assert_eq!(enabled_selection_reason, Some("kcb"));
+        assert_eq!(default_reason, Some("kcb"));
         assert_eq!(configured_reason, None);
     }
 
@@ -1061,10 +994,6 @@ mod tests {
         let default_buy =
             ChinaAShareRiskControl::buy_rejection_reason(date, &candidate, &market, None, 6.27);
         let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_bjse_selection = true;
-        let enabled_selection = ChinaAShareRiskControl::selection_rejection_reason_with_config(
-            date, &candidate, &market, None, &config,
-        );
         config.static_rules.reject_bjse_selection = false;
         config.static_rules.reject_bjse_buy = false;
         let configured_selection = ChinaAShareRiskControl::selection_rejection_reason_with_config(
@@ -1074,9 +1003,8 @@ mod tests {
             date, &candidate, &market, None, 6.27, &config,
         );
 
-        assert_eq!(default_selection, None);
+        assert_eq!(default_selection, Some("bjse"));
         assert_eq!(default_buy, Some("bjse"));
-        assert_eq!(enabled_selection, Some("bjse"));
         assert_eq!(configured_selection, None);
         assert_eq!(configured_buy, None);
     }
@@ -1088,11 +1016,13 @@ mod tests {
         candidate.symbol = "688506.SH".to_string();
         candidate.risk_level_code = Some("missing_risk_state".to_string());
         let market = market(date, 6.27, 5.63);
-        let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_kcb_selection = true;
 
         let decision = ChinaAShareRiskControl::selection_rejection_decision_with_config(
-            date, &candidate, &market, None, &config,
+            date,
+            &candidate,
+            &market,
+            None,
+            &FidcRiskControlConfig::default(),
         )
         .expect("kcb selection rejection");
 
@@ -1107,13 +1037,9 @@ mod tests {
         candidate.allow_sell = true;
         candidate.risk_level_code = Some("inactive_or_delisted".to_string());
         let market = market(date, 6.27, 5.63);
-        let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_inactive_selection = true;
 
         assert_eq!(
-            ChinaAShareRiskControl::selection_rejection_reason_with_config(
-                date, &candidate, &market, None, &config
-            ),
+            ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None),
             Some("inactive_or_delisted")
         );
         assert_eq!(
@@ -1139,10 +1065,9 @@ mod tests {
     }
 
     #[test]
-    fn missing_risk_state_default_selection_ignores_allow_flags_but_buy_rejects() {
+    fn missing_risk_state_rejects_selection_and_buy_when_static_filters_enabled() {
         let date = d(2025, 1, 2);
         let mut candidate = candidate(date);
-        candidate.allow_sell = true;
         candidate.risk_level_code = Some("missing_risk_state:is_st,allow_buy".to_string());
         let market = market(date, 6.27, 5.63);
 
@@ -1159,28 +1084,11 @@ mod tests {
             6.27,
         );
 
-        assert_eq!(selection_reason, None);
+        assert_eq!(selection_reason, Some("missing_risk_state"));
         assert_eq!(buy_reason, Some("missing_risk_state"));
         assert_eq!(sell_reason, None);
     }
 
-    #[test]
-    fn missing_risk_state_selection_still_respects_configured_static_filters() {
-        let date = d(2025, 1, 2);
-        let mut candidate = candidate(date);
-        candidate.allow_sell = true;
-        candidate.risk_level_code = Some("missing_risk_state:is_st,allow_buy".to_string());
-        let market = market(date, 6.27, 5.63);
-        let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_st_selection = true;
-
-        let selection_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
-            date, &candidate, &market, None, &config,
-        );
-
-        assert_eq!(selection_reason, Some("missing_risk_state"));
-    }
-
     #[test]
     fn missing_risk_state_selection_audit_keeps_missing_fields_in_reason() {
         let date = d(2025, 1, 2);
@@ -1189,11 +1097,12 @@ mod tests {
             Some("missing_risk_state:is_st,allow_buy,upper_limit_price".to_string());
         let market = market(date, 6.27, 5.63);
 
-        let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_st_selection = true;
-        config.static_rules.reject_upper_limit_selection = true;
         let decision = ChinaAShareRiskControl::selection_rejection_decision_with_config(
-            date, &candidate, &market, None, &config,
+            date,
+            &candidate,
+            &market,
+            None,
+            &FidcRiskControlConfig::default(),
         )
         .expect("missing risk state rejection");
 
@@ -1265,8 +1174,6 @@ mod tests {
             Some("missing_risk_state:upper_limit_price,lower_limit_price".to_string());
         let market = market(date, 6.27, 5.63);
         let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_upper_limit_selection = true;
-        config.static_rules.reject_lower_limit_selection = true;
         config.static_rules.reject_upper_limit_selection = false;
 
         let upper_disabled_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
@@ -1360,17 +1267,12 @@ mod tests {
         let default_reason =
             ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None);
         let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_upper_limit_selection = true;
-        let enabled_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
-            date, &candidate, &market, None, &config,
-        );
         config.static_rules.reject_upper_limit_selection = false;
         let configured_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
             date, &candidate, &market, None, &config,
         );
 
-        assert_eq!(default_reason, None);
-        assert_eq!(enabled_reason, Some("upper_limit"));
+        assert_eq!(default_reason, Some("upper_limit"));
         assert_eq!(configured_reason, None);
     }
 
@@ -1383,17 +1285,12 @@ mod tests {
         let default_reason =
             ChinaAShareRiskControl::selection_rejection_reason(date, &candidate, &market, None);
         let mut config = FidcRiskControlConfig::default();
-        config.static_rules.reject_lower_limit_selection = true;
-        let enabled_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
-            date, &candidate, &market, None, &config,
-        );
         config.static_rules.reject_lower_limit_selection = false;
         let configured_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
             date, &candidate, &market, None, &config,
         );
 
-        assert_eq!(default_reason, None);
-        assert_eq!(enabled_reason, Some("lower_limit"));
+        assert_eq!(default_reason, Some("lower_limit"));
         assert_eq!(configured_reason, None);
     }
 }

crates/fidc-core/src/strategy.rs

@@ -315,7 +315,7 @@ impl StrategyContext<'_> {
         let gross_amount = fills.iter().map(|fill| fill.gross_amount).sum::<f64>();
         let transaction_cost = fills
             .iter()
-            .map(|fill| fill.commission + fill.stamp_tax + fill.transfer_fee)
+            .map(|fill| fill.commission + fill.stamp_tax)
             .sum::<f64>();
         let avg_price = if filled_quantity == 0 {
             0.0
@@ -1655,7 +1655,6 @@ pub struct OmniMicroCapConfig {
     pub stock_long_ma_days: usize,
     pub stock_volume_short_ma_days: usize,
     pub stock_volume_long_ma_days: usize,
-    pub stock_volume_filter_enabled: bool,
     pub rsi_rate: f64,
     pub trade_rate: f64,
     pub stop_loss_ratio: f64,
@@ -1685,7 +1684,6 @@ impl OmniMicroCapConfig {
             stock_long_ma_days: 20,
             stock_volume_short_ma_days: 5,
             stock_volume_long_ma_days: 60,
-            stock_volume_filter_enabled: true,
             rsi_rate: 1.0001,
             trade_rate: 0.5,
             stop_loss_ratio: 0.93,
@@ -1697,6 +1695,35 @@ impl OmniMicroCapConfig {
         }
     }
 
+    pub fn aiquant_v104() -> Self {
+        Self {
+            strategy_name: "aiquant-v1.0.4".to_string(),
+            refresh_rate: 120,
+            stocknum: 5,
+            xs: 4.0 / 500.0,
+            base_index_level: 2000.0,
+            base_cap_floor: 7.0,
+            cap_span: 10.0,
+            padding_ratio: 1.2,
+            min_padding: 29.5,
+            max_padding: 50.0,
+            benchmark_signal_symbol: "000852.SH".to_string(),
+            benchmark_short_ma_days: 5,
+            benchmark_long_ma_days: 20,
+            stock_short_ma_days: 5,
+            stock_mid_ma_days: 10,
+            stock_long_ma_days: 30,
+            stock_volume_short_ma_days: 5,
+            stock_volume_long_ma_days: 60,
+            rsi_rate: 1.0001,
+            trade_rate: 0.5,
+            stop_loss_ratio: 0.92,
+            take_profit_ratio: 1.16,
+            skip_month_day_ranges: Vec::new(),
+            risk_config: FidcRiskControlConfig::default(),
+        }
+    }
+
     fn in_skip_window(&self, date: NaiveDate) -> bool {
         let year = date.year() as u32;
         let month = date.month();
@@ -2008,6 +2035,7 @@ impl OmniMicroCapStrategy {
         Some(fill.quantity)
     }
 
+    #[allow(dead_code)]
     fn projected_market_fillable_quantity(
         &self,
         ctx: &StrategyContext<'_>,
@@ -2019,19 +2047,18 @@ impl OmniMicroCapStrategy {
         minimum_order_quantity: u32,
         order_step_size: u32,
         allow_odd_lot_sell: bool,
-        current_fill_quantity: u32,
         execution_state: &ProjectedExecutionState,
     ) -> Option<u32> {
         if requested_qty == 0 {
             return Some(0);
         }
         let snapshot = ctx.data.market(date, symbol)?;
-        let constraints = self.config.risk_config.trading_constraints;
-        if constraints.volume_limit_enabled && snapshot.minute_volume == 0 {
+        if snapshot.minute_volume == 0 {
             return None;
         }
 
         let mut max_fill = requested_qty;
+        let constraints = self.config.risk_config.trading_constraints;
         if constraints.liquidity_limit_enabled {
             let top_level_liquidity = match side {
                 OrderSide::Buy => snapshot.liquidity_for_buy(),
@@ -2053,14 +2080,9 @@ impl OmniMicroCapStrategy {
             max_fill = max_fill.min(liquidity_limited);
         }
 
-        let consumed_turnover = execution_state
-            .intraday_turnover
-            .get(symbol)
-            .copied()
-            .unwrap_or(0)
-            .saturating_add(current_fill_quantity);
+        let consumed_turnover = *execution_state.intraday_turnover.get(symbol).unwrap_or(&0);
         if constraints.volume_limit_enabled {
-            let raw_limit = ((snapshot.minute_volume as f64) * constraints.volume_percent).floor()
+            let raw_limit = ((snapshot.minute_volume as f64) * constraints.volume_percent).round()
                 as i64
                 - consumed_turnover as i64;
             if raw_limit <= 0 {
@@ -2108,23 +2130,6 @@ impl OmniMicroCapStrategy {
             return None;
         }
 
-        let requested_qty = self.projected_market_fillable_quantity(
-            ctx,
-            date,
-            symbol,
-            side,
-            requested_qty,
-            round_lot,
-            minimum_order_quantity,
-            order_step_size,
-            allow_odd_lot_sell,
-            0,
-            execution_state,
-        )?;
-        if requested_qty == 0 {
-            return None;
-        }
-
         if let Some(market) = ctx.data.market(date, symbol) {
             let execution_price = self.projected_execution_price(market, side);
             if execution_price.is_finite() && execution_price > 0.0 {
@@ -2218,25 +2223,7 @@ impl OmniMicroCapStrategy {
             if remaining_qty == 0 {
                 break;
             }
-            let market_fillable_qty = self
-                .projected_market_fillable_quantity(
-                    ctx,
-                    date,
-                    symbol,
-                    side,
-                    remaining_qty,
-                    round_lot,
-                    minimum_order_quantity,
-                    order_step_size,
-                    allow_odd_lot_sell,
-                    filled_qty,
-                    execution_state,
-                )
-                .unwrap_or(0);
-            if market_fillable_qty == 0 {
-                break;
-            }
-            let mut take_qty = remaining_qty.min(available_qty).min(market_fillable_qty);
+            let mut take_qty = remaining_qty.min(available_qty);
             if !(side == OrderSide::Sell && allow_odd_lot_sell && take_qty == remaining_qty) {
                 take_qty =
                     self.round_lot_quantity(take_qty, minimum_order_quantity, order_step_size);
@@ -2406,7 +2393,10 @@ impl OmniMicroCapStrategy {
             return false;
         }
 
-        if self.config.stock_volume_filter_enabled {
+        if self.config.strategy_name.contains("aiquant")
+            || self.config.strategy_name.contains("AiQuant")
+            || self.config.strategy_name.contains("omni")
+        {
             let Some(volume_ma5) = ctx.data.market_decision_volume_moving_average(
                 date,
                 symbol,
@@ -2484,7 +2474,11 @@ impl OmniMicroCapStrategy {
         &self,
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
+        defer_selection_risk: bool,
     ) -> Vec<FidcRiskDecisionAudit> {
+        if defer_selection_risk {
+            return Vec::new();
+        }
         let mut decisions = Vec::new();
         for factor in ctx.data.factor_snapshots_on(date) {
             if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(&factor.symbol) {
@@ -2544,8 +2538,13 @@ impl OmniMicroCapStrategy {
         date: NaiveDate,
         band_low: f64,
         band_high: f64,
+        defer_selection_risk: bool,
     ) -> Result<(Vec<String>, Vec<String>), BacktestError> {
-        let universe = ctx.eligible_universe_on_with_risk_config(date, &self.config.risk_config);
+        let universe = if defer_selection_risk {
+            ctx.fundamental_universe_on(date)
+        } else {
+            ctx.eligible_universe_on_with_risk_config(date, &self.config.risk_config)
+        };
         let mut diagnostics = Vec::new();
         let mut selected = Vec::new();
         let start = lower_bound_eligible(&universe, band_low);
@@ -2554,8 +2553,12 @@ impl OmniMicroCapStrategy {
             if candidate.market_cap_bn > band_high {
                 break;
             }
-            let rejection = (!self.stock_passes_ma_filter(ctx, date, &candidate.symbol))
-                .then_some("ma_filter".to_string());
+            let rejection = if defer_selection_risk {
+                (!self.stock_passes_ma_filter(ctx, date, &candidate.symbol))
+                    .then_some("ma_filter".to_string())
+            } else {
+                self.buy_rejection_reason(ctx, date, &candidate.symbol)?
+            };
             if let Some(reason) = rejection {
                 if diagnostics.len() < 12 {
                     diagnostics.push(format!("{} rejected by {}", candidate.symbol, reason));
@@ -2581,7 +2584,7 @@ impl Strategy for OmniMicroCapStrategy {
     fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
         let signal_date = ctx.decision_date;
         let execution_date = ctx.execution_date;
-        let lagged_execution = ctx.is_lagged_execution();
+        let defer_selection_risk = ctx.is_lagged_execution();
         if self.config.in_skip_window(signal_date) {
             return Ok(StrategyDecision {
                 rebalance: false,
@@ -2592,12 +2595,9 @@ impl Strategy for OmniMicroCapStrategy {
                     .positions()
                     .keys()
                     .cloned()
-                    .map(|symbol| OrderIntent::TimedTargetValue {
+                    .map(|symbol| OrderIntent::TargetValue {
                         symbol,
                         target_value: 0.0,
-                        style: AlgoOrderStyle::Twap,
-                        start_time: Some(self.intraday_execution_start_time()),
-                        end_time: Some(self.intraday_execution_start_time()),
                         reason: "seasonal_stop_window".to_string(),
                     })
                     .collect(),
@@ -2630,8 +2630,8 @@ impl Strategy for OmniMicroCapStrategy {
         // 使用前一交易日的指数价格计算市值区间（模拟实盘场景）
         let (band_low, band_high) = self.market_cap_band(prev_index_level);
         let (stock_list, selection_notes) =
-            self.select_symbols(ctx, signal_date, band_low, band_high)?;
-        let risk_decisions = self.selection_risk_decisions(ctx, signal_date);
+            self.select_symbols(ctx, signal_date, band_low, band_high, defer_selection_risk)?;
+        let risk_decisions = self.selection_risk_decisions(ctx, signal_date, defer_selection_risk);
         let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
         let projection_date = signal_date;
         let mut projected = ctx.portfolio.clone();
@@ -2656,8 +2656,8 @@ impl Strategy for OmniMicroCapStrategy {
                 <= position.average_cost * self.config.stop_loss_ratio
                     + self.stop_loss_tolerance(market);
             let profit_hit = current_price / position.average_cost > self.config.take_profit_ratio;
-            let can_sell =
-                lagged_execution || self.can_sell_position(ctx, execution_date, &position.symbol);
+            let can_sell = defer_selection_risk
+                || self.can_sell_position(ctx, execution_date, &position.symbol);
             let at_upper_limit = market.is_at_upper_limit_price(current_price);
             if stop_hit || (profit_hit && !at_upper_limit) {
                 let sell_reason = if stop_hit {
@@ -2693,7 +2693,7 @@ impl Strategy for OmniMicroCapStrategy {
                             {
                                 continue;
                             }
-                            if !lagged_execution
+                            if !defer_selection_risk
                                 && self
                                     .buy_rejection_reason(ctx, execution_date, symbol)?
                                     .is_some()
@@ -2731,7 +2731,7 @@ impl Strategy for OmniMicroCapStrategy {
                 if stock_list.iter().any(|candidate| candidate == symbol) {
                     continue;
                 }
-                if !lagged_execution && !self.can_sell_position(ctx, execution_date, symbol) {
+                if !defer_selection_risk && !self.can_sell_position(ctx, execution_date, symbol) {
                     continue;
                 }
                 order_intents.push(OrderIntent::TargetValue {
@@ -2759,7 +2759,7 @@ impl Strategy for OmniMicroCapStrategy {
                 {
                     continue;
                 }
-                if !lagged_execution
+                if !defer_selection_risk
                     && self
                         .buy_rejection_reason(ctx, execution_date, symbol)?
                         .is_some()
@@ -2988,30 +2988,35 @@ mod tests {
         default_cfg.stock_short_ma_days = 1;
         default_cfg.stock_mid_ma_days = 2;
         default_cfg.stock_long_ma_days = 3;
-        default_cfg.stock_volume_filter_enabled = false;
         let default_strategy = OmniMicroCapStrategy::new(default_cfg.clone());
         let (default_selected, _) = default_strategy
-            .select_symbols(&ctx, dates[2], 0.0, 100.0)
+            .select_symbols(&ctx, dates[2], 0.0, 100.0, false)
             .expect("default selection");
-        assert_eq!(default_selected, vec![symbol.to_string()]);
-        let default_risk_decisions = default_strategy.selection_risk_decisions(&ctx, dates[2]);
-        assert!(default_risk_decisions.is_empty());
-
-        let mut cfg = default_cfg;
-        cfg.risk_config.static_rules.reject_kcb_selection = true;
-        let strict_strategy = OmniMicroCapStrategy::new(cfg);
-        let (selected, _) = strict_strategy
-            .select_symbols(&ctx, dates[2], 0.0, 100.0)
-            .expect("strict selection");
-        assert!(selected.is_empty());
-        let strict_risk_decisions = strict_strategy.selection_risk_decisions(&ctx, dates[2]);
-        assert_eq!(strict_risk_decisions.len(), 1);
-        assert_eq!(strict_risk_decisions[0].symbol, symbol);
-        assert_eq!(strict_risk_decisions[0].rule_code, "kcb");
+        assert!(default_selected.is_empty());
+        let default_risk_decisions =
+            default_strategy.selection_risk_decisions(&ctx, dates[2], false);
+        assert_eq!(default_risk_decisions.len(), 1);
+        assert_eq!(default_risk_decisions[0].symbol, symbol);
+        assert_eq!(default_risk_decisions[0].rule_code, "kcb");
         assert!(
-            strict_risk_decisions[0]
+            default_risk_decisions[0]
                 .diagnostic_line()
                 .starts_with("risk_decision=")
         );
+
+        let mut cfg = default_cfg;
+        cfg.risk_config.static_rules.reject_kcb_selection = false;
+        cfg.risk_config.static_rules.reject_kcb_buy = false;
+        let configured_strategy = OmniMicroCapStrategy::new(cfg);
+        let (selected, _) = configured_strategy
+            .select_symbols(&ctx, dates[2], 0.0, 100.0, false)
+            .expect("configured selection");
+        assert!(
+            configured_strategy
+                .selection_risk_decisions(&ctx, dates[2], false)
+                .is_empty()
+        );
+
+        assert_eq!(selected, vec![symbol.to_string()]);
     }
 }

crates/fidc-core/src/strategy_ai.rs

@@ -72,29 +72,6 @@ pub struct StrategyAiCatalog {
     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)]
 pub struct StrategyAiGenerateRequest {
     pub user_goal: String,
@@ -102,9 +79,6 @@ 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)]
@@ -113,14 +87,9 @@ 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 PERFORMANCE_ACCEPTANCE_CONTRACT_PROMPT: &str = "收益验收合同：收益、回撤、年度收益、样本外区间及比较运算符只能来自用户目标、请求约束或不可变 candidate/promotion contract；不得注入 120% 或其他默认数值，也不得提高、降低或替换已经明确的门槛。没有明确数值合同时只做策略有效性、数据时序和风险审计，禁止声称收益已经达标；存在冻结合同时必须逐项按原运算符验证，不能只看总收益。";
-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\"";
+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 >= 150% 即视为满足收益目标；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。";
 
 pub fn built_in_strategy_manual() -> StrategyAiManual {
     StrategyAiManual {
@@ -135,7 +104,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             "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 会在 T 日收盘冻结目标金额或目标权益，并在下一可交易日按实际 open、滑点、手续费和证券数量步长重算股数；不得把执行日 open/high/low/close 当成下单前已知信息，也不得用 T+1 prev_close 或 T 日估算股数直接成交；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(),
+            "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(),
             "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(),
         ],
@@ -250,7 +219,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             },
             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。框架默认的 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，不能被转换器隐式写进 universe.exclude 或 filter.stock_expr；但源策略明确写出的业务选股排除属于策略本身，必须原样保留在 filter.stock_expr，并且不能反向修改冻结的 reject_*_selection 开关。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(),
+                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、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(),
@@ -258,7 +227,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             },
             ManualSection {
                 title: "execution.matching_type / execution.slippage".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 在 T 日收盘冻结目标金额或目标权益，并在下一可交易日按实际 open、滑点、手续费和证券数量步长重算股数，保证执行金额加手续费不超过分配金额；禁止把执行日 open/high/low/close 解释为下单前已知数据，也禁止用 T+1 prev_close 或 T 日估算股数直接成交；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。金额预算始终严格，execution.strict_value_budget(false) 会被拒绝。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\", 请求滑点率，例如 0.002) / 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。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。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(),
@@ -280,7 +249,6 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 fields: vec![
                     ManualField { name: "signal_open/signal_close".to_string(), field_type: "float".to_string(), detail: "信号指数当日开盘价与前一日收盘价。".to_string() },
                     ManualField { name: "benchmark_open/benchmark_close".to_string(), field_type: "float".to_string(), detail: "基准当日开盘价与前一日收盘价。".to_string() },
-                    ManualField { name: "benchmark_signal_close".to_string(), field_type: "float".to_string(), detail: "信号日收盘后可见的基准当日收盘价；用于 T 日生成信号、T+1 开盘成交的条件，不能在盘中或 T 日开盘决策中使用。".to_string() },
                     ManualField { name: "signal_ma5/signal_ma10/signal_ma20/signal_ma30".to_string(), field_type: "float".to_string(), detail: "信号指数滚动均线。".to_string() },
                     ManualField { name: "benchmark_ma5/benchmark_ma10/benchmark_ma20/benchmark_ma30".to_string(), field_type: "float".to_string(), detail: "基准指数滚动均线。".to_string() },
                     ManualField { name: "cash/available_cash/frozen_cash/market_value/total_equity".to_string(), field_type: "float".to_string(), detail: "账户可用资金、挂单冻结资金、市值与总权益；available_cash 会扣减当前买入挂单冻结估算。".to_string() },
@@ -366,14 +334,14 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             ManualFunction { name: "get_dominant_future / dominant_future / dominant_future_price".to_string(), signature: "dominant_future(\"IF\") / dominant_future_price(\"IF\", \"close\", lookback=1)".to_string(), detail: "主力合约 API。dominant_future 返回当前日期匹配前缀的主力期货合约代码；dominant_future_price 读取该主力合约最近 N 个交易日指定字段的最新价格。Rust Context 可用 ctx.get_dominant_future(...) 和 ctx.get_dominant_future_price(...)。".to_string() },
             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。回测中 deposit_withdraw 正数入金、负数出金，receiving_days 大于 0 时按交易日延迟到账，并保持现金流中性净值不把外部资金流当成收益；回测 finance_repay 与 management_fee 按账户合同结算。模拟盘只接受由 runtime 明确返回的即时 deposit_withdraw，并通过幂等现金流账本落库；延迟流、融资/管理费动作必须显式失败。实盘禁止策略侧改变现金，必须以券商资产和已核验资金流水为真相，策略返回上述动作会在下单前 fail-closed。".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: "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: "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。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。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: "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_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: "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) / 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: "safe_div".to_string(), signature: "safe_div(lhs, rhs, fallback)".to_string(), detail: "安全除法。".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![
@@ -471,22 +439,20 @@ 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`、`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；框架默认的 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。源策略明确写出的业务选股排除必须保留为策略表达式，不能改写冻结的 selection 风控开关。\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.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 或策略明确声明的业务过滤条件；转换器不得自行把框架默认基础风控注入过滤表达式。源策略明确写出的 `!is_st`、`!is_star_st`、`!is_kcb`、`!is_bjse` 等业务选股排除必须原样保留，同时冻结的 `reject_*_selection` 值不得改变。\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("- 日线目标金额、目标比例和目标权重在 `next_bar_open` 下冻结 T 日收盘目标，T+1 按实际 open、滑点、卖后买延迟滑点、手续费和证券数量步长重算股数；禁止用 T+1 prev_close、T 日估算股数或 T+1 开盘后权益替代。金额预算始终严格，不能生成 `execution.strict_value_budget(false)`。\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，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 {
@@ -562,15 +528,13 @@ pub fn build_generation_prompt(
     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(PERFORMANCE_ACCEPTANCE_CONTRACT_PROMPT);
+    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、risk.policy、risk.blacklist、execution.matching_type、execution.rebalance_cash_mode、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(&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；日线 execution.rebalance_cash_mode 只允许 same_point_net、sell_then_buy、pre_open_cash，分钟线固定使用 sell_then_buy；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 日只生成订单意图并在收盘冻结目标金额或目标权益，T+1 按实际 open、滑点、手续费和证券数量步长重算股数，不能用 T+1 prev_close 或 T 日估算股数直接成交；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；金额预算始终严格，禁止 execution.strict_value_budget(false)；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 请求滑点率，例如 0.002)，并且请求里指定固定滑点时必须使用请求值。\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，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，例如 reject_st_selection=true、reject_st_buy=true、reject_star_st_selection=true、reject_star_st_buy=true、reject_paused_selection=true、reject_paused_buy=true、reject_paused_sell=true、reject_inactive_selection=true、reject_new_listing_selection=true、reject_kcb_selection=true、reject_bjse_selection=true、reject_one_yuan_selection=true、forbid_same_day_rebuy_after_sell=true、reject_upper_limit_selection=true、reject_lower_limit_selection=true、reject_upper_limit_buy=true、reject_lower_limit_sell=true、blacklist_enabled=true、volume_limit_enabled=true、liquidity_limit_enabled=true、volume_percent=0.25、commission_rate=0.0003、minimum_commission=5、stamp_tax_rate_after_change=0.0005，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，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 && 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\", 0.002)\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(reject_st_selection=true, reject_st_buy=true, reject_star_st_selection=true, reject_star_st_buy=true, reject_paused_selection=true, reject_paused_buy=true, reject_paused_sell=true, reject_inactive_selection=true, reject_new_listing_selection=true, reject_kcb_selection=true, reject_bjse_selection=true, reject_one_yuan_selection=true, reject_upper_limit_selection=true, reject_lower_limit_selection=true, reject_upper_limit_buy=true, reject_lower_limit_sell=true, forbid_same_day_rebuy_after_sell=true, blacklist_enabled=true, volume_limit_enabled=true, liquidity_limit_enabled=true, volume_percent=0.25, commission_rate=0.0003, minimum_commission=5)\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() {
@@ -598,9 +562,9 @@ pub fn build_optimization_prompt(
     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("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(PERFORMANCE_ACCEPTANCE_CONTRACT_PROMPT);
+    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("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；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");
@@ -629,7 +593,7 @@ mod tests {
     use serde_json::json;
 
     #[test]
-    fn generation_prompt_uses_explicit_performance_acceptance_contract() {
+    fn generation_prompt_contains_three_year_return_acceptance_target() {
         let prompt = build_generation_prompt(
             "manual",
             &StrategyAiGenerateRequest {
@@ -638,44 +602,21 @@ mod tests {
                 market: "CN_A".to_string(),
                 benchmark_symbol: "000852.SH".to_string(),
                 signal_symbol: "000001.SH".to_string(),
-                holding_count_contract: None,
             },
         );
 
-        assert!(prompt.contains("只能来自用户目标、请求约束或不可变 candidate/promotion contract"));
-        assert!(prompt.contains("不得注入 120% 或其他默认数值"));
-        assert!(!prompt.contains("总收益严格 > 120%"));
+        assert!(prompt.contains("三年回测区间策略总收益 >= 150% 即视为满足收益目标"));
+        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("execution.rebalance_cash_mode"));
-        assert!(prompt.contains("same_point_net、sell_then_buy、pre_open_cash"));
-        assert!(prompt.contains("分钟线固定使用 sell_then_buy"));
-        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 manual_separates_explicit_business_selection_from_framework_risk_policy() {
-        let markdown = render_manual_markdown(&built_in_strategy_manual());
-        assert!(markdown.contains("源策略明确写出的业务选股排除属于策略本身"));
-        assert!(markdown.contains("不能反向修改冻结的 reject_*_selection 开关"));
-        assert!(markdown.contains("冻结的 `reject_*_selection` 值不得改变"));
-    }
-
-    #[test]
-    fn optimization_prompt_uses_explicit_performance_acceptance_contract() {
+    fn optimization_prompt_contains_three_year_return_acceptance_target() {
         let prompt = build_optimization_prompt(
             "manual",
             &StrategyAiOptimizeRequest {
@@ -683,13 +624,11 @@ mod tests {
                 objective: "优化收益".to_string(),
                 result_summary: json!({ "total_return": 1.49 }),
                 diagnostics: Vec::new(),
-                holding_count_contract: None,
             },
         );
 
-        assert!(prompt.contains("只能来自用户目标、请求约束或不可变 candidate/promotion contract"));
-        assert!(prompt.contains("不得注入 120% 或其他默认数值"));
-        assert!(!prompt.contains("总收益严格 > 120%"));
+        assert!(prompt.contains("三年回测区间策略总收益 >= 150% 即视为满足收益目标"));
+        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

@@ -55,11 +55,15 @@ pub struct SelectionContext<'a> {
 
 impl SelectionContext<'_> {
     fn eligible_universe(&self) -> Vec<EligibleUniverseSnapshot> {
-        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(),
+        let eligible = if self.defer_selection_risk {
+            self.data.fundamental_universe_on(self.decision_date)
+        } else {
+            match self.risk_config {
+                Some(risk_config) => self
+                    .data
+                    .eligible_universe_on_with_risk_config(self.decision_date, risk_config),
+                None => self.data.eligible_universe_on(self.decision_date).to_vec(),
+            }
         };
         match self.dynamic_universe {
             Some(symbols) if !symbols.is_empty() => eligible
@@ -71,6 +75,9 @@ impl SelectionContext<'_> {
     }
 
     fn selection_risk_decisions(&self) -> Vec<FidcRiskDecisionAudit> {
+        if self.defer_selection_risk {
+            return Vec::new();
+        }
         let default_risk_config;
         let risk_config = match self.risk_config {
             Some(value) => value,
@@ -397,16 +404,13 @@ mod tests {
         )
         .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),
+            risk_config: Some(&FidcRiskControlConfig::default()),
             defer_selection_risk: false,
         });
 
@@ -429,7 +433,7 @@ mod tests {
     }
 
     #[test]
-    fn selector_applies_configured_selection_risk_on_decision_date() {
+    fn selector_defers_static_execution_risk_for_lagged_execution() {
         let data = DataSet::from_components(
             vec![
                 instrument("000001.SZ"),
@@ -455,74 +459,13 @@ mod tests {
         )
         .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),
+            risk_config: Some(&FidcRiskControlConfig::default()),
             defer_selection_risk: true,
         });
 
@@ -533,12 +476,7 @@ mod tests {
         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);
+        assert_eq!(diagnostics.not_eligible_count, 0);
+        assert!(diagnostics.risk_decisions.is_empty());
     }
 }

crates/fidc-core/tests/core_rules.rs

@@ -63,20 +63,13 @@ fn china_cost_model_applies_minimum_commission_and_stamp_tax() {
     assert_eq!(buy.stamp_tax, 0.0);
 
     let sell = model.calculate(d(2023, 8, 25), OrderSide::Sell, 100_000.0);
-    assert!((sell.commission - 30.0).abs() < 1e-9);
+    assert!((sell.commission - 80.0).abs() < 1e-9);
     assert!((sell.stamp_tax - 100.0).abs() < 1e-9);
 }
 
 #[test]
-fn configured_cost_model_matches_declared_run_options() {
-    let model =
-        ChinaAShareCostModel::from_trading_constraints(fidc_core::TradingConstraintConfig {
-            commission_rate: 0.0003,
-            minimum_commission: 5.0,
-            stamp_tax_rate_before_change: 0.0005,
-            stamp_tax_rate_after_change: 0.0005,
-            ..fidc_core::TradingConstraintConfig::default()
-        });
+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);
@@ -137,7 +130,7 @@ fn china_cost_model_tracks_minimum_commission_per_order_id() {
 
     assert!((first.commission - 5.0).abs() < 1e-9);
     assert!(second.commission.abs() < 1e-9);
-    assert!((third.commission - 1.6).abs() < 1e-9);
+    assert!((third.commission - 12.6).abs() < 1e-9);
     assert!((another_order.commission - 5.0).abs() < 1e-9);
 }
 

crates/fidc-core/tests/corporate_actions.rs

@@ -368,11 +368,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             first_date: buy_date,
         },
         BrokerSimulator::new_with_execution_price(
-            ChinaAShareCostModel {
-                commission_rate: 0.0008,
-                minimum_commission: 0.0,
-                ..ChinaAShareCostModel::default()
-            },
+            ChinaAShareCostModel::default(),
             ChinaEquityRuleHooks::default(),
             PriceField::Open,
         ),

crates/fidc-core/tests/delisting.rs

@@ -42,7 +42,7 @@ impl Strategy for BuyThenHoldStrategy {
 }
 
 #[test]
-fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
+fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run() {
     let date1 = d(2025, 1, 2);
     let delist_date = d(2025, 1, 3);
     let date2 = d(2025, 1, 6);
@@ -306,33 +306,24 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
     );
 
     let result = engine.run().expect("backtest succeeds");
-    assert_eq!(result.fills.len(), 1);
+    assert_eq!(result.fills.len(), 2);
     assert!(
         result
             .fills
             .iter()
-            .all(|fill| !fill.reason.contains("delisted_cash_settlement"))
+            .any(|fill| fill.reason.contains("delisted_cash_settlement")
+                && fill.symbol == "000001.SZ")
+    );
+    assert!(
+        result
+            .holdings_summary
+            .iter()
+            .all(|holding| holding.symbol != "000001.SZ")
     );
-    let unresolved = result
-        .holdings_summary
-        .iter()
-        .find(|holding| holding.symbol == "000001.SZ")
-        .expect("unresolved delisted holding remains auditable");
-    assert_eq!(unresolved.quantity, 900);
-    assert_eq!(unresolved.last_price, 0.0);
-    assert_eq!(unresolved.market_value, 0.0);
-    assert!(result.equity_curve.iter().any(|point| {
-        point
-            .notes
-            .contains("unresolved_delisted_position symbol=000001.SZ")
-            && point.notes.contains("settlement_action=missing")
-            && point.notes.contains("valuation_policy=zero")
-            && point.notes.contains("no_order=true")
-    }));
 }
 
 #[test]
-fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
+fn engine_applies_successor_conversion_before_delisted_cash_settlement() {
     let date1 = d(2025, 1, 2);
     let date2 = d(2025, 1, 3);
     let data = DataSet::from_components_with_actions(

crates/fidc-core/tests/engine_hooks.rs

@@ -2648,13 +2648,6 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
     assert!((result.equity_curve[0].total_equity - 10_458.0).abs() < 1e-6);
     assert!((result.equity_curve[1].cash - 12_416.0).abs() < 1e-6);
     assert!((result.equity_curve[1].total_equity - 11_416.0).abs() < 1e-6);
-    assert!((result.equity_curve[0].external_cash_flow - 500.0).abs() < 1e-6);
-    assert!((result.equity_curve[1].external_cash_flow - 1_000.0).abs() < 1e-6);
-    assert!((result.metrics.external_cash_flow_total - 1_500.0).abs() < 1e-6);
-    // The 1,500 external cash contribution must not be reported as a
-    // strategy return. Only the explicit management fee affects NAV here.
-    assert!(result.metrics.total_return < 0.0);
-    assert!(result.metrics.total_return > -0.01);
     assert!(result.account_events.iter().any(|event| {
         event
             .note

crates/fidc-core/tests/explicit_order_flow.rs

@@ -265,7 +265,7 @@ fn broker_executes_explicit_order_value_buy() {
             ask1: 10.01,
             bid1_volume: 1,
             ask1_volume: 1,
-            volume_delta: 400,
+            volume_delta: 1,
             amount_delta: 0.0,
             trading_phase: Some("continuous".to_string()),
         }],
@@ -551,7 +551,7 @@ fn broker_executes_order_shares_and_order_lots() {
             ask1: 10.01,
             bid1_volume: 1,
             ask1_volume: 1,
-            volume_delta: 400,
+            volume_delta: 1,
             amount_delta: 0.0,
             trading_phase: Some("continuous".to_string()),
         }],
@@ -985,7 +985,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
                 bid1: 9.99,
                 ask1_volume: 1,
                 bid1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -998,7 +998,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
                 bid1: 10.19,
                 ask1_volume: 1,
                 bid1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -1784,7 +1784,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
             ask1: 10.01,
             bid1_volume: 1,
             ask1_volume: 1,
-            volume_delta: 400,
+            volume_delta: 1,
             amount_delta: 0.0,
             trading_phase: Some("continuous".to_string()),
         }],
@@ -1937,7 +1937,7 @@ fn broker_rejects_intraday_last_order_without_execution_quotes() {
 }
 
 #[test]
-fn broker_executes_intraday_last_on_start_quote_with_trade_delta() {
+fn broker_executes_intraday_last_on_start_quote_without_trade_delta() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let data = DataSet::from_components_with_actions_and_quotes(
         vec![Instrument {
@@ -2013,7 +2013,7 @@ fn broker_executes_intraday_last_on_start_quote_with_trade_delta() {
             ask1: 15.21,
             bid1_volume: 8,
             ask1_volume: 8,
-            volume_delta: 800,
+            volume_delta: 0,
             amount_delta: 0.0,
             trading_phase: Some("continuous".to_string()),
         }],
@@ -2131,7 +2131,7 @@ fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted
             ask1: 10.03,
             bid1_volume: 2,
             ask1_volume: 2,
-            volume_delta: 800,
+            volume_delta: 1,
             amount_delta: 0.0,
             trading_phase: Some("continuous".to_string()),
         }],
@@ -2368,7 +2368,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
                 ask1: 10.02,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2381,7 +2381,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
                 ask1: 10.04,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2531,7 +2531,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
                 ask1: 10.02,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2544,7 +2544,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
                 ask1: 10.04,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2678,7 +2678,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
                 ask1: 9.99,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2691,7 +2691,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
                 ask1: 10.02,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2704,7 +2704,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
                 ask1: 10.04,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2717,7 +2717,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
                 ask1: 10.11,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2838,7 +2838,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
                 ask1: 12.01,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2851,7 +2851,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
                 ask1: 12.04,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2864,7 +2864,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
                 ask1: 12.07,
                 bid1_volume: 1,
                 ask1_volume: 1,
-                volume_delta: 400,
+                volume_delta: 1,
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
@@ -2999,7 +2999,7 @@ fn broker_uses_best_own_price_for_intraday_matching() {
             ask1: 10.02,
             bid1_volume: 1,
             ask1_volume: 1,
-            volume_delta: 400,
+            volume_delta: 1,
             amount_delta: 0.0,
             trading_phase: Some("continuous".to_string()),
         }],
@@ -3116,7 +3116,7 @@ fn broker_uses_best_counterparty_price_for_intraday_matching() {
             ask1: 10.02,
             bid1_volume: 1,
             ask1_volume: 1,
-            volume_delta: 400,
+            volume_delta: 1,
             amount_delta: 0.0,
             trading_phase: Some("continuous".to_string()),
         }],
@@ -3321,8 +3321,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
             .order_events
             .iter()
             .all(|event| !(event.symbol == "000002.SZ" && event.side == fidc_core::OrderSide::Buy)),
-        "optimizer should skip unfunded rebalance buy when locked holding cannot be sold: {:#?}",
-        report
+        "optimizer should skip unfunded rebalance buy when locked holding cannot be sold"
     );
     assert_eq!(
         portfolio
@@ -3350,7 +3349,7 @@ fn rebalance_optimizer_skips_unfunded_buy_when_existing_position_cannot_sell() {
 }
 
 #[test]
-fn rebalance_uses_day_open_for_open_auction_valuation() {
+fn rebalance_uses_prev_close_for_open_auction_valuation() {
     let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let data = DataSet::from_components(
@@ -3516,7 +3515,7 @@ fn rebalance_uses_day_open_for_open_auction_valuation() {
     let held = portfolio.position("000001.SZ").expect("held position");
     let target = portfolio.position("000002.SZ").expect("target position");
     assert_eq!(held.quantity, 500);
-    assert_eq!(target.quantity, 900);
+    assert_eq!(target.quantity, 400);
     assert_eq!(report.fill_events.len(), 2);
     assert!(
         report
@@ -3532,7 +3531,7 @@ fn rebalance_uses_day_open_for_open_auction_valuation() {
             .iter()
             .any(|fill| fill.symbol == "000002.SZ"
                 && fill.side == fidc_core::OrderSide::Buy
-                && fill.quantity == 900)
+                && fill.quantity == 400)
     );
 }
 
@@ -3715,179 +3714,14 @@ fn rebalance_optimizer_prioritizes_higher_target_weight_when_cash_is_tight() {
             .iter()
             .any(|event| event.symbol == "000002.SZ" && event.side == fidc_core::OrderSide::Buy)
     );
-    assert!(report.diagnostics.is_empty(), "{:?}", report.diagnostics);
-}
-
-#[test]
-fn rebalance_optimizer_does_not_scale_targets_above_requested_weight() {
-    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
-    let data = DataSet::from_components(
-        vec![
-            Instrument {
-                symbol: "000001.SZ".to_string(),
-                name: "TargetA".to_string(),
-                board: "SZ".to_string(),
-                round_lot: 100,
-                listed_at: None,
-                delisted_at: None,
-                status: "active".to_string(),
-            },
-            Instrument {
-                symbol: "000002.SZ".to_string(),
-                name: "TargetB".to_string(),
-                board: "SZ".to_string(),
-                round_lot: 100,
-                listed_at: None,
-                delisted_at: None,
-                status: "active".to_string(),
-            },
-        ],
-        vec![
-            DailyMarketSnapshot {
-                date,
-                symbol: "000001.SZ".to_string(),
-                timestamp: Some("2024-01-10 10:18:00".to_string()),
-                day_open: 82.0,
-                open: 82.0,
-                high: 83.0,
-                low: 81.0,
-                close: 82.0,
-                last_price: 82.0,
-                bid1: 81.99,
-                ask1: 82.01,
-                prev_close: 82.0,
-                volume: 100_000,
-                minute_volume: 100_000,
-                bid1_volume: 80_000,
-                ask1_volume: 80_000,
-                trading_phase: Some("continuous".to_string()),
-                paused: false,
-                upper_limit: 90.2,
-                lower_limit: 73.8,
-                price_tick: 0.01,
-            },
-            DailyMarketSnapshot {
-                date,
-                symbol: "000002.SZ".to_string(),
-                timestamp: Some("2024-01-10 10:18:00".to_string()),
-                day_open: 82.0,
-                open: 82.0,
-                high: 83.0,
-                low: 81.0,
-                close: 82.0,
-                last_price: 82.0,
-                bid1: 81.99,
-                ask1: 82.01,
-                prev_close: 82.0,
-                volume: 100_000,
-                minute_volume: 100_000,
-                bid1_volume: 80_000,
-                ask1_volume: 80_000,
-                trading_phase: Some("continuous".to_string()),
-                paused: false,
-                upper_limit: 90.2,
-                lower_limit: 73.8,
-                price_tick: 0.01,
-            },
-        ],
-        vec![
-            DailyFactorSnapshot {
-                date,
-                symbol: "000001.SZ".to_string(),
-                market_cap_bn: 50.0,
-                free_float_cap_bn: 45.0,
-                pe_ttm: 15.0,
-                turnover_ratio: Some(2.0),
-                effective_turnover_ratio: Some(1.8),
-                extra_factors: BTreeMap::new(),
-            },
-            DailyFactorSnapshot {
-                date,
-                symbol: "000002.SZ".to_string(),
-                market_cap_bn: 60.0,
-                free_float_cap_bn: 50.0,
-                pe_ttm: 18.0,
-                turnover_ratio: Some(2.0),
-                effective_turnover_ratio: Some(1.8),
-                extra_factors: BTreeMap::new(),
-            },
-        ],
-        vec![
-            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,
-            },
-            CandidateEligibility {
-                date,
-                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,
-            },
-        ],
-        vec![BenchmarkSnapshot {
-            date,
-            benchmark: "000300.SH".to_string(),
-            open: 100.0,
-            close: 100.0,
-            prev_close: 99.0,
-            volume: 1_000_000,
-        }],
-    )
-    .expect("dataset");
-    let mut portfolio = PortfolioState::new(100_000.0);
-    let broker = BrokerSimulator::new_with_execution_price(
-        ChinaAShareCostModel::default(),
-        ChinaEquityRuleHooks::default(),
-        PriceField::Open,
-    );
-
-    broker
-        .execute(
-            date,
-            &mut portfolio,
-            &data,
-            &StrategyDecision {
-                rebalance: true,
-                target_weights: BTreeMap::from([
-                    ("000001.SZ".to_string(), 0.48),
-                    ("000002.SZ".to_string(), 0.48),
-                ]),
-                exit_symbols: BTreeSet::new(),
-                order_intents: Vec::new(),
-                notes: Vec::new(),
-                diagnostics: Vec::new(),
-                risk_decisions: Vec::new(),
-            },
-        )
-        .expect("broker execution");
-
-    assert_eq!(
-        portfolio
-            .position("000001.SZ")
-            .map(|position| position.quantity),
-        Some(500)
-    );
-    assert_eq!(
-        portfolio
-            .position("000002.SZ")
-            .map(|position| position.quantity),
-        Some(500)
+    assert!(
+        report
+            .diagnostics
+            .iter()
+            .any(|line| line.contains("rebalance_safety_scaled")
+                || line.contains("rebalance_buy_reduced")),
+        "expected rebalance diagnostics when cash is tight, got {:?}",
+        report.diagnostics
     );
 }
 

docs/engine-capability-roadmap.md

@@ -20,9 +20,7 @@ futures path. Confirmed aligned areas:
   pending limit orders, cancellation, open order views, and final order lookup.
 - Stock account and portfolio runtime fields including cash, frozen cash, total
   value, transaction cost, trading/position PnL, management fees, financing
-  liability, deposit/withdraw, and position aliases. External deposits and
-  withdrawals are unitized separately from trading PnL; delayed withdrawals
-  are preflighted atomically at settlement.
+  liability, deposit/withdraw, and position aliases.
 - Scheduler, dynamic universe, subscription guard, `history_bars`,
   `current_snapshot`, `get_price`, instruments, trading-date APIs, suspension
   and ST helpers.

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

@@ -21,17 +21,16 @@ runtime_hits="$(
     --glob '!**/docs/**' \
     --glob '!**/*.md' \
     --glob '!**/tests/**' \
-    --glob '!**/*.test.rs' \
-    --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' \
+    'fidatacenter|FIDATACENTER|/v1/backtest/data|/v1/xuntou|ClickHouse|clickhouse|CLICKHOUSE' \
     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"
+  fail "legacy fidatacenter/ClickHouse runtime data source references are not allowed in fidc-backtest-engine" "$runtime_hits"
 fi
 
 manifest_hits="$(
@@ -49,11 +48,10 @@ local_only_hits="$(
     --glob '!**/docs/**' \
     --glob '!**/*.md' \
     --glob '!**/tests/**' \
-    --glob '!**/*.test.rs' \
-    --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' \
+    'FICLAW_DATA_AGENT_URL|ficlaw_data\.source_rows_v1|strategy-factory-source-lake://local' \
     crates Cargo.toml \
     2>/dev/null || true
 )"
@@ -69,8 +67,7 @@ json_query_hits="$(
     --glob '!**/docs/**' \
     --glob '!**/*.md' \
     --glob '!**/tests/**' \
-    --glob '!**/*.test.rs' \
-    --glob '!**/*_test.rs' \
+    --glob '!**/*test*.rs' \
     --glob '!crates/fidc-core/src/strategy_ai.rs' \
     --glob '!scripts/verify-no-legacy-data-source.sh' \
     '/v1/query/(source-rows|daily-execution-prices|minute-execution-prices|instruments|corporate-actions)\.json' \
@@ -89,8 +86,7 @@ fused_hits="$(
     --glob '!**/docs/**' \
     --glob '!**/*.md' \
     --glob '!**/tests/**' \
-    --glob '!**/*.test.rs' \
-    --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' \
@@ -109,8 +105,7 @@ feature_store_hits="$(
     --glob '!**/docs/**' \
     --glob '!**/*.md' \
     --glob '!**/tests/**' \
-    --glob '!**/*.test.rs' \
-    --glob '!**/*_test.rs' \
+    --glob '!**/*test*.rs' \
     --glob '!crates/fidc-core/src/strategy_ai.rs' \
     --glob '!scripts/verify-no-legacy-data-source.sh' \
     'research_feature_store|feature_store|FEATURE_STORE|daily_minute_current|FIDC_STRATEGY_FACTORY_ENABLE_FEATURE_STORE_CACHE|ALPHA_FACTORY_ENABLE_FEATURE_STORE_CACHE|ENABLE_FEATURE_STORE_CACHE' \
@@ -129,8 +124,7 @@ truth_csv_hits="$(
     --glob '!**/docs/**' \
     --glob '!**/*.md' \
     --glob '!**/tests/**' \
-    --glob '!**/*.test.rs' \
-    --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' \
@@ -149,8 +143,7 @@ csv_snapshot_loader_hits="$(
     --glob '!**/docs/**' \
     --glob '!**/*.md' \
     --glob '!**/tests/**' \
-    --glob '!**/*.test.rs' \
-    --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 \

scripts/verify-runtime-risk-contracts.sh

@@ -1,64 +0,0 @@
-#!/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_selection_uses_complete_static_risk_policy_before_universe_output
-run_core_test platform_next_open_defers_complete_static_selection_risk_before_universe_output
-run_core_test platform_next_open_selection_ignores_execution_day_limit_state
-run_core_test platform_next_open_selection_applies_explicit_signal_day_risk_filter
-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'