perf: isolate ordered selection hot path

This reverts commit b2da70897a.

Cargo.lock

@@ -146,6 +146,7 @@ checksum = "877a4ace8713b0bcf2a4e7eec82529c029f1d0619886d18145fea96c3ffe5c0f"
 name = "fidc-core"
 version = "0.1.0"
 dependencies = [
+ "ahash",
  "chrono",
  "indexmap",
  "rayon",

Cargo.toml

@@ -11,6 +11,7 @@ version = "0.1.0"
 authors = ["OpenAI Codex"]
 
 [workspace.dependencies]
+ahash = "=0.8.12"
 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"] }

README.md

@@ -2,6 +2,16 @@
 
 面向中国 A 股和期货策略的 Rust 回测核心。仓库目标是提供平台自有的策略 DSL、执行模型、撮合模型和结果分析能力，最终由 `fidc-backtest-service` 对外提供策略运行服务。
 
+## Runtime position exposure schedule
+
+`strategy_spec.runtimeExpressions.risk.positionExposureSchedule` accepts dated
+`effectiveDate` plus `targetExposureBps` points. The platform expression strategy
+uses the latest point whose date is not later than the current execution date and
+otherwise keeps the strategy's normal `exposureExpr`. This contract is intended for
+audited runtime controls replayed by paper/live shadow reconciliation; it is not a
+market-data signal and does not change selection, pricing, fees, or execution-day
+risk checks.
+
 ## 当前能力
 
 - 日频和分钟执行价策略生命周期与确定性回放。
@@ -83,6 +93,10 @@
 
 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。
 
+盘后固定价格不是策略类型，也不是 `matchingType`。自 2026-07-06 起，只有实际同日提交时间落在 15:00–15:30 的普通委托才由 broker 进入盘后固定价格执行阶段；15:00–15:04 的委托等待到 15:05，15:05–15:30 按官方收盘价和真实盘后成交量撮合，不叠加滑点，未成交余量不跨日。窗口外委托继续沿用连续竞价、当前收盘或下一交易日开盘合同；`next_bar_open` 策略即使在 15:00 生成信号，也不得被改写为同日盘后委托。缺失盘后行情时必须明确不成交，禁止回退全天成交量或 15:00 前分钟行情。
+
+分钟回放使用行情时间戳与策略定时事件的有序合并时钟。`OnDay`、`Bar` 或 `Minute` 阶段只要声明显式 `physical_time`，就必须在各自真实分钟进入同一时间轴，即使该分钟没有预加载行情也必须触发，并由执行层按需查询该时点或之前最新有效价格；同一时间戳只形成一个事件，scheduler 回调先于 `on_minute`。日线 `current_bar_close` 无显式时间时使用官方日收盘，有显式时间时使用该触发点的 `Last` 行情，禁止读取下一分钟；多个时间点分别执行，禁止压成最后一个时间、把早盘单改成盘后单或依赖已有 BAR 才触发。`next_bar_open` 的 T 日信号时钟继续留在粗粒度决策阶段，不能延迟到 T+1 的同名分钟。
+
 `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

crates/fidc-core/Cargo.toml

@@ -6,6 +6,7 @@ license.workspace = true
 authors.workspace = true
 
 [dependencies]
+ahash.workspace = true
 chrono.workspace = true
 indexmap.workspace = true
 rayon.workspace = true

crates/fidc-core/src/cost.rs

@@ -3,6 +3,7 @@ use std::collections::BTreeMap;
 use chrono::NaiveDate;
 
 use crate::events::OrderSide;
+use crate::fixed_point::{FixedChinaAShareCostModel, FixedMoney, FixedTradingCost};
 use crate::risk_control::TradingConstraintConfig;
 
 #[derive(Debug, Clone, Copy)]
@@ -14,7 +15,20 @@ pub struct TradingCost {
 
 impl TradingCost {
     pub fn total(self) -> f64 {
-        self.commission + self.stamp_tax + self.transfer_fee
+        self.fixed_total().to_f64()
+    }
+
+    pub fn fixed_total(self) -> FixedMoney {
+        FixedMoney::checked_sum_f64([self.commission, self.stamp_tax, self.transfer_fee])
+            .expect("trading costs must be finite fixed-point money")
+    }
+
+    fn from_fixed(value: FixedTradingCost) -> Self {
+        Self {
+            commission: value.commission.to_f64(),
+            stamp_tax: value.stamp_tax.to_f64(),
+            transfer_fee: value.transfer_fee.to_f64(),
+        }
     }
 }
 
@@ -35,12 +49,7 @@ pub trait CostModel {
 
 #[derive(Debug, Clone, Copy)]
 pub struct ChinaAShareCostModel {
-    pub commission_rate: f64,
-    pub stamp_tax_rate_before_change: f64,
-    pub stamp_tax_rate_after_change: f64,
-    pub stamp_tax_change_date: NaiveDate,
-    pub minimum_commission: f64,
-    pub transfer_fee_rate: f64,
+    fixed: FixedChinaAShareCostModel,
 }
 
 impl Default for ChinaAShareCostModel {
@@ -52,42 +61,121 @@ impl Default for ChinaAShareCostModel {
 impl ChinaAShareCostModel {
     pub fn from_trading_constraints(config: TradingConstraintConfig) -> Self {
         Self {
-            commission_rate: config.commission_rate,
-            stamp_tax_rate_before_change: config.stamp_tax_rate_before_change,
-            stamp_tax_rate_after_change: config.stamp_tax_rate_after_change,
-            stamp_tax_change_date: config.stamp_tax_change_date,
-            minimum_commission: config.minimum_commission,
-            transfer_fee_rate: config.transfer_fee_rate,
+            fixed: FixedChinaAShareCostModel {
+                commission_rate: Self::fixed_money(config.commission_rate, "commission rate"),
+                stamp_tax_rate_before_change: Self::fixed_money(
+                    config.stamp_tax_rate_before_change,
+                    "stamp tax rate before change",
+                ),
+                stamp_tax_rate_after_change: Self::fixed_money(
+                    config.stamp_tax_rate_after_change,
+                    "stamp tax rate after change",
+                ),
+                stamp_tax_change_date: config.stamp_tax_change_date,
+                minimum_commission: Self::fixed_money(
+                    config.minimum_commission,
+                    "minimum commission",
+                ),
+                transfer_fee_rate: Self::fixed_money(config.transfer_fee_rate, "transfer fee rate"),
+            },
         }
     }
 
+    pub fn set_commission_rate(&mut self, value: f64) {
+        self.fixed.commission_rate = Self::fixed_money(value, "commission rate");
+    }
+
+    pub fn set_minimum_commission(&mut self, value: f64) {
+        self.fixed.minimum_commission = Self::fixed_money(value, "minimum commission");
+    }
+
+    pub fn set_transfer_fee_rate(&mut self, value: f64) {
+        self.fixed.transfer_fee_rate = Self::fixed_money(value, "transfer fee rate");
+    }
+
+    pub fn set_stamp_tax_rate_before_change(&mut self, value: f64) {
+        self.fixed.stamp_tax_rate_before_change =
+            Self::fixed_money(value, "stamp tax rate before change");
+    }
+
+    pub fn set_stamp_tax_rate_after_change(&mut self, value: f64) {
+        self.fixed.stamp_tax_rate_after_change =
+            Self::fixed_money(value, "stamp tax rate after change");
+    }
+
+    pub fn set_stamp_tax_change_date(&mut self, value: NaiveDate) {
+        self.fixed.stamp_tax_change_date = value;
+    }
+
+    pub fn commission_rate(&self) -> f64 {
+        self.fixed.commission_rate.to_f64()
+    }
+
+    pub fn minimum_commission(&self) -> f64 {
+        self.fixed.minimum_commission.to_f64()
+    }
+
+    pub fn transfer_fee_rate(&self) -> f64 {
+        self.fixed.transfer_fee_rate.to_f64()
+    }
+
+    pub fn stamp_tax_rate_before_change(&self) -> f64 {
+        self.fixed.stamp_tax_rate_before_change.to_f64()
+    }
+
+    pub fn stamp_tax_rate_after_change(&self) -> f64 {
+        self.fixed.stamp_tax_rate_after_change.to_f64()
+    }
+
+    pub fn stamp_tax_change_date(&self) -> NaiveDate {
+        self.fixed.stamp_tax_change_date
+    }
+
+    pub fn with_commission_rate(mut self, value: f64) -> Self {
+        self.set_commission_rate(value);
+        self
+    }
+
+    pub fn with_minimum_commission(mut self, value: f64) -> Self {
+        self.set_minimum_commission(value);
+        self
+    }
+
+    pub fn with_stamp_tax_rates(mut self, before: f64, after: f64) -> Self {
+        self.set_stamp_tax_rate_before_change(before);
+        self.set_stamp_tax_rate_after_change(after);
+        self
+    }
+
     pub fn commission_for(&self, gross_amount: f64) -> f64 {
         if gross_amount <= 0.0 {
             return 0.0;
         }
-        (gross_amount * self.commission_rate).max(self.minimum_commission)
+        self.fixed_model()
+            .commission_for(Self::fixed_money(gross_amount, "gross amount"))
+            .to_f64()
     }
 
     pub fn stamp_tax_rate_for(&self, date: NaiveDate) -> f64 {
-        if date < self.stamp_tax_change_date {
-            self.stamp_tax_rate_before_change
-        } else {
-            self.stamp_tax_rate_after_change
-        }
+        self.fixed.stamp_tax_rate_for(date).to_f64()
     }
 
     pub fn stamp_tax_for(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> f64 {
         if gross_amount <= 0.0 || side == OrderSide::Buy {
             return 0.0;
         }
-        gross_amount * self.stamp_tax_rate_for(date)
+        self.fixed_model()
+            .stamp_tax_for(date, side, Self::fixed_money(gross_amount, "gross amount"))
+            .to_f64()
     }
 
     pub fn transfer_fee_for(&self, gross_amount: f64) -> f64 {
         if gross_amount <= 0.0 {
             return 0.0;
         }
-        gross_amount * self.transfer_fee_rate
+        self.fixed_model()
+            .transfer_fee_for(Self::fixed_money(gross_amount, "gross amount"))
+            .to_f64()
     }
 
     pub fn commission_for_order_fill(
@@ -100,31 +188,29 @@ impl ChinaAShareCostModel {
             return 0.0;
         }
 
-        let raw_commission = gross_amount * self.commission_rate;
         let Some(order_id) = order_id else {
-            return raw_commission.max(self.minimum_commission);
+            return self.commission_for(gross_amount);
         };
 
         let remaining_minimum = commission_state
             .entry(order_id)
-            .or_insert(self.minimum_commission);
-        if raw_commission > *remaining_minimum {
-            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
-                raw_commission
-            } else {
-                raw_commission - *remaining_minimum
-            };
-            *remaining_minimum = 0.0;
-            charged
-        } else {
-            let charged = if (*remaining_minimum - self.minimum_commission).abs() < 1e-12 {
-                self.minimum_commission
-            } else {
-                0.0
-            };
-            *remaining_minimum -= raw_commission;
-            charged
-        }
+            .or_insert(self.fixed.minimum_commission.to_f64());
+        let mut fixed_remaining = Self::fixed_money(*remaining_minimum, "remaining commission");
+        let charged = self.fixed_model().commission_for_order_fill_remaining(
+            Self::fixed_money(gross_amount, "gross amount"),
+            &mut fixed_remaining,
+        );
+        *remaining_minimum = fixed_remaining.to_f64();
+        charged.to_f64()
+    }
+
+    fn fixed_money(value: f64, label: &str) -> FixedMoney {
+        FixedMoney::from_f64(value)
+            .unwrap_or_else(|| panic!("{label} is not representable as fixed-point money: {value}"))
+    }
+
+    fn fixed_model(&self) -> FixedChinaAShareCostModel {
+        self.fixed
     }
 }
 
@@ -138,15 +224,11 @@ impl CostModel for ChinaAShareCostModel {
             };
         }
 
-        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,
-        }
+        TradingCost::from_fixed(self.fixed_model().calculate(
+            date,
+            side,
+            Self::fixed_money(gross_amount, "gross amount"),
+        ))
     }
 
     fn calculate_with_order_state(
@@ -165,15 +247,25 @@ impl CostModel for ChinaAShareCostModel {
             };
         }
 
-        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 {
+        let fixed_model = self.fixed_model();
+        let fixed_gross = Self::fixed_money(gross_amount, "gross amount");
+        let commission = if let Some(order_id) = order_id {
+            let remaining = commission_state
+                .entry(order_id)
+                .or_insert(self.fixed.minimum_commission.to_f64());
+            let mut fixed_remaining = Self::fixed_money(*remaining, "remaining commission");
+            let commission =
+                fixed_model.commission_for_order_fill_remaining(fixed_gross, &mut fixed_remaining);
+            *remaining = fixed_remaining.to_f64();
+            commission
+        } else {
+            fixed_model.commission_for(fixed_gross)
+        };
+        TradingCost::from_fixed(FixedTradingCost {
             commission,
-            stamp_tax,
-            transfer_fee,
-        }
+            stamp_tax: fixed_model.stamp_tax_for(date, side, fixed_gross),
+            transfer_fee: fixed_model.transfer_fee_for(fixed_gross),
+        })
     }
 }
 
@@ -182,13 +274,13 @@ mod tests {
     use super::*;
 
     #[test]
-    fn default_matches_configurable_trading_constraints() {
+    fn default_quantizes_fees_to_micro_yuan() {
         let model = ChinaAShareCostModel::default();
         let date = NaiveDate::from_ymd_opt(2025, 11, 11).expect("valid date");
 
-        assert!((model.commission_for(248_059.812) - 74.4179436).abs() < 1e-9);
+        assert!((model.commission_for(248_059.812) - 74.417944).abs() < 1e-12);
         assert!(
-            (model.stamp_tax_for(date, OrderSide::Sell, 245_747.007) - 122.8735035).abs() < 1e-9
+            (model.stamp_tax_for(date, OrderSide::Sell, 245_747.007) - 122.873504).abs() < 1e-12
         );
     }
 

crates/fidc-core/src/event_bus.rs

@@ -125,6 +125,15 @@ impl ProcessEventBus {
         loader.install_enabled(self, enabled_names)
     }
 
+    pub fn has_listeners_for(&self, kinds: &[ProcessEventKind]) -> bool {
+        !self.any_listeners.is_empty()
+            || kinds.iter().any(|kind| {
+                self.listeners
+                    .get(kind)
+                    .is_some_and(|listeners| !listeners.is_empty())
+            })
+    }
+
     pub fn publish(&mut self, event: &ProcessEvent) {
         if let Some(listeners) = self.listeners.get_mut(&event.kind) {
             for listener in listeners {

crates/fidc-core/src/events.rs

@@ -1,4 +1,4 @@
-use chrono::NaiveDate;
+use chrono::{NaiveDate, NaiveDateTime};
 use serde::{Deserialize, Serialize};
 
 mod date_format {
@@ -50,6 +50,35 @@ mod optional_date_format {
     }
 }
 
+mod optional_datetime_format {
+    use chrono::NaiveDateTime;
+    use serde::{self, Deserialize, Deserializer, Serializer};
+
+    const FORMAT: &str = "%Y-%m-%d %H:%M:%S%.f";
+
+    pub fn serialize<S>(datetime: &Option<NaiveDateTime>, serializer: S) -> Result<S::Ok, S::Error>
+    where
+        S: Serializer,
+    {
+        match datetime {
+            Some(datetime) => serializer.serialize_some(&datetime.format(FORMAT).to_string()),
+            None => serializer.serialize_none(),
+        }
+    }
+
+    pub fn deserialize<'de, D>(deserializer: D) -> Result<Option<NaiveDateTime>, D::Error>
+    where
+        D: Deserializer<'de>,
+    {
+        let value = Option::<String>::deserialize(deserializer)?;
+        value
+            .map(|text| {
+                NaiveDateTime::parse_from_str(&text, FORMAT).map_err(serde::de::Error::custom)
+            })
+            .transpose()
+    }
+}
+
 #[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
 pub enum OrderSide {
     Buy,
@@ -72,6 +101,7 @@ pub enum OrderStatus {
     PartiallyFilled,
     Canceled,
     Rejected,
+    Expired,
 }
 
 impl OrderStatus {
@@ -82,6 +112,7 @@ impl OrderStatus {
             Self::PartiallyFilled => "partially_filled",
             Self::Canceled => "canceled",
             Self::Rejected => "rejected",
+            Self::Expired => "expired",
         }
     }
 }
@@ -106,6 +137,50 @@ pub struct OrderEvent {
     pub reason: String,
 }
 
+impl OrderEvent {
+    pub fn validate(&self) -> Result<(), String> {
+        if self.symbol.trim().is_empty() || self.requested_quantity == 0 {
+            return Err(format!(
+                "invalid order identity/quantity order_id={:?} symbol={} requested={}",
+                self.order_id, self.symbol, self.requested_quantity
+            ));
+        }
+        if self.filled_quantity > self.requested_quantity {
+            return Err(format!(
+                "order overfill order_id={:?} requested={} filled={}",
+                self.order_id, self.requested_quantity, self.filled_quantity
+            ));
+        }
+        let quantity_valid = match self.status {
+            OrderStatus::Pending => self.filled_quantity < self.requested_quantity,
+            OrderStatus::Filled => self.filled_quantity == self.requested_quantity,
+            OrderStatus::PartiallyFilled => {
+                self.filled_quantity > 0 && self.filled_quantity < self.requested_quantity
+            }
+            OrderStatus::Canceled => self.filled_quantity < self.requested_quantity,
+            OrderStatus::Rejected => self.filled_quantity == 0,
+            OrderStatus::Expired => self.filled_quantity < self.requested_quantity,
+        };
+        if !quantity_valid {
+            return Err(format!(
+                "order status/quantity mismatch order_id={:?} status={} requested={} filled={}",
+                self.order_id,
+                self.status.as_str(),
+                self.requested_quantity,
+                self.filled_quantity
+            ));
+        }
+        if self.reason.trim().is_empty() {
+            return Err(format!(
+                "order reason is empty order_id={:?} status={}",
+                self.order_id,
+                self.status.as_str()
+            ));
+        }
+        Ok(())
+    }
+}
+
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct FillEvent {
     #[serde(with = "date_format")]
@@ -116,6 +191,18 @@ pub struct FillEvent {
     pub order_created_date: Option<NaiveDate>,
     #[serde(default, with = "optional_date_format")]
     pub execution_date: Option<NaiveDate>,
+    #[serde(
+        default,
+        with = "optional_datetime_format",
+        skip_serializing_if = "Option::is_none"
+    )]
+    pub execution_start_timestamp: Option<NaiveDateTime>,
+    #[serde(
+        default,
+        with = "optional_datetime_format",
+        skip_serializing_if = "Option::is_none"
+    )]
+    pub execution_timestamp: Option<NaiveDateTime>,
     #[serde(default)]
     pub order_id: Option<u64>,
     pub symbol: String,
@@ -130,6 +217,42 @@ pub struct FillEvent {
     pub reason: String,
 }
 
+impl FillEvent {
+    pub fn validate(&self) -> Result<(), String> {
+        if self.symbol.trim().is_empty()
+            || self.quantity == 0
+            || !self.price.is_finite()
+            || self.price <= 0.0
+        {
+            return Err(format!(
+                "invalid fill identity/quantity/price order_id={:?} symbol={} quantity={} price={}",
+                self.order_id, self.symbol, self.quantity, self.price
+            ));
+        }
+        if let (Some(start), Some(end)) = (self.execution_start_timestamp, self.execution_timestamp)
+        {
+            if start > end {
+                return Err(format!(
+                    "fill execution timestamp order is invalid order_id={:?} start={} end={}",
+                    self.order_id, start, end
+                ));
+            }
+            if start.date() != self.date || end.date() != self.date {
+                return Err(format!(
+                    "fill execution timestamp date mismatch order_id={:?} fill_date={} start={} end={}",
+                    self.order_id, self.date, start, end
+                ));
+            }
+        } else if self.execution_start_timestamp.is_some() || self.execution_timestamp.is_some() {
+            return Err(format!(
+                "fill execution timestamp range is incomplete order_id={:?}",
+                self.order_id
+            ));
+        }
+        Ok(())
+    }
+}
+
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct PositionEvent {
     #[serde(with = "date_format")]
@@ -183,6 +306,9 @@ pub enum ProcessEventKind {
     OrderPendingCancel,
     OrderCancellationPass,
     OrderCancellationReject,
+    OrderPendingUpdate,
+    OrderUpdatePass,
+    OrderUpdateReject,
     OrderUnsolicitedUpdate,
     Trade,
     UniverseUpdated,
@@ -225,6 +351,9 @@ impl ProcessEventKind {
             Self::OrderPendingCancel => "order_pending_cancel",
             Self::OrderCancellationPass => "order_cancellation_pass",
             Self::OrderCancellationReject => "order_cancellation_reject",
+            Self::OrderPendingUpdate => "order_pending_update",
+            Self::OrderUpdatePass => "order_update_pass",
+            Self::OrderUpdateReject => "order_update_reject",
             Self::OrderUnsolicitedUpdate => "order_unsolicited_update",
             Self::Trade => "trade",
             Self::UniverseUpdated => "universe_updated",
@@ -235,6 +364,38 @@ impl ProcessEventKind {
             Self::AccountManagementFee => "account_management_fee",
         }
     }
+
+    /// Returns whether the event is part of the durable business lifecycle
+    /// audit. Phase boundary events are useful during interactive debugging,
+    /// but retaining every minute phase marker for a long run is unnecessary.
+    pub fn is_business_lifecycle(&self) -> bool {
+        matches!(
+            *self,
+            Self::PreScheduled
+                | Self::PostScheduled
+                | Self::PreOnDay
+                | Self::OnDay
+                | Self::PostOnDay
+                | Self::OrderPendingNew
+                | Self::OrderCreationPass
+                | Self::OrderCreationReject
+                | Self::OrderPendingCancel
+                | Self::OrderCancellationPass
+                | Self::OrderCancellationReject
+                | Self::OrderPendingUpdate
+                | Self::OrderUpdatePass
+                | Self::OrderUpdateReject
+                | Self::OrderUnsolicitedUpdate
+                | Self::Trade
+                | Self::UniverseUpdated
+                | Self::UniverseSubscribed
+                | Self::UniverseUnsubscribed
+                | Self::AccountDepositWithdraw
+                | Self::AccountFinanceRepay
+                | Self::AccountManagementFee
+                | Self::Settlement
+        )
+    }
 }
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
@@ -250,3 +411,116 @@ pub struct ProcessEvent {
     pub side: Option<OrderSide>,
     pub detail: String,
 }
+
+#[cfg(test)]
+mod tests {
+    use chrono::{NaiveDate, NaiveDateTime};
+
+    use super::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEventKind};
+
+    fn order_event(status: OrderStatus, filled_quantity: u32) -> OrderEvent {
+        OrderEvent {
+            date: NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(),
+            decision_date: None,
+            order_created_date: None,
+            execution_date: None,
+            order_id: Some(1),
+            symbol: "600000.SH".to_string(),
+            side: OrderSide::Buy,
+            requested_quantity: 100,
+            filled_quantity,
+            status,
+            reason: "test".to_string(),
+        }
+    }
+
+    #[test]
+    fn order_event_status_quantity_contract_is_explicit() {
+        assert!(order_event(OrderStatus::Pending, 0).validate().is_ok());
+        assert!(
+            order_event(OrderStatus::PartiallyFilled, 40)
+                .validate()
+                .is_ok()
+        );
+        assert!(order_event(OrderStatus::Filled, 100).validate().is_ok());
+        assert!(order_event(OrderStatus::Canceled, 40).validate().is_ok());
+        assert!(order_event(OrderStatus::Rejected, 0).validate().is_ok());
+        assert!(order_event(OrderStatus::Expired, 40).validate().is_ok());
+
+        assert!(
+            order_event(OrderStatus::PartiallyFilled, 0)
+                .validate()
+                .is_err()
+        );
+        assert!(order_event(OrderStatus::Filled, 99).validate().is_err());
+        assert!(order_event(OrderStatus::Canceled, 100).validate().is_err());
+        assert!(order_event(OrderStatus::Rejected, 1).validate().is_err());
+        assert!(order_event(OrderStatus::Expired, 100).validate().is_err());
+    }
+
+    fn fill_event(start: Option<NaiveDateTime>, end: Option<NaiveDateTime>) -> FillEvent {
+        FillEvent {
+            date: NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(),
+            decision_date: None,
+            order_created_date: None,
+            execution_date: None,
+            execution_start_timestamp: start,
+            execution_timestamp: end,
+            order_id: Some(1),
+            symbol: "600000.SH".to_string(),
+            side: OrderSide::Buy,
+            quantity: 100,
+            price: 10.0,
+            gross_amount: 1_000.0,
+            commission: 5.0,
+            stamp_tax: 0.0,
+            transfer_fee: 0.0,
+            net_cash_flow: -1_005.0,
+            reason: "test".to_string(),
+        }
+    }
+
+    #[test]
+    fn fill_execution_timestamp_range_is_explicit_and_backward_compatible() {
+        let start = NaiveDate::from_ymd_opt(2025, 1, 2)
+            .unwrap()
+            .and_hms_opt(10, 18, 0)
+            .unwrap();
+        let end = start + chrono::Duration::seconds(3);
+        assert!(fill_event(Some(start), Some(end)).validate().is_ok());
+        assert!(fill_event(Some(end), Some(start)).validate().is_err());
+        assert!(fill_event(Some(start), None).validate().is_err());
+
+        let next_day = start + chrono::Duration::days(1);
+        assert!(
+            fill_event(Some(next_day), Some(next_day))
+                .validate()
+                .is_err()
+        );
+
+        let legacy = fill_event(None, None);
+        let legacy_json = serde_json::to_value(&legacy).unwrap();
+        assert!(legacy_json.get("execution_start_timestamp").is_none());
+        assert!(legacy_json.get("execution_timestamp").is_none());
+        let decoded: FillEvent = serde_json::from_value(legacy_json).unwrap();
+        assert_eq!(decoded.execution_start_timestamp, None);
+        assert_eq!(decoded.execution_timestamp, None);
+
+        let timestamped_json = serde_json::to_value(fill_event(Some(start), Some(end))).unwrap();
+        assert_eq!(
+            timestamped_json["execution_start_timestamp"],
+            "2025-01-02 10:18:00"
+        );
+        assert_eq!(
+            timestamped_json["execution_timestamp"],
+            "2025-01-02 10:18:03"
+        );
+    }
+    #[test]
+    fn process_event_business_lifecycle_filter_keeps_audit_events_only() {
+        assert!(ProcessEventKind::OrderUpdateReject.is_business_lifecycle());
+        assert!(ProcessEventKind::Settlement.is_business_lifecycle());
+        assert!(!ProcessEventKind::PreMinute.is_business_lifecycle());
+        assert!(!ProcessEventKind::PostBar.is_business_lifecycle());
+    }
+}

crates/fidc-core/src/fixed_point.rs

@@ -0,0 +1,566 @@
+//! Fixed-point execution primitives for money and fee arithmetic.
+//!
+//! Market data and analytics remain floating point at their API boundaries.
+//! The execution kernel quantizes monetary values to micro-yuan before fee,
+//! budget and cash-ledger arithmetic so repeated fills and external cash flows
+//! do not accumulate binary floating-point drift.
+
+use std::collections::{BTreeMap, VecDeque};
+
+use chrono::NaiveDate;
+
+use crate::events::OrderSide;
+
+pub const MONEY_SCALE: i128 = 1_000_000;
+const MONEY_SCALE_F64: f64 = MONEY_SCALE as f64;
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord, Hash, Default)]
+pub struct FixedMoney(i128);
+
+impl FixedMoney {
+    pub const ZERO: Self = Self(0);
+
+    pub const fn from_raw(raw: i128) -> Self {
+        Self(raw)
+    }
+
+    pub const fn raw(self) -> i128 {
+        self.0
+    }
+
+    pub fn from_decimal_str(value: &str) -> Result<Self, String> {
+        let value = value.trim();
+        if value.is_empty() {
+            return Err("fixed money value is empty".to_string());
+        }
+        let (negative, unsigned) = match value.as_bytes()[0] {
+            b'-' => (true, &value[1..]),
+            b'+' => (false, &value[1..]),
+            _ => (false, value),
+        };
+        let mut parts = unsigned.split('.');
+        let whole = parts.next().unwrap_or_default();
+        let fractional = parts.next().unwrap_or_default();
+        if parts.next().is_some()
+            || whole.is_empty()
+            || !whole.bytes().all(|byte| byte.is_ascii_digit())
+            || !fractional.bytes().all(|byte| byte.is_ascii_digit())
+        {
+            return Err(format!("invalid fixed money decimal: {value}"));
+        }
+        let whole = whole
+            .parse::<i128>()
+            .map_err(|_| format!("fixed money whole part is out of range: {value}"))?;
+        let mut fractional_digits = fractional.as_bytes().to_vec();
+        let round_up = fractional_digits.len() > 6 && fractional_digits[6] >= b'5';
+        fractional_digits.truncate(6);
+        while fractional_digits.len() < 6 {
+            fractional_digits.push(b'0');
+        }
+        let fractional = if fractional_digits.is_empty() {
+            0
+        } else {
+            std::str::from_utf8(&fractional_digits)
+                .expect("fractional digits are ASCII")
+                .parse::<i128>()
+                .map_err(|_| format!("fixed money fractional part is invalid: {value}"))?
+        };
+        let mut raw = whole
+            .checked_mul(MONEY_SCALE)
+            .and_then(|raw| raw.checked_add(fractional))
+            .ok_or_else(|| format!("fixed money value is out of range: {value}"))?;
+        if round_up {
+            raw = raw
+                .checked_add(1)
+                .ok_or_else(|| format!("fixed money value is out of range: {value}"))?;
+        }
+        Ok(Self(if negative { -raw } else { raw }))
+    }
+
+    pub fn from_f64(value: f64) -> Option<Self> {
+        if !value.is_finite() {
+            return None;
+        }
+        let raw = (value * MONEY_SCALE_F64).round();
+        if !raw.is_finite() || raw < i128::MIN as f64 || raw > i128::MAX as f64 {
+            return None;
+        }
+        Some(Self(raw as i128))
+    }
+
+    pub fn to_f64(self) -> f64 {
+        self.0 as f64 / MONEY_SCALE_F64
+    }
+
+    pub fn checked_add(self, other: Self) -> Option<Self> {
+        self.0.checked_add(other.0).map(Self)
+    }
+
+    pub fn checked_sub(self, other: Self) -> Option<Self> {
+        self.0.checked_sub(other.0).map(Self)
+    }
+
+    pub fn checked_mul_quantity(self, quantity: u64) -> Option<Self> {
+        self.0.checked_mul(i128::from(quantity)).map(Self)
+    }
+
+    pub fn checked_neg(self) -> Option<Self> {
+        self.0.checked_neg().map(Self)
+    }
+
+    pub fn checked_mul_rate(self, rate: Self) -> Option<Self> {
+        let product = self.0.checked_mul(rate.0)?;
+        let half = MONEY_SCALE / 2;
+        let rounded = if product >= 0 {
+            product.checked_add(half)? / MONEY_SCALE
+        } else {
+            product.checked_sub(half)? / MONEY_SCALE
+        };
+        Some(Self(rounded))
+    }
+
+    pub fn checked_sum_f64(values: impl IntoIterator<Item = f64>) -> Option<Self> {
+        values.into_iter().try_fold(Self::ZERO, |total, value| {
+            total.checked_add(Self::from_f64(value)?)
+        })
+    }
+
+    pub fn f64_fits_within(value: f64, limit: f64) -> Option<bool> {
+        let value = Self::from_f64(value)?;
+        if limit == f64::INFINITY {
+            return Some(true);
+        }
+        Some(value <= Self::from_f64(limit)?)
+    }
+
+    pub fn abs(self) -> Self {
+        Self(self.0.abs())
+    }
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Default)]
+pub struct FixedTradingCost {
+    pub commission: FixedMoney,
+    pub stamp_tax: FixedMoney,
+    pub transfer_fee: FixedMoney,
+}
+
+impl FixedTradingCost {
+    pub fn total(self) -> FixedMoney {
+        FixedMoney::from_raw(self.commission.raw() + self.stamp_tax.raw() + self.transfer_fee.raw())
+    }
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+pub struct FixedChinaAShareCostModel {
+    pub commission_rate: FixedMoney,
+    pub stamp_tax_rate_before_change: FixedMoney,
+    pub stamp_tax_rate_after_change: FixedMoney,
+    pub stamp_tax_change_date: NaiveDate,
+    pub minimum_commission: FixedMoney,
+    pub transfer_fee_rate: FixedMoney,
+}
+
+impl FixedChinaAShareCostModel {
+    pub fn commission_for(self, gross_amount: FixedMoney) -> FixedMoney {
+        if gross_amount.raw() <= 0 {
+            return FixedMoney::ZERO;
+        }
+        let raw = gross_amount
+            .checked_mul_rate(self.commission_rate)
+            .expect("fixed commission multiplication overflow");
+        raw.max(self.minimum_commission)
+    }
+
+    pub fn stamp_tax_rate_for(self, date: NaiveDate) -> FixedMoney {
+        if date < self.stamp_tax_change_date {
+            self.stamp_tax_rate_before_change
+        } else {
+            self.stamp_tax_rate_after_change
+        }
+    }
+
+    pub fn stamp_tax_for(
+        self,
+        date: NaiveDate,
+        side: OrderSide,
+        gross_amount: FixedMoney,
+    ) -> FixedMoney {
+        if gross_amount.raw() <= 0 || side == OrderSide::Buy {
+            return FixedMoney::ZERO;
+        }
+        gross_amount
+            .checked_mul_rate(self.stamp_tax_rate_for(date))
+            .expect("fixed stamp tax multiplication overflow")
+    }
+
+    pub fn transfer_fee_for(self, gross_amount: FixedMoney) -> FixedMoney {
+        if gross_amount.raw() <= 0 {
+            return FixedMoney::ZERO;
+        }
+        gross_amount
+            .checked_mul_rate(self.transfer_fee_rate)
+            .expect("fixed transfer fee multiplication overflow")
+    }
+
+    pub fn calculate(
+        self,
+        date: NaiveDate,
+        side: OrderSide,
+        gross_amount: FixedMoney,
+    ) -> FixedTradingCost {
+        FixedTradingCost {
+            commission: self.commission_for(gross_amount),
+            stamp_tax: self.stamp_tax_for(date, side, gross_amount),
+            transfer_fee: self.transfer_fee_for(gross_amount),
+        }
+    }
+
+    pub fn commission_for_order_fill(
+        self,
+        gross_amount: FixedMoney,
+        order_id: Option<u64>,
+        commission_state: &mut BTreeMap<u64, FixedMoney>,
+    ) -> FixedMoney {
+        if gross_amount.raw() <= 0 {
+            return FixedMoney::ZERO;
+        }
+        let raw = gross_amount
+            .checked_mul_rate(self.commission_rate)
+            .expect("fixed commission multiplication overflow");
+        let Some(order_id) = order_id else {
+            return raw.max(self.minimum_commission);
+        };
+        let remaining = commission_state
+            .entry(order_id)
+            .or_insert(self.minimum_commission);
+        self.commission_for_order_fill_remaining(gross_amount, remaining)
+    }
+
+    pub fn commission_for_order_fill_remaining(
+        self,
+        gross_amount: FixedMoney,
+        remaining: &mut FixedMoney,
+    ) -> FixedMoney {
+        if gross_amount.raw() <= 0 {
+            return FixedMoney::ZERO;
+        }
+        let raw = gross_amount
+            .checked_mul_rate(self.commission_rate)
+            .expect("fixed commission multiplication overflow");
+        if raw > *remaining {
+            let charged = if *remaining == self.minimum_commission {
+                raw
+            } else {
+                raw.checked_sub(*remaining)
+                    .expect("fixed remaining commission underflow")
+            };
+            *remaining = FixedMoney::ZERO;
+            charged
+        } else {
+            let charged = if *remaining == self.minimum_commission {
+                self.minimum_commission
+            } else {
+                FixedMoney::ZERO
+            };
+            *remaining = remaining
+                .checked_sub(raw)
+                .expect("fixed remaining commission underflow");
+            charged
+        }
+    }
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+pub struct FixedLot {
+    pub acquired_date: NaiveDate,
+    pub quantity: u64,
+    pub entry_price: FixedMoney,
+}
+
+#[derive(Debug, Clone, Default)]
+pub struct FixedLotBook {
+    lots: VecDeque<FixedLot>,
+    pub realized_pnl: FixedMoney,
+    pub quantity: u64,
+}
+
+impl FixedLotBook {
+    pub fn buy(&mut self, date: NaiveDate, quantity: u64, price: FixedMoney) {
+        if quantity == 0 {
+            return;
+        }
+        self.lots.push_back(FixedLot {
+            acquired_date: date,
+            quantity,
+            entry_price: price,
+        });
+        self.quantity = self.quantity.saturating_add(quantity);
+    }
+
+    pub fn sell(&mut self, quantity: u64, price: FixedMoney) -> Result<FixedMoney, String> {
+        if quantity > self.quantity {
+            return Err(format!(
+                "fixed sell quantity {} exceeds current quantity {}",
+                quantity, self.quantity
+            ));
+        }
+        let mut remaining = quantity;
+        let mut realized = FixedMoney::ZERO;
+        while remaining > 0 {
+            let Some(mut lot) = self.lots.pop_front() else {
+                return Err("fixed lot book is empty while selling".to_string());
+            };
+            let sold = remaining.min(lot.quantity);
+            let price_delta = price
+                .checked_sub(lot.entry_price)
+                .and_then(|delta| delta.checked_mul_quantity(sold))
+                .ok_or_else(|| "fixed realized PnL overflow".to_string())?;
+            realized = realized
+                .checked_add(price_delta)
+                .ok_or_else(|| "fixed realized PnL overflow".to_string())?;
+            lot.quantity -= sold;
+            remaining -= sold;
+            if lot.quantity > 0 {
+                self.lots.push_front(lot);
+            }
+        }
+        self.quantity -= quantity;
+        self.realized_pnl = self
+            .realized_pnl
+            .checked_add(realized)
+            .ok_or_else(|| "fixed realized PnL overflow".to_string())?;
+        Ok(realized)
+    }
+
+    pub fn market_value(&self, mark_price: FixedMoney) -> FixedMoney {
+        mark_price
+            .checked_mul_quantity(self.quantity)
+            .expect("fixed market value overflow")
+    }
+
+    pub fn unrealized_pnl(&self, mark_price: FixedMoney) -> FixedMoney {
+        self.lots.iter().fold(FixedMoney::ZERO, |total, lot| {
+            let delta = mark_price
+                .checked_sub(lot.entry_price)
+                .and_then(|value| value.checked_mul_quantity(lot.quantity))
+                .expect("fixed unrealized PnL overflow");
+            total
+                .checked_add(delta)
+                .expect("fixed unrealized PnL overflow")
+        })
+    }
+}
+
+#[derive(Debug, Clone)]
+pub struct FixedAccount {
+    pub cash: FixedMoney,
+    pub units: FixedMoney,
+    pub external_cash_flow_total: FixedMoney,
+}
+
+impl FixedAccount {
+    pub fn new(initial_cash: FixedMoney) -> Self {
+        Self {
+            cash: initial_cash,
+            units: initial_cash,
+            external_cash_flow_total: FixedMoney::ZERO,
+        }
+    }
+
+    pub fn apply_external_cash_flow(
+        &mut self,
+        amount: FixedMoney,
+        unit_nav: FixedMoney,
+    ) -> Result<(), String> {
+        if unit_nav.raw() <= 0 {
+            return Err("fixed unit NAV must be positive".to_string());
+        }
+        let exact_units_raw = amount
+            .raw()
+            .checked_mul(MONEY_SCALE)
+            .and_then(|value| value.checked_div(unit_nav.raw()))
+            .ok_or_else(|| "fixed external flow unit conversion overflow".to_string())?;
+        self.cash = self
+            .cash
+            .checked_add(amount)
+            .ok_or_else(|| "fixed cash overflow".to_string())?;
+        self.units = self
+            .units
+            .checked_add(FixedMoney::from_raw(exact_units_raw))
+            .ok_or_else(|| "fixed units overflow".to_string())?;
+        self.external_cash_flow_total = self
+            .external_cash_flow_total
+            .checked_add(amount)
+            .ok_or_else(|| "fixed external flow overflow".to_string())?;
+        Ok(())
+    }
+
+    pub fn unit_nav(&self, total_equity: FixedMoney) -> Result<FixedMoney, String> {
+        if self.units.raw() <= 0 {
+            return Err("fixed account has no units".to_string());
+        }
+        let raw = total_equity
+            .raw()
+            .checked_mul(MONEY_SCALE)
+            .and_then(|value| value.checked_div(self.units.raw()))
+            .ok_or_else(|| "fixed unit NAV overflow".to_string())?;
+        Ok(FixedMoney::from_raw(raw))
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use crate::cost::{ChinaAShareCostModel, CostModel};
+    use crate::risk_control::TradingConstraintConfig;
+
+    fn fixed_model() -> FixedChinaAShareCostModel {
+        let config = TradingConstraintConfig::default();
+        FixedChinaAShareCostModel {
+            commission_rate: FixedMoney::from_f64(config.commission_rate).unwrap(),
+            stamp_tax_rate_before_change: FixedMoney::from_f64(config.stamp_tax_rate_before_change)
+                .unwrap(),
+            stamp_tax_rate_after_change: FixedMoney::from_f64(config.stamp_tax_rate_after_change)
+                .unwrap(),
+            stamp_tax_change_date: config.stamp_tax_change_date,
+            minimum_commission: FixedMoney::from_f64(config.minimum_commission).unwrap(),
+            transfer_fee_rate: FixedMoney::from_f64(config.transfer_fee_rate).unwrap(),
+        }
+    }
+
+    #[test]
+    fn decimal_parser_rounds_only_beyond_money_scale() {
+        assert_eq!(
+            FixedMoney::from_decimal_str("1.234567").unwrap().raw(),
+            1_234_567
+        );
+        assert_eq!(
+            FixedMoney::from_decimal_str("1.2345675").unwrap().raw(),
+            1_234_568
+        );
+        assert_eq!(
+            FixedMoney::from_decimal_str("-0.0000014").unwrap().raw(),
+            -1
+        );
+    }
+
+    #[test]
+    fn runtime_cost_model_matches_fixed_execution_primitive() {
+        let fixed = fixed_model();
+        let float = ChinaAShareCostModel::default();
+        let dates = [
+            NaiveDate::from_ymd_opt(2024, 12, 31).unwrap(),
+            NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(),
+        ];
+        for gross in [0.01, 10.0, 16_666.67, 248_059.812, 1_000_000.01] {
+            let fixed_gross = FixedMoney::from_f64(gross).unwrap();
+            for date in dates {
+                for side in [OrderSide::Buy, OrderSide::Sell] {
+                    let expected = float.calculate(date, side, gross);
+                    let actual = fixed.calculate(date, side, fixed_gross);
+                    for (actual, expected) in [
+                        (actual.commission, expected.commission),
+                        (actual.stamp_tax, expected.stamp_tax),
+                        (actual.transfer_fee, expected.transfer_fee),
+                    ] {
+                        assert_eq!(actual.to_f64(), expected);
+                    }
+                }
+            }
+        }
+    }
+
+    #[test]
+    fn runtime_split_commission_matches_fixed_execution_primitive() {
+        let fixed = fixed_model();
+        let float = ChinaAShareCostModel::default();
+        let mut fixed_state = BTreeMap::new();
+        let mut float_state = BTreeMap::new();
+        let mut fixed_total = FixedMoney::ZERO;
+        let mut float_total = 0.0;
+        for gross in [1000.0, 2000.0, 4000.0, 40_000.0] {
+            let fixed_fee = fixed.commission_for_order_fill(
+                FixedMoney::from_f64(gross).unwrap(),
+                Some(42),
+                &mut fixed_state,
+            );
+            let float_fee = float.commission_for_order_fill(gross, Some(42), &mut float_state);
+            fixed_total = fixed_total.checked_add(fixed_fee).unwrap();
+            float_total += float_fee;
+        }
+        assert_eq!(fixed_total.to_f64(), float_total);
+    }
+
+    #[test]
+    fn fixed_budget_never_exceeds_cash_after_cost() {
+        let model = fixed_model();
+        let date = NaiveDate::from_ymd_opt(2025, 2, 3).unwrap();
+        let cash = FixedMoney::from_decimal_str("99880.00").unwrap();
+        let price = FixedMoney::from_decimal_str("19.9731").unwrap();
+        let mut quantity = 5_000u64;
+        while quantity > 0 {
+            let gross = price.checked_mul_quantity(quantity).unwrap();
+            if gross
+                .checked_add(model.calculate(date, OrderSide::Buy, gross).total())
+                .unwrap()
+                <= cash
+            {
+                break;
+            }
+            quantity -= 100;
+        }
+        let gross = price.checked_mul_quantity(quantity).unwrap();
+        let total = gross
+            .checked_add(model.calculate(date, OrderSide::Buy, gross).total())
+            .unwrap();
+        assert!(total <= cash);
+        assert!(quantity < 5_000);
+    }
+
+    #[test]
+    fn fixed_budget_comparison_rejects_one_micro_yuan_overrun() {
+        assert_eq!(FixedMoney::f64_fits_within(100.0, 100.0), Some(true));
+        assert_eq!(FixedMoney::f64_fits_within(100.000001, 100.0), Some(false));
+        assert_eq!(
+            FixedMoney::f64_fits_within(100.000001, f64::INFINITY),
+            Some(true)
+        );
+    }
+
+    #[test]
+    fn fixed_fifo_pnl_and_external_flow_are_deterministic() {
+        let day_one = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let day_two = NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+        let mut book = FixedLotBook::default();
+        book.buy(day_one, 100, FixedMoney::from_decimal_str("10.01").unwrap());
+        book.buy(day_two, 100, FixedMoney::from_decimal_str("10.03").unwrap());
+        let realized = book
+            .sell(150, FixedMoney::from_decimal_str("10.11").unwrap())
+            .unwrap();
+        assert_eq!(realized.raw(), 14_000_000);
+        assert_eq!(book.quantity, 50);
+        assert_eq!(
+            book.unrealized_pnl(FixedMoney::from_decimal_str("10.20").unwrap())
+                .raw(),
+            8_500_000
+        );
+
+        let mut account = FixedAccount::new(FixedMoney::from_decimal_str("100.00").unwrap());
+        account
+            .apply_external_cash_flow(
+                FixedMoney::from_decimal_str("50.00").unwrap(),
+                FixedMoney::from_decimal_str("1.00").unwrap(),
+            )
+            .unwrap();
+        assert_eq!(account.units.raw(), 150 * MONEY_SCALE);
+        assert_eq!(
+            account
+                .unit_nav(FixedMoney::from_decimal_str("150.00").unwrap())
+                .unwrap()
+                .raw(),
+            MONEY_SCALE
+        );
+        assert_eq!(account.external_cash_flow_total.raw(), 50 * MONEY_SCALE);
+    }
+}

crates/fidc-core/src/futures.rs

@@ -7,6 +7,24 @@ use crate::events::{
     AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
+use crate::fixed_point::FixedMoney;
+
+fn futures_money(value: f64, label: &str) -> Result<FixedMoney, String> {
+    FixedMoney::from_f64(value)
+        .ok_or_else(|| format!("{label} is not representable as fixed-point money: {value}"))
+}
+
+fn futures_money_or_panic(value: f64, label: &str) -> FixedMoney {
+    futures_money(value, label).unwrap_or_else(|error| panic!("{error}"))
+}
+
+fn sum_futures_money(values: impl IntoIterator<Item = FixedMoney>, label: &str) -> FixedMoney {
+    values.into_iter().fold(FixedMoney::ZERO, |total, value| {
+        total
+            .checked_add(value)
+            .unwrap_or_else(|| panic!("fixed-point {label} overflow"))
+    })
+}
 
 #[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord)]
 pub enum FuturesDirection {
@@ -345,6 +363,14 @@ pub struct FuturesExecutionReport {
 }
 
 impl FuturesContractSpec {
+    pub fn unresolved() -> Self {
+        Self {
+            contract_multiplier: f64::NAN,
+            long_margin_rate: f64::NAN,
+            short_margin_rate: f64::NAN,
+        }
+    }
+
     pub fn new(contract_multiplier: f64, long_margin_rate: f64, short_margin_rate: f64) -> Self {
         Self {
             contract_multiplier: contract_multiplier.max(1.0),
@@ -359,6 +385,15 @@ impl FuturesContractSpec {
             FuturesDirection::Short => self.short_margin_rate,
         }
     }
+
+    pub fn is_resolved(&self) -> bool {
+        self.contract_multiplier.is_finite()
+            && self.contract_multiplier > 0.0
+            && self.long_margin_rate.is_finite()
+            && self.long_margin_rate >= 0.0
+            && self.short_margin_rate.is_finite()
+            && self.short_margin_rate >= 0.0
+    }
 }
 
 #[derive(Debug, Clone)]
@@ -366,15 +401,16 @@ pub struct FuturesPosition {
     pub symbol: String,
     pub direction: FuturesDirection,
     pub old_quantity: u32,
+    day_start_quantity: u32,
     pub quantity: u32,
     pub avg_price: f64,
     pub last_price: f64,
     pub prev_close: f64,
     pub contract_multiplier: f64,
     pub margin_rate: f64,
-    pub transaction_cost: f64,
+    transaction_cost: FixedMoney,
     trade_quantity_delta: i32,
-    trade_cost: f64,
+    trade_value: FixedMoney,
 }
 
 impl FuturesPosition {
@@ -390,15 +426,16 @@ impl FuturesPosition {
             symbol: symbol.into(),
             direction,
             old_quantity: init_quantity,
+            day_start_quantity: init_quantity,
             quantity: init_quantity,
             avg_price: init_price.max(0.0),
             last_price: init_price.max(0.0),
             prev_close: init_price.max(0.0),
             contract_multiplier: spec.contract_multiplier,
             margin_rate,
-            transaction_cost: 0.0,
+            transaction_cost: FixedMoney::ZERO,
             trade_quantity_delta: 0,
-            trade_cost: 0.0,
+            trade_value: FixedMoney::ZERO,
         }
     }
 
@@ -407,18 +444,39 @@ impl FuturesPosition {
     }
 
     pub fn market_value(&self) -> f64 {
-        self.quantity as f64 * self.last_price * self.contract_multiplier
+        self.market_value_money().to_f64()
+    }
+
+    fn market_value_money(&self) -> FixedMoney {
+        futures_money_or_panic(
+            self.quantity as f64 * self.last_price * self.contract_multiplier,
+            "futures position market value",
+        )
     }
 
     pub fn margin(&self) -> f64 {
-        self.market_value() * self.margin_rate
+        self.margin_money().to_f64()
+    }
+
+    fn margin_money(&self) -> FixedMoney {
+        futures_money_or_panic(
+            self.market_value_money().to_f64() * self.margin_rate,
+            "futures position margin",
+        )
     }
 
     pub fn equity(&self) -> f64 {
-        (self.last_price - self.avg_price)
-            * self.quantity as f64
-            * self.contract_multiplier
-            * self.direction.factor()
+        self.equity_money().to_f64()
+    }
+
+    fn equity_money(&self) -> FixedMoney {
+        futures_money_or_panic(
+            (self.last_price - self.avg_price)
+                * self.quantity as f64
+                * self.contract_multiplier
+                * self.direction.factor(),
+            "futures position equity",
+        )
     }
 
     pub fn pnl(&self) -> f64 {
@@ -426,22 +484,47 @@ impl FuturesPosition {
     }
 
     pub fn trading_pnl(&self) -> f64 {
-        (self.trade_quantity_delta as f64 * self.last_price - self.trade_cost)
-            * self.contract_multiplier
-            * self.direction.factor()
+        self.trading_pnl_money().to_f64()
+    }
+
+    fn trading_pnl_money(&self) -> FixedMoney {
+        let marked_trade_value = futures_money_or_panic(
+            self.trade_quantity_delta as f64 * self.last_price * self.contract_multiplier,
+            "futures marked trade value",
+        );
+        let pnl = marked_trade_value
+            .checked_sub(self.trade_value)
+            .expect("fixed-point futures trading PnL overflow");
+        if self.direction == FuturesDirection::Short {
+            pnl.checked_neg()
+                .expect("fixed-point futures short trading PnL overflow")
+        } else {
+            pnl
+        }
     }
 
     pub fn position_pnl(&self) -> f64 {
-        if self.old_quantity == 0 {
-            0.0
+        self.position_pnl_money().to_f64()
+    }
+
+    fn position_pnl_money(&self) -> FixedMoney {
+        if self.day_start_quantity == 0 {
+            FixedMoney::ZERO
         } else {
-            self.old_quantity as f64
-                * (self.last_price - self.prev_close)
-                * self.contract_multiplier
-                * self.direction.factor()
+            futures_money_or_panic(
+                self.day_start_quantity as f64
+                    * (self.last_price - self.prev_close)
+                    * self.contract_multiplier
+                    * self.direction.factor(),
+                "futures position daily PnL",
+            )
         }
     }
 
+    pub fn transaction_cost(&self) -> f64 {
+        self.transaction_cost.to_f64()
+    }
+
     pub fn open(&mut self, quantity: u32, price: f64, transaction_cost: f64) {
         if quantity == 0 {
             return;
@@ -450,9 +533,20 @@ impl FuturesPosition {
         self.quantity += quantity;
         self.avg_price = (old_value + price * quantity as f64) / self.quantity as f64;
         self.last_price = price;
-        self.transaction_cost += transaction_cost.max(0.0);
+        let transaction_cost =
+            futures_money_or_panic(transaction_cost.max(0.0), "futures open transaction cost");
+        self.transaction_cost = self
+            .transaction_cost
+            .checked_add(transaction_cost)
+            .expect("fixed-point futures transaction cost overflow");
         self.trade_quantity_delta += quantity as i32;
-        self.trade_cost += price * quantity as f64;
+        self.trade_value = self
+            .trade_value
+            .checked_add(futures_money_or_panic(
+                price * quantity as f64 * self.contract_multiplier,
+                "futures open trade value",
+            ))
+            .expect("fixed-point futures trade value overflow");
     }
 
     pub fn close(
@@ -476,6 +570,17 @@ impl FuturesPosition {
         transaction_cost: f64,
         effect: FuturesPositionEffect,
     ) -> Result<f64, String> {
+        self.close_with_effect_money(quantity, price, transaction_cost, effect)
+            .map(FixedMoney::to_f64)
+    }
+
+    fn close_with_effect_money(
+        &mut self,
+        quantity: u32,
+        price: f64,
+        transaction_cost: f64,
+        effect: FuturesPositionEffect,
+    ) -> Result<FixedMoney, String> {
         if effect == FuturesPositionEffect::Open {
             return Err("close_with_effect does not accept open effect".to_string());
         }
@@ -489,7 +594,7 @@ impl FuturesPosition {
             ));
         }
         if quantity == 0 {
-            return Ok(0.0);
+            return Ok(FixedMoney::ZERO);
         }
         match effect {
             FuturesPositionEffect::Open => unreachable!(),
@@ -523,19 +628,34 @@ impl FuturesPosition {
             }
         }
 
-        let realized = (price - self.avg_price)
-            * quantity as f64
-            * self.contract_multiplier
-            * self.direction.factor()
-            - transaction_cost.max(0.0);
+        let transaction_cost =
+            futures_money(transaction_cost.max(0.0), "futures close transaction cost")?;
+        let realized = futures_money(
+            (price - self.avg_price)
+                * quantity as f64
+                * self.contract_multiplier
+                * self.direction.factor(),
+            "futures realized PnL",
+        )?
+        .checked_sub(transaction_cost)
+        .ok_or_else(|| "fixed-point futures realized PnL overflow".to_string())?;
         self.quantity -= quantity;
         if self.quantity == 0 {
             self.avg_price = 0.0;
         }
         self.last_price = price;
-        self.transaction_cost += transaction_cost.max(0.0);
+        self.transaction_cost = self
+            .transaction_cost
+            .checked_add(transaction_cost)
+            .ok_or_else(|| "fixed-point futures transaction cost overflow".to_string())?;
         self.trade_quantity_delta -= quantity as i32;
-        self.trade_cost -= price * quantity as f64;
+        self.trade_value = self
+            .trade_value
+            .checked_sub(futures_money(
+                price * quantity as f64 * self.contract_multiplier,
+                "futures close trade value",
+            )?)
+            .ok_or_else(|| "fixed-point futures trade value overflow".to_string())?;
         Ok(realized)
     }
 
@@ -547,98 +667,163 @@ impl FuturesPosition {
 
     pub fn begin_trading_day(&mut self) {
         self.old_quantity = self.quantity;
+        self.day_start_quantity = self.quantity;
         self.prev_close = self.last_price;
-        self.transaction_cost = 0.0;
+        self.transaction_cost = FixedMoney::ZERO;
         self.trade_quantity_delta = 0;
-        self.trade_cost = 0.0;
+        self.trade_value = FixedMoney::ZERO;
     }
 
     pub fn settlement(&mut self, settlement_price: f64) -> f64 {
+        self.settlement_money(settlement_price).to_f64()
+    }
+
+    fn settlement_money(&mut self, settlement_price: f64) -> FixedMoney {
         self.mark_price(settlement_price);
-        let cash_delta = self.equity();
+        let cash_delta = self.equity_money();
         self.avg_price = self.last_price;
-        self.prev_close = self.last_price;
-        self.old_quantity = self.quantity;
         cash_delta
     }
 }
 
 #[derive(Debug, Clone)]
 pub struct FuturesAccountState {
-    starting_cash: f64,
-    total_cash: f64,
-    frozen_cash: f64,
+    starting_cash: FixedMoney,
+    total_cash: FixedMoney,
+    frozen_cash: FixedMoney,
+    closed_day_trading_pnl: FixedMoney,
+    closed_day_position_pnl: FixedMoney,
+    closed_day_transaction_cost: FixedMoney,
     positions: BTreeMap<(String, FuturesDirection), FuturesPosition>,
 }
 
 impl FuturesAccountState {
     pub fn new(total_cash: f64) -> Self {
+        let total_cash = futures_money_or_panic(total_cash, "futures starting cash");
         Self {
             starting_cash: total_cash,
             total_cash,
-            frozen_cash: 0.0,
+            frozen_cash: FixedMoney::ZERO,
+            closed_day_trading_pnl: FixedMoney::ZERO,
+            closed_day_position_pnl: FixedMoney::ZERO,
+            closed_day_transaction_cost: FixedMoney::ZERO,
             positions: BTreeMap::new(),
         }
     }
 
     pub fn starting_cash(&self) -> f64 {
-        self.starting_cash
+        self.starting_cash.to_f64()
     }
 
     pub fn total_cash(&self) -> f64 {
-        self.total_cash
+        self.total_cash.to_f64()
     }
 
     pub fn frozen_cash(&self) -> f64 {
-        self.frozen_cash
+        self.frozen_cash.to_f64()
     }
 
     pub fn cash(&self) -> f64 {
-        self.total_cash - self.margin() - self.frozen_cash
+        self.cash_money().to_f64()
+    }
+
+    fn cash_money(&self) -> FixedMoney {
+        self.total_cash
+            .checked_sub(self.margin_money())
+            .and_then(|cash| cash.checked_sub(self.frozen_cash))
+            .expect("fixed-point futures available cash overflow")
     }
 
     pub fn margin(&self) -> f64 {
-        self.positions.values().map(FuturesPosition::margin).sum()
+        self.margin_money().to_f64()
+    }
+
+    fn margin_money(&self) -> FixedMoney {
+        sum_futures_money(
+            self.positions.values().map(FuturesPosition::margin_money),
+            "futures account margin",
+        )
     }
 
     pub fn market_value(&self) -> f64 {
-        self.positions
-            .values()
-            .map(FuturesPosition::market_value)
-            .sum()
+        sum_futures_money(
+            self.positions
+                .values()
+                .map(FuturesPosition::market_value_money),
+            "futures account market value",
+        )
+        .to_f64()
     }
 
     pub fn position_equity(&self) -> f64 {
-        self.positions.values().map(FuturesPosition::equity).sum()
+        self.position_equity_money().to_f64()
+    }
+
+    fn position_equity_money(&self) -> FixedMoney {
+        sum_futures_money(
+            self.positions.values().map(FuturesPosition::equity_money),
+            "futures account position equity",
+        )
     }
 
     pub fn total_value(&self) -> f64 {
-        self.total_cash + self.position_equity()
+        self.total_cash
+            .checked_add(self.position_equity_money())
+            .expect("fixed-point futures total value overflow")
+            .to_f64()
     }
 
     pub fn daily_pnl(&self) -> f64 {
-        self.trading_pnl() + self.position_pnl() - self.transaction_cost()
+        self.trading_pnl_money()
+            .checked_add(self.position_pnl_money())
+            .and_then(|pnl| pnl.checked_sub(self.transaction_cost_money()))
+            .expect("fixed-point futures daily PnL overflow")
+            .to_f64()
     }
 
     pub fn trading_pnl(&self) -> f64 {
-        self.positions
-            .values()
-            .map(FuturesPosition::trading_pnl)
-            .sum()
+        self.trading_pnl_money().to_f64()
+    }
+
+    fn trading_pnl_money(&self) -> FixedMoney {
+        sum_futures_money(
+            std::iter::once(self.closed_day_trading_pnl).chain(
+                self.positions
+                    .values()
+                    .map(FuturesPosition::trading_pnl_money),
+            ),
+            "futures account trading PnL",
+        )
     }
 
     pub fn position_pnl(&self) -> f64 {
-        self.positions
-            .values()
-            .map(FuturesPosition::position_pnl)
-            .sum()
+        self.position_pnl_money().to_f64()
+    }
+
+    fn position_pnl_money(&self) -> FixedMoney {
+        sum_futures_money(
+            std::iter::once(self.closed_day_position_pnl).chain(
+                self.positions
+                    .values()
+                    .map(FuturesPosition::position_pnl_money),
+            ),
+            "futures account position PnL",
+        )
     }
 
     pub fn transaction_cost(&self) -> f64 {
-        self.positions
-            .values()
-            .map(|position| position.transaction_cost)
-            .sum()
+        self.transaction_cost_money().to_f64()
+    }
+
+    fn transaction_cost_money(&self) -> FixedMoney {
+        sum_futures_money(
+            std::iter::once(self.closed_day_transaction_cost).chain(
+                self.positions
+                    .values()
+                    .map(|position| position.transaction_cost),
+            ),
+            "futures account transaction cost",
+        )
     }
 
     pub fn positions(&self) -> &BTreeMap<(String, FuturesDirection), FuturesPosition> {
@@ -667,7 +852,13 @@ impl FuturesAccountState {
             .entry((symbol.clone(), direction))
             .or_insert_with(|| FuturesPosition::new(symbol, direction, spec, 0, price));
         position.open(quantity, price, transaction_cost);
-        self.total_cash -= transaction_cost.max(0.0);
+        self.total_cash = self
+            .total_cash
+            .checked_sub(futures_money_or_panic(
+                transaction_cost.max(0.0),
+                "futures open transaction cost",
+            ))
+            .expect("fixed-point futures cash overflow");
     }
 
     pub fn close(
@@ -702,12 +893,30 @@ impl FuturesAccountState {
             .positions
             .get_mut(&key)
             .ok_or_else(|| format!("missing futures position {symbol} {}", direction.as_str()))?;
-        let cash_delta = position.close_with_effect(quantity, price, transaction_cost, effect)?;
-        self.total_cash += cash_delta;
+        let cash_delta =
+            position.close_with_effect_money(quantity, price, transaction_cost, effect)?;
+        self.total_cash = self
+            .total_cash
+            .checked_add(cash_delta)
+            .ok_or_else(|| "fixed-point futures cash overflow".to_string())?;
         if position.quantity == 0 {
+            self.closed_day_trading_pnl = self
+                .closed_day_trading_pnl
+                .checked_add(position.trading_pnl_money())
+                .ok_or_else(|| "fixed-point closed futures trading PnL overflow".to_string())?;
+            self.closed_day_position_pnl = self
+                .closed_day_position_pnl
+                .checked_add(position.position_pnl_money())
+                .ok_or_else(|| "fixed-point closed futures position PnL overflow".to_string())?;
+            self.closed_day_transaction_cost = self
+                .closed_day_transaction_cost
+                .checked_add(position.transaction_cost)
+                .ok_or_else(|| {
+                    "fixed-point closed futures transaction cost overflow".to_string()
+                })?;
             self.positions.remove(&key);
         }
-        Ok(cash_delta)
+        Ok(cash_delta.to_f64())
     }
 
     pub fn execute_order(
@@ -782,7 +991,7 @@ impl FuturesAccountState {
                     intent.price,
                     intent.transaction_cost,
                 );
-                if projected.cash() < -1e-8 {
+                if projected.cash_money().raw() < 0 {
                     Err(format!(
                         "insufficient futures margin available_cash={:.2} required_margin_after={:.2}",
                         self.cash(),
@@ -797,7 +1006,13 @@ impl FuturesAccountState {
                         intent.price,
                         intent.transaction_cost,
                     );
-                    Ok(-intent.transaction_cost.max(0.0))
+                    Ok(futures_money_or_panic(
+                        intent.transaction_cost.max(0.0),
+                        "futures open transaction cost",
+                    )
+                    .checked_neg()
+                    .expect("fixed-point futures open cash delta overflow")
+                    .to_f64())
                 }
             }
             FuturesPositionEffect::Close
@@ -822,20 +1037,30 @@ impl FuturesAccountState {
                     .position(&intent.symbol, intent.direction)
                     .map(|position| position.avg_price)
                     .unwrap_or(0.0);
-                let notional =
-                    intent.price * intent.quantity as f64 * intent.spec.contract_multiplier;
+                let notional = futures_money_or_panic(
+                    intent.price * intent.quantity as f64 * intent.spec.contract_multiplier,
+                    "futures fill notional",
+                )
+                .to_f64();
+                let transaction_cost = futures_money_or_panic(
+                    intent.transaction_cost.max(0.0),
+                    "futures fill transaction cost",
+                )
+                .to_f64();
                 report.fill_events.push(FillEvent {
                     date,
                     decision_date: None,
                     order_created_date: None,
                     execution_date: None,
+                    execution_start_timestamp: None,
+                    execution_timestamp: None,
                     order_id,
                     symbol: intent.symbol.clone(),
                     side,
                     quantity: intent.quantity,
                     price: intent.price,
                     gross_amount: notional,
-                    commission: intent.transaction_cost.max(0.0),
+                    commission: transaction_cost,
                     stamp_tax: 0.0,
                     transfer_fee: 0.0,
                     net_cash_flow: cash_delta,
@@ -1010,22 +1235,30 @@ impl FuturesAccountState {
     }
 
     pub fn begin_trading_day(&mut self) {
+        self.closed_day_trading_pnl = FixedMoney::ZERO;
+        self.closed_day_position_pnl = FixedMoney::ZERO;
+        self.closed_day_transaction_cost = FixedMoney::ZERO;
         for position in self.positions.values_mut() {
             position.begin_trading_day();
         }
     }
 
     pub fn settle(&mut self, settlement_prices: &BTreeMap<String, f64>) -> f64 {
-        let mut cash_delta = 0.0;
+        let mut cash_delta = FixedMoney::ZERO;
         for position in self.positions.values_mut() {
             let price = settlement_prices
                 .get(&position.symbol)
                 .copied()
                 .unwrap_or(position.last_price);
-            cash_delta += position.settlement(price);
+            cash_delta = cash_delta
+                .checked_add(position.settlement_money(price))
+                .expect("fixed-point futures settlement overflow");
         }
-        self.total_cash += cash_delta;
-        cash_delta
+        self.total_cash = self
+            .total_cash
+            .checked_add(cash_delta)
+            .expect("fixed-point futures cash settlement overflow");
+        cash_delta.to_f64()
     }
 }
 

crates/fidc-core/src/instrument.rs

@@ -21,17 +21,29 @@ impl Instrument {
     }
 
     pub fn minimum_order_quantity(&self) -> u32 {
-        match self.board.trim().to_ascii_uppercase().as_str() {
-            "KSH" => 200,
-            "BJS" | "BJ" | "BJSE" => 100,
-            _ => self.effective_round_lot(),
+        let board = self.board.trim();
+        if board.eq_ignore_ascii_case("KSH") {
+            200
+        } else if board.eq_ignore_ascii_case("BJS")
+            || board.eq_ignore_ascii_case("BJ")
+            || board.eq_ignore_ascii_case("BJSE")
+        {
+            100
+        } else {
+            self.effective_round_lot()
         }
     }
 
     pub fn order_step_size(&self) -> u32 {
-        match self.board.trim().to_ascii_uppercase().as_str() {
-            "KSH" | "BJS" | "BJ" | "BJSE" => 1,
-            _ => self.effective_round_lot(),
+        let board = self.board.trim();
+        if board.eq_ignore_ascii_case("KSH")
+            || board.eq_ignore_ascii_case("BJS")
+            || board.eq_ignore_ascii_case("BJ")
+            || board.eq_ignore_ascii_case("BJSE")
+        {
+            1
+        } else {
+            self.effective_round_lot()
         }
     }
 
@@ -56,6 +68,38 @@ fn default_status() -> String {
     "active".to_string()
 }
 
+#[cfg(test)]
+mod tests {
+    use super::Instrument;
+
+    fn instrument(board: &str, round_lot: u32) -> Instrument {
+        Instrument {
+            symbol: "000001.SZ".to_string(),
+            name: "test".to_string(),
+            board: board.to_string(),
+            round_lot,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }
+    }
+
+    #[test]
+    fn order_quantity_rules_are_case_insensitive_without_allocating_normalized_boards() {
+        let kcb = instrument(" kSh ", 100);
+        assert_eq!(kcb.minimum_order_quantity(), 200);
+        assert_eq!(kcb.order_step_size(), 1);
+
+        let bjse = instrument("bjse", 100);
+        assert_eq!(bjse.minimum_order_quantity(), 100);
+        assert_eq!(bjse.order_step_size(), 1);
+
+        let main_board = instrument("SZSE", 50);
+        assert_eq!(main_board.minimum_order_quantity(), 50);
+        assert_eq!(main_board.order_step_size(), 50);
+    }
+}
+
 mod optional_date_format {
     use chrono::NaiveDate;
     use serde::{self, Deserialize, Deserializer, Serializer};

crates/fidc-core/src/lib.rs

@@ -5,9 +5,11 @@ pub mod data;
 pub mod engine;
 pub mod event_bus;
 pub mod events;
+pub mod fixed_point;
 pub mod futures;
 pub mod instrument;
 pub mod metrics;
+mod numeric_expr_vm;
 pub mod platform_expr_strategy;
 pub mod platform_runtime_schema;
 pub mod platform_strategy_spec;
@@ -29,26 +31,34 @@ pub use data::{
     BenchmarkSnapshot, CandidateEligibility, CorporateAction, DailyFactorSnapshot,
     DailyMarketSnapshot, DailySnapshotBundle, DataSet, DataSetError, DividendRecord,
     EligibleUniverseSnapshot, FactorTextValue, FactorValue, IntradayExecutionQuote,
-    IntradayOrderBookDepthLevel, PriceBar, PriceField, SecuritiesMarginRecord, SplitRecord,
-    YieldCurvePoint,
+    IntradayOrderBookDepthLevel, NumericFactorMap, PriceBar, PriceField, SecuritiesMarginRecord,
+    SplitRecord, YieldCurvePoint,
 };
 pub use engine::{
     AnalyzerMonthlyReturnRow, AnalyzerPositionRow, AnalyzerReport, AnalyzerRiskSummary,
     AnalyzerTradeRow, BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError,
-    BacktestResult, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
+    BacktestResult, BacktestTerminalAssetClass, BacktestTerminalAudit, BacktestTerminalOpenOrder,
+    BacktestTerminalStatus, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
+    ProcessEventRetention,
 };
 pub use event_bus::{BacktestProcessMod, BacktestProcessModLoader, ProcessEventBus};
 pub use events::{
     AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
+pub use fixed_point::{
+    FixedAccount, FixedChinaAShareCostModel, FixedLotBook, FixedMoney, FixedTradingCost,
+    MONEY_SCALE,
+};
 pub use futures::{
     FuturesAccountState, FuturesCommissionType, FuturesContractSpec, FuturesDirection,
     FuturesExecutionReport, FuturesOrderIntent, FuturesPosition, FuturesPositionEffect,
     FuturesTradingParameter, FuturesTransactionCostModel,
 };
 pub use instrument::Instrument;
-pub use metrics::{BacktestMetrics, compute_backtest_metrics};
+pub use metrics::{
+    BacktestMetrics, RiskFreeRateContract, RiskFreeRateObservation, compute_backtest_metrics,
+};
 pub use platform_expr_strategy::{
     PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
     PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
@@ -67,9 +77,10 @@ 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, StrategyPortfolioDrawdownControlConfig, StrategyRebalanceSpec,
+    StrategyRiskPolicySpec, StrategyRuntimeEnvironment, StrategyRuntimeExpressions,
+    StrategyRuntimeSpec, StrategyUniverseSpec, platform_expr_config_from_spec,
+    platform_expr_config_from_value, validate_strategy_risk_policy_fields,
 };
 pub use portfolio::{CashReceivable, HoldingSummary, PendingCashFlow, PortfolioState, Position};
 pub use risk_control::{
@@ -82,8 +93,8 @@ pub use scheduler::{
 };
 pub use strategy::{
     AlgoOrderStyle, CnSmallCapRotationConfig, CnSmallCapRotationStrategy, OmniMicroCapConfig,
-    OmniMicroCapStrategy, OpenOrderView, OrderIntent, OrderRuntimeView, PortfolioRuntimeView,
-    Strategy, StrategyContext, StrategyDecision, TargetPortfolioOrderPricing,
+    OmniMicroCapStrategy, OpenOrderView, OrderIntent, OrderRuntimeView, OrderTimeInForce,
+    PortfolioRuntimeView, Strategy, StrategyContext, StrategyDecision, TargetPortfolioOrderPricing,
 };
 pub use strategy_ai::{
     ManualExample, ManualFactorSource, ManualField, ManualFieldGroup, ManualFunction,

crates/fidc-core/src/metrics.rs

@@ -9,7 +9,28 @@ use crate::portfolio::HoldingSummary;
 
 const TRADING_DAYS_PER_YEAR: f64 = 252.0;
 const MONTHS_PER_YEAR: f64 = 12.0;
-const DEFAULT_RISK_FREE_RATE: f64 = 0.022;
+
+#[derive(Debug, Clone, Default, Serialize, Deserialize)]
+#[serde(rename_all = "camelCase")]
+pub struct RiskFreeRateObservation {
+    pub date: NaiveDate,
+    pub source_date: NaiveDate,
+    pub annual_rate: f64,
+    pub daily_rate: f64,
+}
+
+#[derive(Debug, Clone, Default, Serialize, Deserialize)]
+#[serde(rename_all = "camelCase")]
+pub struct RiskFreeRateContract {
+    pub version: String,
+    pub source: String,
+    pub tenor: String,
+    pub periods_per_year: f64,
+    pub max_staleness_days: usize,
+    pub observed_max_staleness_days: usize,
+    pub sha256: String,
+    pub observations: Vec<RiskFreeRateObservation>,
+}
 
 #[derive(Debug, Clone, Default, Serialize, Deserialize)]
 pub struct BacktestMetrics {
@@ -29,6 +50,7 @@ pub struct BacktestMetrics {
     pub max_drawdown_duration_days: usize,
     pub total_trade_days: usize,
     pub sortino: f64,
+    pub downside_risk: f64,
     pub information_ratio: f64,
     pub tracking_error: f64,
     pub volatility: f64,
@@ -55,6 +77,13 @@ pub struct BacktestMetrics {
     pub excess_win_rate: f64,
     pub monthly_sharpe: f64,
     pub monthly_volatility: f64,
+    pub risk_free_rate_contract_version: String,
+    pub risk_free_rate_source: String,
+    pub risk_free_rate_tenor: String,
+    pub risk_free_rate_observation_count: usize,
+    pub risk_free_rate_max_staleness_days: usize,
+    pub risk_free_rate_observed_max_staleness_days: usize,
+    pub risk_free_rate_sha256: String,
 }
 
 pub fn compute_backtest_metrics(
@@ -63,20 +92,19 @@ pub fn compute_backtest_metrics(
     daily_holdings: &[HoldingSummary],
     account_events: &[AccountEvent],
     initial_cash: f64,
-) -> BacktestMetrics {
+    risk_free_contract: Option<&RiskFreeRateContract>,
+) -> Result<BacktestMetrics, String> {
     let Some(first_point) = equity_curve.first() else {
-        return BacktestMetrics {
-            risk_free_rate: DEFAULT_RISK_FREE_RATE,
+        return Ok(BacktestMetrics {
             initial_cash,
             ..BacktestMetrics::default()
-        };
+        });
     };
     let Some(last_point) = equity_curve.last() else {
-        return BacktestMetrics {
-            risk_free_rate: DEFAULT_RISK_FREE_RATE,
+        return Ok(BacktestMetrics {
             initial_cash,
             ..BacktestMetrics::default()
-        };
+        });
     };
 
     let trade_days = equity_curve.len();
@@ -122,6 +150,7 @@ pub fn compute_backtest_metrics(
         .zip(benchmark_returns.iter())
         .map(|(lhs, rhs)| lhs - rhs)
         .collect::<Vec<_>>();
+    let zero_risk_free_rates = vec![0.0; excess_returns.len()];
 
     let benchmark_net_value = if benchmark_start.abs() < f64::EPSILON {
         1.0
@@ -140,16 +169,28 @@ pub fn compute_backtest_metrics(
     let annual_return = annualize_return(total_return, trade_days);
     let excess_annual_return = annualize_return(excess_cumulative_return, trade_days);
 
-    let risk_free_rate = DEFAULT_RISK_FREE_RATE;
-    let daily_rf = risk_free_rate / TRADING_DAYS_PER_YEAR;
-    let sharpe = annualized_sharpe(&returns, daily_rf, TRADING_DAYS_PER_YEAR);
-    let sortino = annualized_sortino(&returns, daily_rf, TRADING_DAYS_PER_YEAR);
-    let information_ratio = annualized_sharpe(&excess_returns, 0.0, TRADING_DAYS_PER_YEAR);
+    let (daily_risk_free_rates, risk_free_metadata) =
+        aligned_daily_risk_free_rates(equity_curve, risk_free_contract)?;
+    let risk_free_rate =
+        effective_annual_risk_free_rate(&daily_risk_free_rates, TRADING_DAYS_PER_YEAR);
+    let sharpe = annualized_sharpe(&returns, &daily_risk_free_rates, TRADING_DAYS_PER_YEAR);
+    let sortino = annualized_sortino(&returns, &daily_risk_free_rates, TRADING_DAYS_PER_YEAR);
+    let downside_risk =
+        annualized_downside_risk(&returns, &daily_risk_free_rates, TRADING_DAYS_PER_YEAR);
+    let information_ratio = annualized_sharpe(
+        &excess_returns,
+        &zero_risk_free_rates,
+        TRADING_DAYS_PER_YEAR,
+    );
     let tracking_error = annualized_std(&excess_returns, TRADING_DAYS_PER_YEAR);
     let volatility = annualized_std(&returns, TRADING_DAYS_PER_YEAR);
     let excess_volatility = annualized_std(&excess_returns, TRADING_DAYS_PER_YEAR);
-    let excess_sharpe = annualized_sharpe(&excess_returns, 0.0, TRADING_DAYS_PER_YEAR);
-    let (alpha, beta) = alpha_beta(&returns, &benchmark_returns, daily_rf);
+    let excess_sharpe = annualized_sharpe(
+        &excess_returns,
+        &zero_risk_free_rates,
+        TRADING_DAYS_PER_YEAR,
+    );
+    let (alpha, beta) = alpha_beta(&returns, &benchmark_returns, &daily_risk_free_rates);
 
     let equity_nav = portfolio_nav;
     let benchmark_nav_series = equity_curve
@@ -178,6 +219,8 @@ pub fn compute_backtest_metrics(
         .zip(monthly_benchmark_returns.iter())
         .map(|(lhs, rhs)| lhs - rhs)
         .collect::<Vec<_>>();
+    let monthly_risk_free_returns =
+        group_monthly_risk_free_returns(equity_curve, &daily_risk_free_rates);
     let monthly_excess_win_rate = ratio(
         monthly_excess_returns
             .iter()
@@ -187,7 +230,7 @@ pub fn compute_backtest_metrics(
     );
     let monthly_sharpe = annualized_sharpe(
         &monthly_portfolio_returns,
-        risk_free_rate / MONTHS_PER_YEAR,
+        &monthly_risk_free_returns,
         MONTHS_PER_YEAR,
     );
     let monthly_volatility = annualized_std(&monthly_portfolio_returns, MONTHS_PER_YEAR);
@@ -239,7 +282,7 @@ pub fn compute_backtest_metrics(
 
     let total_trade_days = equity_by_date.len();
 
-    BacktestMetrics {
+    Ok(BacktestMetrics {
         total_return,
         annual_return,
         sharpe,
@@ -256,6 +299,7 @@ pub fn compute_backtest_metrics(
         max_drawdown_duration_days,
         total_trade_days,
         sortino,
+        downside_risk,
         information_ratio,
         tracking_error,
         volatility,
@@ -285,7 +329,14 @@ pub fn compute_backtest_metrics(
         excess_win_rate,
         monthly_sharpe,
         monthly_volatility,
-    }
+        risk_free_rate_contract_version: risk_free_metadata.version,
+        risk_free_rate_source: risk_free_metadata.source,
+        risk_free_rate_tenor: risk_free_metadata.tenor,
+        risk_free_rate_observation_count: daily_risk_free_rates.len(),
+        risk_free_rate_max_staleness_days: risk_free_metadata.max_staleness_days,
+        risk_free_rate_observed_max_staleness_days: risk_free_metadata.observed_max_staleness_days,
+        risk_free_rate_sha256: risk_free_metadata.sha256,
+    })
 }
 
 fn point_nav(point: &DailyEquityPoint, initial_cash: f64) -> f64 {
@@ -316,13 +367,106 @@ fn annualize_return(total_return: f64, periods: usize) -> f64 {
     base.powf(TRADING_DAYS_PER_YEAR / periods) - 1.0
 }
 
-fn annualized_sharpe(returns: &[f64], daily_rf: f64, periods_per_year: f64) -> f64 {
-    if returns.len() < 2 {
+fn aligned_daily_risk_free_rates(
+    equity_curve: &[DailyEquityPoint],
+    contract: Option<&RiskFreeRateContract>,
+) -> Result<(Vec<f64>, RiskFreeRateContract), String> {
+    let Some(contract) = contract else {
+        return Ok((
+            vec![0.0; equity_curve.len()],
+            RiskFreeRateContract {
+                version: "not-configured".to_string(),
+                source: "not-configured".to_string(),
+                tenor: "NONE".to_string(),
+                periods_per_year: TRADING_DAYS_PER_YEAR,
+                ..RiskFreeRateContract::default()
+            },
+        ));
+    };
+    if contract.version.trim().is_empty()
+        || contract.source.trim().is_empty()
+        || contract.tenor.trim().is_empty()
+        || contract.sha256.len() != 64
+    {
+        return Err("risk-free rate contract metadata is incomplete".to_string());
+    }
+    if contract.observations.len() != equity_curve.len() {
+        return Err(format!(
+            "risk-free rate observation count mismatch: expected={} actual={}",
+            equity_curve.len(),
+            contract.observations.len()
+        ));
+    }
+    let mut rates = Vec::with_capacity(equity_curve.len());
+    for (point, observation) in equity_curve.iter().zip(&contract.observations) {
+        if observation.date != point.date {
+            return Err(format!(
+                "risk-free rate date mismatch: expected={} actual={}",
+                point.date, observation.date
+            ));
+        }
+        if observation.source_date > observation.date {
+            return Err(format!(
+                "risk-free rate uses future observation: date={} source_date={}",
+                observation.date, observation.source_date
+            ));
+        }
+        let staleness = observation
+            .date
+            .signed_duration_since(observation.source_date)
+            .num_days();
+        if staleness < 0 || staleness as usize > contract.max_staleness_days {
+            return Err(format!(
+                "risk-free rate observation is stale: date={} source_date={} days={}",
+                observation.date, observation.source_date, staleness
+            ));
+        }
+        if !observation.annual_rate.is_finite()
+            || observation.annual_rate <= -1.0
+            || observation.annual_rate >= 1.0
+            || !observation.daily_rate.is_finite()
+            || observation.daily_rate <= -1.0
+        {
+            return Err(format!(
+                "risk-free rate observation is invalid: date={}",
+                observation.date
+            ));
+        }
+        let periods_per_year =
+            if contract.periods_per_year.is_finite() && contract.periods_per_year > 0.0 {
+                contract.periods_per_year
+            } else {
+                TRADING_DAYS_PER_YEAR
+            };
+        let expected_daily = (1.0 + observation.annual_rate).powf(1.0 / periods_per_year) - 1.0;
+        if (expected_daily - observation.daily_rate).abs() > 1e-12 {
+            return Err(format!(
+                "risk-free daily conversion mismatch: date={} expected={} actual={}",
+                observation.date, expected_daily, observation.daily_rate
+            ));
+        }
+        rates.push(observation.daily_rate);
+    }
+    Ok((rates, contract.clone()))
+}
+
+fn effective_annual_risk_free_rate(daily_rates: &[f64], periods_per_year: f64) -> f64 {
+    if daily_rates.is_empty() {
+        return 0.0;
+    }
+    let mean_log =
+        daily_rates.iter().map(|rate| rate.ln_1p()).sum::<f64>() / daily_rates.len() as f64;
+    (mean_log * periods_per_year).exp_m1()
+}
+
+fn annualized_sharpe(returns: &[f64], daily_risk_free_rates: &[f64], periods_per_year: f64) -> f64 {
+    if returns.len() < 2 || returns.len() != daily_risk_free_rates.len() {
         return 0.0;
     }
     let adjusted = returns
         .iter()
-        .map(|value| value - daily_rf)
+        .zip(daily_risk_free_rates)
+        .map(|(value, risk_free)| value - risk_free)
         .collect::<Vec<_>>();
     let mean_ret = mean(&adjusted);
     let std = std_dev(&adjusted);
@@ -333,23 +477,24 @@ fn annualized_sharpe(returns: &[f64], daily_rf: f64, periods_per_year: f64) -> f
     }
 }
 
-fn annualized_sortino(returns: &[f64], daily_rf: f64, periods_per_year: f64) -> f64 {
-    if returns.is_empty() {
+fn annualized_sortino(
+    returns: &[f64],
+    daily_risk_free_rates: &[f64],
+    periods_per_year: f64,
+) -> f64 {
+    if returns.is_empty() || returns.len() != daily_risk_free_rates.len() {
         return 0.0;
     }
     let adjusted = returns
         .iter()
-        .map(|value| value - daily_rf)
+        .zip(daily_risk_free_rates)
+        .map(|(value, risk_free)| value - risk_free)
         .collect::<Vec<_>>();
     let downside = adjusted
         .iter()
-        .filter(|value| **value < 0.0)
-        .map(|value| value.powi(2))
-        .collect::<Vec<_>>();
-    if downside.is_empty() {
-        return 0.0;
-    }
-    let downside_dev = (downside.iter().sum::<f64>() / downside.len() as f64).sqrt();
+        .map(|value| value.min(0.0).powi(2))
+        .sum::<f64>();
+    let downside_dev = (downside / adjusted.len() as f64).sqrt();
     if downside_dev <= f64::EPSILON {
         0.0
     } else {
@@ -357,32 +502,60 @@ fn annualized_sortino(returns: &[f64], daily_rf: f64, periods_per_year: f64) ->
     }
 }
 
+fn annualized_downside_risk(
+    returns: &[f64],
+    daily_risk_free_rates: &[f64],
+    periods_per_year: f64,
+) -> f64 {
+    if returns.is_empty() || returns.len() != daily_risk_free_rates.len() {
+        return 0.0;
+    }
+    let downside_mean_square = returns
+        .iter()
+        .zip(daily_risk_free_rates)
+        .map(|(value, risk_free)| (value - risk_free).min(0.0).powi(2))
+        .sum::<f64>()
+        / returns.len() as f64;
+    downside_mean_square.sqrt() * periods_per_year.sqrt()
+}
+
 fn annualized_std(values: &[f64], periods_per_year: f64) -> f64 {
     std_dev(values) * periods_per_year.sqrt()
 }
 
-fn alpha_beta(returns: &[f64], benchmark_returns: &[f64], daily_rf: f64) -> (f64, f64) {
-    if returns.len() < 2 || returns.len() != benchmark_returns.len() {
+fn alpha_beta(
+    returns: &[f64],
+    benchmark_returns: &[f64],
+    daily_risk_free_rates: &[f64],
+) -> (f64, f64) {
+    if returns.len() < 2
+        || returns.len() != benchmark_returns.len()
+        || returns.len() != daily_risk_free_rates.len()
+    {
         return (0.0, 0.0);
     }
     let strategy_excess = returns
         .iter()
-        .map(|value| value - daily_rf)
+        .zip(daily_risk_free_rates)
+        .map(|(value, risk_free)| value - risk_free)
         .collect::<Vec<_>>();
     let benchmark_excess = benchmark_returns
         .iter()
-        .map(|value| value - daily_rf)
+        .zip(daily_risk_free_rates)
+        .map(|(value, risk_free)| value - risk_free)
         .collect::<Vec<_>>();
     let mean_strategy = mean(&strategy_excess);
     let mean_benchmark = mean(&benchmark_excess);
-    let variance_benchmark = variance(&benchmark_excess);
+    let mean_raw_strategy = mean(returns);
+    let mean_raw_benchmark = mean(benchmark_returns);
+    let variance_benchmark = variance(benchmark_returns);
     if variance_benchmark <= f64::EPSILON {
         return (0.0, 0.0);
     }
-    let covariance = strategy_excess
+    let covariance = returns
         .iter()
-        .zip(benchmark_excess.iter())
-        .map(|(lhs, rhs)| (lhs - mean_strategy) * (rhs - mean_benchmark))
+        .zip(benchmark_returns.iter())
+        .map(|(lhs, rhs)| (lhs - mean_raw_strategy) * (rhs - mean_raw_benchmark))
         .sum::<f64>()
         / (strategy_excess.len() - 1) as f64;
     let beta = covariance / variance_benchmark;
@@ -522,6 +695,26 @@ where
         .collect()
 }
 
+fn group_monthly_risk_free_returns(
+    equity_curve: &[DailyEquityPoint],
+    daily_risk_free_rates: &[f64],
+) -> Vec<f64> {
+    if equity_curve.len() != daily_risk_free_rates.len() {
+        return Vec::new();
+    }
+    let mut monthly_growth = BTreeMap::<(i32, u32), f64>::new();
+    for (point, daily_rate) in equity_curve.iter().zip(daily_risk_free_rates) {
+        let growth = monthly_growth
+            .entry((point.date.year(), point.date.month()))
+            .or_insert(1.0);
+        *growth *= 1.0 + daily_rate;
+    }
+    monthly_growth
+        .into_values()
+        .map(|growth| growth - 1.0)
+        .collect()
+}
+
 fn mean(values: &[f64]) -> f64 {
     if values.is_empty() {
         0.0
@@ -606,7 +799,7 @@ 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, None).unwrap();
         let expected = 7595.285 / 5957.717 - 1.0;
         assert!((metrics.benchmark_cumulative_return - expected).abs() < 1e-12);
     }
@@ -635,9 +828,66 @@ mod tests {
             total_equity: 200.0,
             note: "deposit_withdraw amount=100.00 reason=test".to_string(),
         }];
-        let metrics = compute_backtest_metrics(&curve, &[], &[], &events, 100.0);
+        let metrics = compute_backtest_metrics(&curve, &[], &[], &events, 100.0, None).unwrap();
         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);
     }
+
+    #[test]
+    fn risk_adjusted_metrics_use_daily_pit_rates_and_all_period_downside() {
+        let curve = vec![
+            equity_point("2026-01-02", 101.0, 100.0, 100.0),
+            equity_point("2026-01-05", 98.98, 100.0, 100.0),
+            equity_point("2026-01-06", 100.4647, 100.0, 100.0),
+            equity_point("2026-01-07", 99.9623765, 100.0, 100.0),
+        ];
+        let annual_rates = [0.012, 0.012, 0.013, 0.013];
+        let observations = curve
+            .iter()
+            .zip(annual_rates)
+            .map(|(point, annual_rate)| RiskFreeRateObservation {
+                date: point.date,
+                source_date: point.date,
+                annual_rate,
+                daily_rate: (1.0 + annual_rate).powf(1.0 / TRADING_DAYS_PER_YEAR) - 1.0,
+            })
+            .collect();
+        let contract = RiskFreeRateContract {
+            version: "cn-government-bond-3m-pit-daily/v1".to_string(),
+            source: "test".to_string(),
+            tenor: "3M".to_string(),
+            periods_per_year: TRADING_DAYS_PER_YEAR,
+            max_staleness_days: 15,
+            observed_max_staleness_days: 0,
+            sha256: "a".repeat(64),
+            observations,
+        };
+        let metrics =
+            compute_backtest_metrics(&curve, &[], &[], &[], 100.0, Some(&contract)).unwrap();
+
+        let returns = [0.01, -0.02, 0.015, -0.005];
+        let daily_rates = annual_rates
+            .map(|annual_rate| (1.0 + annual_rate).powf(1.0 / TRADING_DAYS_PER_YEAR) - 1.0);
+        let adjusted = returns
+            .iter()
+            .zip(daily_rates)
+            .map(|(value, risk_free)| value - risk_free)
+            .collect::<Vec<_>>();
+        let expected_sharpe = mean(&adjusted) / std_dev(&adjusted) * TRADING_DAYS_PER_YEAR.sqrt();
+        let downside = (adjusted
+            .iter()
+            .map(|value| value.min(0.0).powi(2))
+            .sum::<f64>()
+            / adjusted.len() as f64)
+            .sqrt();
+        let expected_sortino = mean(&adjusted) / downside * TRADING_DAYS_PER_YEAR.sqrt();
+        assert!((metrics.sharpe - expected_sharpe).abs() < 1e-12);
+        assert!((metrics.sortino - expected_sortino).abs() < 1e-12);
+        assert!((metrics.downside_risk - downside * TRADING_DAYS_PER_YEAR.sqrt()).abs() < 1e-12);
+        assert_eq!(metrics.risk_free_rate_source, "test");
+        assert_eq!(metrics.risk_free_rate_tenor, "3M");
+        assert_eq!(metrics.risk_free_rate_observation_count, 4);
+        assert_ne!(metrics.risk_free_rate, 0.022);
+    }
 }

crates/fidc-core/src/risk_control.rs

@@ -3,6 +3,7 @@ use std::collections::BTreeSet;
 use chrono::NaiveDate;
 use serde::{Deserialize, Serialize};
 
+use crate::OrderSide;
 use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
 use crate::instrument::Instrument;
 use crate::portfolio::Position;
@@ -77,6 +78,13 @@ impl Default for StaticRiskRuleConfig {
 
 #[derive(Debug, Clone, Copy, PartialEq, Serialize, Deserialize)]
 pub struct TradingConstraintConfig {
+    /// Shared execution limits.  These fields intentionally use the same
+    /// names and defaults as the FIDC trading-core RiskLimits contract so a
+    /// strategy cannot appear protected in paper/live while being unlimited
+    /// in a backtest.
+    pub max_order_quantity: f64,
+    pub max_order_notional: f64,
+    pub max_symbol_position: f64,
     pub volume_limit_enabled: bool,
     pub volume_percent: f64,
     pub liquidity_limit_enabled: bool,
@@ -91,6 +99,9 @@ pub struct TradingConstraintConfig {
 impl Default for TradingConstraintConfig {
     fn default() -> Self {
         Self {
+            max_order_quantity: 1_000_000.0,
+            max_order_notional: 100_000_000.0,
+            max_symbol_position: 10_000_000.0,
             volume_limit_enabled: true,
             volume_percent: 0.25,
             liquidity_limit_enabled: true,
@@ -479,6 +490,36 @@ impl ChinaAShareRiskControl {
         None
     }
 
+    /// Apply the shared quantity/notional/position limits at the same stage
+    /// as paper/live `RiskLimits`.  Static instrument rules remain in the
+    /// side-specific methods above; this helper only checks order sizing and
+    /// never changes selection semantics.
+    pub fn order_size_rejection_reason_with_config(
+        side: OrderSide,
+        requested_quantity: u32,
+        current_position_quantity: u32,
+        check_price: f64,
+        config: &FidcRiskControlConfig,
+    ) -> Option<&'static str> {
+        let limits = &config.trading_constraints;
+        if (requested_quantity as f64) > limits.max_order_quantity {
+            return Some("quantity exceeds max_order_quantity");
+        }
+        if check_price.is_finite()
+            && check_price > 0.0
+            && (requested_quantity as f64) * check_price > limits.max_order_notional
+        {
+            return Some("notional exceeds max_order_notional");
+        }
+        if side == OrderSide::Buy
+            && (current_position_quantity as f64) + (requested_quantity as f64)
+                > limits.max_symbol_position
+        {
+            return Some("position exceeds max_symbol_position");
+        }
+        None
+    }
+
     pub fn sell_rejection_reason(
         date: NaiveDate,
         candidate: &CandidateEligibility,
@@ -515,6 +556,15 @@ impl ChinaAShareRiskControl {
         ) {
             return Some(reason);
         }
+        // When instrument metadata is unavailable, an explicit candidate
+        // lifecycle fact must still protect the sell path.  Otherwise a
+        // `inactive_or_delisted` candidate could fall through to a synthetic
+        // sell price and violate the unresolved-delisted holding contract.
+        if let Some(reason) =
+            candidate_active_status_rejection(candidate, config, RiskCheckScope::Sell)
+        {
+            return Some(reason);
+        }
         if config.static_rules.reject_paused_sell && (market.paused || candidate.is_paused) {
             return Some("paused");
         }
@@ -1138,6 +1188,29 @@ mod tests {
         );
     }
 
+    #[test]
+    fn sell_rejects_explicit_candidate_inactive_status_without_instrument_row() {
+        let date = d(2025, 1, 2);
+        let mut candidate = candidate(date);
+        candidate.allow_sell = true;
+        candidate.risk_level_code = Some("inactive_or_delisted".to_string());
+        let market = market(date, 6.27, 5.63);
+        let position = position(d(2024, 12, 31));
+
+        assert_eq!(
+            ChinaAShareRiskControl::sell_rejection_reason_with_config(
+                date,
+                &candidate,
+                &market,
+                None,
+                Some(&position),
+                6.27,
+                &FidcRiskControlConfig::default(),
+            ),
+            Some("inactive_or_delisted")
+        );
+    }
+
     #[test]
     fn missing_risk_state_default_selection_ignores_allow_flags_but_buy_rejects() {
         let date = d(2025, 1, 2);
@@ -1396,4 +1469,53 @@ mod tests {
         assert_eq!(enabled_reason, Some("lower_limit"));
         assert_eq!(configured_reason, None);
     }
+
+    #[test]
+    fn shared_order_size_limits_apply_to_both_sides_and_buy_position() {
+        let mut config = FidcRiskControlConfig::default();
+        config.trading_constraints.max_order_quantity = 500.0;
+        config.trading_constraints.max_order_notional = 5_000.0;
+        config.trading_constraints.max_symbol_position = 800.0;
+
+        assert_eq!(
+            ChinaAShareRiskControl::order_size_rejection_reason_with_config(
+                OrderSide::Buy,
+                600,
+                0,
+                5.0,
+                &config,
+            ),
+            Some("quantity exceeds max_order_quantity")
+        );
+        assert_eq!(
+            ChinaAShareRiskControl::order_size_rejection_reason_with_config(
+                OrderSide::Sell,
+                400,
+                10_000,
+                20.0,
+                &config,
+            ),
+            Some("notional exceeds max_order_notional")
+        );
+        assert_eq!(
+            ChinaAShareRiskControl::order_size_rejection_reason_with_config(
+                OrderSide::Buy,
+                300,
+                600,
+                5.0,
+                &config,
+            ),
+            Some("position exceeds max_symbol_position")
+        );
+        assert_eq!(
+            ChinaAShareRiskControl::order_size_rejection_reason_with_config(
+                OrderSide::Sell,
+                200,
+                10_000,
+                5.0,
+                &config,
+            ),
+            None
+        );
+    }
 }

crates/fidc-core/src/scheduler.rs

@@ -164,6 +164,16 @@ impl<'a> Scheduler<'a> {
             .collect()
     }
 
+    /// Evaluate only the trading-calendar frequency of a rule.
+    ///
+    /// Strategy callbacks and order execution clocks are separate contracts:
+    /// a 15:00 schedule is still due on the same daily/weekly/monthly trading
+    /// date even when the engine's coarse `on_day` callback runs at another
+    /// default time. Exact clock matching remains in `triggered_rules_at`.
+    pub fn is_due_on(&self, date: NaiveDate, rule: &ScheduleRule) -> bool {
+        self.matches(date, rule)
+    }
+
     fn matches(&self, date: NaiveDate, rule: &ScheduleRule) -> bool {
         match &rule.frequency {
             ScheduleFrequency::Daily => true,
@@ -265,6 +275,38 @@ mod tests {
         ])
     }
 
+    #[test]
+    fn date_due_is_independent_from_the_order_execution_clock() {
+        let calendar = sample_calendar();
+        let scheduler = Scheduler::new(&calendar);
+        let daily = ScheduleRule::daily("close_signal", ScheduleStage::OnDay)
+            .with_time_rule(ScheduleTimeRule::physical_time(15, 0));
+
+        assert!(scheduler.is_due_on(d(2025, 1, 30), &daily));
+        assert!(scheduler.is_due_on(d(2025, 1, 31), &daily));
+        assert!(
+            scheduler
+                .triggered_rules_at(
+                    d(2025, 1, 30),
+                    ScheduleStage::OnDay,
+                    Some(NaiveTime::from_hms_opt(15, 0, 0).unwrap()),
+                    std::slice::from_ref(&daily),
+                )
+                .len()
+                == 1
+        );
+        assert!(
+            scheduler
+                .triggered_rules_at(
+                    d(2025, 1, 30),
+                    ScheduleStage::OnDay,
+                    Some(NaiveTime::from_hms_opt(10, 18, 0).unwrap()),
+                    std::slice::from_ref(&daily),
+                )
+                .is_empty()
+        );
+    }
+
     #[test]
     fn scheduler_matches_daily_weekly_and_monthly_rules() {
         let calendar = sample_calendar();

crates/fidc-core/src/strategy.rs

@@ -10,6 +10,7 @@ use crate::data::{
 };
 use crate::engine::BacktestError;
 use crate::events::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEvent};
+use crate::fixed_point::FixedMoney;
 use crate::futures::{FuturesAccountState, FuturesOrderIntent};
 use crate::instrument::Instrument;
 use crate::portfolio::PortfolioState;
@@ -19,6 +20,12 @@ use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSe
 
 pub trait Strategy {
     fn name(&self) -> &str;
+    fn initial_subscriptions(&self) -> BTreeSet<String> {
+        BTreeSet::new()
+    }
+    fn requires_minute_callbacks(&self) -> bool {
+        true
+    }
     fn management_fee(
         &mut self,
         _ctx: &StrategyContext<'_>,
@@ -82,7 +89,7 @@ pub trait Strategy {
     }
 }
 
-#[derive(Debug, Clone)]
+#[derive(Debug, Clone, PartialEq)]
 pub struct OpenOrderView {
     pub order_id: u64,
     pub symbol: String,
@@ -1007,6 +1014,35 @@ pub enum AlgoOrderStyle {
     Twap,
 }
 
+#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+pub enum OrderTimeInForce {
+    Day,
+    Ioc,
+    Fok,
+    Gtc,
+}
+
+impl OrderTimeInForce {
+    pub fn parse(value: &str) -> Option<Self> {
+        match value.trim().to_ascii_lowercase().as_str() {
+            "day" => Some(Self::Day),
+            "ioc" | "immediate_or_cancel" | "immediate-or-cancel" => Some(Self::Ioc),
+            "fok" | "fill_or_kill" | "fill-or-kill" => Some(Self::Fok),
+            "gtc" | "good_til_canceled" | "good-til-canceled" => Some(Self::Gtc),
+            _ => None,
+        }
+    }
+
+    pub fn as_str(self) -> &'static str {
+        match self {
+            Self::Day => "day",
+            Self::Ioc => "ioc",
+            Self::Fok => "fok",
+            Self::Gtc => "gtc",
+        }
+    }
+}
+
 #[derive(Debug, Clone)]
 pub enum TargetPortfolioOrderPricing {
     LimitPrices(BTreeMap<String, f64>),
@@ -1019,6 +1055,10 @@ pub enum TargetPortfolioOrderPricing {
 
 #[derive(Debug, Clone)]
 pub enum OrderIntent {
+    WithTimeInForce {
+        intent: Box<OrderIntent>,
+        time_in_force: OrderTimeInForce,
+    },
     Shares {
         symbol: String,
         quantity: i32,
@@ -1130,6 +1170,12 @@ pub enum OrderIntent {
         order_id: u64,
         reason: String,
     },
+    ModifyOrder {
+        order_id: u64,
+        new_total_quantity: Option<u32>,
+        new_limit_price: Option<f64>,
+        reason: String,
+    },
     CancelSymbol {
         symbol: String,
         reason: String,
@@ -1167,6 +1213,101 @@ pub enum OrderIntent {
     },
 }
 
+impl OrderIntent {
+    pub fn with_time_in_force(self, time_in_force: OrderTimeInForce) -> Self {
+        match self {
+            Self::WithTimeInForce { intent, .. } => Self::WithTimeInForce {
+                intent,
+                time_in_force,
+            },
+            intent => Self::WithTimeInForce {
+                intent: Box::new(intent),
+                time_in_force,
+            },
+        }
+    }
+
+    pub fn time_in_force(&self) -> Option<OrderTimeInForce> {
+        match self {
+            Self::WithTimeInForce { time_in_force, .. } => Some(*time_in_force),
+            _ => None,
+        }
+    }
+
+    pub fn into_time_in_force_parts(self) -> (Self, Option<OrderTimeInForce>) {
+        match self {
+            Self::WithTimeInForce {
+                intent,
+                time_in_force,
+            } => (*intent, Some(time_in_force)),
+            intent => (intent, None),
+        }
+    }
+
+    pub fn apply_time_in_force(self, time_in_force: Option<OrderTimeInForce>) -> Self {
+        match time_in_force {
+            Some(time_in_force) => self.with_time_in_force(time_in_force),
+            None => self,
+        }
+    }
+
+    pub fn unwrapped(&self) -> &Self {
+        match self {
+            Self::WithTimeInForce { intent, .. } => intent.unwrapped(),
+            _ => self,
+        }
+    }
+
+    pub fn supports_time_in_force(&self, time_in_force: OrderTimeInForce) -> bool {
+        let intent = self.unwrapped();
+        if matches!(
+            intent,
+            Self::CancelOrder { .. }
+                | Self::ModifyOrder { .. }
+                | Self::CancelSymbol { .. }
+                | Self::CancelAll { .. }
+                | Self::UpdateUniverse { .. }
+                | Self::Subscribe { .. }
+                | Self::Unsubscribe { .. }
+                | Self::DepositWithdraw { .. }
+                | Self::FinanceRepay { .. }
+                | Self::SetManagementFeeRate { .. }
+                | Self::Futures { .. }
+        ) {
+            return false;
+        }
+        let is_algo = matches!(
+            intent,
+            Self::AlgoValue { .. } | Self::AlgoPercent { .. } | Self::TimedTargetValue { .. }
+        ) || matches!(
+            intent,
+            Self::TargetPortfolioSmart {
+                order_prices: Some(TargetPortfolioOrderPricing::AlgoOrder { .. }),
+                ..
+            }
+        );
+        let is_limit = matches!(
+            intent,
+            Self::LimitShares { .. }
+                | Self::LimitLots { .. }
+                | Self::LimitTargetShares { .. }
+                | Self::LimitTargetValue { .. }
+                | Self::LimitValue { .. }
+                | Self::LimitPercent { .. }
+                | Self::LimitTargetPercent { .. }
+                | Self::TargetPortfolioSmart {
+                    order_prices: Some(TargetPortfolioOrderPricing::LimitPrices(_)),
+                    ..
+                }
+        );
+        match time_in_force {
+            OrderTimeInForce::Day | OrderTimeInForce::Ioc => true,
+            OrderTimeInForce::Fok => !is_algo,
+            OrderTimeInForce::Gtc => is_limit,
+        }
+    }
+}
+
 #[derive(Debug, Clone)]
 pub struct CnSmallCapRotationConfig {
     pub strategy_name: String,
@@ -1744,14 +1885,47 @@ impl OmniMicroCapStrategy {
         ChinaAShareCostModel::from_trading_constraints(self.config.risk_config.trading_constraints)
     }
 
-    fn buy_commission(&self, gross_amount: f64) -> f64 {
-        self.cost_model().commission_for(gross_amount)
+    fn buy_cost(&self, gross_amount: f64) -> f64 {
+        let model = self.cost_model();
+        FixedMoney::checked_sum_f64([
+            model.commission_for(gross_amount),
+            model.transfer_fee_for(gross_amount),
+        ])
+        .expect("projected buy costs must be finite fixed-point money")
+        .to_f64()
     }
 
     fn sell_cost(&self, date: NaiveDate, gross_amount: f64) -> f64 {
         let model = self.cost_model();
-        model.commission_for(gross_amount)
-            + model.stamp_tax_for(date, OrderSide::Sell, gross_amount)
+        FixedMoney::checked_sum_f64([
+            model.commission_for(gross_amount),
+            model.stamp_tax_for(date, OrderSide::Sell, gross_amount),
+            model.transfer_fee_for(gross_amount),
+        ])
+        .expect("projected sell costs must be finite fixed-point money")
+        .to_f64()
+    }
+
+    fn buy_cash_out(&self, gross_amount: f64) -> f64 {
+        FixedMoney::checked_sum_f64([gross_amount, self.buy_cost(gross_amount)])
+            .expect("projected buy cash must be finite fixed-point money")
+            .to_f64()
+    }
+
+    fn sell_net_cash(&self, date: NaiveDate, gross_amount: f64) -> f64 {
+        let gross = FixedMoney::from_f64(gross_amount)
+            .expect("projected sell gross must be finite fixed-point money");
+        gross
+            .checked_sub(
+                FixedMoney::from_f64(self.sell_cost(date, gross.to_f64()))
+                    .expect("projected sell costs must be finite fixed-point money"),
+            )
+            .expect("projected sell proceeds underflow")
+            .to_f64()
+    }
+
+    fn fixed_cash_fits(value: f64, limit: f64) -> bool {
+        FixedMoney::f64_fits_within(value, limit).unwrap_or(false)
     }
 
     fn round_lot_quantity(
@@ -1820,7 +1994,7 @@ impl OmniMicroCapStrategy {
         let mut quantity = self.round_lot_quantity((cash / sizing_price).floor() as u32, 100, 100);
         while quantity > 0 {
             let gross_amount = execution_price * quantity as f64;
-            if gross_amount + self.buy_commission(gross_amount) <= cash + 1e-6 {
+            if Self::fixed_cash_fits(self.buy_cash_out(gross_amount), cash) {
                 return quantity;
             }
             quantity = self.decrement_order_quantity(quantity, 100, 100);
@@ -1868,8 +2042,10 @@ impl OmniMicroCapStrategy {
         );
         while snapshot_requested_qty > 0 {
             let gross_amount = sizing_price * snapshot_requested_qty as f64;
-            let cash_out = gross_amount + self.buy_commission(gross_amount);
-            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
+            let cash_out = self.buy_cash_out(gross_amount);
+            if Self::fixed_cash_fits(cash_out, order_value)
+                && Self::fixed_cash_fits(cash_out, projected.cash())
+            {
                 break;
             }
             snapshot_requested_qty = self.decrement_order_quantity(
@@ -1896,8 +2072,10 @@ impl OmniMicroCapStrategy {
         let mut quantity = snapshot_requested_qty;
         while quantity > 0 {
             let gross_amount = projected_execution_price * quantity as f64;
-            let cash_out = gross_amount + self.buy_commission(gross_amount);
-            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
+            let cash_out = self.buy_cash_out(gross_amount);
+            if Self::fixed_cash_fits(cash_out, order_value)
+                && Self::fixed_cash_fits(cash_out, projected.cash())
+            {
                 break;
             }
             quantity =
@@ -1912,8 +2090,10 @@ impl OmniMicroCapStrategy {
             .unwrap_or(projected_execution_price);
         while quantity > 0 {
             let gross_amount = execution_price * quantity as f64;
-            let cash_out = gross_amount + self.buy_commission(gross_amount);
-            if cash_out <= order_value + 1e-6 && cash_out <= projected.cash() + 1e-6 {
+            let cash_out = self.buy_cash_out(gross_amount);
+            if Self::fixed_cash_fits(cash_out, order_value)
+                && Self::fixed_cash_fits(cash_out, projected.cash())
+            {
                 break;
             }
             quantity =
@@ -1928,11 +2108,15 @@ impl OmniMicroCapStrategy {
             next_cursor: date.and_time(self.intraday_execution_start_time()) + Duration::seconds(1),
         };
         let gross_amount = fill.price * fill.quantity as f64;
-        let cash_out = gross_amount + self.buy_commission(gross_amount);
-        if cash_out > projected.cash() + 1e-6 || cash_out > order_value + 1e-6 {
+        let cash_out = self.buy_cash_out(gross_amount);
+        if !Self::fixed_cash_fits(cash_out, projected.cash())
+            || !Self::fixed_cash_fits(cash_out, order_value)
+        {
             return 0;
         }
-        projected.apply_cash_delta(-cash_out);
+        projected
+            .apply_cash_delta(-cash_out)
+            .expect("projected buy cash must fit fixed-point ledger");
         projected
             .position_mut(symbol)
             .buy(date, fill.quantity, fill.price);
@@ -1988,12 +2172,14 @@ impl OmniMicroCapStrategy {
                     + Duration::seconds(1),
             });
         let gross_amount = fill.price * fill.quantity as f64;
-        let net_cash = gross_amount - self.sell_cost(date, gross_amount);
+        let net_cash = self.sell_net_cash(date, gross_amount);
         projected
             .position_mut(symbol)
             .sell(fill.quantity, fill.price)
             .ok()?;
-        projected.apply_cash_delta(net_cash);
+        projected
+            .apply_cash_delta(net_cash)
+            .expect("projected sell cash must fit fixed-point ledger");
         *execution_state
             .intraday_turnover
             .entry(symbol.to_string())
@@ -2138,7 +2324,9 @@ impl OmniMicroCapStrategy {
                         );
                         while take_qty > 0 {
                             let candidate_gross = execution_price * take_qty as f64;
-                            if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
+                            if gross_limit
+                                .is_some_and(|limit| !Self::fixed_cash_fits(candidate_gross, limit))
+                            {
                                 take_qty = self.decrement_order_quantity(
                                     take_qty,
                                     minimum_order_quantity,
@@ -2146,9 +2334,8 @@ impl OmniMicroCapStrategy {
                                 );
                                 continue;
                             }
-                            let candidate_cash =
-                                candidate_gross + self.buy_commission(candidate_gross);
-                            if candidate_cash <= cash + 1e-6 {
+                            let candidate_cash = self.buy_cash_out(candidate_gross);
+                            if Self::fixed_cash_fits(candidate_cash, cash) {
                                 break;
                             }
                             take_qty = self.decrement_order_quantity(
@@ -2248,7 +2435,9 @@ impl OmniMicroCapStrategy {
             if let Some(cash) = cash_limit {
                 while take_qty > 0 {
                     let candidate_gross = gross_amount + quote_price * take_qty as f64;
-                    if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
+                    if gross_limit
+                        .is_some_and(|limit| !Self::fixed_cash_fits(candidate_gross, limit))
+                    {
                         take_qty = self.decrement_order_quantity(
                             take_qty,
                             minimum_order_quantity,
@@ -2256,7 +2445,7 @@ impl OmniMicroCapStrategy {
                         );
                         continue;
                     }
-                    if candidate_gross + self.buy_commission(candidate_gross) <= cash + 1e-6 {
+                    if Self::fixed_cash_fits(self.buy_cash_out(candidate_gross), cash) {
                         break;
                     }
                     take_qty = self.decrement_order_quantity(
@@ -2486,7 +2675,7 @@ impl OmniMicroCapStrategy {
         date: NaiveDate,
     ) -> Vec<FidcRiskDecisionAudit> {
         let mut decisions = Vec::new();
-        for factor in ctx.data.factor_snapshots_on(date) {
+        for factor in ctx.data.factor_snapshot_rows_on(date) {
             if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(&factor.symbol) {
                 continue;
             }
@@ -2854,6 +3043,53 @@ mod tests {
     use super::*;
     use crate::{BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot};
 
+    #[test]
+    fn order_time_in_force_parsing_and_order_type_contract_are_explicit() {
+        assert_eq!(OrderTimeInForce::parse("DAY"), Some(OrderTimeInForce::Day));
+        assert_eq!(
+            OrderTimeInForce::parse("immediate_or_cancel"),
+            Some(OrderTimeInForce::Ioc)
+        );
+        assert_eq!(
+            OrderTimeInForce::parse("fill-or-kill"),
+            Some(OrderTimeInForce::Fok)
+        );
+        assert_eq!(
+            OrderTimeInForce::parse("good_til_canceled"),
+            Some(OrderTimeInForce::Gtc)
+        );
+        assert_eq!(OrderTimeInForce::parse("unknown"), None);
+
+        let market = OrderIntent::Shares {
+            symbol: "000001.SZ".to_string(),
+            quantity: 100,
+            reason: "market".to_string(),
+        };
+        assert!(market.supports_time_in_force(OrderTimeInForce::Day));
+        assert!(market.supports_time_in_force(OrderTimeInForce::Ioc));
+        assert!(market.supports_time_in_force(OrderTimeInForce::Fok));
+        assert!(!market.supports_time_in_force(OrderTimeInForce::Gtc));
+
+        let limit = OrderIntent::LimitShares {
+            symbol: "000001.SZ".to_string(),
+            quantity: 100,
+            limit_price: 10.0,
+            reason: "limit".to_string(),
+        };
+        assert!(limit.supports_time_in_force(OrderTimeInForce::Gtc));
+
+        let algo = OrderIntent::AlgoValue {
+            symbol: "000001.SZ".to_string(),
+            value: 10_000.0,
+            style: AlgoOrderStyle::Vwap,
+            start_time: None,
+            end_time: None,
+            reason: "algo".to_string(),
+        };
+        assert!(!algo.supports_time_in_force(OrderTimeInForce::Fok));
+        assert!(!algo.supports_time_in_force(OrderTimeInForce::Gtc));
+    }
+
     #[test]
     fn omni_microcap_projection_uses_configured_trading_cost() {
         let mut cfg = OmniMicroCapConfig::omni_microcap();
@@ -2864,8 +3100,8 @@ mod tests {
             .stamp_tax_rate_after_change = 0.0005;
         let strategy = OmniMicroCapStrategy::new(cfg);
 
-        assert!((strategy.buy_commission(100_000.0) - 30.0).abs() < 1e-9);
-        assert!((strategy.buy_commission(1_000.0) - 5.0).abs() < 1e-9);
+        assert!((strategy.buy_cost(100_000.0) - 30.0).abs() < 1e-9);
+        assert!((strategy.buy_cost(1_000.0) - 5.0).abs() < 1e-9);
         assert!(
             (strategy.sell_cost(NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(), 100_000.0) - 80.0)
                 .abs()

crates/fidc-core/src/strategy_ai.rs

@@ -119,8 +119,8 @@ pub struct StrategyAiOptimizeRequest {
 }
 
 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_RISK_POLICY_DSL_PROMPT: &str = "max_order_quantity=1000000、max_order_notional=100000000、max_symbol_position=10000000、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 = "max_order_quantity=1000000, max_order_notional=100000000, max_symbol_position=10000000, reject_st_selection=false, reject_st_buy=true, reject_star_st_selection=false, reject_star_st_buy=true, reject_paused_selection=false, reject_paused_buy=true, reject_paused_sell=true, reject_inactive_selection=false, reject_inactive_buy=true, reject_inactive_sell=true, reject_new_listing_selection=false, reject_new_listing_buy=true, reject_kcb_selection=false, reject_kcb_buy=true, reject_bjse_selection=false, reject_bjse_buy=true, reject_one_yuan_selection=false, reject_one_yuan_buy=true, respect_allow_buy_sell=true, reject_upper_limit_selection=false, reject_lower_limit_selection=false, reject_upper_limit_buy=true, reject_lower_limit_sell=true, forbid_same_day_rebuy_after_sell=true, blacklist_enabled=true, allow_market_orders=true, live_trading_enabled=false, volume_limit_enabled=true, liquidity_limit_enabled=true, volume_percent=0.25, commission_rate=0.0003, minimum_commission=5, stamp_tax_rate_before_change=0.001, stamp_tax_rate_after_change=0.0005, stamp_tax_change_date=\"2023-08-28\"";
 
 pub fn built_in_strategy_manual() -> StrategyAiManual {
     StrategyAiManual {
@@ -250,7 +250,7 @@ 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 max_order_quantity、max_order_notional、max_symbol_position，以及 ST/*ST、停牌、退市、新股、科创、北交所、一元、涨跌停、同日卖出禁买、黑名单、成交量、流动性和交易成本等命名参数；risk.blacklist([\"600000.SH\"]) 写策略级黑名单。框架默认基础风控必须走 risk.policy 或运行态 RiskLimits，不能被转换器隐式写进 universe.exclude 或 filter.stock_expr；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，不能反向修改冻结的 reject_*_selection 开关；冻结的 `reject_*_selection` 值不得改变。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(),
@@ -261,12 +261,20 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 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(),
             },
             ManualSection {
-                title: "期货提交校验".to_string(),
-                detail: "期货订单进入撮合前会先执行账户与交易规则校验：合约必须在上市/退市日期范围内，日行情不能停牌，trading_phase 需处于 continuous/trading/open_auction/auction/call_auction/opening_auction 等可交易阶段，限价必须为正且按 futures_trading_parameters.price_tick 或日行情 price_tick 对齐，并且不能越过 upper_limit/lower_limit；随后继续检查反向挂单自成交风险、保证金和可平数量。服务层可通过 FuturesValidationConfig 分别关闭 active instrument、trading phase、限价最小价位、price limit 校验，但默认全部开启。".to_string(),
+                title: "期货 runtime action 与提交校验".to_string(),
+                detail: "runtimeExpressions.trading.actions 支持 futures_order、futures_open、futures_close、futures_close_today、futures_close_yesterday；字段包括 symbol、direction=long|short、quantityExpr/amountExpr、可选 limitPriceExpr、transactionCostExpr、whenExpr 和 reason。期货-only 策略把请求初始资金分配给期货账户且股票账户为0；股票+期货混合策略必须显式声明 futuresInitialCash，可选 stockInitialCash。合约必须先由 Source Lake 发布 futures_contract_daily、futures_contract_spec_history、futures_cost_margin_history 三张真实数据集；缺任一张时生成/回测必须失败，禁止手写默认乘数、保证金、费用或价格。订单进入撮合前继续检查上市/退市日期、停牌、trading_phase、限价 tick、涨跌停、反向挂单自成交、保证金和可平今昨仓。".to_string(),
             },
             ManualSection {
-                title: "trading.rotation / order.* / cancel.* / update_universe / subscribe".to_string(),
-                detail: "支持显式下单、撤单、AlgoOrder、动态 universe 和账户资金动作。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段；需要模拟 平台内核 的日内订阅保护时，可写 trading.subscription_guard(true)，未订阅 symbol 的显式订单会被拦截，TargetPortfolioSmart + AlgoOrder 会过滤未订阅标的。用 trading.schedule.daily().at([\"10:18\"]) / trading.schedule.weekly(weekday=5).at([\"10:18\"]) / trading.schedule.weekly(tradingday=-1).at([\"10:18\"]) / trading.schedule.monthly(tradingday=1).at([\"10:18\"]) 指定触发频率和分钟级 time_rule，然后写 order.shares(\"600000.SH\", 1000)、order.target_shares(\"600000.SH\", 2000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99)、order.vwap_value(\"600000.SH\", cash * 0.25, \"09:31\", \"09:40\")、order.twap_percent(\"600000.SH\", 0.05, \"10:00\", \"10:30\")、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices=VWAPOrder(930, 940), valuation_prices={\"600000.SH\": prev_close})、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices={\"600000.SH\": open * 0.99}, valuation_prices={\"600000.SH\": prev_close})、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()、update_universe([\"600000.SH\", \"000001.SZ\"])、subscribe([\"000001.SZ\"])、unsubscribe([\"000001.SZ\"])、account.deposit_withdraw(100000, receiving_days=0)、account.finance_repay(50000)、account.set_management_fee_rate(0.001)。其中 order.target_shares(...) 对应 平台内核 的 order_to，order.target_portfolio_smart(...) 对应 平台内核 的 order_target_portfolio_smart 批量目标权重语义；account.deposit_withdraw(...) 和 account.finance_repay(...) 对应 平台内核 账户出入金与融资/还款语义；order_prices 既可以是逐标的限价映射，也可以是 VWAPOrder/TWAPOrder 这类全局 AlgoOrder；order.vwap_* / order.twap_* 对应 平台内核 的 AlgoOrder 时间窗订单风格，而 update_universe/subscribe/unsubscribe 对应 平台内核 的动态 universe 与订阅接口。symbol 使用标准证券代码；数量、金额、仓位、时间窗、限价、order_id 和 symbol 列表都支持表达式；这些语句也支持放进 when/unless 条件块。".to_string(),
+                title: "trading.rotation / order.* / order.modify / cancel.* / update_universe / subscribe".to_string(),
+                detail: "支持股票显式下单、期货 runtime action、撤单、AlgoOrder、动态 universe 和账户资金动作。可以用 trading.rotation(false) 关闭默认轮动链路，再用 trading.stage(\"open_auction\" | \"on_day\") 指定执行阶段；需要模拟 平台内核 的日内订阅保护时，可写 trading.subscription_guard(true)，未订阅 symbol 的显式订单会被拦截，TargetPortfolioSmart + AlgoOrder 会过滤未订阅标的。用 trading.schedule.daily().at([\"10:18\"]) / trading.schedule.weekly(weekday=5).at([\"10:18\"]) / trading.schedule.weekly(tradingday=-1).at([\"10:18\"]) / trading.schedule.monthly(tradingday=1).at([\"10:18\"]) 指定触发频率和分钟级 time_rule，然后写 order.shares(\"600000.SH\", 1000)、order.target_shares(\"600000.SH\", 2000)、order.value(\"600000.SH\", cash * 0.25)、order.target_percent(\"600000.SH\", 0.05)、order.limit_value(\"600000.SH\", cash * 0.25, open * 0.99, time_in_force=\"gtc\")、order.vwap_value(\"600000.SH\", cash * 0.25, \"09:31\", \"09:40\")、order.twap_percent(\"600000.SH\", 0.05, \"10:00\", \"10:30\")、order.target_portfolio_smart(weights={\"600000.SH\": 0.3, \"000001.SZ\": 0.2}, order_prices=VWAPOrder(930, 940), valuation_prices={\"600000.SH\": prev_close})、cancel.order(12345)、cancel.symbol(\"600000.SH\")、cancel.all()、update_universe([\"600000.SH\", \"000001.SZ\"])、subscribe([\"000001.SZ\"])、unsubscribe([\"000001.SZ\"])、account.deposit_withdraw(100000, receiving_days=0)、account.finance_repay(50000)、account.set_management_fee_rate(0.001)。股票订单和 target_portfolio_smart 支持可选关键字 time_in_force=\"day|ioc|fok|gtc\"，编译后写入 runtimeExpressions.trading.actions[].timeInForce：DAY 日内保留并在收盘 Expired，IOC 立即撤销未成交余量，FOK 必须全量可成交否则零成交，GTC 仅支持限价单并跨交易日保留；VWAP/TWAP 不接受 FOK/GTC。期货 action 必须由编译器写入结构化 runtimeExpressions，不得让策略源码直接构造 FuturesOrderIntent 或硬编码合约参数。symbol 使用标准证券/合约代码；数量、金额、仓位、时间窗、限价、order_id 和 symbol 列表都支持表达式；这些语句也支持放进 when/unless 条件块。".to_string(),
+            },
+            ManualSection {
+                title: "order.time_in_force target runtime scope".to_string(),
+                detail: "回测支持 DAY/IOC/FOK/GTC；paper/live 当前只支持 DAY/IOC/FOK。GTC 需要持久化跨交易日 parent/child 重挂账本和券商适配器能力，在该合同实现前只允许回测，paper/live 必须明确拒绝并禁止降级为 DAY。生成策略前必须按目标运行模式选择能力。".to_string(),
+            },
+            ManualSection {
+                title: "order.modify".to_string(),
+                detail: "回测中可用 order.modify(order_id, total_quantity=?, limit_price=?) 原位修改仍未完成的限价单。total_quantity 是新的总委托量而不是增量，不能低于已成交量；改价或增量会重置盘口队列优先级，减少总量且不改价保留优先级，同时保留 order_id、有效期、累计成交和费用状态。paper/live 在适配器提供持久且确认的 cancel-replace 合同前必须拒绝该动作，不得静默转换为撤单加新订单。".to_string(),
             },
             ManualSection {
                 title: "when / unless / else".to_string(),
@@ -404,7 +412,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             },
             ManualFactorSource {
                 table: "期货交易参数".to_string(),
-                detail: "字段包括 symbol、effective_date、contract_multiplier、long_margin_rate、short_margin_rate、commission_type、open_commission_ratio、close_commission_ratio、close_today_commission_ratio、price_tick。回测会按交易日自动选择不晚于当前日期的最新参数，用于保证金、手续费和限价最小价位校验。".to_string(),
+                detail: "来自 futures_contract_spec_history 与 futures_cost_margin_history；字段包括 symbol、effective_date、contract_multiplier、long_margin_rate、short_margin_rate、commission_type、open_commission_ratio、close_commission_ratio、close_today_commission_ratio、price_tick。回测按交易日选择不晚于当前日期的最新参数。schema catalog 未同时发布 futures_contract_daily、futures_contract_spec_history、futures_cost_margin_history 时，该能力视为不可用。".to_string(),
                 fields: vec![],
             },
         ],
@@ -672,6 +680,11 @@ mod tests {
         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"));
+        assert!(markdown.contains("time_in_force=\"day|ioc|fok|gtc\""));
+        assert!(markdown.contains("FOK 必须全量可成交否则零成交"));
+        assert!(markdown.contains("GTC 仅支持限价单并跨交易日保留"));
+        assert!(markdown.contains("paper/live 当前只支持 DAY/IOC/FOK"));
+        assert!(markdown.contains("paper/live 必须明确拒绝并禁止降级为 DAY"));
     }
 
     #[test]

crates/fidc-core/src/universe.rs

@@ -80,7 +80,7 @@ impl SelectionContext<'_> {
             }
         };
         let mut decisions = Vec::new();
-        for factor in self.data.factor_snapshots_on(self.decision_date) {
+        for factor in self.data.factor_snapshot_rows_on(self.decision_date) {
             if self
                 .dynamic_universe
                 .is_some_and(|symbols| !symbols.is_empty() && !symbols.contains(&factor.symbol))
@@ -213,7 +213,7 @@ impl UniverseSelector for DynamicMarketCapBandSelector {
             risk_decisions: Vec::new(),
         };
 
-        diagnostics.factor_total = ctx.data.factor_snapshots_on(ctx.decision_date).len();
+        diagnostics.factor_total = ctx.data.factor_snapshot_rows_on(ctx.decision_date).len();
         diagnostics.risk_decisions = ctx.selection_risk_decisions();
         diagnostics.not_eligible_count = diagnostics.risk_decisions.len();
         diagnostics.paused_count = diagnostics

crates/fidc-core/tests/corporate_actions.rs

@@ -49,14 +49,30 @@ fn portfolio_settles_cash_receivable_on_payable_date() {
         amount: 500.0,
         reason: "cash_dividend 0.5".to_string(),
     });
+    portfolio.add_cash_receivable(CashReceivable {
+        symbol: "000002.SZ".to_string(),
+        ex_date: d(2025, 1, 2),
+        payable_date: d(2025, 1, 5),
+        amount: 250.0,
+        reason: "cash_dividend 0.25".to_string(),
+    });
 
-    let settled_early = portfolio.settle_cash_receivables(d(2025, 1, 4));
-    assert!(settled_early.is_empty());
+    let due_early = portfolio.take_due_cash_receivables(d(2025, 1, 4));
+    assert!(due_early.is_empty());
     assert!((portfolio.cash() - 1_000_000.0).abs() < 1e-9);
 
-    let settled = portfolio.settle_cash_receivables(d(2025, 1, 5));
-    assert_eq!(settled.len(), 1);
-    assert!((portfolio.cash() - 1_000_500.0).abs() < 1e-9);
+    let due = portfolio.take_due_cash_receivables(d(2025, 1, 5));
+    assert_eq!(due.len(), 2);
+    let mut cash_chain = Vec::new();
+    for receivable in &due {
+        let cash_before = portfolio.cash();
+        portfolio.settle_cash_receivable(receivable).unwrap();
+        cash_chain.push((cash_before, portfolio.cash()));
+    }
+    assert_eq!(
+        cash_chain,
+        vec![(1_000_000.0, 1_000_500.0), (1_000_500.0, 1_000_750.0)]
+    );
     assert!(portfolio.cash_receivables().is_empty());
 }
 
@@ -368,11 +384,9 @@ 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()
+                .with_commission_rate(0.0008)
+                .with_minimum_commission(0.0),
             ChinaEquityRuleHooks::default(),
             PriceField::Open,
         ),

crates/fidc-core/tests/engine_hooks.rs

@@ -1,18 +1,21 @@
 use std::cell::RefCell;
 use std::collections::{BTreeMap, BTreeSet};
 use std::rc::Rc;
+use std::sync::{Arc, Mutex};
 
 use chrono::{NaiveDate, NaiveDateTime};
 use fidc_core::{
     BacktestConfig, BacktestEngine, BacktestProcessMod, BacktestProcessModLoader,
-    BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
-    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, FuturesAccountState,
+    BacktestTerminalAssetClass, BacktestTerminalStatus, BenchmarkSnapshot, BrokerSimulator,
+    CandidateEligibility, ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot,
+    DailyMarketSnapshot, DataSet, ExecutionQuoteRequest, FuturesAccountState,
     FuturesCommissionType, FuturesContractSpec, FuturesDirection, FuturesOrderIntent,
-    FuturesTradingParameter, FuturesValidationConfig, Instrument, IntradayExecutionQuote,
-    IntradayOrderBookDepthLevel, MatchingType, OpenOrderView, OrderIntent, OrderSide, OrderStatus,
-    PlatformExprStrategy, PlatformExprStrategyConfig, PortfolioState, PriceField, ProcessEvent,
-    ProcessEventBus, ProcessEventKind, ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy,
-    StrategyContext, StrategyDecision,
+    FuturesPositionEffect, FuturesTradingParameter, FuturesValidationConfig, Instrument,
+    IntradayExecutionQuote, IntradayOrderBookDepthLevel, MatchingType, NumericFactorMap,
+    OpenOrderView, OrderIntent, OrderSide, OrderStatus, PlatformExprStrategy,
+    PlatformExprStrategyConfig, PlatformTradeAction, PortfolioState, PriceField, ProcessEvent,
+    ProcessEventBus, ProcessEventKind, ProcessEventRetention, ScheduleRule, ScheduleStage,
+    ScheduleTimeRule, Strategy, StrategyContext, StrategyDecision,
 };
 
 fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -131,7 +134,7 @@ fn market_row(date: NaiveDate, symbol: &str, open: f64, close: f64) -> DailyMark
 fn factor_row(
     date: NaiveDate,
     symbol: &str,
-    extra_factors: BTreeMap<String, f64>,
+    extra_factors: NumericFactorMap,
 ) -> DailyFactorSnapshot {
     DailyFactorSnapshot {
         date,
@@ -207,26 +210,26 @@ fn two_day_futures_data() -> DataSet {
                 d1,
                 "000001.SZ",
                 BTreeMap::from([
-                    ("custom_alpha".to_string(), 7.0),
-                    ("margin_all".to_string(), 1.0),
-                    ("yield_curve_1y".to_string(), 0.02),
-                    ("total_shares".to_string(), 123.0),
-                    ("stock_connect_north_bound".to_string(), 1.0),
-                    ("industry_citics_l1".to_string(), 10.0),
-                    ("fundamental_net_profit".to_string(), 99.0),
+                    ("custom_alpha".into(), 7.0),
+                    ("margin_all".into(), 1.0),
+                    ("yield_curve_1y".into(), 0.02),
+                    ("total_shares".into(), 123.0),
+                    ("stock_connect_north_bound".into(), 1.0),
+                    ("industry_citics_l1".into(), 10.0),
+                    ("fundamental_net_profit".into(), 99.0),
                 ]),
             ),
             factor_row(
                 d2,
                 "000001.SZ",
                 BTreeMap::from([
-                    ("custom_alpha".to_string(), 8.0),
-                    ("margin_all".to_string(), 1.0),
-                    ("yield_curve_1y".to_string(), 0.021),
-                    ("total_shares".to_string(), 124.0),
-                    ("stock_connect_north_bound".to_string(), 1.0),
-                    ("industry_citics_l1".to_string(), 10.0),
-                    ("fundamental_net_profit".to_string(), 101.0),
+                    ("custom_alpha".into(), 8.0),
+                    ("margin_all".into(), 1.0),
+                    ("yield_curve_1y".into(), 0.021),
+                    ("total_shares".into(), 124.0),
+                    ("stock_connect_north_bound".into(), 1.0),
+                    ("industry_citics_l1".into(), 10.0),
+                    ("fundamental_net_profit".into(), 101.0),
                 ]),
             ),
         ],
@@ -634,6 +637,9 @@ struct UniverseDirectiveStrategy {
 
 struct MinuteProbeStrategy {
     seen_ticks: Rc<RefCell<Vec<String>>>,
+    scheduled_count: Rc<RefCell<usize>>,
+    subscribe_symbols: BTreeSet<String>,
+    minute_callbacks: bool,
     ordered: bool,
 }
 
@@ -674,6 +680,8 @@ impl Strategy for ScheduledProbeStrategy {
                 .with_time_rule(ScheduleTimeRule::physical_time(10, 18)),
             ScheduleRule::monthly("first_trading_day_on_day", 1, ScheduleStage::OnDay)
                 .with_time_rule(ScheduleTimeRule::physical_time(10, 18)),
+            ScheduleRule::daily("daily_on_day_close", ScheduleStage::OnDay)
+                .with_time_rule(ScheduleTimeRule::physical_time(15, 0)),
         ]
     }
 
@@ -809,6 +817,26 @@ impl Strategy for MinuteProbeStrategy {
         "minute-probe"
     }
 
+    fn requires_minute_callbacks(&self) -> bool {
+        self.minute_callbacks
+    }
+
+    fn schedule_rules(&self) -> Vec<ScheduleRule> {
+        vec![
+            ScheduleRule::daily("minute_barrier", ScheduleStage::Minute)
+                .with_time_rule(ScheduleTimeRule::physical_time(10, 18)),
+        ]
+    }
+
+    fn on_scheduled(
+        &mut self,
+        _ctx: &StrategyContext<'_>,
+        _rule: &ScheduleRule,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        *self.scheduled_count.borrow_mut() += 1;
+        Ok(StrategyDecision::default())
+    }
+
     fn on_day(
         &mut self,
         _ctx: &StrategyContext<'_>,
@@ -818,7 +846,7 @@ impl Strategy for MinuteProbeStrategy {
             target_weights: BTreeMap::new(),
             exit_symbols: BTreeSet::new(),
             order_intents: vec![OrderIntent::Subscribe {
-                symbols: BTreeSet::from(["000001.SZ".to_string()]),
+                symbols: self.subscribe_symbols.clone(),
                 reason: "subscribe_minute_probe".to_string(),
             }],
             notes: Vec::new(),
@@ -1171,6 +1199,7 @@ fn engine_runs_strategy_hooks_in_daily_order() {
     )
     .expect("dataset");
 
+    let compact_data = data.clone();
     let log = Rc::new(RefCell::new(Vec::new()));
     let strategy = HookProbeStrategy { log: log.clone() };
     let broker = BrokerSimulator::new_with_execution_price(
@@ -1210,6 +1239,48 @@ fn engine_runs_strategy_hooks_in_daily_order() {
         ]
     );
     assert_eq!(result.process_events.len(), 36);
+
+    let compact_strategy = HookProbeStrategy {
+        log: Rc::new(RefCell::new(Vec::new())),
+    };
+    let compact_broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut compact_engine = BacktestEngine::new(
+        compact_data,
+        compact_strategy,
+        compact_broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(date1),
+            end_date: Some(date2),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_process_event_retention(ProcessEventRetention::Business);
+    let compact_result = compact_engine.run().expect("compact backtest succeeds");
+    assert!(
+        compact_result
+            .process_events
+            .iter()
+            .all(|event| event.kind.is_business_lifecycle())
+    );
+    assert!(
+        compact_result
+            .process_events
+            .iter()
+            .any(|event| event.kind == ProcessEventKind::OnDay)
+    );
+    assert!(
+        !compact_result
+            .process_events
+            .iter()
+            .any(|event| event.kind == ProcessEventKind::PreBeforeTrading)
+    );
     assert_eq!(
         result.process_events[..18]
             .iter()
@@ -1449,6 +1520,73 @@ fn engine_executes_futures_order_intents_against_future_account() {
     assert!((futures_account.cash() - 355_988.0).abs() < 1e-6);
 }
 
+#[test]
+fn platform_runtime_actions_execute_generic_futures_open_and_close() {
+    let mut cfg = PlatformExprStrategyConfig::generic();
+    cfg.signal_symbol = "000001.SZ".to_string();
+    cfg.benchmark_symbol = "000300.SH".to_string();
+    cfg.rotation_enabled = false;
+    cfg.benchmark_short_ma_days = 1;
+    cfg.benchmark_long_ma_days = 1;
+    cfg.explicit_actions = vec![
+        PlatformTradeAction::Futures {
+            symbol: "IF2501".to_string(),
+            direction: FuturesDirection::Long,
+            effect: FuturesPositionEffect::Open,
+            quantity_expr: "1".to_string(),
+            limit_price_expr: None,
+            transaction_cost_expr: None,
+            when_expr: Some("decision_date == \"2025-01-02\"".to_string()),
+            reason: "generic futures open".to_string(),
+        },
+        PlatformTradeAction::Futures {
+            symbol: "IF2501".to_string(),
+            direction: FuturesDirection::Long,
+            effect: FuturesPositionEffect::Close,
+            quantity_expr: "1".to_string(),
+            limit_price_expr: None,
+            transaction_cost_expr: None,
+            when_expr: Some("decision_date == \"2025-01-03\"".to_string()),
+            reason: "generic futures close".to_string(),
+        },
+    ];
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut engine = BacktestEngine::new(
+        two_day_futures_data(),
+        PlatformExprStrategy::new(cfg),
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(d(2025, 1, 2)),
+            end_date: Some(d(2025, 1, 3)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_futures_initial_cash(500_000.0);
+
+    let result = engine.run().expect("generic futures actions execute");
+
+    let futures_fills = result
+        .fills
+        .iter()
+        .filter(|fill| fill.symbol == "IF2501")
+        .collect::<Vec<_>>();
+    assert_eq!(futures_fills.len(), 2);
+    assert!((futures_fills[0].price - 4000.0).abs() < 1e-12);
+    assert!((futures_fills[0].commission - 2.5).abs() < 1e-12);
+    assert!((futures_fills[1].price - 3988.0).abs() < 1e-12);
+    assert!((futures_fills[1].commission - 2.0).abs() < 1e-12);
+    let futures_account = engine.futures_account().expect("future account");
+    assert!(futures_account.positions().is_empty());
+    assert!((futures_account.total_cash() - 496_395.5).abs() < 1e-12);
+}
+
 #[test]
 fn engine_settles_configured_futures_expiration_at_settlement() {
     let date = d(2025, 1, 2);
@@ -1524,7 +1662,9 @@ fn engine_aggregates_futures_account_into_nav_and_metrics() {
 
     assert_eq!(result.metrics.initial_cash, 600_000.0);
     assert!((result.equity_curve[0].total_equity - 599_988.0).abs() < 1e-6);
+    assert!((result.equity_curve[0].unit_nav - 0.99998).abs() < 1e-12);
     assert!((result.metrics.total_assets - 599_988.0).abs() < 1e-6);
+    assert!((result.metrics.total_return + 0.00002).abs() < 1e-12);
     assert_eq!(result.analyzer_report().trades.len(), result.fills.len());
     assert_eq!(result.analyzer_report().monthly_returns.len(), 1);
     assert_eq!(
@@ -1587,6 +1727,61 @@ fn engine_matches_pending_futures_limit_order_with_data_driven_costs() {
         .expect("long futures position");
     assert_eq!(position.quantity, 2);
     assert!((position.contract_multiplier - 300.0).abs() < 1e-6);
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.open_order_count(), 0);
+}
+
+#[test]
+fn engine_reports_pending_futures_order_at_backtest_boundary() {
+    let date = d(2025, 1, 2);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut engine = BacktestEngine::new(
+        two_day_futures_data(),
+        FuturesLimitOrderStrategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(date),
+            end_date: Some(date),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_futures_initial_cash(1_000_000.0);
+
+    let result = engine.run().expect("backtest succeeds");
+
+    assert!(result.fills.is_empty());
+    assert_eq!(
+        result.terminal_audit.status,
+        BacktestTerminalStatus::CompletedWithPendingState
+    );
+    assert_eq!(result.terminal_audit.last_execution_date, Some(date));
+    assert_eq!(result.terminal_audit.stock_open_order_count, 0);
+    assert_eq!(result.terminal_audit.futures_open_order_count, 1);
+    assert_eq!(result.terminal_audit.open_order_count(), 1);
+    assert_eq!(result.terminal_audit.omitted_open_order_count, 0);
+    assert_eq!(result.terminal_audit.open_order_samples.len(), 1);
+    assert_eq!(
+        result.terminal_audit.open_order_samples[0].asset_class,
+        BacktestTerminalAssetClass::Futures
+    );
+    assert_eq!(result.terminal_audit.open_order_samples[0].symbol, "IF2501");
+    assert_eq!(
+        result.terminal_audit.open_order_samples[0].remaining_quantity,
+        2
+    );
+    assert!(
+        result
+            .order_events
+            .iter()
+            .any(|event| { event.symbol == "IF2501" && event.status == OrderStatus::Pending })
+    );
 }
 
 #[test]
@@ -2011,6 +2206,19 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
                 amount_delta: 10_200.0,
                 trading_phase: Some("continuous".to_string()),
             },
+            IntradayExecutionQuote {
+                date,
+                symbol: "000002.SZ".to_string(),
+                timestamp: dt(2025, 1, 2, 10, 18, 0),
+                last_price: 20.4,
+                bid1: 20.3,
+                ask1: 20.4,
+                bid1_volume: 1_000,
+                ask1_volume: 1_000,
+                volume_delta: 1_000,
+                amount_delta: 20_400.0,
+                trading_phase: Some("continuous".to_string()),
+            },
             IntradayExecutionQuote {
                 date,
                 symbol: "000001.SZ".to_string(),
@@ -2029,8 +2237,12 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
     .expect("dataset");
 
     let seen_ticks = Rc::new(RefCell::new(Vec::new()));
+    let scheduled_count = Rc::new(RefCell::new(0usize));
     let strategy = MinuteProbeStrategy {
         seen_ticks: seen_ticks.clone(),
+        scheduled_count: scheduled_count.clone(),
+        subscribe_symbols: BTreeSet::from(["000001.SZ".to_string(), "000002.SZ".to_string()]),
+        minute_callbacks: true,
         ordered: false,
     };
     let broker = BrokerSimulator::new_with_execution_price(
@@ -2038,6 +2250,8 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
         ChinaEquityRuleHooks::default(),
         PriceField::Last,
     );
+    let loader_requests = Arc::new(Mutex::new(Vec::<ExecutionQuoteRequest>::new()));
+    let loader_requests_for_callback = Arc::clone(&loader_requests);
     let mut engine = BacktestEngine::new(
         data,
         strategy,
@@ -2050,7 +2264,11 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
             decision_lag_trading_days: 0,
             execution_price_field: PriceField::Last,
         },
-    );
+    )
+    .with_execution_quote_loader(move |request| {
+        loader_requests_for_callback.lock().unwrap().push(request);
+        Ok(Vec::new())
+    });
 
     let result = engine.run().expect("backtest run");
 
@@ -2058,9 +2276,19 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
         seen_ticks.borrow().as_slice(),
         [
             "000001.SZ:10:18:00:true:visible=10.20:previous=",
+            "000002.SZ:10:18:00:true:visible=20.40:previous=",
             "000001.SZ:10:19:00:true:visible=10.20,10.30:previous=10.20"
         ]
     );
+    assert_eq!(*scheduled_count.borrow(), 1);
+    let loader_requests = loader_requests.lock().unwrap();
+    assert_eq!(loader_requests.len(), 1);
+    assert_eq!(loader_requests[0].start_time, None);
+    assert_eq!(loader_requests[0].end_time, None);
+    assert_eq!(
+        loader_requests[0].symbols,
+        BTreeSet::from(["000001.SZ".to_string(), "000002.SZ".to_string()])
+    );
     assert_eq!(result.fills.len(), 1);
     assert_eq!(result.fills[0].reason, "minute_buy");
     assert_eq!(result.fills[0].quantity, 100);
@@ -2082,6 +2310,90 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
             .iter()
             .any(|event| event.kind == ProcessEventKind::PostMinute)
     );
+    assert_eq!(
+        result
+            .process_events
+            .iter()
+            .filter(|event| event.kind == ProcessEventKind::PreMinute)
+            .count(),
+        2
+    );
+}
+
+#[test]
+fn engine_skips_empty_platform_style_minute_callbacks_between_schedule_times() {
+    let date = d(2025, 1, 2);
+    let mut data = single_day_anchor_data(date);
+    data.add_execution_quotes(vec![
+        IntradayExecutionQuote {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp: dt(2025, 1, 2, 10, 18, 0),
+            last_price: 10.2,
+            bid1: 10.1,
+            ask1: 10.2,
+            bid1_volume: 1_000,
+            ask1_volume: 1_000,
+            volume_delta: 1_000,
+            amount_delta: 10_200.0,
+            trading_phase: Some("continuous".to_string()),
+        },
+        IntradayExecutionQuote {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp: dt(2025, 1, 2, 10, 19, 0),
+            last_price: 10.3,
+            bid1: 10.2,
+            ask1: 10.3,
+            bid1_volume: 1_000,
+            ask1_volume: 1_000,
+            volume_delta: 1_000,
+            amount_delta: 10_300.0,
+            trading_phase: Some("continuous".to_string()),
+        },
+    ]);
+    let seen_ticks = Rc::new(RefCell::new(Vec::new()));
+    let scheduled_count = Rc::new(RefCell::new(0usize));
+    let strategy = MinuteProbeStrategy {
+        seen_ticks: seen_ticks.clone(),
+        scheduled_count: scheduled_count.clone(),
+        subscribe_symbols: BTreeSet::from(["000001.SZ".to_string()]),
+        minute_callbacks: false,
+        ordered: false,
+    };
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Last,
+    );
+    let mut engine = BacktestEngine::new(
+        data,
+        strategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 10_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(date),
+            end_date: Some(date),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Last,
+        },
+    )
+    .with_execution_quote_loader(|_| Ok(Vec::new()));
+
+    let result = engine.run().expect("scheduled-only minute run");
+
+    assert!(seen_ticks.borrow().is_empty());
+    assert_eq!(*scheduled_count.borrow(), 1);
+    assert!(result.fills.is_empty());
+    assert_eq!(
+        result
+            .process_events
+            .iter()
+            .filter(|event| event.kind == ProcessEventKind::PreMinute)
+            .count(),
+        1
+    );
 }
 
 #[test]
@@ -2682,10 +2994,12 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
     assert!(result.process_events.iter().any(|event| {
         event.kind == ProcessEventKind::AccountManagementFee && event.detail.contains("fee=42.00")
     }));
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.pending_cash_flow_count, 0);
 }
 
 #[test]
-fn engine_rejects_pending_limit_orders_at_market_close() {
+fn engine_expires_pending_day_limit_orders_at_market_close() {
     let date1 = d(2025, 1, 2);
     let date2 = d(2025, 1, 3);
     let data = DataSet::from_components(
@@ -2847,12 +3161,14 @@ fn engine_rejects_pending_limit_orders_at_market_close() {
     );
     assert!(result.order_events.iter().any(|event| {
         event.date == date1
-            && event.status == fidc_core::OrderStatus::Rejected
-            && event.reason.contains("Market close")
+            && event.status == fidc_core::OrderStatus::Expired
+            && event.reason.contains("DAY order expired at market close")
     }));
     assert!(result.process_events.iter().any(|event| {
         event.date == date1 && event.kind == ProcessEventKind::OrderUnsolicitedUpdate
     }));
+    assert_eq!(result.terminal_audit.status, BacktestTerminalStatus::Clean);
+    assert_eq!(result.terminal_audit.stock_open_order_count, 0);
 }
 
 #[test]
@@ -3076,12 +3392,15 @@ fn engine_runs_scheduled_rules_for_daily_weekly_and_monthly_triggers() {
             "scheduled:daily_before_trading:2025-01-30",
             "scheduled:daily_market_open:2025-01-30",
             "scheduled:first_trading_day_on_day:2025-01-30",
+            "scheduled:daily_on_day_close:2025-01-30",
             "scheduled:daily_before_trading:2025-01-31",
             "scheduled:daily_market_open:2025-01-31",
             "scheduled:friday_on_day:2025-01-31",
+            "scheduled:daily_on_day_close:2025-01-31",
             "scheduled:daily_before_trading:2025-02-03",
             "scheduled:daily_market_open:2025-02-03",
             "scheduled:first_trading_day_on_day:2025-02-03",
+            "scheduled:daily_on_day_close:2025-02-03",
         ]
     );
     let process_log = process_log.borrow();

crates/fidc-core/tests/futures_account.rs

@@ -208,3 +208,134 @@ fn futures_expiration_settlement_closes_all_contract_directions() {
     );
     assert!((account.total_cash() - 1_003_000.0).abs() < 1e-6);
 }
+
+#[test]
+fn futures_full_close_preserves_closed_position_daily_metrics() {
+    let spec = FuturesContractSpec::new(10.0, 0.1, 0.1);
+    let mut account = FuturesAccountState::new(100_000.0);
+    account.open("IF2506.CCFX", FuturesDirection::Long, spec, 1, 100.0, 1.0);
+    account.begin_trading_day();
+
+    let realized = account
+        .close("IF2506.CCFX", FuturesDirection::Long, 1, 110.0, 2.0)
+        .expect("close overnight position");
+
+    assert!(account.positions().is_empty());
+    assert!((realized - 98.0).abs() < 1e-12);
+    assert!((account.position_pnl() - 100.0).abs() < 1e-12);
+    assert!(account.trading_pnl().abs() < 1e-12);
+    assert!((account.transaction_cost() - 2.0).abs() < 1e-12);
+    assert!((account.daily_pnl() - 98.0).abs() < 1e-12);
+    assert!((account.total_cash() - 100_097.0).abs() < 1e-12);
+
+    account.begin_trading_day();
+    assert!(account.daily_pnl().abs() < 1e-12);
+    assert!(account.transaction_cost().abs() < 1e-12);
+}
+
+#[test]
+fn futures_intraday_roundtrip_preserves_closed_trading_pnl() {
+    let spec = FuturesContractSpec::new(10.0, 0.1, 0.1);
+    let mut account = FuturesAccountState::new(100_000.0);
+    account.begin_trading_day();
+    account.open("IF2506.CCFX", FuturesDirection::Long, spec, 1, 100.0, 1.0);
+    account
+        .close("IF2506.CCFX", FuturesDirection::Long, 1, 110.0, 2.0)
+        .expect("close intraday position");
+
+    assert!(account.positions().is_empty());
+    assert!((account.trading_pnl() - 100.0).abs() < 1e-12);
+    assert!(account.position_pnl().abs() < 1e-12);
+    assert!((account.transaction_cost() - 3.0).abs() < 1e-12);
+    assert!((account.daily_pnl() - 97.0).abs() < 1e-12);
+    assert!((account.total_cash() - 100_097.0).abs() < 1e-12);
+}
+
+#[test]
+fn futures_partial_close_offsets_later_mark_with_trading_pnl() {
+    let spec = FuturesContractSpec::new(10.0, 0.1, 0.1);
+    let mut account = FuturesAccountState::new(100_000.0);
+    account.open("IF2506.CCFX", FuturesDirection::Long, spec, 2, 100.0, 0.0);
+    account.begin_trading_day();
+    account
+        .close("IF2506.CCFX", FuturesDirection::Long, 1, 110.0, 0.0)
+        .expect("partially close overnight position");
+    account.mark_price("IF2506.CCFX", FuturesDirection::Long, 120.0);
+
+    assert!((account.position_pnl() - 400.0).abs() < 1e-12);
+    assert!((account.trading_pnl() + 100.0).abs() < 1e-12);
+    assert!((account.daily_pnl() - 300.0).abs() < 1e-12);
+    assert!((account.total_value() - 100_300.0).abs() < 1e-12);
+}
+
+#[test]
+fn futures_settlement_keeps_same_day_pnl_visible_until_next_day() {
+    let spec = FuturesContractSpec::new(10.0, 0.1, 0.1);
+    let mut account = FuturesAccountState::new(100_000.0);
+    account.open("IF2506.CCFX", FuturesDirection::Long, spec, 1, 100.0, 0.0);
+    account.begin_trading_day();
+    account.mark_price("IF2506.CCFX", FuturesDirection::Long, 110.0);
+
+    let settled = account.settle(&BTreeMap::from([("IF2506.CCFX".to_string(), 110.0)]));
+
+    assert!((settled - 100.0).abs() < 1e-12);
+    assert!((account.daily_pnl() - 100.0).abs() < 1e-12);
+    assert!((account.total_cash() - 100_100.0).abs() < 1e-12);
+    assert!((account.total_value() - 100_100.0).abs() < 1e-12);
+
+    account.begin_trading_day();
+    assert!(account.daily_pnl().abs() < 1e-12);
+}
+
+#[test]
+fn futures_cash_and_closed_cost_accumulate_micro_yuan_exactly() {
+    let spec = FuturesContractSpec::new(1.0, 0.0, 0.0);
+    let mut account = FuturesAccountState::new(1_000_000.0);
+    account.begin_trading_day();
+    for _ in 0..10_000 {
+        account.open(
+            "IF2506.CCFX",
+            FuturesDirection::Long,
+            spec,
+            1,
+            100.0,
+            0.000001,
+        );
+        account
+            .close("IF2506.CCFX", FuturesDirection::Long, 1, 100.0, 0.000001)
+            .expect("close micro-cost position");
+    }
+
+    assert!((account.total_cash() - 999_999.98).abs() < 1e-12);
+    assert!((account.transaction_cost() - 0.02).abs() < 1e-12);
+    assert!((account.daily_pnl() + 0.02).abs() < 1e-12);
+}
+
+#[test]
+fn futures_margin_gate_and_fill_cash_use_exact_micro_yuan() {
+    let date = d(2025, 1, 2);
+    let spec = FuturesContractSpec::new(1.0, 1.0, 1.0);
+    let intent = FuturesOrderIntent::open(
+        "IF2506.CCFX",
+        FuturesDirection::Long,
+        spec,
+        1,
+        100.0,
+        0.000001,
+        "micro margin boundary",
+    );
+
+    let mut insufficient = FuturesAccountState::new(100.0);
+    let rejected = insufficient.execute_order(date, Some(1), intent.clone());
+    assert_eq!(rejected.order_events[0].status, OrderStatus::Rejected);
+    assert!((insufficient.total_cash() - 100.0).abs() < 1e-12);
+
+    let mut exact = FuturesAccountState::new(100.000001);
+    let filled = exact.execute_order(date, Some(2), intent);
+    assert_eq!(filled.order_events[0].status, OrderStatus::Filled);
+    assert_eq!(filled.fill_events.len(), 1);
+    assert!((filled.fill_events[0].gross_amount - 100.0).abs() < 1e-12);
+    assert!((filled.fill_events[0].commission - 0.000001).abs() < 1e-12);
+    assert!((filled.fill_events[0].net_cash_flow + 0.000001).abs() < 1e-12);
+    assert!(exact.cash().abs() < 1e-12);
+}

crates/fidc-core/tests/intraday_history_performance.rs

@@ -0,0 +1,220 @@
+use std::hint::black_box;
+use std::time::Instant;
+
+use chrono::{Duration, NaiveDate, NaiveDateTime, NaiveTime};
+use fidc_core::{
+    BenchmarkSnapshot, DailyMarketSnapshot, DataSet, Instrument, IntradayExecutionQuote,
+};
+
+const SYMBOL: &str = "000001.SZ";
+
+fn dataset(day_count: usize, bars_per_day: usize) -> (DataSet, Vec<NaiveDate>) {
+    let start = NaiveDate::from_ymd_opt(2025, 1, 1).expect("valid start date");
+    let dates = (0..day_count)
+        .map(|offset| start + Duration::days(offset as i64))
+        .collect::<Vec<_>>();
+    let markets = dates
+        .iter()
+        .map(|date| DailyMarketSnapshot {
+            date: *date,
+            symbol: SYMBOL.to_string(),
+            timestamp: None,
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.5,
+            low: 9.5,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 1_000_000,
+            minute_volume: 1_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        })
+        .collect::<Vec<_>>();
+    let benchmarks = dates
+        .iter()
+        .map(|date| BenchmarkSnapshot {
+            date: *date,
+            benchmark: "000852.SH".to_string(),
+            open: 1_000.0,
+            close: 1_000.0,
+            prev_close: 1_000.0,
+            volume: 10_000_000,
+        })
+        .collect::<Vec<_>>();
+    let mut quotes = Vec::with_capacity(day_count * bars_per_day);
+    for date in &dates {
+        let session_start = date.and_hms_opt(9, 30, 0).expect("valid session start");
+        for offset in 0..bars_per_day {
+            let timestamp = session_start + Duration::minutes(offset as i64);
+            quotes.push(IntradayExecutionQuote {
+                date: *date,
+                symbol: SYMBOL.to_string(),
+                timestamp,
+                last_price: 10.0 + offset as f64 / 10_000.0,
+                bid1: 9.99,
+                ask1: 10.01,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                volume_delta: 1_000,
+                amount_delta: 10_000.0,
+                trading_phase: Some("continuous".to_string()),
+            });
+        }
+    }
+    let data = DataSet::from_components_with_actions_and_quotes(
+        vec![Instrument {
+            symbol: SYMBOL.to_string(),
+            name: "平安银行".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(start - Duration::days(1_000)),
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        markets,
+        Vec::new(),
+        Vec::new(),
+        benchmarks,
+        Vec::new(),
+        quotes,
+    )
+    .expect("build intraday history dataset");
+    (data, dates)
+}
+
+fn timestamp(date: NaiveDate, time: &str) -> NaiveDateTime {
+    let time = NaiveTime::parse_from_str(time, "%H:%M:%S").expect("valid time");
+    date.and_time(time)
+}
+
+#[test]
+fn intraday_history_is_bounded_by_visibility_and_preserves_order() {
+    let (data, dates) = dataset(3, 4);
+    let rows = data.history_intraday_quotes_at(
+        dates[1],
+        Some(timestamp(dates[1], "09:32:00")),
+        SYMBOL,
+        3,
+        false,
+    );
+    assert_eq!(
+        rows.iter().map(|row| row.timestamp).collect::<Vec<_>>(),
+        vec![
+            timestamp(dates[0], "09:33:00"),
+            timestamp(dates[1], "09:30:00"),
+            timestamp(dates[1], "09:31:00"),
+        ]
+    );
+
+    let including_now = data.history_intraday_quotes_at(
+        dates[1],
+        Some(timestamp(dates[1], "09:32:00")),
+        SYMBOL,
+        3,
+        true,
+    );
+    assert_eq!(
+        including_now
+            .iter()
+            .map(|row| row.timestamp)
+            .collect::<Vec<_>>(),
+        vec![
+            timestamp(dates[1], "09:30:00"),
+            timestamp(dates[1], "09:31:00"),
+            timestamp(dates[1], "09:32:00"),
+        ]
+    );
+}
+
+#[test]
+#[ignore = "manual release-mode intraday history benchmark"]
+fn benchmark_bounded_intraday_history() {
+    let (data, dates) = dataset(250, 240);
+    let active_datetime = timestamp(*dates.last().expect("last date"), "13:29:00");
+
+    for _ in 0..5 {
+        black_box(data.history_intraday_quotes_at(
+            active_datetime.date(),
+            Some(active_datetime),
+            SYMBOL,
+            30,
+            true,
+        ));
+    }
+
+    let started = Instant::now();
+    let mut checksum = 0_i64;
+    for _ in 0..200 {
+        let rows = data.history_intraday_quotes_at(
+            active_datetime.date(),
+            Some(active_datetime),
+            SYMBOL,
+            30,
+            true,
+        );
+        checksum += rows
+            .last()
+            .expect("history row")
+            .timestamp
+            .and_utc()
+            .timestamp();
+        black_box(&rows);
+    }
+    let elapsed = started.elapsed();
+    eprintln!(
+        "intraday_history_benchmark iterations=200 rows_per_dataset=60000 elapsed_seconds={:.6} checksum={checksum}",
+        elapsed.as_secs_f64(),
+    );
+}
+
+#[test]
+#[ignore = "manual release-mode quote-stream benchmark"]
+fn benchmark_borrowed_execution_quote_stream() {
+    let (data, dates) = dataset(250, 240);
+    let date = *dates.last().expect("last date");
+    let symbols = std::collections::BTreeSet::from([SYMBOL.to_string()]);
+
+    for _ in 0..5 {
+        black_box(data.execution_quotes_on_date_for_symbols(date, Some(&symbols)));
+        black_box(
+            data.execution_quotes_iter_on_date_for_symbols(date, Some(&symbols))
+                .count(),
+        );
+    }
+
+    let materialized_started = Instant::now();
+    let mut materialized_checksum = 0_i64;
+    for _ in 0..5_000 {
+        let rows = data.execution_quotes_on_date_for_symbols(date, Some(&symbols));
+        materialized_checksum += rows
+            .iter()
+            .map(|quote| quote.timestamp.and_utc().timestamp())
+            .sum::<i64>();
+        black_box(rows);
+    }
+    let materialized_seconds = materialized_started.elapsed().as_secs_f64();
+
+    let streamed_started = Instant::now();
+    let mut streamed_checksum = 0_i64;
+    for _ in 0..5_000 {
+        let count = data
+            .execution_quotes_iter_on_date_for_symbols(date, Some(&symbols))
+            .map(|quote| quote.timestamp.and_utc().timestamp())
+            .sum::<i64>();
+        streamed_checksum += count;
+        black_box(count);
+    }
+    let streamed_seconds = streamed_started.elapsed().as_secs_f64();
+    eprintln!(
+        "quote_stream_benchmark iterations=5000 rows_per_day=240 materialized_seconds={materialized_seconds:.6} streamed_seconds={streamed_seconds:.6} materialized_checksum={materialized_checksum} streamed_checksum={streamed_checksum}"
+    );
+}

docs/engine-capability-roadmap.md

@@ -10,7 +10,7 @@ The roadmap focuses on making the engine complete enough for editable platform
 strategies, long-range A-share backtests, futures strategies, intraday order
 simulation, AI-generated strategy code, and service-level result downloads.
 
-## Re-Audit Findings (2026-04-24)
+## Re-Audit Findings (2026-08-31)
 
 The latest re-audit focused on the engine's execution model, account model,
 order lifecycle, data helper surface, analyzer output, extension hooks, and
@@ -39,6 +39,8 @@ futures path. Confirmed aligned areas:
 | P0 | Futures intraday matching | Closed for daily/open/close, tick-price futures fills, and true multi-level order-book sweeping when optional `order_book_depth` data exists. L1-only data still uses the existing L1 matcher and is not inflated into fake depth. | Extend depth fields only if production vendors expose more levels or exchange-specific fields. |
 | P0 | Futures open-order lifecycle | Closed for futures pending limit orders, cross-day rematching, cancellation by id/symbol/all, and merged open-order runtime views. | Add more order status transitions only if UI requires extra intermediate event names. |
 | P0 | Combined multi-account NAV | Closed. `DailyEquityPoint`, progress events, and metrics use aggregate stock + futures initial cash and total equity. | None. |
+| P0 | Fixed-point execution money | Closed. Stock execution freezes fee rates once and uses signed micro-yuan `i128` for gross amount, commission, stamp tax, transfer fee, strict budget checks, cash, liabilities, management fees, external flows, account units, position lot cost and realized PnL. The standalone futures account uses the same fixed-point money boundary for cash, margin, transaction cost and daily PnL. Market indicators and return statistics remain `f64` outside the execution boundary. | None. |
+| P0 | Bounded minute-data processing | Closed for the engine data model. Intraday history uses a sorted date index and scans backward only until the requested bar count is satisfied. Daily minute processing consumes a borrowed timestamp-ordered k-way merge and does not clone/materialize the full selected quote day before event dispatch. | Keep Source Lake and service clients batch-streamed; do not reintroduce whole-window row materialization. |
 | P1 | Futures trading parameter data source | Closed for engine-side trading-parameter ingestion/resolution via `futures_trading_parameters.csv` or component data. | Add more exchange metadata columns only when source data exposes them. |
 | P1 | Futures transaction cost decider | Closed. `FuturesTransactionCostModel` calculates by-money/by-volume open/close/close-today costs from trading parameters. | None. |
 | P1 | Futures settlement price mode | Closed. Engine supports configurable settlement price mode and resolves settlement/prev-settlement from factor fields with close/prev_close fallback. | Add dedicated settlement columns if the storage layer later separates them from factors. |
@@ -55,6 +57,12 @@ futures path. Confirmed aligned areas:
 - [x] Minute-level `time_rule` semantics including market-open, market-close,
       and physical-time style schedules.
 - [x] Fine-grained daily and minute execution quote strategy entrypoints.
+- [x] Stock broker fee, budget and cash-ledger arithmetic uses a micro-yuan
+      fixed-point execution primitive; one-micro over-budget orders fail.
+- [x] Stock position lots, realized/unrealized PnL, dividends and external cash
+      flows preserve fixed-point value conservation.
+- [x] Futures cash, margin, transaction cost and daily realized/position PnL use
+      the fixed-point ledger.
 - [x] Scheduled actions evaluated against explicit intraday times.
 - [x] `update_universe`, `subscribe`, and `unsubscribe`.
 - [x] Intraday subscription guards at strategy API level; intraday execution uses minute quote semantics.
@@ -70,6 +78,9 @@ futures path. Confirmed aligned areas:
 - [x] Trading-date range, previous-date, and next-date helpers.
 - [x] Phase-aware minute history cursor semantics matching the active bar or
       intraday execution quote callback.
+- [x] Bounded intraday history lookup and borrowed minute quote streaming avoid
+      full-history scans and full-day quote clones while preserving timestamp
+      order and visibility boundaries.
 - [x] Suspension, ST, date-range price, active instrument, and instrument
       history helpers.
 - [x] Open-order status, unfilled quantity, final order lookup, average fill

docs/evidence/batched-current-rolling-rejection-20260905.json

@@ -0,0 +1,43 @@
+{
+  "schemaVersion": "fidc-batched-current-rolling-rejection/v1",
+  "measuredAt": "2026-09-05T02:38:00+08:00",
+  "host": "192.168.31.177",
+  "candidateCommit": "004a46c",
+  "revertCommit": "43b15b2098c427869a4a582b4b24325155b1370e",
+  "restoredRunnerBinarySha256": "a4135986b69625a0f3443e9091754874b3f9d65e9913424298c5d8fedf733985",
+  "candidate": {
+    "description": "collect static current rolling windows at strategy construction, batch them per stock, and store fixed current close/volume arrays in StockExpressionState",
+    "processColdEngineSeconds": 6.412,
+    "processHotEngineSeconds": [6.046, 6.497, 6.035, 6.309, 6.074],
+    "processHotMedianEngineSeconds": 6.074
+  },
+  "rollback": {
+    "processColdEngineSeconds": 5.18,
+    "processHotEngineSeconds": [5.48, 5.47, 4.602],
+    "processHotMedianEngineSeconds": 5.47
+  },
+  "observedCandidateRegressionPercent": 11.04204753199269,
+  "businessContract": {
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "testGate": {
+    "coreUnitTotal": 421,
+    "corePassed": 415,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/batched-current-rolling-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/batched-current-rolling-rollback-20260905.json"
+  ],
+  "acceptance": {
+    "status": "rejected_and_removed",
+    "reason": "the larger per-stock state and eager batch work cost more than the repeated scalar helper calls on the real five-year workload"
+  }
+}

docs/evidence/cached-symbol-board-rejection-20260905.json

@@ -0,0 +1,54 @@
+{
+  "schemaVersion": "fidc-cached-symbol-board-rejection/v1",
+  "measuredAt": "2026-09-05T03:22:00+08:00",
+  "host": "192.168.31.177",
+  "candidateCommit": "eb8b146",
+  "revertCommit": "f210539",
+  "candidate": {
+    "description": "precompute a symbol-id-aligned BJSE bit vector and share one suffix classifier between platform expressions and risk control",
+    "primaryHotEngineSeconds": [4.656, 4.759, 4.669, 4.698, 4.614],
+    "primaryHotMedianEngineSeconds": 4.669,
+    "acceptedPrimaryBaselineMedianEngineSeconds": 4.729,
+    "primaryObservedImprovementPercent": 1.2687661249735674,
+    "secondaryLowContentionEngineSeconds": [4.404, 4.327, 4.346],
+    "secondaryLowContentionMedianEngineSeconds": 4.346,
+    "acceptedSecondaryBaselineMedianEngineSeconds": 4.049,
+    "secondaryObservedRegressionPercent": 7.33514448011855,
+    "highContentionSecondaryEngineSecondsExcluded": [6.398]
+  },
+  "rollbackComparison": {
+    "primaryEngineSecondsExcluded": [12.736, 12.795, 12.899, 13.845],
+    "hostLoadAverage": 44.84,
+    "reason": "managed symbolic workers entered a roughly 30-core phase, so the rollback batch cannot serve as a same-load wall-time comparison"
+  },
+  "businessContract": {
+    "primaryTotalReturn": 0.9219861819172002,
+    "primaryTradeCount": 26088,
+    "primaryCanonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "primaryResultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "secondaryTotalReturn": 1.1342962298106998,
+    "secondaryTradeCount": 19404,
+    "secondaryCanonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "secondaryResultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "profile": {
+    "allThreadRunId": "btr_1788549525151_3404548_13",
+    "allThreadRunEngineSeconds": 4.957,
+    "trimMatchesPercent": 2.0,
+    "typedBaselineSingleWorkerProfileTrimMatchesPercent": 2.85,
+    "comparisonLimited": true,
+    "reason": "the two profiles used different thread attachment sets and cannot establish an end-to-end speedup"
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/cached-symbol-board-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/cached-symbol-board-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/cached-symbol-board-rollback-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/cached-symbol-board-all-threads-profile-20260905/perf.data"
+  ],
+  "acceptance": {
+    "status": "rejected_and_removed",
+    "reason": "the candidate preserved correctness but did not improve both five-year strategies, and the later rollback batch was too heavily contended to overturn the cross-strategy regression"
+  }
+}

docs/evidence/calendar-major-series-boundary-index-20260905.json

@@ -0,0 +1,85 @@
+{
+  "schemaVersion": "fidc-calendar-major-series-boundary-index/v1",
+  "measuredAt": "2026-09-05T02:24:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "abe4fed4527e07ad7ae4464e574fa582150e306e",
+  "serviceCommit": "9fd5a9e6d5668af57f6942fc3c4127953545d9c6",
+  "runnerBinarySha256": "a4135986b69625a0f3443e9091754874b3f9d65e9913424298c5d8fedf733985",
+  "implementation": {
+    "description": "transpose immutable decision/current market-series boundary indexes from symbol-major vectors to calendar-major contiguous symbol rows",
+    "logicalEntryCountChanged": false,
+    "entryType": "u32",
+    "missingSentinel": "u32::MAX",
+    "factorValuesCached": false,
+    "selectionResultsCached": false,
+    "pitSemanticsChanged": false
+  },
+  "primaryFiveYearContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "processCold": {
+      "totalSeconds": 18.605,
+      "dataSeconds": 12.849,
+      "dataSetConstructSeconds": 4.052,
+      "marketIndexBuildSeconds": 2.396,
+      "engineSeconds": 5.06
+    },
+    "processHotEngineSeconds": [5.297, 5.227, 5.029, 5.012, 5.202],
+    "processHotMedianEngineSeconds": 5.202,
+    "fieldProjectionBaselineMedianEngineSeconds": 5.356,
+    "observedMedianImprovementPercent": 2.875280059746078,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "secondaryFiveYearContract": {
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "engineSeconds": [4.646, 4.87, 4.886, 5.056],
+    "medianEngineSeconds": 4.878,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "profile": {
+    "runId": "btr_1788546155152_3120069_10",
+    "engineSeconds": 5.211,
+    "eventCycles": 14556215580,
+    "seriesEndIndexPresentInTopProfile": false,
+    "fieldProjectionBaselineSeriesEndIndexPercent": 4.74,
+    "stockStateSelfPercent": 15.19,
+    "adjustedCloseMovingAveragePercent": 6.24,
+    "numericVmPercent": 6.77
+  },
+  "memory": {
+    "serviceCgroupCurrentBytes": 11493711872,
+    "serviceCgroupPeakBytes": 11495387136,
+    "processRssKiB": 11212504,
+    "processAnonymousKiB": 11196148,
+    "fieldProjectionBaselineCgroupCurrentBytes": 11485425664,
+    "observedCgroupIncreaseBytes": 8286208
+  },
+  "testGate": {
+    "coreUnitTotal": 421,
+    "corePassed": 415,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/calendar-major-series-boundary-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/calendar-major-series-boundary-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/calendar-major-series-boundary-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/calendar-major-series-boundary-profile-20260905/perf-report.txt"
+  ],
+  "acceptance": {
+    "status": "accepted_generic_calendar_major_boundary_index",
+    "reason": "both five-year contracts preserve exact outputs and clean terminal audits, the primary hot median improves, the former boundary lookup leaves the top profile, and steady-state memory remains effectively unchanged"
+  }
+}

docs/evidence/compact-adjusted-close-rejection-20260905.json

@@ -0,0 +1,46 @@
+{
+  "schemaVersion": "fidc-compact-adjusted-close-rejection/v1",
+  "measuredAt": "2026-09-05T04:29:00+08:00",
+  "host": "192.168.31.177",
+  "candidateCommit": "ab87e18",
+  "revertCommit": "0c2681e6996800eae5f3b881e75a01e7a078863f",
+  "restoredRunnerBinarySha256": "3e69af42e41321d31c69b552cf22d7033ce1ea8d94305a32e32461148cdbfc60",
+  "candidate": {
+    "description": "replace two Vec<Option<f64>> adjusted-close arrays with f64 arrays using NaN as the internal missing sentinel",
+    "theoreticalSteadyStateMemoryReductionBytesPerMarketRow": 16,
+    "hotEngineSeconds": [5.119, 5.168, 5.516, 5.332, 4.69],
+    "hotMedianEngineSeconds": 5.168
+  },
+  "acceptedBaseline": {
+    "historicalMedianEngineSeconds": 3.896,
+    "sameWindowRollbackEngineSeconds": [4.144, 4.169],
+    "sameWindowRollbackMedianEngineSeconds": 4.169
+  },
+  "observed": {
+    "regressionVersusHistoricalBaselinePercent": 32.64887063655031,
+    "regressionVersusSameWindowRollbackPercent": 23.962580954665402
+  },
+  "businessContract": {
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "testGate": {
+    "coreUnitTotal": 422,
+    "corePassed": 416,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/compact-adjusted-close-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/compact-adjusted-close-rollback-primary-20260905.json"
+  ],
+  "acceptance": {
+    "status": "rejected_and_removed",
+    "reason": "the memory-dense NaN representation materially slowed the hottest moving-average path despite preserving exact business results"
+  }
+}

docs/evidence/compact-daily-stock-state-cache-key-20260905.json

@@ -0,0 +1,79 @@
+{
+  "schemaVersion": "fidc-compact-daily-stock-state-cache-key/v1",
+  "measuredAt": "2026-09-05T01:20:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "6f81e1940ad4ddd4eefbe12c056be28f2b64d127",
+  "runnerBinarySha256": "c2d9101a89b71b51051b8762375476518e40d40e29a8ee0f9615ac4c55fcdb0a",
+  "implementation": {
+    "description": "remove the redundant execution date from stock-state cache keys because the complete cache is already cleared before the active date changes",
+    "keyBefore": "(execution_date, factor_date, symbol_id, execution_time, use_intraday_quote)",
+    "keyAfter": "(factor_date, symbol_id, execution_time, use_intraday_quote)",
+    "crossDateResetTested": true,
+    "cachedFactorValues": false,
+    "cachedSelectionResults": false,
+    "pitSemanticsChanged": false
+  },
+  "primaryFiveYearContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "hotEngineSeconds": [5.262, 5.734, 5.89, 5.612, 6.301],
+    "hotMedianEngineSeconds": 5.734,
+    "sharedOrderBaselineMedianEngineSeconds": 5.742,
+    "observedMedianImprovementPercent": 0.13932427725531174,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "secondaryFiveYearContract": {
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "engineSeconds": [5.889, 5.853, 5.342],
+    "medianEngineSeconds": 5.853,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "coldDataObservation": {
+    "runId": "btr_1788542108713_2936456_0",
+    "totalSeconds": 54.502,
+    "dataSeconds": 46.584,
+    "engineSeconds": 7.011,
+    "sourceQuerySeconds": 17.585,
+    "datasetConstructSeconds": 12.913,
+    "marketIndexBuildSeconds": 7.671,
+    "adjustmentValidationSeconds": 1.855,
+    "hotDataSecondsRange": [0.002, 0.006],
+    "performanceComparisonExcluded": true
+  },
+  "memoryObservation": {
+    "processRssKiB": 11136672,
+    "processAnonymousKiB": 11120428,
+    "cgroupCurrentBytes": 12445237248,
+    "cgroupFileCacheBytes": 1029632000,
+    "cgroupActiveFileBytes": 1009012736,
+    "duplicateDataSetLeakObserved": false,
+    "note": "the gap between process RSS and cgroup memory is reclaimable file-page cache rather than a second resident DataSet"
+  },
+  "testGate": {
+    "coreUnitTotal": 420,
+    "corePassed": 414,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/compact-stock-cache-key-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/compact-stock-cache-key-secondary-20260905.json"
+  ],
+  "acceptance": {
+    "status": "accepted_structural_compaction_no_regression",
+    "endToEndSpeedupClaimed": false,
+    "reason": "the key is smaller, the cross-date isolation test passes, both five-year strategies retain exact results, and observed wall time is neutral to slightly better"
+  }
+}

docs/evidence/current-rolling-boundary-reuse-20260904.json

@@ -0,0 +1,74 @@
+{
+  "schemaVersion": "fidc-current-rolling-boundary-reuse-ab/v1",
+  "measuredAt": "2026-09-04T15:17:49Z",
+  "host": "192.168.31.177",
+  "engineCommit": "52b07be19bdd1597e5b412b5a549e57640efa415",
+  "implementation": {
+    "description": "resolve the current market-series end once per stock state and reuse the integer boundary for literal stock rolling_mean_current calls",
+    "cachedFactorValues": false,
+    "cachedStrategyResults": false,
+    "additionalHeapCollectionsPerStock": 0,
+    "fallback": "dynamic or non-market fields retain the original date and factor-series lookup",
+    "pitSemanticsChanged": false,
+    "adjustmentSemanticsChanged": false
+  },
+  "componentBenchmark": {
+    "iterations": 100000,
+    "helperCallsPerIteration": 5,
+    "repeatedLookupSeconds": 0.009142143,
+    "reusedBoundarySeconds": 0.006728638,
+    "speedup": 1.3586914617787433,
+    "equal": true
+  },
+  "testGate": {
+    "total": 418,
+    "passed": 413,
+    "ignoredManualBenchmarks": 5,
+    "failed": 0
+  },
+  "backtestEvidence": {
+    "runId": "btr_1788535029326_2441112_5",
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalSeconds": 7.509,
+    "engineSeconds": 6.494,
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54"
+  },
+  "secondaryStrategyEvidence": {
+    "description": "same frozen bundle and execution contract with target positions changed from 30 to 20",
+    "runId": "btr_1788535290995_2441112_6",
+    "totalSeconds": 9.081,
+    "engineSeconds": 8.367,
+    "dataSeconds": 0.003,
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "tradeDateCount": 1216,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "matchesPreOptimizationBusinessResult": true
+  },
+  "artifacts": [
+    {
+      "path": "/srv/fidc/canonical/run/fidc-private/evidence/current-rolling-boundary-profile-20260904/perf.data",
+      "sha256": "be9f6e04c01a98cb834bc3f207359dc17555e0e660e178d552b525722a13873a"
+    },
+    {
+      "path": "/srv/fidc/canonical/run/fidc-private/evidence/current-rolling-boundary-profile-20260904/perf-report.txt",
+      "sha256": "6f4e1e4370ce996fcf7308a7a723469b417d8c03156eb43b5a26a5fb42c42511"
+    },
+    {
+      "path": "/srv/fidc/canonical/run/fidc-private/evidence/current-rolling-boundary-profile-20260904/run.json",
+      "sha256": "fee9f104d72d8918cdcd7660d7cd40dced9a84edcabcd68e89588ce5690523a5"
+    }
+  ],
+  "acceptance": {
+    "status": "accepted_component_improvement_end_to_end_no_regression",
+    "endToEndSpeedupClaimed": false,
+    "reason": "the component result is positive and exact, while concurrent non-FIDC tan load and symbolic phases make cross-build wall-time medians non-comparable"
+  }
+}

docs/evidence/daily-snapshot-view-stock-state-rejection-20260905.json

@@ -0,0 +1,71 @@
+{
+  "schemaVersion": "fidc-daily-snapshot-view-stock-state-rejection/v1",
+  "measuredAt": "2026-09-05T00:30:00+08:00",
+  "host": "192.168.31.177",
+  "candidateCommit": "1df0081479b93a051f9a40d2acf7060d0eb6929d",
+  "revertCommit": "1f10a6bb3decdd40c77397a7596c6f23a9f90a18",
+  "candidate": {
+    "description": "carry symbol_id in EligibleUniverseSnapshot and pass pre-resolved execution/factor DailySnapshotView values into stock-state construction",
+    "componentBenchmark": {
+      "symbols": 6000,
+      "rounds": 200,
+      "dateMapLookupSeconds": 0.020211,
+      "dailyViewLookupSeconds": 0.006410,
+      "speedup": 3.1530421216848675,
+      "equal": true
+    },
+    "fiveYearRuns": [
+      {"runId": "btr_1788538826285_2693431_0", "engineSeconds": 8.075},
+      {"runId": "btr_1788538854544_2693431_1", "engineSeconds": 8.488},
+      {"runId": "btr_1788538868210_2693431_2", "engineSeconds": 10.455},
+      {"runId": "btr_1788538887159_2693431_3", "engineSeconds": 10.672},
+      {"runId": "btr_1788538903432_2693431_4", "engineSeconds": 11.284},
+      {"runId": "btr_1788538920072_2693431_5", "engineSeconds": 9.985}
+    ],
+    "hotMedianEngineSeconds": 10.455,
+    "runnerBinarySha256": "cbe20d1bd5c5e02372bd310107a1f4e41aaa9f256b3c31f79c6ad000648d1854"
+  },
+  "restored": {
+    "fiveYearRuns": [
+      {"runId": "btr_1788539286281_2739751_0", "engineSeconds": 7.118},
+      {"runId": "btr_1788539313845_2739751_1", "engineSeconds": 6.702},
+      {"runId": "btr_1788539325631_2739751_2", "engineSeconds": 7.093},
+      {"runId": "btr_1788539338757_2739751_3", "engineSeconds": 6.509}
+    ],
+    "hotMedianEngineSeconds": 6.702,
+    "candidateRegressionPercent": 55.99820948970456,
+    "runnerBinarySha256": "e33dd75aa7b481975c0991cf634d07900cdefa51756802e28e64f18b980a83dc",
+    "matchesPreCandidateRunnerSha256": true
+  },
+  "businessContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "allRunsConsistent": true
+  },
+  "profile": {
+    "candidateRunId": "btr_1788538966659_2693431_6",
+    "candidateEngineSeconds": 10.566,
+    "stockStatePercent": 28.14,
+    "adjustedCloseMovingAveragePercent": 8.27,
+    "stableSortPercent": 5.46,
+    "mallocPercent": 5.12,
+    "note": "The removed map lookup symbols disappeared, but their component savings were too small to offset the larger universe row and generalized optional-view state path."
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/daily-view-after-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/daily-view-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/daily-view-profile-20260905/perf-report.txt",
+    "/srv/fidc/canonical/run/fidc-private/evidence/daily-view-reverted-20260905.json"
+  ],
+  "decision": {
+    "status": "rejected_and_removed",
+    "reason": "a positive lookup microbenchmark did not translate to end-to-end performance; the same frozen five-year workload became about 56 percent slower",
+    "productionEngineCommit": "1f10a6bb3decdd40c77397a7596c6f23a9f90a18"
+  }
+}

docs/evidence/duplicate-rolling-lookback-rejection-20260905.json

@@ -0,0 +1,78 @@
+{
+  "schemaVersion": "fidc-duplicate-rolling-lookback-rejection/v1",
+  "measuredAt": "2026-09-05T01:05:00+08:00",
+  "host": "192.168.31.177",
+  "candidateCommits": [
+    "1f02e78b2400c73c5f05351b0beff16d6c724e2a",
+    "e469b0ddf4aa3bb9fe69b785b51ce6c7cf960b90"
+  ],
+  "revertCommit": "5b2a03d416a7bd709680a1adf52013e3eadc199a",
+  "candidate": {
+    "description": "reuse equal lookback values only inside one AdjustedCloseSeries moving_averages_at_end call",
+    "validComponentBenchmark": {
+      "samples": 6,
+      "iterationsPerSample": 3000000,
+      "lookbacks": [1, 2, 3, 1, 2, 3, 1],
+      "repeatedSeconds": 1.40643611,
+      "reusedSeconds": 0.853281932,
+      "speedup": 1.6482666012902287,
+      "checksum": 1458000000.0
+    },
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+  "restoredBaseline": {
+    "warmupRunId": "btr_1788541416661_2890172_0",
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+    "hardwareCounters": {
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+    "candidateBranchReductionPercent": 0.2810720756590066,
+    "materialSystemImprovementProven": false,
+    "wallTimeComparable": false,
+    "reason": "host-wide thermal and external workload changes produced materially different cache-miss and clock conditions; the instruction reduction itself is below one tenth of one percent"
+  },
+  "businessContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "allRunsConsistent": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/duplicate-lookback-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/duplicate-lookback-low-contention-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/duplicate-lookback-perf-stat-candidate-20260905/perf-stat.csv",
+    "/srv/fidc/canonical/run/fidc-private/evidence/duplicate-lookback-perf-stat-baseline-20260905/perf-stat.csv"
+  ],
+  "decision": {
+    "status": "rejected_and_removed",
+    "reason": "the valid microbenchmark improves, but the real five-year workload saves only about 0.068 percent instructions and provides no measurable system-level benefit",
+    "productionEngineCommit": "5b2a03d416a7bd709680a1adf52013e3eadc199a"
+  }
+}

docs/evidence/frozen-standard-rolling-lookbacks-rejection-20260905.json

@@ -0,0 +1,51 @@
+{
+  "schemaVersion": "fidc-frozen-standard-rolling-lookbacks-rejection/v1",
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+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/frozen-standard-rolling-lookbacks-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/frozen-standard-rolling-lookbacks-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/frozen-standard-rolling-lookbacks-perf-stat-20260905/perf-stat.csv"
+  ],
+  "acceptance": {
+    "status": "rejected_and_removed",
+    "reason": "the compiler layout change increased retired instructions and branches while the primary end-to-end median did not improve"
+  }
+}

docs/evidence/instrument-symbol-id-index-20260904.json

@@ -0,0 +1,88 @@
+{
+  "schemaVersion": "fidc-instrument-symbol-id-index-ab/v1",
+  "measuredAt": "2026-09-04T14:31:25Z",
+  "host": "192.168.31.177",
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+    "stringInstrumentApiPreserved": true,
+    "mutableStateShared": false,
+    "riskSemanticsChanged": false,
+    "executionSemanticsChanged": false
+  },
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+    "equal": true
+  },
+  "testGate": {
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+    "ignoredManualBenchmarks": 4,
+    "failed": 0
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+  "backtestContract": {
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+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
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+    "medianEngineImprovementPercent": 6.37,
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+  "artifacts": [
+    {
+      "path": "/srv/fidc/canonical/run/fidc-private/evidence/instrument-symbol-id-profile-20260904/hot-five-year-perf.data",
+      "sha256": "a3d788f8e6ad799604b83019a4403fee509d6c955606f46bd721960e3d38433b"
+    },
+    {
+      "path": "/srv/fidc/canonical/run/fidc-private/evidence/instrument-symbol-id-profile-20260904/hot-five-year-perf-report.txt",
+      "sha256": "dbd3004b6ab2719e67b34ca4c6d98f908053f6f28f617bd1c1969552b0f14291"
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+    {
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+      "sha256": "092276999525532005a815ab9d2588ee8865b4652c11367ca9ffe52b6a601557"
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+  ]
+}

docs/evidence/interned-stock-state-symbols-20260905.json

@@ -0,0 +1,95 @@
+{
+  "schemaVersion": "fidc-interned-stock-state-symbols/v1",
+  "measuredAt": "2026-09-05T01:50:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "e5646ef80c9a5c6d2d3a1b9b6f330fbbc27aa4ab",
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+    "rhaiStringBoundaryPreserved": true,
+    "crossDateSharedSymbolTested": true,
+    "cachedFactorValues": false,
+    "cachedSelectionResults": false,
+    "pitSemanticsChanged": false
+  },
+  "primaryFiveYearContract": {
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+    "endDate": "2026-08-28",
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+    "matchingType": "next_bar_open",
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+    "medianEngineSeconds": 5.748,
+    "compactKeyBaselineMedianEngineSeconds": 5.734,
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+    "terminalAuditStatus": "clean"
+  },
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+    "engineSeconds": [5.648, 5.35, 5.003],
+    "medianEngineSeconds": 5.35,
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+    "terminalAuditStatus": "clean"
+  },
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+    "observedInstructionReductionPercent": 0.7846044523842924,
+    "observedBranchReductionPercent": 1.533451728719079,
+    "attributionNote": "the earlier hardware baseline predates the compact cache-key change, so counters prove the combined structural reduction rather than symbol interning alone"
+  },
+  "profile": {
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+    "adjustedCloseMovingAveragePercent": 5.10
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+    "engineSeconds": [7.247, 7.094, 7.481, 7.967, 37.981, 44.366],
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+    "performanceComparisonExcluded": true,
+    "reason": "independent tan child processes executed on backtest-reserved CPUs; no external process was modified"
+  },
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+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/interned-stock-symbol-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/interned-stock-symbol-low-contention-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/interned-stock-symbol-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/interned-stock-symbol-perf-stat-20260905/perf-stat.csv",
+    "/srv/fidc/canonical/run/fidc-private/evidence/interned-stock-symbol-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/interned-stock-symbol-profile-20260905/perf-report.txt"
+  ],
+  "acceptance": {
+    "status": "accepted_structural_allocation_reduction_no_regression",
+    "endToEndSpeedupClaimed": false,
+    "reason": "both five-year strategies preserve exact outputs, low-contention wall time is neutral, and the stock-state profile plus hardware counters show less allocation-related work"
+  }
+}

docs/evidence/lazy-expression-scope-rejection-20260905.json

@@ -0,0 +1,56 @@
+{
+  "schemaVersion": "fidc-lazy-expression-scope-rejection/v1",
+  "measuredAt": "2026-09-05T04:06:00+08:00",
+  "host": "192.168.31.177",
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+    "secondaryMedianEngineSeconds": 3.693
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+  "acceptedBaseline": {
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+    "secondaryMedianEngineSeconds": 3.582
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+    "hostLoadAverage": 28.38,
+    "reason": "managed factor workload changed phase after deployment; this batch is retained for correctness only"
+  },
+  "businessContract": {
+    "primaryTotalReturn": 0.9219861819172002,
+    "primaryTradeCount": 26088,
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+    "secondaryTotalReturn": 1.1342962298106998,
+    "secondaryTradeCount": 19404,
+    "secondaryCanonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
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+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
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+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/lazy-expression-scope-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/lazy-expression-scope-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/lazy-expression-scope-rollback-secondary-20260905.json"
+  ],
+  "acceptance": {
+    "status": "rejected_and_removed",
+    "reason": "closure-based lazy bindings marginally helped one strategy but regressed the second stable five-year contract, so the implementation was removed"
+  }
+}

docs/evidence/noalloc-instrument-board-rules-20260905.json

@@ -0,0 +1,76 @@
+{
+  "schemaVersion": "fidc-noalloc-instrument-board-rules/v1",
+  "measuredAt": "2026-09-05T03:48:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "cfb19b5783cb446099cb3e4aff70cc39beec2e88",
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+  "implementation": {
+    "description": "evaluate KSH and BJSE order quantity rules with borrowed case-insensitive comparisons instead of allocating normalized board strings",
+    "rulesChanged": false,
+    "cacheAdded": false,
+    "pitSemanticsChanged": false,
+    "coveredBoards": ["KSH", "BJS", "BJ", "BJSE", "default"]
+  },
+  "primaryFiveYearContract": {
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
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+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
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+    "processHotMedianEngineSeconds": 3.896,
+    "snapshotSourceBaselineMedianEngineSeconds": 3.91,
+    "observedMedianImprovementPercent": 0.3580562659846607,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "secondaryFiveYearContract": {
+    "totalReturn": 1.1342962298106998,
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+    "terminalAuditStatus": "clean"
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+    "runId": "btr_1788551290580_3858934_10",
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+    "minimumOrderQuantityPercent": 0.21,
+    "orderStepSizePercent": 0.11,
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+    "minimumOrderQuantityRelativeReductionPercent": 83.59375
+  },
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+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/noalloc-instrument-board-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/noalloc-instrument-board-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/noalloc-instrument-board-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/noalloc-instrument-board-profile-20260905/perf-report.txt"
+  ],
+  "acceptance": {
+    "status": "accepted_generic_no_allocation_board_rules",
+    "reason": "both five-year contracts preserve exact outputs, the primary does not regress, the secondary improves, the targeted profile hotspot falls, and no cache memory is added"
+  }
+}

docs/evidence/numeric-vm-generation-scratch-rejection-20260905.json

@@ -0,0 +1,24 @@
+{
+  "schemaVersion": "fidc-numeric-vm-generation-scratch-rejection/v1",
+  "measuredAt": "2026-09-05T04:34:00+08:00",
+  "host": "local-macos",
+  "candidateCommitted": false,
+  "candidateDeployed": false,
+  "candidate": {
+    "description": "replace per-evaluation Option slot clearing with value arrays and u64 generation stamps",
+    "iterations": 2000000,
+    "vmNanosecondsPerEvaluation": 86.405,
+    "rhaiNanosecondsPerEvaluation": 364.356
+  },
+  "baseline": {
+    "iterations": 2000000,
+    "vmNanosecondsPerEvaluation": 86.384,
+    "rhaiNanosecondsPerEvaluation": 374.938
+  },
+  "observedVmRegressionPercent": 0.024310531,
+  "targetedTestsPassed": 7,
+  "acceptance": {
+    "status": "rejected_and_removed_before_commit",
+    "reason": "generation checks exactly offset slot initialization savings in the existing representative VM benchmark"
+  }
+}

docs/evidence/post-hotpath-full-minute-regression-20260905.json

@@ -0,0 +1,91 @@
+{
+  "schemaVersion": "fidc-post-hotpath-full-minute-regression/v1",
+  "measuredAt": "2026-09-05T04:12:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "1f8a0fd",
+  "runtimeCodeCommit": "cfb19b5783cb446099cb3e4aff70cc39beec2e88",
+  "runnerBinarySha256": "3e69af42e41321d31c69b552cf22d7033ce1ea8d94305a32e32461148cdbfc60",
+  "contract": {
+    "startDate": "2025-01-02",
+    "endDate": "2025-11-17",
+    "frequency": "1m",
+    "matchingType": "minute_last",
+    "scheduleTime": "10:18:00",
+    "slippageModel": "price_ratio",
+    "slippageValue": 0.001,
+    "commissionRate": 0.0001,
+    "minimumCommission": 5.0,
+    "stampTaxRate": 0.0005,
+    "volumeLimit": false,
+    "configuredVolumePercentInactive": 0.25
+  },
+  "bundle": {
+    "oldBundleRejectedAsStale": true,
+    "oldBundleId": "bt_bundle_d3109a7220681b850f31",
+    "newBundleId": "bt_bundle_daadb1059454b30a9a6d",
+    "newBundleHash": "14024f3774efb800575c7bd47b6a594b7b7fd7731493a1785c119ee7533378d2",
+    "newDataEpoch": "strategy-factory-source-lake:scope-v1:3556e7dbadbdc94176d23a92acc78c84c50e2ec2a6d16b9dfd25978b1a98b2ae"
+  },
+  "result": {
+    "totalReturn": 0.03473222656500008,
+    "tradeCount": 156,
+    "buyTradeCount": 79,
+    "sellTradeCount": 77,
+    "canonicalSha256": "457c086b1bca784fe83f447bb22451925e8f022456bb0fc7b54237a7a7886849",
+    "resultStoreSha256": "04d804ee02ad7bc9b3649b4a2b4ddd902a4242ef38e00edeed8058860e9a6997",
+    "oldCanonicalSha256": "457c086b1bca784fe83f447bb22451925e8f022456bb0fc7b54237a7a7886849",
+    "canonicalEqualAcrossDataEpoch": true,
+    "terminalAuditStatus": "clean",
+    "warnings": []
+  },
+  "performance": {
+    "coldTotalSeconds": 106.497,
+    "coldDataSeconds": 37.21,
+    "coldEngineSeconds": 65.519,
+    "coldRunContended": true,
+    "hotTotalSeconds": 0.584,
+    "hotDataSeconds": 0.004,
+    "hotEngineSeconds": 0.162,
+    "hotResultSeconds": 0.005,
+    "hotFinalizationSeconds": 0.397
+  },
+  "whiteBoxAudit": {
+    "status": "ok",
+    "sourceRowsFormat": "arrow",
+    "queriedSymbols": 1,
+    "requiredPairs": 156,
+    "queriedDailyBars": 156,
+    "queriedMinuteBars": 156,
+    "slippagePriceChecks": 156,
+    "missingExecutionTimestamps": 0,
+    "executionTimestamp": "each trade date at 10:18:00",
+    "failureCounts": {},
+    "warningCounts": {},
+    "firstBuy": {
+      "symbol": "000001.SZ",
+      "rawMinuteClose": 11.55,
+      "fillPrice": 11.56155,
+      "quantity": 43200,
+      "grossAmount": 499458.96,
+      "commission": 49.945896,
+      "stampTax": 0.0
+    },
+    "lastSell": {
+      "symbol": "000001.SZ",
+      "rawMinuteClose": 11.77,
+      "fillPrice": 11.75823,
+      "quantity": 400,
+      "grossAmount": 4703.292,
+      "commission": 5.0,
+      "stampTax": 2.351646
+    }
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/post-daily-hotpath-full-minute-current-bundle-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/post-daily-hotpath-full-minute-audit-20260905/audit.json"
+  ],
+  "acceptance": {
+    "status": "passed",
+    "reason": "the current Source Lake generation reproduces the historical canonical result and every fill passes minute timestamp, raw-price, slippage, fee, tax, and terminal-state audit"
+  }
+}

docs/evidence/shared-market-cap-order-index-20260905.json

@@ -0,0 +1,93 @@
+{
+  "schemaVersion": "fidc-shared-market-cap-order-index-ab/v1",
+  "measuredAt": "2026-09-05T00:43:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "05953f857a3e3844595bb63a684c34a2e44cbaaf",
+  "serviceCommit": "9fd5a9e6d5668af57f6942fc3c4127953545d9c6",
+  "runnerBinarySha256": "188269bf0c2ee65d6c11ed37ddddfdaf86695941e8123f69f950054bea39796e",
+  "implementation": {
+    "description": "build an immutable per-date u32 symbol-id order by market cap in parallel with DataSet construction and reuse it across strategy runs",
+    "riskEvaluationOrderPreserved": true,
+    "riskDiagnosticsOrderPreserved": true,
+    "selectionOrderPreserved": true,
+    "cachedFactorValues": false,
+    "cachedSelectionResults": false,
+    "cachedAccountOrOrderState": false,
+    "pitSemanticsChanged": false,
+    "adjustmentSemanticsChanged": false
+  },
+  "primaryFiveYearContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "firstRun": {
+      "runId": "btr_1788540070941_2799354_0",
+      "totalSeconds": 19.825,
+      "dataSeconds": 13.141,
+      "engineSeconds": 6.024
+    },
+    "hotRuns": [
+      {"runId": "btr_1788540095588_2799354_1", "totalSeconds": 6.664, "engineSeconds": 5.528},
+      {"runId": "btr_1788540107127_2799354_2", "totalSeconds": 6.546, "engineSeconds": 5.742},
+      {"runId": "btr_1788540118939_2799354_3", "totalSeconds": 6.586, "engineSeconds": 5.643},
+      {"runId": "btr_1788540129894_2799354_4", "totalSeconds": 6.591, "engineSeconds": 5.929},
+      {"runId": "btr_1788540141992_2799354_5", "totalSeconds": 6.794, "engineSeconds": 6.145}
+    ],
+    "hotMedianEngineSeconds": 5.742,
+    "restoredBaselineHotMedianEngineSeconds": 6.702,
+    "observedMedianImprovementPercent": 14.324082363473588,
+    "terminalAuditStatus": "clean",
+    "resultConsistent": true
+  },
+  "secondaryFiveYearContract": {
+    "description": "same frozen source and execution contract with target positions changed from 30 to 20",
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "engineSeconds": [5.699, 5.545, 5.604, 5.23],
+    "processHotMedianEngineSeconds": 5.545,
+    "terminalAuditStatus": "clean",
+    "resultConsistent": true
+  },
+  "memory": {
+    "baselineCurrentBytes": 11426254848,
+    "candidateCurrentBytes": 11433934848,
+    "candidatePeakBytes": 11435282432,
+    "observedIncreaseBytes": 7680000
+  },
+  "profile": {
+    "runId": "btr_1788540249539_2799354_10",
+    "totalSeconds": 6.35,
+    "engineSeconds": 5.696,
+    "eventCycles": 15734772698,
+    "stockStatePercent": 23.86,
+    "stableUniverseSortPresentInTopProfile": false,
+    "numericVmPercent": 5.29,
+    "adjustedCloseMovingAveragePercent": 4.71,
+    "mallocPercent": 4.33
+  },
+  "testGate": {
+    "coreUnitTotal": 419,
+    "corePassed": 413,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/shared-market-cap-order-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/shared-market-cap-order-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/shared-market-cap-order-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/shared-market-cap-order-profile-20260905/perf-report.txt",
+    "/srv/fidc/canonical/run/fidc-private/evidence/shared-market-cap-order-profile-20260905/run.json"
+  ],
+  "acceptance": {
+    "status": "accepted_shared_immutable_index_end_to_end_no_regression",
+    "reason": "both five-year strategies preserve exact business outputs, the primary stable hot median improves by about 14.3 percent, first-build data time remains at the prior process-cold baseline, and resident memory increases by only about 7.7 MB"
+  }
+}

docs/evidence/specialized-stock-snapshot-source-20260905.json

@@ -0,0 +1,94 @@
+{
+  "schemaVersion": "fidc-specialized-stock-snapshot-source/v1",
+  "measuredAt": "2026-09-05T03:38:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "d79678d8509b40ec085f2fa0a7c1e7cb90c95810",
+  "serviceCommit": "9fd5a9e6d5668af57f6942fc3c4127953545d9c6",
+  "runnerBinarySha256": "3f9ce258d3b055097b0cb9e4ae4df423b3d584420befae4d85cdd7ccc51e38bf",
+  "implementation": {
+    "description": "monomorphize indexed and daily-view stock snapshot sources, reuse execution/factor DailySnapshotView in selection loops, and keep the shared stock-state builder free of runtime Optional lookup branches",
+    "eligibleUniverseRowChanged": false,
+    "runtimeOptionalViewBranch": false,
+    "selectionResultCached": false,
+    "factorValueCached": false,
+    "pitSemanticsChanged": false,
+    "componentBenchmark": {
+      "rows": 6000,
+      "rounds": 200,
+      "indexedSeconds": 0.008542,
+      "dailyViewSeconds": 0.002821,
+      "speedup": 3.027294
+    }
+  },
+  "primaryFiveYearContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "processCold": {
+      "totalSeconds": 17.62,
+      "dataSeconds": 13.03,
+      "engineSeconds": 3.976
+    },
+    "processHotEngineSeconds": [4.085, 3.91, 3.893, 4.125, 3.874],
+    "processHotMedianEngineSeconds": 3.91,
+    "typedHelperBaselineMedianEngineSeconds": 4.729,
+    "observedMedianImprovementPercent": 17.318672023683654,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "secondaryFiveYearContract": {
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "engineSeconds": [3.672, 3.655, 3.676, 3.689],
+    "medianEngineSeconds": 3.676,
+    "typedHelperBaselineMedianEngineSeconds": 4.049,
+    "observedMedianImprovementPercent": 9.212151148431715,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "profile": {
+    "runId": "btr_1788550694645_3730056_10",
+    "engineSeconds": 4.278,
+    "allThreadEventCycles": 95711324146,
+    "comparisonAllThreadEventCycles": 110359308122,
+    "observedCycleReductionPercent": 13.272993665207602,
+    "marketBySymbolIdPercent": 1.69,
+    "factorBySymbolIdPercent": 0.13,
+    "candidateBySymbolIdPercent": 0.32,
+    "comparisonMarketBySymbolIdPercent": 3.46,
+    "comparisonFactorBySymbolIdPercent": 2.66,
+    "comparisonCandidateBySymbolIdPercent": 2.51
+  },
+  "memory": {
+    "serviceCgroupCurrentBytes": 11498143744,
+    "serviceCgroupPeakBytes": 11501256704,
+    "processRssKiB": 11216788,
+    "processAnonymousKiB": 11200492,
+    "typedHelperBaselineCgroupCurrentBytes": 11495362560,
+    "observedCgroupIncreaseBytes": 2781184
+  },
+  "testGate": {
+    "coreUnitTotal": 421,
+    "corePassed": 415,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/specialized-stock-snapshot-source-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/specialized-stock-snapshot-source-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/specialized-stock-snapshot-source-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/specialized-stock-snapshot-source-profile-20260905/perf-report.txt"
+  ],
+  "acceptance": {
+    "status": "accepted_generic_monomorphized_snapshot_source",
+    "reason": "both five-year strategies preserve exact outputs and improve stable medians, lookup hotspots fall materially, and the implementation avoids the enlarged row and runtime Optional branches that caused the prior rejected design"
+  }
+}

docs/evidence/stock-snapshot-field-projection-20260905.json

@@ -0,0 +1,87 @@
+{
+  "schemaVersion": "fidc-stock-snapshot-field-projection/v1",
+  "measuredAt": "2026-09-05T02:11:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "7f17fa1fb427fefe5c70c9170fe98e2a8761e3ac",
+  "serviceCommit": "9fd5a9e6d5668af57f6942fc3c4127953545d9c6",
+  "runnerBinarySha256": "0c0ea8629afa789024a6212bcb7ac0e8291f6a88943dd9f7bee16d4902c96be1",
+  "implementation": {
+    "description": "compile per-strategy requirements for amount and upper/lower limit-touch fields, then skip their factor-map lookups and fallback calculations when no expression consumes them",
+    "dynamicFactorMapStillLoadsAllFields": true,
+    "explicitActionsStillLoadAllFields": true,
+    "factorValuesCached": false,
+    "selectionResultsCached": false,
+    "pitSemanticsChanged": false,
+    "executionSemanticsChanged": false
+  },
+  "primaryFiveYearContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "processCold": {
+      "totalSeconds": 18.368,
+      "dataSeconds": 12.691,
+      "engineSeconds": 4.952
+    },
+    "processHotEngineSeconds": [5.434, 4.762, 5.269, 5.366, 5.356],
+    "processHotMedianEngineSeconds": 5.356,
+    "compactKeyBaselineMedianEngineSeconds": 5.734,
+    "observedMedianImprovementPercent": 6.592256714335544,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "secondaryFiveYearContract": {
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "lowContentionEngineSeconds": [4.867, 4.36],
+    "highContentionEngineSecondsExcluded": [32.561, 24.001],
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "hardwareCounters": {
+    "candidateRunId": "btr_1788545432236_3086752_11",
+    "candidateEngineSeconds": 5.291,
+    "candidateInstructions": 26663937176,
+    "candidateBranches": 4751846020,
+    "candidateBranchMisses": 21422590,
+    "internedSymbolBaselineInstructions": 27997441984,
+    "internedSymbolBaselineBranches": 4947191270,
+    "observedInstructionReductionPercent": 4.762952303864304,
+    "observedBranchReductionPercent": 3.9486092075029067
+  },
+  "profile": {
+    "runId": "btr_1788545382848_3086752_10",
+    "engineSeconds": 5.009,
+    "eventCycles": 13976422355,
+    "stockStateSelfPercent": 12.52,
+    "internedSymbolBaselineStockStatePercent": 16.25,
+    "stockStateRelativeReductionPercent": 22.953846153846154,
+    "factorMapBTreeGetBaselinePercent": 4.0,
+    "factorMapBTreeGetPresentInCandidateTopProfile": false
+  },
+  "testGate": {
+    "coreUnitTotal": 421,
+    "corePassed": 415,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/stock-snapshot-field-projection-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/stock-snapshot-field-projection-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/stock-snapshot-field-projection-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/stock-snapshot-field-projection-profile-20260905/perf-report.txt",
+    "/srv/fidc/canonical/run/fidc-private/evidence/stock-snapshot-field-projection-perf-stat-20260905/perf-stat.csv"
+  ],
+  "acceptance": {
+    "status": "accepted_generic_compiled_field_projection",
+    "reason": "two distinct five-year contracts preserve exact business outputs and terminal audits, while the primary low-contention median, hardware counters, and profile all show less work without adding a shared mutable cache"
+  }
+}

docs/evidence/stock-state-calendar-index-reuse-20260905.json

@@ -0,0 +1,92 @@
+{
+  "schemaVersion": "fidc-stock-state-calendar-index-reuse-ab/v1",
+  "measuredAt": "2026-09-05T00:02:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "6d458dbbc6fa3acb1bff0824307281c82170031a",
+  "serviceCommit": "9fd5a9e6d5668af57f6942fc3c4127953545d9c6",
+  "serviceBinarySha256": "bcd918407de2aa3fdc230d8e9976be5cbf5d3b53185f2a528d55beb10f5f1552",
+  "runnerBinarySha256": "e33dd75aa7b481975c0991cf634d07900cdefa51756802e28e64f18b980a83dc",
+  "implementation": {
+    "description": "resolve the trading-calendar index once when the per-day stock-state cache advances, then reuse it for decision and current rolling-series boundaries",
+    "cachedFactorValues": false,
+    "cachedSelectionResults": false,
+    "cachedOrderState": false,
+    "pitSemanticsChanged": false,
+    "adjustmentSemanticsChanged": false,
+    "fallback": "dates outside the indexed calendar retain the existing date-based rolling fallback"
+  },
+  "componentBenchmark": {
+    "samples": 6,
+    "iterationsPerSample": 5000000,
+    "dateLookupSeconds": 0.400282218,
+    "reusedCalendarIndexSeconds": 0.070751718,
+    "speedup": 5.657561813552005,
+    "checksum": 90000000,
+    "equal": true
+  },
+  "testGate": {
+    "coreUnitTotal": 419,
+    "corePassed": 413,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "primaryFiveYearContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "beforeEngineSeconds": [6.764, 6.391, 12.387],
+    "beforeMedianEngineSeconds": 6.764,
+    "afterHotEngineSeconds": [6.224, 6.497, 6.405, 6.539, 6.386],
+    "afterMedianEngineSeconds": 6.405,
+    "observedMedianImprovementPercent": 5.307510348905976,
+    "benchmarkSummaryProcessHotMedianSeconds": {
+      "before": 9.389,
+      "after": 6.451
+    },
+    "note": "The explicit all-run medians are reported above. The benchmark tool excludes its first run when calculating processHotMedian; concurrent non-FIDC load makes the tool summary less comparable than the complete sample list."
+  },
+  "secondaryFiveYearContract": {
+    "description": "same frozen source and execution contract with target positions changed from 30 to 20",
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "engineSeconds": [6.217, 9.279, 10.771],
+    "resultConsistent": true,
+    "performanceClaimed": false,
+    "reason": "two runs overlapped high external host contention; the strategy is retained as cross-strategy semantic evidence only"
+  },
+  "excludedHighContentionBatch": {
+    "hostLoadAverageObserved": [65.08, 44.49, 35.56],
+    "engineSeconds": [11.601, 12.061, 33.904, 23.149, 7.391],
+    "resultConsistent": true,
+    "performanceComparisonExcluded": true,
+    "reason": "independent tan processes and active FIDC symbolic workers caused material host scheduling contention; no external process was modified"
+  },
+  "runtime": {
+    "servicePid": 2548679,
+    "serviceUser": "boris",
+    "serviceState": "active/running",
+    "allowedCpus": "0 2 4 6 8 10 12 14 48 50 52 54 56 58 60 62",
+    "memoryCurrentBytes": 11426254848,
+    "memoryPeakBytes": 11427790848,
+    "maxConcurrentRuns": 1,
+    "runnerThreadsPerRun": 8
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/calendar-index-before-20260904.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/calendar-index-after-20260904.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/calendar-index-after-hot-20260904.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/calendar-index-secondary-20260905.json"
+  ],
+  "acceptance": {
+    "status": "accepted_component_and_primary_end_to_end_no_regression",
+    "reason": "the component path is materially faster, the stable primary five-year batch improves, and both frozen business contracts preserve exact returns, trade counts, canonical digests, result-store digests, and clean terminal audits"
+  }
+}

docs/evidence/symbol-id-selection-stream-20260905.json

@@ -0,0 +1,85 @@
+{
+  "schemaVersion": "fidc-symbol-id-selection-stream/v1",
+  "measuredAt": "2026-09-05T04:53:13+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "0e3c2028d0b0a26a2d3b8e2fb9dd0765c60809b1",
+  "serviceCommit": "9fd5a9e6d5668af57f6942fc3c4127953545d9c6",
+  "runnerBinarySha256": "386e5542d66bc6850f9569dc25d061f043103df279d3aba5e86343a72d5113f9",
+  "implementation": {
+    "description": "scan signal-day selection risk into a market-cap-ordered u32 symbol-id stream and materialize EligibleUniverseSnapshot rows only for strategies that require the generic ranking path",
+    "fastPathContract": "ascending market_cap or market_cap_bn rank with daily_replacement_limit=0",
+    "genericRankingChanged": false,
+    "selectionResultCached": false,
+    "factorValueCached": false,
+    "riskDecisionOrderChanged": false,
+    "pitSemanticsChanged": false
+  },
+  "primaryFiveYearContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "restartOrCold": {
+      "totalSeconds": 19.223,
+      "dataSeconds": 14.395,
+      "engineSeconds": 4.182
+    },
+    "processHotEngineSeconds": [3.438, 3.185, 3.346, 3.288, 3.294],
+    "processHotMedianEngineSeconds": 3.294,
+    "previousAcceptedMedianEngineSeconds": 3.896,
+    "observedMedianImprovementPercent": 15.451745,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "secondaryFiveYearContract": {
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "engineSeconds": [2.871, 2.897, 2.899, 2.964, 2.948, 2.922],
+    "medianEngineSeconds": 2.922,
+    "previousAcceptedMedianEngineSeconds": 3.582,
+    "observedMedianImprovementPercent": 18.425461,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "profile": {
+    "runId": "btr_1788555090941_297399_12",
+    "engineSeconds": 3.37,
+    "allThreadEventCycles": 77490041805,
+    "stockStateBySymbolIdPercent": 13.59,
+    "numericVmEvaluatePercent": 8.27,
+    "adjustedCloseMovingAveragePercent": 4.74,
+    "selectionSymbolIdScanPercent": 3.53,
+    "selectSymbolsPercent": 3.26,
+    "stringTrimPercent": 3.14,
+    "mallocPercent": 2.82,
+    "lostSamples": 0
+  },
+  "memory": {
+    "serviceCgroupCurrentBytes": 11481071616,
+    "serviceCgroupPeakBytes": 11488108544,
+    "cacheMemoryAddedBytes": 0
+  },
+  "testGate": {
+    "workspaceTotal": 544,
+    "passed": 536,
+    "ignoredManualBenchmarks": 8,
+    "failed": 0
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/symbol-id-selection-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/symbol-id-selection-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/symbol-id-selection-profile-20260905/run.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/symbol-id-selection-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/symbol-id-selection-profile-20260905/perf-report.txt"
+  ],
+  "acceptance": {
+    "status": "accepted_generic_symbol_id_selection_stream",
+    "reason": "both independent five-year contracts preserve exact results and improve stable engine medians materially without adding cache memory or changing generic ranking, risk ordering, or PIT semantics"
+  }
+}

docs/evidence/typed-current-rolling-helper-20260905.json

@@ -0,0 +1,95 @@
+{
+  "schemaVersion": "fidc-typed-current-rolling-helper/v1",
+  "measuredAt": "2026-09-05T02:51:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "75ab0c06c66761d7b2b0edb3359359e13d1265e3",
+  "serviceCommit": "9fd5a9e6d5668af57f6942fc3c4127953545d9c6",
+  "runnerBinarySha256": "1071852a374620029398a967d485b827ed2defbb6ecbcc3f1ee6ffd3e2db76b6",
+  "implementation": {
+    "description": "compile static stock close/volume rolling_mean_current calls to typed DataSet kernels and bypass generic string normalization and helper dispatch",
+    "evaluationRemainsLazy": true,
+    "dynamicFieldsUseGenericFallback": true,
+    "stockStateSizeChanged": false,
+    "rollingFormulaChanged": false,
+    "pitSemanticsChanged": false
+  },
+  "primaryFiveYearContract": {
+    "startDate": "2021-08-23",
+    "endDate": "2026-08-28",
+    "frequency": "1d",
+    "matchingType": "next_bar_open",
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "processCold": {
+      "totalSeconds": 21.504,
+      "dataSeconds": 12.753,
+      "engineSeconds": 4.618,
+      "unattributedSeconds": 3.489
+    },
+    "processHotEngineSeconds": [5.292, 4.729, 4.778, 4.635, 4.685],
+    "processHotMedianEngineSeconds": 4.729,
+    "calendarMajorBaselineMedianEngineSeconds": 5.202,
+    "observedMedianImprovementPercent": 9.09265667051134,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "secondaryFiveYearContract": {
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "engineSeconds": [4.031, 4.08, 4.049, 3.976],
+    "medianEngineSeconds": 4.049,
+    "calendarMajorBaselineMedianEngineSeconds": 4.878,
+    "observedMedianImprovementPercent": 16.99466994669946,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "hardwareCounters": {
+    "candidateRunId": "btr_1788547776300_3162323_11",
+    "candidateEngineSeconds": 4.782,
+    "candidateCycles": 13368504015,
+    "candidateInstructions": 26049740736,
+    "candidateBranches": 4601262679,
+    "candidateBranchMisses": 19416727,
+    "fieldProjectionBaselineInstructions": 26663937176,
+    "fieldProjectionBaselineBranches": 4751846020,
+    "observedInstructionReductionPercent": 2.303472423993083,
+    "observedBranchReductionPercent": 3.1689440349331863
+  },
+  "profile": {
+    "runId": "btr_1788547704257_3162323_10",
+    "engineSeconds": 12.057,
+    "hostLoadAverageAfterRun": 35.31,
+    "performanceComparisonExcluded": true,
+    "genericResolveCurrentRollingMeanPresentInTopProfile": false,
+    "typedCurrentVolumeKernelPercent": 2.25,
+    "note": "profile percentages remain useful for call-path attribution, but this run overlapped heavy external and managed factor CPU load and is excluded from wall-time comparison"
+  },
+  "memory": {
+    "serviceCgroupCurrentBytes": 11495362560,
+    "serviceCgroupPeakBytes": 11497156608,
+    "processRssKiB": 11213936,
+    "processAnonymousKiB": 11197740
+  },
+  "testGate": {
+    "coreUnitTotal": 421,
+    "corePassed": 415,
+    "ignoredManualBenchmarks": 6,
+    "failed": 0,
+    "integrationSuitesPassed": true
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/typed-current-rolling-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/typed-current-rolling-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/typed-current-rolling-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/typed-current-rolling-profile-20260905/perf-report.txt",
+    "/srv/fidc/canonical/run/fidc-private/evidence/typed-current-rolling-perf-stat-20260905/perf-stat.csv"
+  ],
+  "acceptance": {
+    "status": "accepted_generic_typed_lazy_helper",
+    "reason": "two different five-year contracts preserve exact outputs, both stable medians improve, hardware work falls, and the implementation keeps lazy short-circuit evaluation without enlarging per-stock state"
+  }
+}

docs/evidence/uncached-selection-state-20260905.json

@@ -0,0 +1,101 @@
+{
+  "schemaVersion": "fidc-uncached-selection-state/v1",
+  "measuredAt": "2026-09-05T05:07:00+08:00",
+  "host": "192.168.31.177",
+  "engineCommit": "29faf7932ed7838d0a2178a34b3fe6a259bd9052",
+  "serviceCommit": "9fd5a9e6d5668af57f6942fc3c4127953545d9c6",
+  "runnerBinarySha256": "c67dbb4a4432697853a9146790ae507f1bc774506104a9be814b3435665e6c36",
+  "implementation": {
+    "description": "construct transient market-cap ordered selection states by value and leave rejected candidates out of the per-day Arc HashMap cache",
+    "selectedStateBehavior": "later business use rebuilds and caches the selected or held symbol through the unchanged state API",
+    "genericRankingChanged": false,
+    "selectionResultCached": false,
+    "rollingValueCached": false,
+    "stateFieldsChanged": false,
+    "pitSemanticsChanged": false
+  },
+  "primaryFiveYearContract": {
+    "totalReturn": 0.9219861819172002,
+    "tradeCount": 26088,
+    "canonicalSha256": "b42fea66237d06eadb24f6b8c9e2760e7319fe3699f315b99e01f433ef2aa234",
+    "resultStoreSha256": "92343fb369fea68b2544b654151c5c43a935940580b14afbe8eefb3844f72a54",
+    "restartOrCold": {
+      "totalSeconds": 16.142,
+      "dataSeconds": 12.836,
+      "engineSeconds": 2.665
+    },
+    "processHotEngineSeconds": [2.622, 2.683, 2.67, 2.619, 2.667],
+    "processHotMedianEngineSeconds": 2.667,
+    "previousAcceptedMedianEngineSeconds": 3.294,
+    "observedMedianImprovementPercent": 19.034608,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "secondaryFiveYearContract": {
+    "totalReturn": 1.1342962298106998,
+    "tradeCount": 19404,
+    "canonicalSha256": "0dbd3fad624097c673c4a5ec2f545f95e9c21d1d5337bb2b48ffeb22b16cb2b9",
+    "resultStoreSha256": "416d2f87241fb4c6b917f6aeecb588f82f6e7d51a103f4c53a74d11971f16839",
+    "engineSeconds": [2.318, 2.358, 2.35, 2.345, 2.367, 2.371],
+    "medianEngineSeconds": 2.358,
+    "previousAcceptedMedianEngineSeconds": 2.922,
+    "observedMedianImprovementPercent": 19.301848,
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "fullMinuteContract": {
+    "startDate": "2025-01-02",
+    "endDate": "2025-11-17",
+    "scheduleTime": "10:18",
+    "matchingType": "minute_last",
+    "slippageModel": "price_ratio",
+    "slippageValue": 0.001,
+    "totalReturn": 0.03473222656500008,
+    "tradeCount": 156,
+    "canonicalSha256": "457c086b1bca784fe83f447bb22451925e8f022456bb0fc7b54237a7a7886849",
+    "resultStoreSha256": "04d804ee02ad7bc9b3649b4a2b4ddd902a4242ef38e00edeed8058860e9a6997",
+    "totalSeconds": [0.592, 0.593],
+    "engineSeconds": [0.162, 0.165],
+    "resultConsistent": true,
+    "terminalAuditStatus": "clean"
+  },
+  "profile": {
+    "runId": "btr_1788555931028_369369_14",
+    "engineSeconds": 2.672,
+    "allThreadEventCycles": 62382573448,
+    "previousAllThreadEventCycles": 77490041805,
+    "observedCycleReductionPercent": 19.496013,
+    "stockStateBuilderPercent": 12.33,
+    "numericVmEvaluatePercent": 11.55,
+    "adjustedCloseMovingAveragePercent": 5.32,
+    "mallocPercent": 1.51,
+    "previousMallocPercent": 2.82,
+    "stockStateCacheClearInTopProfile": false,
+    "stockStateDropGlueInTopProfile": false,
+    "lostSamples": 0
+  },
+  "memory": {
+    "serviceCgroupCurrentBytes": 11482611712,
+    "serviceCgroupPeakBytes": 11484585984,
+    "cacheMemoryAddedBytes": 0
+  },
+  "testGate": {
+    "workspaceTotal": 544,
+    "passed": 536,
+    "ignoredManualBenchmarks": 8,
+    "failed": 0,
+    "strictClippyStatus": "baseline_blocked_by_137_preexisting_warnings"
+  },
+  "remoteArtifacts": [
+    "/srv/fidc/canonical/run/fidc-private/evidence/uncached-selection-state-primary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/uncached-selection-state-secondary-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/uncached-selection-state-full-minute-20260905.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/uncached-selection-state-profile-20260905/run.json",
+    "/srv/fidc/canonical/run/fidc-private/evidence/uncached-selection-state-profile-20260905/perf.data",
+    "/srv/fidc/canonical/run/fidc-private/evidence/uncached-selection-state-profile-20260905/perf-report.txt"
+  ],
+  "acceptance": {
+    "status": "accepted_transient_selection_state",
+    "reason": "two independent five-year contracts and the full-minute contract preserve exact outputs, both daily strategies reduce stable engine medians by about nineteen percent, all-thread cycles and allocator share fall, and no cache memory is added"
+  }
+}

docs/fixed-point-minute-acceptance-20260831.md

@@ -0,0 +1,75 @@
+# Fixed-Point and Minute-Stream Acceptance
+
+Acceptance date: 2026-08-31  
+Engine commit: `cd116bc3ae77cac0989eb80185bb04d7440b8834`
+
+## Scope
+
+This acceptance separates execution precision from minute-data throughput. It
+does not use a strategy-specific shortcut and does not change strategy,
+matching, risk, slippage, commission, tax, or future-data semantics.
+
+## Fixed-Point Boundary
+
+- Execution money is signed micro-yuan `i128`.
+- Stock gross amount, commission, stamp tax, transfer fee, cash, liabilities,
+  external cash flow, account units, position lot cost and PnL are fixed-point.
+- Futures cash, margin, transaction cost, realized PnL and position PnL are
+  fixed-point.
+- Market indicators and return statistics remain `f64`; conversion occurs only
+  at the execution-money boundary.
+- One-micro-yuan budget overruns fail instead of being hidden by float epsilon.
+
+Verification command:
+
+```bash
+cargo test -p fidc-core fixed -- --nocapture
+```
+
+Result: 8 passed, 0 failed.
+
+## Minute Data Boundary
+
+- `history_intraday_quotes_at` uses a sorted execution-date index and scans
+  backward until the requested bar count is satisfied.
+- The active timestamp and `include_now` flag control visibility; later bars are
+  never visible.
+- Daily minute execution consumes a borrowed k-way merge ordered by timestamp
+  and symbol. It does not clone the complete selected quote day before engine
+  dispatch.
+- Execution quotes are released by trading date after the day finishes.
+
+Release benchmark command:
+
+```bash
+cargo test -p fidc-core --test intraday_history_performance --release -- --ignored --nocapture
+```
+
+Observed on the local acceptance host:
+
+| Case | Workload | Result |
+| --- | --- | --- |
+| Bounded history | 200 queries over 60,000 rows | 0.000227 seconds, checksum 351450348000 |
+| Full-day materialization | 5,000 iterations x 240 rows | 0.049361 seconds |
+| Borrowed quote stream | 5,000 iterations x 240 rows | 0.012232 seconds |
+
+The materialized and streamed timestamp checksums were both
+`2108693484000000`. The observed component speedup was about 4.04x. These
+numbers are component evidence only and are not an end-to-end SLA.
+
+## Regression
+
+```bash
+cargo test -p fidc-core --all-targets
+```
+
+Result: 528 passed, 0 failed, 1 ignored manual benchmark. This includes
+execution-day risk, next-open open-price limits, minute timestamp visibility,
+slippage, minimum commission, stamp tax, volume limits, corporate actions,
+external cash-flow NAV treatment and futures account precision.
+
+## Deployment Gate
+
+This documentation-only correction does not require a service restart. Any
+future Source Lake or engine deployment still requires the official managed
+entrypoint and must fail closed while FIDC-managed factor work is active.

docs/market-day-view-benchmark-20260831.md

@@ -0,0 +1,51 @@
+# Market Day View Component Benchmark
+
+Date: 2026-08-31
+
+## Scope
+
+The platform-expression selection loop already iterates one factor slice for a
+single trading date. The previous implementation still resolved the same date
+in the market and candidate `BTreeMap` for every symbol. `DailySnapshotView`
+borrows the existing immutable market/factor/candidate slices and dense row
+position arrays once per date, then performs only `symbol_id -> row` lookups.
+
+The view does not copy snapshots, cache strategy results, share account state,
+or change missing-row behavior. The optimization is independent of strategy
+text, thresholds, rolling windows, execution mode and portfolio size.
+
+## Release Component A/B
+
+Contract:
+
+- 6,000 symbols;
+- 200 complete lookup rounds;
+- each lookup reads market close and candidate `allow_buy`;
+- baseline and view checksums must be exactly equal;
+- `cargo test --release`, system allocator, local macOS host.
+
+| Round | Baseline seconds | Day view seconds |
+| ---: | ---: | ---: |
+| 1 | 0.009000 | 0.002939 |
+| 2 | 0.004370 | 0.001555 |
+| 3 | 0.004274 | 0.001578 |
+
+Median component time changed from `0.004370s` to `0.001578s`, an observed
+reduction of about `63.9%` (`2.77x`). This is a component result only and is
+not a complete backtest SLA.
+
+## Correctness Gates
+
+- sparse market-only symbols remain absent from factor/candidate views;
+- dense and binary-search fallback lookup semantics remain unchanged;
+- full engine suite: 529 passed, 3 ignored manual benchmarks;
+- next-open execution-day risk, minute matching, fees, slippage, volume limits,
+  corporate actions, delisting and futures tests all passed.
+
+## Deployment Status
+
+Not deployed. The 177 FIDC-managed Boris factor task is still active, so no
+Source Lake, backtest service or engine restart is allowed. After the task
+ends naturally, acceptance must use the same frozen bundle and compare daily
+selection, orders, fills, holdings, NAV, risk facts and canonical digest for
+multiple daily/minute and fixed/dynamic-universe strategies.