fix: validate price risk on every execution leg before and after slippage

Cargo.toml

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

crates/fidc-core/examples/factor-event-kernel.rs

@@ -15,6 +15,13 @@ fn main() -> Result<(), Box<dyn std::error::Error>> {
     io::stdin().read_to_string(&mut input)?;
     let output = if input.trim().is_empty() {
         factor_events::catalog()
+    } else if serde_json::from_str::<Value>(&input)?.get("rank_history").is_some() {
+        #[derive(Deserialize)]
+        #[serde(deny_unknown_fields)]
+        struct Rank { dates:Vec<chrono::NaiveDate>, universe:Vec<String>, values:std::collections::BTreeMap<String,Vec<Option<f64>>> }
+        let value:Value=serde_json::from_str(&input)?;
+        let request:Rank=serde_json::from_value(value["rank_history"].clone())?;
+        json!({"result":fidc_core::factor_cross_section::rank_history(&request.dates,&request.universe,&request.values)?})
     } else {
         let request: Request = serde_json::from_str(&input)?;
         let results = request

crates/fidc-core/examples/signal-book-kernel.rs

@@ -0,0 +1,15 @@
+use std::io::{Read, Write};
+
+fn main() -> Result<(), Box<dyn std::error::Error>> {
+    let mut raw=Vec::new();
+    std::io::stdin().take(64*1024*1024+1).read_to_end(&mut raw)?;
+    if raw.len()>64*1024*1024 {return Err("signal_book_transport_limit".into());}
+    let book:fidc_core::signal_contract::SignalBook=serde_json::from_slice(&raw)?;
+    let version=book.content_sha256()?;
+    let validated=book.validate()?;
+    let result=serde_json::json!({"schema":fidc_core::signal_contract::SIGNAL_BOOK_SCHEMA,
+        "versionSha256":version,"symbols":validated.symbols(),
+        "onlineAllowed":validated.require_observed().is_ok()});
+    std::io::stdout().write_all(serde_json::to_string(&result)?.as_bytes())?;
+    Ok(())
+}

crates/fidc-core/src/broker.rs

@@ -381,6 +381,8 @@ pub struct BrokerSimulator<C, R> {
     runtime_intraday_end_time: Cell<Option<NaiveTime>>,
     runtime_decision_date: Cell<Option<NaiveDate>>,
     runtime_buy_denials: RefCell<BTreeMap<String, String>>,
+    runtime_auto_buy_denials: RefCell<BTreeMap<String, String>>,
+    runtime_auto_sell_denials: RefCell<BTreeMap<String, String>>,
     runtime_order_created_date: Cell<Option<NaiveDate>>,
     runtime_decision_total_equity: Cell<Option<f64>>,
     runtime_target_position_limit: Cell<Option<usize>>,
@@ -414,6 +416,8 @@ impl<C, R> BrokerSimulator<C, R> {
             runtime_intraday_end_time: Cell::new(None),
             runtime_decision_date: Cell::new(None),
             runtime_buy_denials: RefCell::new(BTreeMap::new()),
+            runtime_auto_buy_denials: RefCell::new(BTreeMap::new()),
+            runtime_auto_sell_denials: RefCell::new(BTreeMap::new()),
             runtime_order_created_date: Cell::new(None),
             runtime_decision_total_equity: Cell::new(None),
             runtime_target_position_limit: Cell::new(None),
@@ -451,6 +455,8 @@ impl<C, R> BrokerSimulator<C, R> {
             runtime_intraday_end_time: Cell::new(None),
             runtime_decision_date: Cell::new(None),
             runtime_buy_denials: RefCell::new(BTreeMap::new()),
+            runtime_auto_buy_denials: RefCell::new(BTreeMap::new()),
+            runtime_auto_sell_denials: RefCell::new(BTreeMap::new()),
             runtime_order_created_date: Cell::new(None),
             runtime_decision_total_equity: Cell::new(None),
             runtime_target_position_limit: Cell::new(None),
@@ -1389,6 +1395,11 @@ where
     ) -> Result<BrokerExecutionReport, BacktestError> {
         let previous_decision_date = self.runtime_decision_date.get();
         let previous_buy_denials = self.runtime_buy_denials.replace(decision.buy_denials.clone());
+        let protection_denials = |scope| decision.risk_decisions.iter()
+            .filter(|row| !row.accepted && row.stage == "automatic_trade_protection" && row.scope == scope)
+            .map(|row| (row.symbol.clone(), row.reason.clone())).collect();
+        let previous_auto_buy_denials = self.runtime_auto_buy_denials.replace(protection_denials(crate::risk_control::RiskCheckScope::Buy));
+        let previous_auto_sell_denials = self.runtime_auto_sell_denials.replace(protection_denials(crate::risk_control::RiskCheckScope::Sell));
         let previous_order_created_date = self.runtime_order_created_date.get();
         let previous_decision_total_equity = self.runtime_decision_total_equity.get();
         self.runtime_decision_date.set(Some(decision_date));
@@ -1398,6 +1409,8 @@ where
             .set(decision_total_equity.filter(|equity| equity.is_finite() && *equity >= 0.0));
         let result = self.execute_with_runtime_dates(date, portfolio, data, decision);
         self.runtime_buy_denials.replace(previous_buy_denials);
+        self.runtime_auto_buy_denials.replace(previous_auto_buy_denials);
+        self.runtime_auto_sell_denials.replace(previous_auto_sell_denials);
         self.runtime_decision_date.set(previous_decision_date);
         self.runtime_order_created_date
             .set(previous_order_created_date);
@@ -2850,6 +2863,15 @@ where
             return;
         }
 
+        let protection = match existing.side {
+            OrderSide::Buy => self.runtime_auto_buy_denials.borrow().get(&existing.symbol).cloned(),
+            OrderSide::Sell => self.runtime_auto_sell_denials.borrow().get(&existing.symbol).cloned(),
+        };
+        if let Some(denial) = protection
+            && (target_limit_price.to_bits() != existing.limit_price.to_bits() || target_total_quantity != existing.requested_quantity) {
+            Self::emit_open_order_update_rejected(report, date, order_id, Some(&existing.symbol), Some(existing.side), reason, &denial);
+            return;
+        }
         let resets_queue_priority = target_limit_price.to_bits() != existing.limit_price.to_bits()
             || target_total_quantity > existing.requested_quantity;
         {
@@ -4139,6 +4161,9 @@ where
         minimum_order_quantity: u32,
         order_step_size: u32,
     ) -> Option<String> {
+        if let Some(reason) = self.runtime_auto_sell_denials.borrow().get(symbol) {
+            return Some(reason.clone());
+        }
         if current_qty == 0 {
             return None;
         }
@@ -4299,6 +4324,10 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
+        // Existing accepted orders are not canceled by a subsequently enabled lock.
+        if emit_creation_events && self.runtime_auto_sell_denials.borrow().contains_key(symbol) {
+            return Ok(());
+        }
         let remainder_policy = self.effective_remainder_policy(date, allow_pending_limit);
         let Some(position) = portfolio.position(symbol) else {
             return Ok(());
@@ -6074,6 +6103,9 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
+        if emit_creation_events && self.runtime_auto_buy_denials.borrow().contains_key(symbol) {
+            return Ok(());
+        }
         let remainder_policy = self.effective_remainder_policy(date, allow_pending_limit);
         if portfolio
             .position(symbol)
@@ -6166,6 +6198,24 @@ where
         } else {
             rule
         };
+        if (rule.allowed || rule.reason.as_deref() == Some("invalid execution price"))
+            && let Some(missing_reason) =
+                self.missing_daily_execution_price_reason(snapshot, algo_request)
+        {
+            Self::reject_missing_execution_price_order(
+                report,
+                date,
+                order_id,
+                symbol,
+                OrderSide::Buy,
+                requested_qty,
+                reason,
+                missing_reason,
+                emit_creation_events,
+            );
+            self.clear_open_order(order_id);
+            return Ok(());
+        }
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
@@ -6202,24 +6252,6 @@ where
             return Ok(());
         }
 
-        if let Some(missing_reason) =
-            self.missing_daily_execution_price_reason(snapshot, algo_request)
-        {
-            Self::reject_missing_execution_price_order(
-                report,
-                date,
-                order_id,
-                symbol,
-                OrderSide::Buy,
-                requested_qty,
-                reason,
-                missing_reason,
-                emit_creation_events,
-            );
-            self.clear_open_order(order_id);
-            return Ok(());
-        }
-
         let current_position_quantity = portfolio
             .position(symbol)
             .map(|position| position.quantity)
@@ -7286,9 +7318,15 @@ where
         execution_price: f64,
     ) -> Option<&'static str> {
         if !execution_price.is_finite() || execution_price <= 0.0 {
-            return None;
+            return Some("invalid execution price");
         }
         match side {
+            OrderSide::Buy
+                if self.risk_config.static_rules.reject_one_yuan_buy
+                    && execution_price <= 1.0 =>
+            {
+                Some("one_yuan")
+            }
             OrderSide::Buy
                 if self.risk_config.static_rules.reject_upper_limit_buy
                     && snapshot.is_at_upper_limit_price(execution_price) =>
@@ -7591,6 +7629,11 @@ where
             else {
                 continue;
             };
+            if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, raw_quote_price) {
+                execution_block_reason.get_or_insert(reason);
+                execution_block_timestamp = Some(quote.timestamp);
+                continue;
+            }
             let mark_price = self.quote_mark_price(quote, raw_quote_price);
             let remaining_qty = requested_qty.saturating_sub(filled_qty);
             if remaining_qty == 0 {
@@ -8564,6 +8607,54 @@ mod tests {
         assert_eq!(fill.quantity, 1_200);
     }
 
+    #[test]
+    fn each_execution_leg_rechecks_one_yuan_including_slippage_and_limit_price() {
+        let mut snapshot = limit_test_snapshot();
+        snapshot.open = 1.2;
+        snapshot.last_price = 1.2;
+        snapshot.upper_limit = 2.0;
+        snapshot.lower_limit = 0.5;
+        let date = snapshot.date;
+        let start = date.and_hms_opt(10, 0, 0).unwrap();
+        let end = date.and_hms_opt(10, 2, 0).unwrap();
+        let mut cheap = limit_test_quote(0.9, 0.9, 0.9);
+        cheap.timestamp = date.and_hms_opt(10, 1, 0).unwrap();
+        let mut later = limit_test_quote(1.2, 1.2, 1.2);
+        later.timestamp = end;
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false).with_liquidity_limit(false);
+
+        let fill = broker.select_execution_fill(
+            &snapshot, &[cheap.clone(), later], OrderSide::Buy, MatchingType::Vwap,
+            Some(start), Some(end), 100, 100, 100, 100, false, None, None, None,
+        ).unwrap();
+        assert_eq!(fill.quantity, 100);
+        assert_eq!(fill.legs.len(), 1);
+        assert_eq!(fill.legs[0].execution_timestamp, Some(end));
+        assert_eq!(fill.legs[0].price, 1.2);
+
+        let slipped = broker.with_slippage_model(SlippageModel::PriceRatio(0.2));
+        let blocked = slipped.select_execution_fill(
+            &snapshot, &[cheap], OrderSide::Buy, MatchingType::Vwap,
+            Some(start), Some(end), 100, 100, 100, 100, false, None, None, None,
+        ).unwrap();
+        assert_eq!(blocked.quantity, 0);
+        assert_eq!(blocked.unfilled_reason, Some("one_yuan"));
+        assert_eq!(slipped.execution_price_with_limit_slippage_or_rejection(&snapshot, OrderSide::Buy, 1.0, None), Err("one_yuan"));
+
+        let limit_broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_slippage_model(SlippageModel::LimitPrice);
+        assert_eq!(limit_broker.execution_price_with_limit_slippage_or_rejection(
+            &snapshot, OrderSide::Buy, 1.2, Some(0.9)), Err("one_yuan"));
+        let mut risk = FidcRiskControlConfig::default();
+        risk.static_rules.reject_one_yuan_buy = false;
+        let allowed = limit_broker.with_risk_config(risk);
+        assert_eq!(allowed.execution_price_with_limit_slippage_or_rejection(
+            &snapshot, OrderSide::Buy, 1.2, Some(0.9)), Ok(0.9));
+        assert_eq!(allowed.execution_limit_rejection_reason(&snapshot, OrderSide::Buy, f64::NAN), Some("invalid execution price"));
+        assert_eq!(allowed.execution_limit_rejection_reason(&snapshot, OrderSide::Sell, 0.9), None);
+    }
+
     #[test]
     fn minute_last_uses_volume_delta_when_level1_depth_missing() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");

crates/fidc-core/src/data.rs

@@ -3375,6 +3375,12 @@ impl DataSet {
             .unwrap_or(&[])
     }
 
+    pub fn is_reference_only_benchmark(&self, symbol: &str) -> bool {
+        if symbol != self.benchmark_code() { return false; }
+        let Some(symbol_id) = self.symbol_id(symbol) else { return true; };
+        !self.candidate_symbol_ids_by_date.values().any(|ids| ids.contains(&symbol_id))
+    }
+
     pub fn bundle_on(&self, date: NaiveDate) -> Result<DailySnapshotBundle, DataSetError> {
         let benchmark = self
             .benchmark(date)
@@ -6229,7 +6235,7 @@ mod tests {
     }
 
     #[test]
-    fn baseline_selection_uses_structured_instrument_dates_and_status_only() {
+    fn baseline_selection_uses_dated_lifecycle_not_latest_undated_status() {
         let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
         let instrument = |name: &str, status: &str, delisted_at: Option<NaiveDate>| Instrument {
             symbol: "000001.SZ".to_string(),
@@ -6257,7 +6263,7 @@ mod tests {
             Some(&instrument("退市测试", "active", None)),
             date
         ));
-        assert!(!instrument_passes_baseline_selection(
+        assert!(instrument_passes_baseline_selection(
             Some(&instrument("正常名称", "delisted", None)),
             date
         ));

crates/fidc-core/src/engine.rs

@@ -468,9 +468,17 @@ pub struct BacktestEngine<S, C, R> {
     preplanned_decision_quote_symbols_by_date: Option<Arc<BTreeMap<NaiveDate, BTreeSet<String>>>>,
     execution_quote_request_cache:
         BTreeSet<(NaiveDate, String, Option<NaiveTime>, Option<NaiveTime>)>,
+    execution_absence_notes: BTreeMap<NaiveDate, Vec<String>>,
+    execution_lifecycle_reported: BTreeSet<(String, String)>,
     risk_free_rate_contract: Option<RiskFreeRateContract>,
 }
 
+fn all_instruments_have_dated_absence(data: &DataSet, date: NaiveDate) -> bool {
+    let mut instruments = data.instruments().values()
+        .filter(|instrument| !data.is_reference_only_benchmark(&instrument.symbol)).peekable();
+    instruments.peek().is_some() && instruments.all(|instrument| instrument.dated_market_absence_reason(date).is_some())
+}
+
 fn backtest_execution_schedule(
     data: &DataSet,
     start_date: Option<NaiveDate>,
@@ -493,10 +501,15 @@ fn backtest_execution_schedule(
         if decision_lag_trading_days == 0 {
             if has_decision_inputs(execution_date) {
                 schedule.push((execution_date, Some((calendar_idx, execution_date))));
+            } else if all_instruments_have_dated_absence(data, execution_date) {
+                schedule.push((execution_date, None));
             }
             continue;
         }
         if !has_execution_market(execution_date) {
+            if all_instruments_have_dated_absence(data, execution_date) {
+                schedule.push((execution_date, None));
+            }
             continue;
         }
         let decision_slot = calendar_idx
@@ -507,6 +520,7 @@ fn backtest_execution_schedule(
                 schedule.push((execution_date, decision_slot));
             }
             None => schedule.push((execution_date, None)),
+            Some((_, decision_date)) if all_instruments_have_dated_absence(data, decision_date) => schedule.push((execution_date, None)),
             _ => {}
         }
     }
@@ -554,6 +568,8 @@ impl<S, C, R> BacktestEngine<S, C, R> {
             execution_quote_loader: None,
             preplanned_decision_quote_symbols_by_date: None,
             execution_quote_request_cache: BTreeSet::new(),
+            execution_absence_notes: BTreeMap::new(),
+            execution_lifecycle_reported: BTreeSet::new(),
             risk_free_rate_contract: None,
         }
     }
@@ -768,6 +784,31 @@ where
         end_time: Option<NaiveTime>,
         symbols: &mut BTreeSet<String>,
     ) -> Result<(), BacktestError> {
+        let mut available = BTreeSet::new();
+        for symbol in symbols.iter() {
+            let instrument = self.data.instrument(symbol).ok_or_else(|| BacktestError::Execution(format!(
+                "execution_data_missing reason=instrument_metadata_or_code_mapping_missing symbol={symbol} execution_date={execution_date}"
+            )))?;
+            if let Some(reason) = instrument.dated_market_absence_reason(execution_date) {
+                if self.data.price(execution_date, symbol, PriceField::Close).is_some()
+                    || !self.data.execution_quotes_on(execution_date, symbol).is_empty()
+                {
+                    return Err(BacktestError::Execution(format!(
+                        "execution_data_conflict reason={reason} symbol={symbol} execution_date={execution_date} listed_at={:?} delisted_at={:?}",
+                        instrument.listed_at, instrument.delisted_at
+                    )));
+                }
+                if self.execution_lifecycle_reported.insert((symbol.clone(), reason.to_string())) {
+                    self.execution_absence_notes.entry(execution_date).or_default().push(format!(
+                        "execution_data_absence reason={reason} symbol={symbol} execution_date={execution_date} listed_at={:?} delisted_at={:?} no_price_fill=true",
+                        instrument.listed_at, instrument.delisted_at
+                    ));
+                }
+                continue;
+            }
+            available.insert(symbol.clone());
+        }
+        *symbols = available;
         symbols.retain(|symbol| {
             let request_key = (execution_date, symbol.clone(), start_time, end_time);
             if self.execution_quote_request_cache.contains(&request_key) {
@@ -835,9 +876,6 @@ where
         let mut paused_with_quotes = Vec::new();
         let mut missing_daily_market = Vec::new();
         for symbol in requested_symbols {
-            let Some(_candidate) = self.data.candidate(execution_date, symbol) else {
-                continue;
-            };
             let Some(market) = self.data.market(execution_date, symbol) else {
                 missing_daily_market.push(symbol.clone());
                 continue;
@@ -2191,12 +2229,13 @@ where
                             date: execution_date,
                         })?;
                 let notes = join_text_parts(corporate_action_notes.into_iter());
+                let absence = all_instruments_have_dated_absence(&self.data, execution_date);
                 let diagnostics = join_text_parts(
-                    std::iter::once(format!(
-                        "decision_lag_warmup lag_days={} execution_index={}",
-                        self.config.decision_lag_trading_days, execution_idx
-                    ))
-                    .chain(broker_diagnostics.into_iter()),
+                    std::iter::once(if absence {
+                        format!("execution_data_absence reason=all_instruments_outside_dated_lifecycle execution_date={execution_date} cash_period_retained=true no_price_fill=true")
+                    } else { format!("decision_lag_warmup lag_days={} execution_index={}", self.config.decision_lag_trading_days, execution_idx) })
+                    .chain(broker_diagnostics.into_iter())
+                    .chain(self.execution_absence_notes.remove(&execution_date).unwrap_or_default()),
                 );
                 let holdings_for_day = portfolio.holdings_summary(execution_date);
                 let holding_start = result.daily_holdings.len();
@@ -2213,7 +2252,7 @@ where
                 previous_external_cash_flow_total = portfolio.external_cash_flow_total();
 
                 result.equity_curve.push(DailyEquityPoint {
-                    signal_baseline: true,
+                    signal_baseline: execution_idx == 0,
                     date: execution_date,
                     cash: aggregate_cash,
                     market_value: aggregate_market_value,
@@ -3364,7 +3403,8 @@ where
                 decision
                     .diagnostics
                     .into_iter()
-                    .chain(broker_diagnostics.into_iter()),
+                    .chain(broker_diagnostics.into_iter())
+                    .chain(self.execution_absence_notes.remove(&execution_date).unwrap_or_default()),
             );
             let holdings_for_day = portfolio.holdings_summary(execution_date);
             let holding_start = result.daily_holdings.len();
@@ -3964,17 +4004,11 @@ where
             let Some(instrument) = self.data.instrument(&symbol) else {
                 continue;
             };
-            let is_unresolved = instrument.is_delisted_on_or_before(date)
-                || (instrument.status.eq_ignore_ascii_case("delisted")
-                    && instrument.delisted_at.is_none()
-                    && self.data.market(date, &symbol).is_none());
+            let is_unresolved = instrument.is_delisted_on_or_before(date);
             if !is_unresolved {
                 continue;
             }
-            let effective_delisted_at = instrument
-                .delisted_at
-                .or_else(|| self.data.calendar().previous_day(date))
-                .unwrap_or(date);
+            let effective_delisted_at = instrument.delisted_at.expect("dated delisting checked");
             let reason = format!(
                 concat!(
                     "unresolved_delisted_position symbol={} quantity={} effective_date={} status={} ",
@@ -5543,6 +5577,34 @@ mod tests {
         );
     }
 
+    #[test]
+    fn wholly_prelisting_universe_retains_cash_days_without_fabricating_prices() {
+        let dates = [d(2025, 1, 2), d(2025, 1, 3), d(2025, 1, 6)];
+        let mut engine = engine_with_matching(MatchingType::CurrentBarClose, PriceField::Close, 0);
+        engine.config.end_date = Some(dates[2]);
+        let mut markets = vec![market(dates[2], 10.0, 10.0)];
+        markets.extend(dates.iter().map(|date| DailyMarketSnapshot { symbol: "000852.SH".into(), ..market(*date, 1000.0, 1000.0) }));
+        engine.data = DataSet::from_components(
+            vec![Instrument { listed_at: Some(dates[2]), ..default_instrument() }, Instrument { symbol: "000852.SH".into(), listed_at: None, ..default_instrument() }],
+            markets, vec![factor(dates[2])], vec![candidate(dates[2])],
+            dates.iter().map(|date| benchmark(*date)).collect(),
+        ).unwrap();
+        assert_eq!(super::backtest_execution_dates(&engine.data, Some(dates[0]), Some(dates[2]), 0), dates);
+        assert_eq!(super::backtest_execution_dates(&engine.data, Some(dates[0]), Some(dates[2]), 1), dates);
+        let result = engine.run().unwrap();
+        assert_eq!(result.equity_curve.len(), 3);
+        for point in &result.equity_curve[..2] {
+            assert_eq!(point.total_equity, 100_000.0);
+            assert_eq!(point.market_value, 0.0);
+            assert!(point.diagnostics.contains("cash_period_retained=true"));
+        }
+        assert!(result.order_events.is_empty());
+        assert!(engine.data.market(dates[0], SYMBOL).is_none());
+        assert!(result.equity_curve[0].signal_baseline);
+        assert!(!result.equity_curve[1].signal_baseline);
+        assert!(!super::all_instruments_have_dated_absence(&dataset(), dates[0]));
+    }
+
     fn engine_with_matching(
         matching_type: MatchingType,
         execution_price_field: PriceField,
@@ -5996,6 +6058,38 @@ mod tests {
             .expect("zero-volume stock may have no minute bars");
     }
 
+    #[test]
+    fn lifecycle_quote_filter_skips_only_dated_legal_absence_before_loading() {
+        let date = d(2025, 9, 10);
+        for (symbol, listed_at, delisted_at, reason) in [
+            ("920038.BJ", Some(d(2026, 8, 5)), None, "not_yet_listed"),
+            ("563360.SH", Some(d(2026, 8, 5)), None, "not_yet_listed"),
+            ("000001.SZ", Some(d(2010, 1, 1)), Some(d(2025, 9, 9)), "delisted"),
+        ] {
+            let instrument = Instrument { symbol: symbol.into(), listed_at, delisted_at, ..default_instrument() };
+            let data = DataSet::from_components(vec![instrument], vec![], vec![], vec![], vec![benchmark(date)]).unwrap();
+            let mut engine = full_day_coverage_engine(data, date);
+            engine.execution_quote_loader = Some(Box::new(|_| panic!("legal lifecycle absence must not load prices")));
+            engine.load_missing_execution_quotes(date, None, None, &mut BTreeSet::from([symbol.to_string()])).unwrap();
+            let notes = engine.execution_absence_notes.get(&date).unwrap();
+            assert!(notes[0].contains(reason));
+            assert!(notes[0].contains(symbol));
+            engine.load_missing_execution_quotes(date, None, None, &mut BTreeSet::from([symbol.to_string()])).unwrap();
+            assert_eq!(engine.execution_absence_notes[&date].len(), 1);
+        }
+    }
+
+    #[test]
+    fn unknown_identity_or_missing_candidate_does_not_waive_quote_coverage() {
+        let date = d(2025, 9, 10);
+        let data = DataSet::from_components(vec![default_instrument()], vec![], vec![], vec![], vec![benchmark(date)]).unwrap();
+        let mut engine = full_day_coverage_engine(data, date);
+        let error = engine.load_missing_execution_quotes(date, None, None, &mut BTreeSet::from(["unmapped".to_string()])).unwrap_err();
+        assert!(error.to_string().contains("instrument_metadata_or_code_mapping_missing"));
+        let error = engine.validate_full_day_execution_quote_coverage(date, &[SYMBOL.to_string()]).unwrap_err();
+        assert!(error.to_string().contains("missing_daily_market"));
+    }
+
     fn run_scheduled_next_open_with_dataset(dataset: DataSet) -> super::BacktestResult {
         run_scheduled_next_open_with_dataset_and_broker(
             dataset,
@@ -6605,17 +6699,33 @@ mod tests {
     }
 
     #[test]
-    fn next_bar_open_execution_risk_rejects_execution_day_one_yuan_state() {
+    fn next_bar_open_execution_risk_rejects_one_yuan_open_despite_higher_close() {
         let first = d(2025, 1, 2);
         let second = d(2025, 1, 3);
         let result = run_scheduled_next_open_with_dataset(dataset_with(
             market(first, 10.0, 11.5),
-            market(second, 12.0, 99.0),
+            market(second, 0.9, 1.2),
+            candidate(first),
+            candidate(second),
+        ));
+
+        assert_next_open_canceled_with_reason(&result, "one_yuan");
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_ignores_later_one_yuan_close() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market(second, 1.2, 0.9),
             candidate(first),
             one_yuan_candidate(second),
         ));
 
-        assert_next_open_canceled_with_reason(&result, "one_yuan");
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, second);
+        assert_eq!(result.fills[0].price, 1.2);
     }
 
     #[test]

crates/fidc-core/src/factor_events.rs

@@ -169,6 +169,12 @@ const OPERATORS: &[&str] = &[
 ];
 
 pub fn catalog() -> Value {
+    use sha2::{Digest, Sha256};
+    let mut implementation = Sha256::new();
+    for file in [include_bytes!("factor_events.rs").as_slice(), include_bytes!("factor_cross_section.rs").as_slice(),
+        include_bytes!("daily_patterns.rs").as_slice(),include_bytes!("market_event_context.rs").as_slice(),
+        include_bytes!("session_events.rs").as_slice(),include_bytes!("pattern_context.rs").as_slice(),TA_REV.as_bytes()] {implementation.update(file);}
+    let implementation_sha256=format!("{:x}",implementation.finalize());
     let indicators: Vec<Value> = abstract_api::funcs().map(|f| json!({
         "name":f.name, "group":format!("{:?}",f.group), "description":f.hint,
         "inputs":f.inputs.iter().map(|p|json!({"name":p.param_name,"kind":format!("{:?}",p.kind),"flags":p.flags.0})).collect::<Vec<_>>(),
@@ -176,7 +182,7 @@ pub fn catalog() -> Value {
         "outputs":f.outputs.iter().enumerate().map(|(i,p)|json!({"index":i,"name":p.param_name,"kind":format!("{:?}",p.kind)})).collect::<Vec<_>>(),
         "unstable_period":format!("{:?}",f.unst_id), "production_eligible":false,
     })).collect();
-    json!({"contract":CONTRACT,"library":{"name":"TA-Lib native Rust","revision":TA_REV,"license":"BSD-3-Clause"},
+    json!({"contract":CONTRACT,"expression_kernel_sha256":implementation_sha256,"library":{"name":"TA-Lib native Rust","revision":TA_REV,"license":"BSD-3-Clause"},
         "execution_context_contract":crate::pattern_context::CONTRACT,
         "execution_context_fields":crate::pattern_context::CONTEXT_FIELDS,
         "market_event_context_contract":crate::market_event_context::CONTRACT,

crates/fidc-core/src/holding_policy.rs

@@ -0,0 +1,369 @@
+use chrono::NaiveDate;
+use serde::{Deserialize, Serialize};
+
+use crate::TradingCalendar;
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+pub enum TradingActionOrigin {
+    Strategy,
+    Manual,
+}
+
+#[derive(Debug, Clone, Default, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct AutomaticTradeProtection {
+    #[serde(default, deserialize_with = "optional_days")]
+    pub buy_protection_days: u32,
+    #[serde(default, deserialize_with = "optional_days")]
+    pub sell_cooldown_days: u32,
+    #[serde(default, deserialize_with = "optional_days")]
+    pub max_holding_days: u32,
+    #[serde(default, deserialize_with = "optional_locks")]
+    pub locks: Vec<AutomaticTradeLock>,
+}
+
+pub fn deserialize_optional_policy<'de, D: serde::Deserializer<'de>>(
+    deserializer: D,
+) -> Result<AutomaticTradeProtection, D::Error> {
+    Ok(Option::<AutomaticTradeProtection>::deserialize(deserializer)?.unwrap_or_default())
+}
+
+fn optional_days<'de, D: serde::Deserializer<'de>>(deserializer: D) -> Result<u32, D::Error> {
+    let raw = serde_json::Value::deserialize(deserializer)?;
+    if raw.is_null() {
+        return Ok(0);
+    }
+    raw.as_f64()
+        .filter(|value| {
+            value.is_finite() && value.fract() == 0.0 && *value >= 0.0 && *value <= 3650.0
+        })
+        .map(|value| value as u32)
+        .ok_or_else(|| serde::de::Error::custom("protection days must be integers in 0..3650"))
+}
+
+fn optional_locks<'de, D: serde::Deserializer<'de>>(
+    deserializer: D,
+) -> Result<Vec<AutomaticTradeLock>, D::Error> {
+    Ok(Option::<Vec<AutomaticTradeLock>>::deserialize(deserializer)?.unwrap_or_default())
+}
+
+#[derive(Debug, Clone, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct AutomaticTradeLock {
+    pub symbol: String,
+    pub start_date: NaiveDate,
+    pub end_date: Option<NaiveDate>,
+}
+
+#[derive(Debug, Clone, Default, PartialEq, Eq)]
+pub struct HoldingLifecycleEvidence {
+    pub has_position: bool,
+    pub opened_date: Option<NaiveDate>,
+    pub last_buy_date: Option<NaiveDate>,
+    pub last_sell_date: Option<NaiveDate>,
+}
+
+#[derive(Debug, Clone, Default, PartialEq, Eq)]
+pub struct AutomaticTradePermission {
+    pub buy_denial: Option<&'static str>,
+    pub sell_denial: Option<&'static str>,
+    pub max_holding_exit: bool,
+}
+
+impl AutomaticTradeProtection {
+    pub fn enabled(&self) -> bool {
+        self.buy_protection_days > 0
+            || self.sell_cooldown_days > 0
+            || self.max_holding_days > 0
+            || !self.locks.is_empty()
+    }
+
+    pub fn validate(&self) -> Result<(), String> {
+        if [
+            self.buy_protection_days,
+            self.sell_cooldown_days,
+            self.max_holding_days,
+        ]
+        .into_iter()
+        .any(|days| days > 3650)
+        {
+            return Err("automatic_trade_holding_days_out_of_range: expected 0..3650".into());
+        }
+        if self.locks.len() > 2000 {
+            return Err("automatic_trade_locks_limit: maximum 2000 intervals".into());
+        }
+        for lock in &self.locks {
+            let valid_symbol = lock.symbol.split_once('.').is_some_and(|(code, venue)| {
+                code.len() == 6
+                    && code.bytes().all(|ch| ch.is_ascii_digit())
+                    && matches!(venue, "SH" | "SZ" | "BJ")
+            });
+            if !valid_symbol {
+                return Err(format!(
+                    "automatic_trade_lock_invalid_symbol: {}",
+                    lock.symbol
+                ));
+            }
+            if lock.end_date.is_some_and(|end| end < lock.start_date) {
+                return Err(format!(
+                    "automatic_trade_lock_invalid_interval: {}",
+                    lock.symbol
+                ));
+            }
+        }
+        Ok(())
+    }
+
+    pub fn evaluate(
+        &self,
+        symbol: &str,
+        execution_date: NaiveDate,
+        evidence: &HoldingLifecycleEvidence,
+        calendar: &TradingCalendar,
+    ) -> Result<AutomaticTradePermission, String> {
+        self.validate()?;
+        if self.locks.iter().any(|lock| {
+            lock.symbol == symbol
+                && lock.start_date <= execution_date
+                && lock.end_date.is_none_or(|end| execution_date <= end)
+        }) {
+            return Ok(AutomaticTradePermission {
+                buy_denial: Some("automatic_trade_locked"),
+                sell_denial: Some("automatic_trade_locked"),
+                max_holding_exit: false,
+            });
+        }
+        let elapsed = |date: NaiveDate| -> Result<usize, String> {
+            let start = calendar.index_of(date).ok_or_else(|| {
+                format!(
+                    "automatic_trade_holding_calendar_missing: symbol={symbol} fact_date={date}"
+                )
+            })?;
+            let end = calendar.index_of(execution_date).ok_or_else(|| format!("automatic_trade_holding_calendar_missing: symbol={symbol} execution_date={execution_date}"))?;
+            end.checked_sub(start).ok_or_else(|| format!("automatic_trade_holding_future_fact: symbol={symbol} fact_date={date} execution_date={execution_date}"))
+        };
+        let mut decision = AutomaticTradePermission::default();
+        if self.buy_protection_days > 0
+            && evidence.has_position
+            && let Some(date) = evidence.last_buy_date
+            && elapsed(date)? <= self.buy_protection_days as usize
+        {
+            decision.sell_denial = Some("buy_fill_protection");
+        }
+        if self.sell_cooldown_days > 0
+            && let Some(date) = evidence.last_sell_date
+            && elapsed(date)? <= self.sell_cooldown_days as usize
+        {
+            decision.buy_denial = Some("sell_fill_cooldown");
+        }
+        if self.max_holding_days > 0 && evidence.has_position {
+            let opened = evidence.opened_date.ok_or_else(|| format!("automatic_trade_opened_date_missing: symbol={symbol}; require confirmed position lifecycle evidence"))?;
+            decision.max_holding_exit = elapsed(opened)? >= self.max_holding_days as usize
+                && decision.sell_denial.is_none();
+            if decision.max_holding_exit {
+                decision.buy_denial = Some("maximum_holding_exit");
+            }
+        }
+        Ok(decision)
+    }
+
+    /// The caller supplies origin from its authenticated execution path, never
+    /// from an untrusted order-body flag. Broker and ordinary risk checks remain.
+    pub fn evaluate_for_origin(
+        &self,
+        origin: TradingActionOrigin,
+        symbol: &str,
+        execution_date: NaiveDate,
+        evidence: &HoldingLifecycleEvidence,
+        calendar: &TradingCalendar,
+    ) -> Result<AutomaticTradePermission, String> {
+        self.validate()?;
+        match origin {
+            TradingActionOrigin::Strategy => {
+                self.evaluate(symbol, execution_date, evidence, calendar)
+            }
+            TradingActionOrigin::Manual => Ok(AutomaticTradePermission::default()),
+        }
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn d(value: &str) -> NaiveDate {
+        NaiveDate::parse_from_str(value, "%Y-%m-%d").unwrap()
+    }
+    fn calendar() -> TradingCalendar {
+        TradingCalendar::new(
+            [
+                "2026-09-11",
+                "2026-09-14",
+                "2026-09-15",
+                "2026-09-16",
+                "2026-09-17",
+            ]
+            .into_iter()
+            .map(d)
+            .collect(),
+        )
+    }
+
+    #[test]
+    fn three_complete_sessions_protect_through_wednesday_not_72_hours() {
+        let policy = AutomaticTradeProtection {
+            buy_protection_days: 3,
+            sell_cooldown_days: 3,
+            ..Default::default()
+        };
+        let evidence = HoldingLifecycleEvidence {
+            has_position: true,
+            last_buy_date: Some(d("2026-09-11")),
+            last_sell_date: Some(d("2026-09-11")),
+            ..Default::default()
+        };
+        for day in ["2026-09-11", "2026-09-14", "2026-09-15", "2026-09-16"] {
+            let decision = policy
+                .evaluate("000001.SZ", d(day), &evidence, &calendar())
+                .unwrap();
+            assert_eq!(decision.sell_denial, Some("buy_fill_protection"));
+            assert_eq!(decision.buy_denial, Some("sell_fill_cooldown"));
+        }
+        assert_eq!(
+            policy
+                .evaluate("000001.SZ", d("2026-09-17"), &evidence, &calendar())
+                .unwrap(),
+            AutomaticTradePermission::default()
+        );
+    }
+
+    #[test]
+    fn absolute_locks_are_inclusive_and_override_timed_exit_without_changing_other_symbols() {
+        let policy = AutomaticTradeProtection {
+            max_holding_days: 1,
+            locks: vec![AutomaticTradeLock {
+                symbol: "000001.SZ".into(),
+                start_date: d("2026-09-11"),
+                end_date: Some(d("2026-09-16")),
+            }],
+            ..Default::default()
+        };
+        let evidence = HoldingLifecycleEvidence {
+            has_position: true,
+            opened_date: Some(d("2026-09-11")),
+            ..Default::default()
+        };
+        let locked = policy
+            .evaluate("000001.SZ", d("2026-09-16"), &evidence, &calendar())
+            .unwrap();
+        assert_eq!(locked.sell_denial, Some("automatic_trade_locked"));
+        assert!(!locked.max_holding_exit);
+        assert!(
+            policy
+                .evaluate("600000.SH", d("2026-09-16"), &evidence, &calendar())
+                .unwrap()
+                .max_holding_exit
+        );
+        assert!(
+            policy
+                .evaluate("000001.SZ", d("2026-09-17"), &evidence, &calendar())
+                .unwrap()
+                .max_holding_exit
+        );
+    }
+
+    #[test]
+    fn zero_disabled_and_missing_calendar_or_opened_date_are_not_inferred() {
+        let evidence = HoldingLifecycleEvidence {
+            has_position: true,
+            ..Default::default()
+        };
+        assert_eq!(
+            AutomaticTradeProtection::default()
+                .evaluate(
+                    "000001.SZ",
+                    d("2026-09-17"),
+                    &evidence,
+                    &TradingCalendar::new(vec![])
+                )
+                .unwrap(),
+            AutomaticTradePermission::default()
+        );
+        let policy = AutomaticTradeProtection {
+            max_holding_days: 1,
+            ..Default::default()
+        };
+        assert!(
+            policy
+                .evaluate("000001.SZ", d("2026-09-17"), &evidence, &calendar())
+                .unwrap_err()
+                .contains("opened_date_missing")
+        );
+        let evidence = HoldingLifecycleEvidence {
+            opened_date: Some(d("2026-09-10")),
+            ..evidence
+        };
+        assert!(
+            policy
+                .evaluate("000001.SZ", d("2026-09-17"), &evidence, &calendar())
+                .unwrap_err()
+                .contains("calendar_missing")
+        );
+    }
+
+    #[test]
+    fn manual_origin_only_bypasses_automatic_policy_not_an_order_or_broker_permission() {
+        let policy = AutomaticTradeProtection {
+            locks: vec![AutomaticTradeLock {
+                symbol: "000001.SZ".into(),
+                start_date: d("2026-09-11"),
+                end_date: None,
+            }],
+            ..Default::default()
+        };
+        assert_eq!(
+            policy
+                .evaluate_for_origin(
+                    TradingActionOrigin::Manual,
+                    "000001.SZ",
+                    d("2026-09-14"),
+                    &HoldingLifecycleEvidence::default(),
+                    &calendar()
+                )
+                .unwrap(),
+            AutomaticTradePermission::default()
+        );
+        assert_eq!(
+            policy
+                .evaluate_for_origin(
+                    TradingActionOrigin::Strategy,
+                    "000001.SZ",
+                    d("2026-09-14"),
+                    &HoldingLifecycleEvidence::default(),
+                    &calendar()
+                )
+                .unwrap()
+                .buy_denial,
+            Some("automatic_trade_locked")
+        );
+    }
+
+    #[test]
+    fn opening_date_follows_fills_not_partial_sales_or_corporate_conversions() {
+        let mut portfolio = crate::PortfolioState::new(100_000.0);
+        let position = portfolio.position_mut("000001.SZ");
+        position.buy(d("2026-09-11"), 100, 10.0);
+        position.buy(d("2026-09-14"), 200, 10.0);
+        position.sell(100, 10.0).unwrap();
+        assert_eq!(position.opened_date(), Some(d("2026-09-11")));
+        portfolio
+            .apply_successor_conversion("000001.SZ", "000002.SZ", 2.0, 0.0)
+            .unwrap();
+        let successor = portfolio.position_mut("000002.SZ");
+        assert_eq!(successor.opened_date(), Some(d("2026-09-11")));
+        assert_eq!(successor.last_buy_date(), Some(d("2026-09-14")));
+        successor.sell(400, 5.0).unwrap();
+        assert_eq!(successor.opened_date(), None);
+        successor.buy(d("2026-09-17"), 100, 5.0);
+        assert_eq!(successor.opened_date(), Some(d("2026-09-17")));
+    }
+}

crates/fidc-core/src/instrument.rs

@@ -70,8 +70,17 @@ impl Instrument {
 
     pub fn is_active_on(&self, date: NaiveDate) -> bool {
         self.listed_at.is_none_or(|listed_at| listed_at <= date)
-            && !self.is_delisted_before(date)
-            && !(self.status.eq_ignore_ascii_case("inactive") && self.delisted_at.is_none())
+            && !self.is_delisted_on_or_before(date)
+    }
+
+    pub fn dated_market_absence_reason(&self, date: NaiveDate) -> Option<&'static str> {
+        if self.listed_at.is_some_and(|listed| date < listed) {
+            Some("not_yet_listed")
+        } else if self.is_delisted_on_or_before(date) {
+            Some("delisted")
+        } else {
+            None
+        }
     }
 }
 
@@ -107,6 +116,25 @@ mod tests {
         }
     }
 
+    #[test]
+    fn lifecycle_is_dated_and_latest_undated_terminal_status_is_not_historical_evidence() {
+        let mut item = instrument("BJS", 100);
+        let listing = chrono::NaiveDate::from_ymd_opt(2026, 8, 5).unwrap();
+        let removal = chrono::NaiveDate::from_ymd_opt(2026, 9, 10).unwrap();
+        item.listed_at = Some(listing);
+        item.delisted_at = Some(removal);
+        assert_eq!(item.dated_market_absence_reason(listing.pred_opt().unwrap()), Some("not_yet_listed"));
+        assert!(item.is_active_on(listing));
+        assert!(!item.is_active_on(removal));
+        assert_eq!(item.dated_market_absence_reason(removal), Some("delisted"));
+        item.delisted_at = None;
+        for status in ["delisting", "delisted", "inactive", "terminated"] {
+            item.status = status.into();
+            assert!(item.is_active_on(listing));
+            assert_eq!(item.dated_market_absence_reason(listing), None);
+        }
+    }
+
     #[test]
     fn order_quantity_rules_are_case_insensitive_without_allocating_normalized_boards() {
         let kcb = instrument(" kSh ", 100);

crates/fidc-core/src/lib.rs

@@ -25,6 +25,8 @@ pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
+pub mod holding_policy;
+pub mod signal_contract;
 pub mod strategy_ai;
 pub mod universe;
 

crates/fidc-core/src/platform_expr_strategy.rs

@@ -27,6 +27,7 @@ use crate::numeric_expr_vm::{
     Scratch as NumericVmScratch, Value as NumericVmValue, ValueType as NumericVmValueType,
 };
 use crate::portfolio::PortfolioState;
+use crate::holding_policy::{AutomaticTradeProtection, AutomaticTradePermission, HoldingLifecycleEvidence};
 use crate::portfolio_loss::{ClosedPortfolioSession, PortfolioLossConfig, PortfolioLossState};
 use crate::risk_control::{ChinaAShareRiskControl, FidcRiskControlConfig, FidcRiskDecisionAudit};
 use crate::scheduler::{ScheduleRule, ScheduleStage, ScheduleTimeRule, Scheduler};
@@ -525,6 +526,7 @@ pub enum PlatformAccountActionKind {
 
 #[derive(Debug, Clone, PartialEq, Eq)]
 pub enum PlatformTradeAction {
+    ConsumeSignal,
     Order {
         kind: PlatformExplicitOrderKind,
         symbol: String,
@@ -607,6 +609,7 @@ pub struct PlatformPositionTargetRule {
 
 #[derive(Debug, Clone)]
 pub struct PlatformExprStrategyConfig {
+    pub signal_book: Option<Arc<crate::signal_contract::ValidatedSignalBook>>,
     pub strategy_name: String,
     pub market: String,
     pub benchmark_symbol: String,
@@ -655,6 +658,7 @@ pub struct PlatformExprStrategyConfig {
     pub retry_empty_rebalance: bool,
     pub calendar_rebalance_interval: bool,
     pub max_holding_days: Option<i64>,
+    pub automatic_trade_protection: AutomaticTradeProtection,
     pub weak_market_shrink_overweight_threshold: Option<f64>,
     pub commission_rate: Option<f64>,
     pub minimum_commission: Option<f64>,
@@ -689,6 +693,7 @@ pub struct PlatformExprStrategyConfig {
 impl PlatformExprStrategyConfig {
     pub fn generic() -> Self {
         Self {
+            signal_book: None,
             strategy_name: "platform-expression".to_string(),
             market: "CN_A".to_string(),
             benchmark_symbol: String::new(),
@@ -737,6 +742,7 @@ impl PlatformExprStrategyConfig {
             retry_empty_rebalance: false,
             calendar_rebalance_interval: false,
             max_holding_days: None,
+            automatic_trade_protection: AutomaticTradeProtection::default(),
             weak_market_shrink_overweight_threshold: None,
             commission_rate: None,
             minimum_commission: None,
@@ -1347,6 +1353,12 @@ enum RuntimeHelperResolution {
 }
 
 pub struct PlatformExprStrategy {
+    protection_fill_count: usize,
+    protection_last_buys: BTreeMap<String, NaiveDate>,
+    protection_last_sells: BTreeMap<String, NaiveDate>,
+    automatic_trade_permissions: BTreeMap<String, AutomaticTradePermission>,
+    external_automatic_trade_evidence: Option<(NaiveDate, BTreeMap<String, HoldingLifecycleEvidence>, crate::TradingCalendar)>,
+    automatic_holding_days: BTreeMap<String, i64>,
     pattern_results_date: RefCell<Option<NaiveDate>>,
     pattern_results: RefCell<BTreeMap<(NaiveDate, String, String), crate::daily_patterns::PatternResult>>,
     pattern_contexts: RefCell<BTreeMap<String,crate::daily_patterns::ResearchContext>>,
@@ -1587,13 +1599,7 @@ impl PlatformExprStrategy {
             .filter(|position| position.quantity > 0)
             .filter_map(|position| {
                 let instrument = ctx.data.instrument(&position.symbol)?;
-                let unresolved = instrument.is_delisted_on_or_before(ctx.execution_date)
-                    || (instrument.status.eq_ignore_ascii_case("delisted")
-                        && instrument.delisted_at.is_none()
-                        && ctx
-                            .data
-                            .market(ctx.execution_date, &position.symbol)
-                            .is_none());
+                let unresolved = instrument.is_delisted_on_or_before(ctx.execution_date);
                 unresolved.then(|| position.symbol.clone())
             })
             .collect()
@@ -1617,7 +1623,10 @@ impl PlatformExprStrategy {
         }
     }
 
-    pub fn new(config: PlatformExprStrategyConfig) -> Self {
+    pub fn new(mut config: PlatformExprStrategyConfig) -> Self {
+        if config.automatic_trade_protection.max_holding_days > 0 && config.max_holding_days.is_none() {
+            config.max_holding_days = Some(i64::from(config.automatic_trade_protection.max_holding_days));
+        }
         let mut engine = Engine::new();
         engine.set_fast_operators(false);
         engine.set_fail_on_invalid_map_property(true);
@@ -1765,6 +1774,12 @@ impl PlatformExprStrategy {
         Self {
             config,
             engine,
+            protection_fill_count: 0,
+            protection_last_buys: BTreeMap::new(),
+            protection_last_sells: BTreeMap::new(),
+            automatic_trade_permissions: BTreeMap::new(),
+            external_automatic_trade_evidence: None,
+            automatic_holding_days: BTreeMap::new(),
             rebalance_day_counter: 0,
             last_rebalance_date: None,
             last_target_selection: None,
@@ -1919,6 +1934,7 @@ impl PlatformExprStrategy {
         }
         for (index, action) in self.config.explicit_actions.iter().enumerate() {
             match action {
+                PlatformTradeAction::ConsumeSignal => {}
                 PlatformTradeAction::Order {
                     amount_expr,
                     limit_price_expr,
@@ -2199,7 +2215,37 @@ impl PlatformExprStrategy {
         }
         matches!(
             name,
-            "signal_close"
+            "trade_date"
+                | "current_date"
+                | "date"
+                | "decision_date"
+                | "execution_date"
+                | "signal_open"
+                | "benchmark_open"
+                | "has_dynamic_universe"
+                | "dynamic_universe_count"
+                | "has_subscriptions"
+                | "subscription_count"
+                | "subscription_guard_required"
+                | "free_float_cap_or_market_cap"
+                | "turnover"
+                | "minimum_order_quantity"
+                | "order_step_size"
+                | "in_dynamic_universe"
+                | "is_subscribed"
+                | "stock_volume_ma5"
+                | "stock_volume_ma10"
+                | "stock_volume_ma20"
+                | "stock_volume_ma60"
+                | "stock_volume_ma100"
+                | "volume_ma5"
+                | "volume_ma10"
+                | "volume_ma20"
+                | "volume_ma60"
+                | "volume_ma100"
+                | "available_sellable_qty"
+                | "reserved_open_sell_qty"
+                | "signal_close"
                 | "benchmark_close"
                 | "benchmark_signal_close"
                 | "signal_ma5"
@@ -2570,6 +2616,11 @@ impl PlatformExprStrategy {
     }
 
     fn max_holding_days_exceeded(&self, symbol: &str) -> Option<i64> {
+        if self.config.automatic_trade_protection.max_holding_days > 0 {
+            return self.automatic_trade_permissions.get(symbol)
+                .filter(|permission| permission.max_holding_exit)
+                .and_then(|_| self.automatic_holding_days.get(symbol).copied());
+        }
         let max_days = self.config.max_holding_days.filter(|value| *value > 0)?;
         let holding_days = *self.position_holding_days.get(symbol)?;
         (holding_days >= max_days).then_some(holding_days)
@@ -3407,6 +3458,9 @@ impl PlatformExprStrategy {
         let position = projected.position(symbol)?;
         let current_qty = position.quantity;
         let sellable_qty = position.sellable_qty(date);
+        if self.automatic_trade_permissions.get(symbol).is_some_and(|permission| permission.sell_denial.is_some()) {
+            return None;
+        }
         let quantity = current_qty.min(sellable_qty);
         if quantity == 0 {
             return None;
@@ -3551,6 +3605,9 @@ impl PlatformExprStrategy {
         let minimum_order_quantity = self.projected_minimum_order_quantity(ctx, symbol);
         let order_step_size = self.projected_order_step_size(ctx, symbol);
         let sellable_qty = projected.position(symbol)?.sellable_qty(date);
+        if self.automatic_trade_permissions.get(symbol).is_some_and(|permission| permission.sell_denial.is_some()) {
+            return None;
+        }
         if sellable_qty == 0 {
             return None;
         }
@@ -3859,16 +3916,9 @@ impl PlatformExprStrategy {
                 {
                     continue;
                 }
-                if !defer_execution_risk
-                    && self
-                        .buy_rejection_reason(
-                            ctx,
-                            execution_date,
-                            symbol,
-                            self.stock_state(ctx, execution_date, symbol)?.as_ref(),
-                        )?
-                        .is_some()
-                {
+                if !defer_execution_risk && self.buy_rejection_reason(
+                    ctx, execution_date, symbol, self.stock_state(ctx, execution_date, symbol)?.as_ref(),
+                )?.is_some() {
                     continue;
                 }
                 let decision_stock = self.stock_state_with_factor_date(
@@ -6195,7 +6245,8 @@ impl PlatformExprStrategy {
                     .filter(|identifier| !normalized_identifiers.contains(*identifier)),
             );
             for identifier in factor_identifiers {
-                if Self::is_reserved_scope_name(identifier.as_str())
+                if scope.contains(identifier)
+                    || Self::is_reserved_scope_name(identifier.as_str())
                     || self.prelude_declared_identifiers.contains(identifier)
                     || (!self.stock_extra_factor_identifiers.contains(identifier)
                         && !item.extra_factors.contains_key(identifier.as_str())
@@ -9124,7 +9175,10 @@ impl PlatformExprStrategy {
         self.stock_state(ctx, date, symbol).map(Some)
     }
 
-    fn unscheduled_explicit_actions_are_due(&self, decision_date: NaiveDate) -> bool {
+    fn unscheduled_explicit_actions_are_due(&self, decision_date: NaiveDate, execution_date: NaiveDate) -> bool {
+        if let Some(book) = &self.config.signal_book {
+            return book.is_due_on(execution_date);
+        }
         self.config.signal_rebalance_dates.is_empty()
             || self.config.signal_rebalance_dates.contains(&decision_date)
     }
@@ -9152,6 +9206,12 @@ impl PlatformExprStrategy {
         let mut diagnostics = Vec::new();
         for action in &self.config.explicit_actions {
             match action {
+                PlatformTradeAction::ConsumeSignal => {
+                    let book = self.config.signal_book.as_ref().ok_or_else(||
+                        BacktestError::Execution("signal_book_not_loaded".into()))?;
+                    intents.extend(book.intents(ctx).map_err(BacktestError::Execution)?);
+                    diagnostics.push(format!("signal_book_consumed version={} decision_date={}", book.version_sha256(), ctx.decision_date));
+                }
                 PlatformTradeAction::Order {
                     kind,
                     symbol,
@@ -10093,7 +10153,7 @@ impl PlatformExprStrategy {
             buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
-            exit_symbols: BTreeSet::new(),
+            exit_symbols: if self.config.signal_book.is_some() { exit_symbols } else { BTreeSet::new() },
             order_intents,
             notes: Vec::new(),
             diagnostics,
@@ -10729,6 +10789,9 @@ impl PlatformExprStrategy {
         symbol: &str,
         execution_time: Option<NaiveTime>,
     ) -> bool {
+        if self.automatic_trade_permissions.get(symbol).is_some_and(|permission| permission.sell_denial.is_some()) {
+            return false;
+        }
         let Some(position) = ctx.portfolio.position(symbol) else {
             return false;
         };
@@ -10768,6 +10831,9 @@ impl PlatformExprStrategy {
         symbol: &str,
         _stock: &StockExpressionState,
     ) -> Result<Option<String>, BacktestError> {
+        if let Some(reason) = self.automatic_trade_permissions.get(symbol).and_then(|permission| permission.buy_denial) {
+            return Ok(Some(reason.into()));
+        }
         let market = ctx.data.require_market(date, symbol)?;
         let candidate = ctx.data.require_candidate(date, symbol)?;
 
@@ -11398,6 +11464,7 @@ impl PlatformExprStrategy {
             matches!(
                 action,
                 PlatformTradeAction::Order { .. }
+                    | PlatformTradeAction::ConsumeSignal
                     | PlatformTradeAction::TargetPortfolioSmart { .. }
                     | PlatformTradeAction::Modify { .. }
             )
@@ -12226,6 +12293,7 @@ impl Strategy for PlatformExprStrategy {
     }
 
     fn before_trading(&mut self, ctx: &StrategyContext<'_>) -> Result<(), BacktestError> {
+        self.sync_automatic_trade_protection(ctx)?;
         let Some(config) = self.config.portfolio_loss_control.clone() else { return Ok(()); };
         if ctx.futures_account.is_some() {
             return Err(BacktestError::Execution("portfolio loss control currently requires equity-only accounting".to_owned()));
@@ -12341,6 +12409,7 @@ impl Strategy for PlatformExprStrategy {
         ctx: &StrategyContext<'_>,
         rule: &ScheduleRule,
     ) -> Result<StrategyDecision, BacktestError> {
+        self.sync_automatic_trade_protection(ctx)?;
         let mut decision = if self.config.explicit_actions.is_empty() {
             StrategyDecision::default()
         } else {
@@ -12360,7 +12429,7 @@ impl Strategy for PlatformExprStrategy {
             self.executing_scheduled_rotation = false;
             decision.merge_from(rotation?);
         }
-        self.attach_buy_denials(ctx, &mut decision)?;
+        self.attach_buy_denials(ctx, &mut decision, true)?;
         self.append_pattern_diagnostics(&mut decision);
         Ok(decision)
     }
@@ -12387,6 +12456,7 @@ impl Strategy for PlatformExprStrategy {
         &mut self,
         ctx: &StrategyContext<'_>,
     ) -> Result<BTreeSet<String>, BacktestError> {
+        self.sync_automatic_trade_protection(ctx)?;
         let mut symbols = ctx
             .portfolio
             .positions()
@@ -12406,13 +12476,14 @@ impl Strategy for PlatformExprStrategy {
         &mut self,
         ctx: &StrategyContext<'_>,
     ) -> Result<StrategyDecision, BacktestError> {
+        self.sync_automatic_trade_protection(ctx)?;
         if self.config.explicit_action_stage == PlatformExplicitActionStage::OpenAuction
             && !self.config.explicit_actions.is_empty()
             && self.config.explicit_action_schedule.is_none()
-            && self.unscheduled_explicit_actions_are_due(ctx.decision_date)
+            && self.unscheduled_explicit_actions_are_due(ctx.decision_date, ctx.execution_date)
         {
             let mut decision = self.explicit_action_decision(ctx)?;
-            self.attach_buy_denials(ctx, &mut decision)?;
+            self.attach_buy_denials(ctx, &mut decision, true)?;
             self.append_pattern_diagnostics(&mut decision);
             return Ok(decision);
         }
@@ -12420,22 +12491,65 @@ impl Strategy for PlatformExprStrategy {
     }
 
     fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
+        self.sync_automatic_trade_protection(ctx)?;
         let mut decision = self.compute_day_decision(ctx)?;
-        self.attach_buy_denials(ctx, &mut decision)?;
+        let expiry_due = !(self.config.signal_book.is_some() && self.config.explicit_action_schedule.is_some())
+            && !(self.config.rotation_enabled && self.config.rebalance_schedule.as_ref().and_then(|schedule|schedule.time_rule.as_ref()).is_some() && !self.executing_scheduled_rotation);
+        self.attach_buy_denials(ctx, &mut decision, expiry_due)?;
         self.append_pattern_diagnostics(&mut decision);
         Ok(decision)
     }
 }
 
 impl PlatformExprStrategy {
-    fn attach_buy_denials(&self, ctx: &StrategyContext<'_>, decision: &mut StrategyDecision) -> Result<(), BacktestError> {
-        if self.config.buy_filter_expr.trim().is_empty() {
+    fn attach_buy_denials(&self, ctx: &StrategyContext<'_>, decision: &mut StrategyDecision, expiry_due: bool) -> Result<(), BacktestError> {
+        let expired = self.automatic_trade_permissions.iter().filter(|(_, permission)| expiry_due && permission.max_holding_exit)
+            .map(|(symbol, _)| symbol.clone()).collect::<BTreeSet<_>>();
+        if !expired.is_empty() {
+            // A configured full exit is a final target, not an additional
+            // partial sell appended after another action for the same stock.
+            let mut portfolio_target = false;
+            decision.order_intents.retain_mut(|intent| {
+                let (keep, portfolio) = Self::apply_maximum_holding_target(intent, &expired);
+                portfolio_target |= portfolio;
+                keep
+            });
+            if !portfolio_target {
+                let exits = expired.iter().map(|symbol| OrderIntent::TargetValue {
+                    symbol:symbol.clone(), target_value:0.0, reason:"max_holding_days_exit".into(),
+                });
+                decision.order_intents.splice(0..0, exits);
+            }
+        }
+        for (symbol, permission) in &self.automatic_trade_permissions {
+            for (scope, reason) in [(crate::risk_control::RiskCheckScope::Buy, permission.buy_denial), (crate::risk_control::RiskCheckScope::Sell, permission.sell_denial)] {
+                if let Some(reason) = reason {
+                    if scope == crate::risk_control::RiskCheckScope::Buy {
+                        decision.buy_denials.entry(symbol.clone()).and_modify(|value| { value.push_str("; "); value.push_str(reason); }).or_insert_with(|| reason.into());
+                    }
+                    decision.risk_decisions.push(FidcRiskDecisionAudit {
+                        date: ctx.execution_date, symbol: symbol.clone(), scope,
+                        stage: "automatic_trade_protection".into(), accepted: false,
+                        rule_code: reason.into(), reason: reason.into(),
+                        config_version: Some("strategy_automatic_trade_protection_v1".into()),
+                        data_epoch: ctx.execution_date.to_string(), selection_batch_id: None, order_id: None,
+                    });
+                }
+            }
+        }
+        if self.config.signal_book.is_none() && self.config.buy_filter_expr.trim().is_empty() {
             return Ok(());
         }
         let symbols = decision.potential_buy_symbols(ctx.open_orders);
         if symbols.is_empty() {
             return Ok(());
         }
+        if let Some(book) = &self.config.signal_book {
+            decision.buy_denials.extend(book.buy_denials(ctx).map_err(BacktestError::Execution)?);
+        }
+        if self.config.buy_filter_expr.trim().is_empty() {
+            return Ok(());
+        }
         let day = self.day_state(ctx, ctx.decision_date)?;
         let (market_date, _, factor_date) = self.selection_dates(ctx);
         let execution_time = ctx.active_datetime.filter(|value| value.date() == market_date)
@@ -12461,6 +12575,89 @@ impl PlatformExprStrategy {
         Ok(())
     }
 
+    fn apply_maximum_holding_target(intent: &mut OrderIntent, expired: &BTreeSet<String>) -> (bool, bool) {
+        match intent {
+            OrderIntent::WithTimeInForce { intent, .. } => Self::apply_maximum_holding_target(intent, expired),
+            OrderIntent::TargetPortfolioSmart { target_weights, .. } => {
+                for symbol in expired { target_weights.insert(symbol.clone(), 0.0); }
+                (true, true)
+            }
+            OrderIntent::Shares {symbol,..} | OrderIntent::LimitShares {symbol,..}
+                | OrderIntent::Lots {symbol,..} | OrderIntent::LimitLots {symbol,..}
+                | OrderIntent::TargetShares {symbol,..} | OrderIntent::LimitTargetShares {symbol,..}
+                | OrderIntent::TargetValue {symbol,..} | OrderIntent::LimitTargetValue {symbol,..}
+                | OrderIntent::TimedTargetValue {symbol,..} | OrderIntent::Value {symbol,..}
+                | OrderIntent::LimitValue {symbol,..} | OrderIntent::Percent {symbol,..}
+                | OrderIntent::LimitPercent {symbol,..} | OrderIntent::TargetPercent {symbol,..}
+                | OrderIntent::LimitTargetPercent {symbol,..} | OrderIntent::AlgoValue {symbol,..}
+                | OrderIntent::AlgoPercent {symbol,..} => (!expired.contains(symbol), false),
+            _ => (true, false),
+        }
+    }
+
+    /// Online adapters must validate the account, quantity, policy and snapshot
+    /// identity before injecting actual fill evidence into a rebuilt strategy.
+    pub fn set_external_automatic_trade_evidence(&mut self, execution_date: NaiveDate, facts: BTreeMap<String, HoldingLifecycleEvidence>, calendar: crate::TradingCalendar) {
+        self.external_automatic_trade_evidence = Some((execution_date, facts, calendar));
+    }
+
+    fn sync_automatic_trade_protection(&mut self, ctx: &StrategyContext<'_>) -> Result<(), BacktestError> {
+        let policy = &self.config.automatic_trade_protection;
+        if !policy.enabled() { return Ok(()); }
+        policy.validate().map_err(BacktestError::Execution)?;
+        if ctx.futures_account.is_some() {
+            return Err(BacktestError::Execution("automatic_trade_protection_requires_equity_position_evidence".into()));
+        }
+        if let Some((date, facts, calendar)) = &self.external_automatic_trade_evidence {
+            if *date != ctx.execution_date { return Err(BacktestError::Execution("automatic_trade_protection_external_date_changed".into())); }
+            self.automatic_trade_permissions.clear();
+            self.automatic_holding_days.clear();
+            for symbol in ctx.portfolio.positions().keys() {
+                if !facts.contains_key(symbol) { return Err(BacktestError::Execution(format!("automatic_trade_protection_position_fact_missing:{symbol}"))); }
+            }
+            for (symbol, fact) in facts {
+                let permission = policy.evaluate(symbol, *date, fact, calendar).map_err(BacktestError::Execution)?;
+                self.automatic_trade_permissions.insert(symbol.clone(), permission);
+                if let Some(opened) = fact.opened_date
+                    && let (Some(start), Some(end)) = (calendar.index_of(opened), calendar.index_of(*date)) {
+                    self.automatic_holding_days.insert(symbol.clone(), end.saturating_sub(start) as i64);
+                }
+            }
+            return Ok(());
+        }
+        if ctx.fills.len() < self.protection_fill_count {
+            return Err(BacktestError::Execution("automatic_trade_fill_history_rewound".into()));
+        }
+        for fill in &ctx.fills[self.protection_fill_count..] {
+            if fill.quantity == 0 { continue; }
+            let date = fill.execution_date.unwrap_or(fill.date);
+            if date > ctx.execution_date { return Err(BacktestError::Execution("automatic_trade_future_fill".into())); }
+            let values = match fill.side { OrderSide::Buy => &mut self.protection_last_buys, OrderSide::Sell => &mut self.protection_last_sells };
+            values.entry(fill.symbol.clone()).and_modify(|previous| *previous = (*previous).max(date)).or_insert(date);
+        }
+        self.protection_fill_count = ctx.fills.len();
+        let mut symbols = ctx.portfolio.positions().keys().cloned().collect::<BTreeSet<_>>();
+        symbols.extend(self.protection_last_sells.keys().cloned());
+        symbols.extend(policy.locks.iter().map(|lock| lock.symbol.clone()));
+        self.automatic_trade_permissions.clear();
+        self.automatic_holding_days.clear();
+        for symbol in symbols {
+            let position = ctx.portfolio.position(&symbol).filter(|position| position.quantity > 0);
+            let evidence = HoldingLifecycleEvidence {
+                has_position: position.is_some(), opened_date: position.and_then(|position| position.opened_date()),
+                last_buy_date: self.protection_last_buys.get(&symbol).copied().into_iter().chain(position.and_then(|position|position.last_buy_date())).max(),
+                last_sell_date: self.protection_last_sells.get(&symbol).copied(),
+            };
+            let permission = policy.evaluate(&symbol, ctx.execution_date, &evidence, ctx.data.calendar()).map_err(BacktestError::Execution)?;
+            if let Some(opened) = evidence.opened_date
+                && let (Some(start), Some(end)) = (ctx.data.calendar().index_of(opened), ctx.data.calendar().index_of(ctx.execution_date)) {
+                self.automatic_holding_days.insert(symbol.clone(), end.saturating_sub(start) as i64);
+            }
+            self.automatic_trade_permissions.insert(symbol, permission);
+        }
+        Ok(())
+    }
+
     fn append_pattern_diagnostics(&self, decision: &mut StrategyDecision) {
         let mut contexts=BTreeMap::<String,serde_json::Value>::new();
         for ((date, symbol, spec), result) in self.pattern_results.borrow().iter() {
@@ -12487,6 +12684,9 @@ impl PlatformExprStrategy {
     }
 
     fn compute_day_decision(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
+        if self.config.signal_book.is_some() && self.config.explicit_action_schedule.is_some() {
+            return Ok(StrategyDecision::default());
+        }
         if self.config.rotation_enabled
             && self
                 .config
@@ -12547,7 +12747,7 @@ impl PlatformExprStrategy {
         let (explicit_action_intents, mut explicit_action_diagnostics) = if !in_skip_window
             && self.config.explicit_action_stage == PlatformExplicitActionStage::OnDay
             && self.config.explicit_action_schedule.is_none()
-            && self.unscheduled_explicit_actions_are_due(decision_date)
+            && self.unscheduled_explicit_actions_are_due(decision_date, execution_date)
         {
             self.explicit_action_intents(ctx, decision_date, &day)?
         } else {
@@ -12945,7 +13145,7 @@ impl PlatformExprStrategy {
             .iter()
             .cloned()
             .collect::<BTreeSet<_>>();
-        if self.config.rotation_enabled
+        if (self.config.rotation_enabled || self.config.automatic_trade_protection.max_holding_days > 0)
             && let Some(max_holding_days) = self.config.max_holding_days.filter(|value| *value > 0)
         {
             for position in ctx.portfolio.positions().values() {
@@ -14019,16 +14219,10 @@ impl PlatformExprStrategy {
                 if target_value <= 0.0 {
                     continue;
                 }
-                if !defer_execution_risk
-                    && self
-                        .buy_rejection_reason(
-                            ctx,
-                            execution_date,
-                            symbol,
-                            self.stock_state(ctx, execution_date, symbol)?.as_ref(),
-                        )?
-                        .is_some()
-                {
+                if !defer_execution_risk && let Some(reason) = self.buy_rejection_reason(
+                    ctx, execution_date, symbol, self.stock_state(ctx, execution_date, symbol)?.as_ref(),
+                )? {
+                    risk_decisions.push(FidcRiskDecisionAudit::rejected_buy_plan(execution_date, symbol, &reason));
                     continue;
                 }
                 if !self.stock_passes_expr(ctx, &day, &decision_stock)? {
@@ -14305,6 +14499,37 @@ mod tests {
         assert_eq!(strategy.selection_quote_usage, StockFilterQuoteUsage::DailyOnly);
     }
 
+    #[test]
+    fn periodic_selected_bjse_buy_rejection_is_audited_without_creating_an_order() {
+        let dates = [d(2026, 8, 5), d(2026, 8, 6)];
+        let symbol = "920038.BJ";
+        let data = single_symbol_platform_data(&dates, symbol);
+        let portfolio = PortfolioState::new(100_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: dates[1], decision_date: dates[1], decision_index: 1, data: &data,
+            portfolio: &portfolio, futures_account: None, open_orders: &[], dynamic_universe: None,
+            subscriptions: &subscriptions, process_events: &[], active_process_event: None,
+            active_datetime: None, order_events: &[], fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::generic();
+        cfg.signal_symbol = symbol.into();
+        cfg.stock_filter_expr = "close > 0".into();
+        cfg.hold_until_exit_enabled = true;
+        cfg.target_portfolio_daily_enabled = true;
+        cfg.daily_top_up_enabled = true;
+        cfg.daily_position_target_adjust_enabled = true;
+        cfg.rebalance_existing_positions = true;
+        cfg.risk_config.static_rules.reject_bjse_selection = false;
+        cfg.risk_config.static_rules.reject_bjse_buy = true;
+        let decision = PlatformExprStrategy::new(cfg.clone()).on_day(&ctx).unwrap();
+        assert!(decision.order_intents.is_empty());
+        assert!(decision.risk_decisions.iter().any(|audit| audit.symbol == symbol && audit.stage == "buy_planning" && audit.rule_code == "bjse" && !audit.accepted));
+        cfg.risk_config.static_rules.reject_bjse_buy = false;
+        let allowed = PlatformExprStrategy::new(cfg).on_day(&ctx).unwrap();
+        assert!(!allowed.order_intents.is_empty());
+    }
+
     #[test]
     fn daily_pattern_runtime_uses_the_shared_kernel_and_rejects_early_visibility() {
         let dates=(0..21).map(|n|d(2025,1,1)+chrono::Duration::days(n)).collect::<Vec<_>>();
@@ -14349,7 +14574,7 @@ mod tests {
         let strategy = PlatformExprStrategy::new(cfg);
         let mut decision = crate::StrategyDecision::default();
         decision.order_intents.push(OrderIntent::TargetValue { symbol: symbol.to_string(), target_value: 10_000.0, reason: "buy".to_string() });
-        let error = strategy.attach_buy_denials(&ctx, &mut decision).unwrap_err();
+        let error = strategy.attach_buy_denials(&ctx, &mut decision, true).unwrap_err();
         assert!(error.to_string().contains("buy condition quote unavailable"), "{error}");
         assert_eq!(strategy.selection_quote_usage, StockFilterQuoteUsage::DailyOnly);
     }
@@ -14405,7 +14630,7 @@ mod tests {
             ctx.active_datetime = Some(date.and_hms_opt(hour, minute, 0).unwrap());
             let mut decision = crate::StrategyDecision::default();
             decision.order_intents.push(OrderIntent::TargetValue { symbol: symbol.to_string(), target_value: 10_000.0, reason: "target".to_string() });
-            strategy.attach_buy_denials(&ctx, &mut decision).unwrap();
+            strategy.attach_buy_denials(&ctx, &mut decision, true).unwrap();
             assert_eq!(decision.buy_denials.contains_key(symbol), denied);
         }
     }
@@ -14714,6 +14939,71 @@ mod tests {
         .expect("single-symbol platform dataset")
     }
 
+    #[test]
+    fn shared_signal_reduction_and_stops_use_each_accounts_cost_quantity_and_sold_state() {
+        use crate::{BrokerSimulator, ChinaAShareCostModel, ChinaEquityRuleHooks, PriceField};
+        use crate::signal_contract::{SignalBook, ValidatedSignalBook};
+        use serde_json::json;
+        let previous=d(2025,1,6);
+        let current=d(2025,1,7);
+        let symbol="000001.SZ";
+        let data=single_symbol_platform_data(&[previous,current],symbol);
+        let make_book=|action| -> Arc<ValidatedSignalBook> {
+            let mut book:SignalBook=serde_json::from_value(json!({
+                "schema":"fidc.signal-book/v2","versionSha256":"0".repeat(64),"generatorSha256":"a".repeat(64),
+                "modelSha256":null,"knowledgeCutoff":null,"provenance":"reconstructed","frequency":"daily",
+                "expectedDecisions":["2025-01-07T15:00:00+08:00"],"snapshots":[{
+                    "signalAt":"2025-01-06T16:00:00+08:00","decisionAt":"2025-01-07T15:00:00+08:00",
+                    "inputAsOf":"2025-01-06T16:00:00+08:00","inputAvailableAt":"2025-01-06T16:00:00+08:00",
+                    "generatedAt":"2026-09-11T08:00:00+08:00","publishedAt":"2026-09-11T08:00:00+08:00",
+                    "inputSha256":"b".repeat(64),"completeTargets":false,"actions":[action]}]
+            })).unwrap();
+            book.version_sha256=book.content_sha256().unwrap();
+            Arc::new(book.validate().unwrap())
+        };
+        let shared=make_book(json!({"kind":"reduce","symbol":symbol,"remaining_ratio":0.5}));
+        let shared_version=shared.version_sha256().to_owned();
+        let buy=make_book(json!({"kind":"target_weight","symbol":symbol,"weight":0.5}));
+        let subscriptions=BTreeSet::new();
+        let plan=|portfolio:&PortfolioState,book:Arc<ValidatedSignalBook>,stops:bool| {
+            let ctx=StrategyContext {
+                execution_date:current,decision_date:current,decision_index:1,data:&data,portfolio,
+                futures_account:None,open_orders:&[],dynamic_universe:None,subscriptions:&subscriptions,
+                process_events:&[],active_process_event:None,active_datetime:Some(current.and_hms_opt(15,0,0).unwrap()),
+                order_events:&[],fills:&[],
+            };
+            let mut cfg=PlatformExprStrategyConfig::generic();
+            cfg.signal_symbol=symbol.into();
+            cfg.rotation_enabled=false;
+            cfg.signal_book=Some(book);
+            cfg.explicit_actions=vec![PlatformTradeAction::ConsumeSignal];
+            if stops { cfg.stop_loss_expr="0.1".into();cfg.take_profit_expr="0.2".into(); }
+            PlatformExprStrategy::new(cfg).on_day(&ctx).unwrap()
+        };
+        let broker=|| BrokerSimulator::new_with_execution_price(ChinaAShareCostModel::default(),ChinaEquityRuleHooks::default(),PriceField::Close)
+            .with_matching_type(MatchingType::CurrentBarClose).with_volume_limit(false).with_liquidity_limit(false);
+        for (quantity,entry,fees,expected) in [(1000,8.0,0.0,0),(1000,10.0,0.0,500),(3000,10.0,0.0,1500),
+                                              (1000,12.0,0.0,0),(1000,11.11,0.0,500),(1000,11.11,2.0,0)] {
+            let mut account=PortfolioState::new(100_000.0);
+            account.position_mut(symbol).buy(previous,quantity,entry);
+            account.position_mut(symbol).record_buy_trade_cost(quantity,fees);
+            let decision=plan(&account,shared.clone(),true);
+            assert_eq!(account.position(symbol).unwrap().quantity,quantity);
+            let executor=broker();
+            let report=executor.execute(current,&mut account,&data,&decision).unwrap();
+            assert_eq!(account.position(symbol).map_or(0,|p|p.quantity),expected,"entry={entry} fees={fees} decision={decision:?} report={report:?}");
+            assert!(!report.fill_events.is_empty());
+            let attempted_rebuy=plan(&account,buy.clone(),false);
+            let rejected=executor.execute(current,&mut account,&data,&attempted_rebuy).unwrap();
+            assert!(rejected.fill_events.iter().all(|fill|fill.side!=OrderSide::Buy),"{rejected:?}");
+        }
+        let mut untouched=PortfolioState::new(100_000.0);
+        let allowed=plan(&untouched,buy,false);
+        let result=broker().execute(current,&mut untouched,&data,&allowed).unwrap();
+        assert!(result.fill_events.iter().any(|fill|fill.side==OrderSide::Buy));
+        assert_eq!(shared.version_sha256(),shared_version);
+    }
+
     #[test]
     fn portfolio_loss_observes_finalized_nav_after_fees_and_cash_flows() {
         use std::sync::Mutex;
@@ -25514,9 +25804,9 @@ mod tests {
         }];
         let mut strategy = PlatformExprStrategy::new(config);
 
-        assert!(strategy.unscheduled_explicit_actions_are_due(first));
-        assert!(!strategy.unscheduled_explicit_actions_are_due(between));
-        assert!(strategy.unscheduled_explicit_actions_are_due(second));
+        assert!(strategy.unscheduled_explicit_actions_are_due(first, first));
+        assert!(!strategy.unscheduled_explicit_actions_are_due(between, between));
+        assert!(strategy.unscheduled_explicit_actions_are_due(second, second));
 
         let mut decide = |date, decision_index| {
             let ctx = StrategyContext {

crates/fidc-core/src/platform_strategy_spec.rs

@@ -17,6 +17,10 @@ use crate::{
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyRuntimeSpec {
+    #[serde(default)]
+    pub signal_book: Option<crate::signal_contract::SignalBook>,
+    #[serde(default)]
+    pub signal_book_ref: Option<crate::signal_contract::SignalBookReference>,
     #[serde(default, alias = "strategy_id")]
     pub strategy_id: Option<String>,
     #[serde(default)]
@@ -644,7 +648,7 @@ fn normalize_risk_policy_aliases_in_value(value: &mut Value) -> Result<(), Strin
 /// contract can legitimately arrive with both spellings.  Canonicalise those
 /// pairs once at the boundary, while rejecting conflicting values instead of
 /// silently choosing one.
-fn normalize_strategy_aliases_in_value(value: &mut Value) -> Result<(), String> {
+pub fn normalize_strategy_aliases_in_value(value: &mut Value) -> Result<(), String> {
     normalize_strategy_aliases_in_value_inner(value, false)
 }
 
@@ -660,7 +664,7 @@ fn normalize_strategy_aliases_in_value_inner(
             for (key, child) in object.iter_mut() {
                 normalize_strategy_aliases_in_value_inner(
                     child,
-                    in_risk_policy || matches!(key.as_str(), "riskPolicy" | "risk_policy"),
+                    in_risk_policy || matches!(key.as_str(), "riskPolicy" | "risk_policy" | "automaticTradeProtection" | "automatic_trade_protection"),
                 )?;
             }
         }
@@ -675,11 +679,14 @@ fn normalize_strategy_aliases_in_value_inner(
 }
 
 const STRATEGY_ALIAS_GROUPS: &[(&str, &[&str])] = &[
+    ("signalBook", &["signal_book"]),
+    ("signalBookRef", &["signal_book_ref"]),
     ("strategyId", &["strategy_id"]),
     ("tradeTimes", &["trade_times"]),
     ("signalSymbol", &["signal_symbol"]),
     ("engineConfig", &["engine_config"]),
     ("runtimeExpressions", &["runtime_expressions"]),
+    ("automaticTradeProtection", &["automatic_trade_protection"]),
     ("rebalanceSchedule", &["rebalance_schedule"]),
     ("skipWindows", &["skip_windows"]),
     ("dynamicRange", &["dynamic_range"]),
@@ -714,10 +721,8 @@ const STRATEGY_ALIAS_GROUPS: &[(&str, &[&str])] = &[
     ),
     ("stampTaxRateAfterChange", &["stamp_tax_rate_after_change"]),
     ("stampTaxChangeDate", &["stamp_tax_change_date"]),
-    ("volumeLimit", &["volume_limit"]),
-    ("volumeLimitEnabled", &["volume_limit_enabled"]),
-    ("liquidityLimit", &["liquidity_limit"]),
-    ("liquidityLimitEnabled", &["liquidity_limit_enabled"]),
+    ("volumeLimit", &["volume_limit", "volumeLimitEnabled", "volume_limit_enabled"]),
+    ("liquidityLimit", &["liquidity_limit", "liquidityLimitEnabled", "liquidity_limit_enabled"]),
     ("volumePercent", &["volume_percent"]),
     ("riskPolicy", &["risk_policy"]),
     ("strictValueBudget", &["strict_value_budget"]),
@@ -741,6 +746,16 @@ fn strategy_alias_values_semantically_equal(left: &Value, right: &Value) -> bool
         return true;
     }
     match (left, right) {
+        (Value::Number(left), Value::Number(right)) => {
+            const MAX_EXACT: i64 = 9_007_199_254_740_992;
+            let exact_integer = |value: &serde_json::Number| {
+                value.as_i64().filter(|v| (-MAX_EXACT..=MAX_EXACT).contains(v)).map(|v| v as f64)
+                    .or_else(|| value.as_u64().filter(|v| *v <= MAX_EXACT as u64).map(|v| v as f64))
+            };
+            if left.is_f64() && !right.is_f64() { exact_integer(right).zip(left.as_f64()).is_some_and(|(a,b)| a==b) }
+            else if right.is_f64() && !left.is_f64() { exact_integer(left).zip(right.as_f64()).is_some_and(|(a,b)| a==b) }
+            else { false }
+        }
         (Value::String(left), Value::String(right)) => left.trim() == right.trim(),
         (Value::String(left), Value::Number(right))
         | (Value::Number(right), Value::String(left)) => left
@@ -990,6 +1005,8 @@ pub struct StrategyExpressionOrderingConfig {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExpressionTradingConfig {
+    #[serde(default, alias = "automatic_trade_protection")]
+    pub automatic_trade_protection: Option<crate::holding_policy::AutomaticTradeProtection>,
     #[serde(default, alias = "buy_filter_expr")]
     pub buy_filter_expr: Option<String>,
     #[serde(default)]
@@ -2316,6 +2333,10 @@ pub fn platform_expr_config_from_spec(
             }
         }
         if let Some(trading) = runtime_expr.trading.as_ref() {
+            if let Some(policy) = &trading.automatic_trade_protection {
+                policy.validate()?;
+                cfg.automatic_trade_protection = policy.clone();
+            }
             if let Some(expr) = trading.buy_filter_expr.as_ref() {
                 cfg.buy_filter_expr = expr.clone();
             }
@@ -2599,6 +2620,40 @@ pub fn platform_expr_config_from_spec(
     }
     cfg.strict_value_budget = true;
 
+    let signal_book = match (&spec.signal_book,&spec.signal_book_ref) {
+        (Some(_),Some(_)) => return Err("inline_and_registered_signal_book_are_mutually_exclusive".into()),
+        (Some(raw),None) => Some(std::sync::Arc::new(raw.clone().validate()?)),
+        (None,Some(reference)) => crate::signal_contract::cached_signal_book(reference)?,
+        (None,None) => None,
+    };
+    if let Some(book) = signal_book {
+        if cfg.explicit_actions.len() != 1 || !matches!(cfg.explicit_actions[0], PlatformTradeAction::ConsumeSignal) {
+            return Err("signal_book_requires_one_consume_signal_action".into());
+        }
+        if !cfg.signal_rebalance_dates.is_empty() && cfg.signal_rebalance_dates != book.decision_dates() {
+            return Err("signal_book_schedule_does_not_match_strategy".into());
+        }
+        cfg.rotation_enabled = false;
+        cfg.signal_rebalance_dates = book.decision_dates();
+        cfg.initial_subscriptions.extend(book.symbols());
+        cfg.signal_book = Some(book);
+    } else if spec.signal_book_ref.is_some() {
+        if cfg.explicit_actions.len()!=1 || !matches!(cfg.explicit_actions[0],PlatformTradeAction::ConsumeSignal) {
+            return Err("signal_book_requires_one_consume_signal_action".into());
+        }
+        cfg.rotation_enabled=false;
+    } else if cfg.explicit_actions.iter().any(|action| matches!(action, PlatformTradeAction::ConsumeSignal)) {
+        return Err("consume_signal_requires_verified_signal_book".into());
+    }
+
+    let has_automatic_policy = spec.runtime_expressions.as_ref().and_then(|runtime| runtime.trading.as_ref()).is_some_and(|trading| trading.automatic_trade_protection.is_some());
+    if has_automatic_policy {
+        let limit = i64::from(cfg.automatic_trade_protection.max_holding_days);
+        if cfg.max_holding_days.is_some_and(|previous| previous != limit) {
+            return Err("conflicting maximum holding policies".into());
+        }
+        cfg.max_holding_days = (limit > 0).then_some(limit);
+    }
     Ok(cfg)
 }
 
@@ -2751,6 +2806,7 @@ fn parse_platform_trade_action(
         None => None,
     };
     match kind.as_str() {
+        "consume_signal" if when_expr.is_none() && time_in_force.is_none() => Some(PlatformTradeAction::ConsumeSignal),
         "target_portfolio_smart" => Some(PlatformTradeAction::TargetPortfolioSmart {
             target_weights_expr: action
                 .target_weights_expr
@@ -3149,6 +3205,16 @@ fn normalize_board(symbol: &str, raw_board: Option<&str>) -> String {
 mod tests {
     use super::*;
 
+    #[test]
+    fn numeric_strategy_aliases_accept_exact_zero_but_never_hide_rounding_or_conflicts() {
+        let cfg = platform_expr_config_from_value("fees", "000001.SZ", &serde_json::json!({
+            "execution":{"minimumCommission":0.0,"minimum_commission":0}
+        })).unwrap();
+        assert_eq!(cfg.minimum_commission, Some(0.0));
+        assert!(!strategy_alias_values_semantically_equal(&serde_json::json!(9007199254740992u64), &serde_json::json!(9007199254740993u64)));
+        assert!(!strategy_alias_values_semantically_equal(&serde_json::json!(0.0), &serde_json::json!(1)));
+    }
+
     #[test]
     fn parses_buy_filter_as_a_separate_trading_condition() {
         let cfg = platform_expr_config_from_value("buy-guard", "000001.SZ", &serde_json::json!({
@@ -4066,6 +4132,28 @@ mod tests {
         );
     }
 
+    #[test]
+    fn execution_limit_aliases_normalize_to_one_serde_field_without_touching_policy() {
+        for section in ["execution", "engineConfig"] {
+            let mut spec = serde_json::json!({});
+            spec[section] = serde_json::json!({
+                "volumeLimit": false, "volumeLimitEnabled": false, "volume_limit_enabled": false,
+                "liquidityLimit": true, "liquidityLimitEnabled": true, "liquidity_limit_enabled": true,
+                "riskPolicy": {"volumeLimitEnabled": false, "liquidityLimitEnabled": true}
+            });
+            let cfg = platform_expr_config_from_value("test", "000300.SH", &spec).unwrap();
+            assert!(!cfg.risk_config.trading_constraints.volume_limit_enabled);
+            assert!(cfg.risk_config.trading_constraints.liquidity_limit_enabled);
+            super::normalize_strategy_aliases_in_value(&mut spec).unwrap();
+            assert!(spec[section].get("volumeLimitEnabled").is_none());
+            assert!(spec[section].get("liquidity_limit_enabled").is_none());
+            assert_eq!(spec[section]["riskPolicy"]["liquidityLimitEnabled"], true);
+            spec[section]["liquidity_limit_enabled"] = serde_json::json!(false);
+            assert!(platform_expr_config_from_value("test", "000300.SH", &spec)
+                .unwrap_err().to_string().contains("conflicting alias values"));
+        }
+    }
+
     #[test]
     fn canonicalizes_duplicate_execution_aliases_without_changing_strategy_intent() {
         let spec = serde_json::json!({

crates/fidc-core/src/portfolio.rs

@@ -60,6 +60,8 @@ pub struct PositionLot {
 pub struct Position {
     pub symbol: String,
     pub quantity: u32,
+    opened_date: Option<NaiveDate>,
+    last_buy_date: Option<NaiveDate>,
     // ALV-compatible moving average execution price; partial sells do not rebase it.
     pub average_price: f64,
     // ALV-compatible moving average including buy costs; partial sells do not rebase it.
@@ -88,6 +90,8 @@ impl Position {
         Self {
             symbol: symbol.into(),
             quantity: 0,
+            opened_date: None,
+            last_buy_date: None,
             average_price: 0.0,
             average_cost: 0.0,
             last_price: 0.0,
@@ -114,6 +118,12 @@ impl Position {
         self.quantity == 0
     }
 
+    pub fn opened_date(&self) -> Option<NaiveDate> {
+        self.opened_date
+    }
+
+    pub fn last_buy_date(&self) -> Option<NaiveDate> { self.last_buy_date }
+
     pub fn buy(&mut self, date: NaiveDate, quantity: u32, price: f64) {
         self.buy_with_mark_price(date, quantity, price, price);
     }
@@ -130,6 +140,10 @@ impl Position {
         }
 
         let previous_quantity = self.quantity;
+        self.last_buy_date = Some(self.last_buy_date.map_or(date, |previous| previous.max(date)));
+        if previous_quantity == 0 {
+            self.opened_date = Some(date);
+        }
         let previous_average_price = self.average_price;
         let previous_average_cost = self.average_cost;
         let gross_amount = fixed_money_or_panic(
@@ -267,6 +281,7 @@ impl Position {
             .checked_add(total_proceeds)
             .ok_or_else(|| "fixed-point day sell value overflow".to_string())?;
         if self.quantity == 0 {
+            self.opened_date = None;
             self.average_price = 0.0;
             self.recalculate_average_cost();
         } else {
@@ -1047,8 +1062,6 @@ impl PortfolioState {
             let unresolved_delisting = current_market_missing
                 && data.instrument(&position.symbol).is_some_and(|instrument| {
                     instrument.is_delisted_on_or_before(date)
-                        || (instrument.status.eq_ignore_ascii_case("delisted")
-                            && instrument.delisted_at.is_none())
                 });
             if unresolved_delisting {
                 position.last_price = 0.0;
@@ -1068,11 +1081,13 @@ impl PortfolioState {
                 position.refresh_day_pnl();
                 continue;
             }
+            let confirmed_pause = data.market(date, &position.symbol).is_some_and(|row| row.paused)
+                || data.candidate(date, &position.symbol).is_some_and(|row| row.is_paused);
             let price = data
                 .price(date, &position.symbol, field)
-                .or_else(|| data.price_on_or_before(date, &position.symbol, field))
+                .or_else(|| confirmed_pause.then(|| data.price_on_or_before(date, &position.symbol, field)).flatten())
                 .or_else(|| {
-                    (position.last_price.is_finite() && position.last_price > 0.0)
+                    (confirmed_pause && position.last_price.is_finite() && position.last_price > 0.0)
                         .then_some(position.last_price)
                 })
                 .ok_or_else(|| DataSetError::MissingSnapshot {
@@ -1224,6 +1239,8 @@ impl PortfolioState {
         }
 
         let old_quantity = old_position.quantity;
+        let old_opened_date = old_position.opened_date;
+        let old_last_buy_date = old_position.last_buy_date;
         let last_price = old_position.last_price;
         let old_average_price = old_position.average_price;
         let old_average_cost = old_position.average_cost;
@@ -1263,6 +1280,14 @@ impl PortfolioState {
             .entry(new_symbol.to_string())
             .or_insert_with(|| Position::new(new_symbol));
         let successor_quantity_before = successor.quantity;
+        successor.opened_date = match (successor.opened_date, old_opened_date) {
+            (Some(current), Some(previous)) => Some(current.min(previous)),
+            (current, previous) => current.or(previous),
+        };
+        successor.last_buy_date = match (successor.last_buy_date, old_last_buy_date) {
+            (Some(current), Some(previous)) => Some(current.max(previous)),
+            (current, previous) => current.or(previous),
+        };
         let successor_average_price_before = successor.average_price;
         let successor_average_cost_before = successor.average_cost;
         successor.lots.extend(converted_lots);
@@ -1774,7 +1799,7 @@ mod tests {
     }
 
     #[test]
-    fn portfolio_carries_last_price_when_position_market_row_is_missing() {
+    fn portfolio_missing_market_requires_formal_suspension_before_carrying_price() {
         let prev_date = NaiveDate::from_ymd_opt(2025, 5, 26).unwrap();
         let missing_date = NaiveDate::from_ymd_opt(2025, 5, 27).unwrap();
         let mut portfolio = PortfolioState::new(10_000.0);
@@ -1832,9 +1857,23 @@ mod tests {
             .update_prices(prev_date, &dataset, PriceField::Close)
             .expect("previous close");
         portfolio.begin_trading_day();
-        portfolio
+        let error = portfolio
             .update_prices(missing_date, &dataset, PriceField::Close)
-            .expect("missing current row should carry previous close");
+            .expect_err("unclassified missing current price must not be filled from history");
+        assert!(error.to_string().contains("601028.SH"));
+        let paused_dataset = DataSet::from_components(
+            vec![dataset.instrument("601028.SH").unwrap().clone()],
+            vec![dataset.market(prev_date, "601028.SH").unwrap().clone()],
+            Vec::new(),
+            vec![crate::data::CandidateEligibility {
+                date: missing_date, symbol: "601028.SH".into(), is_st: false, is_star_st: false,
+                is_new_listing: false, is_paused: true, allow_buy: false, allow_sell: false,
+                is_kcb: false, is_one_yuan: false, risk_level_code: None,
+            }],
+            vec![dataset.benchmark(prev_date).unwrap().clone()],
+        ).unwrap();
+        portfolio.update_prices(missing_date, &paused_dataset, PriceField::Close)
+            .expect("dated suspension permits keeping the last known valuation, not creating a fill");
 
         let position = portfolio.position("601028.SH").expect("position");
         assert!((position.last_price - 10.3).abs() < 1e-6);

crates/fidc-core/src/risk_control.rs

@@ -138,6 +138,16 @@ pub struct FidcRiskDecisionAudit {
 }
 
 impl FidcRiskDecisionAudit {
+    pub fn rejected_buy_plan(date: NaiveDate, symbol: &str, reason: &str) -> Self {
+        Self {
+            date, symbol: symbol.into(), scope: RiskCheckScope::Buy,
+            stage: "buy_planning".into(), accepted: false,
+            rule_code: reason.into(), reason: reason.into(),
+            config_version: Some("inline_risk_policy".into()), data_epoch: date.to_string(),
+            selection_batch_id: None, order_id: None,
+        }
+    }
+
     pub fn rejected_selection(
         date: NaiveDate,
         symbol: impl Into<String>,
@@ -208,14 +218,8 @@ impl ChinaAShareRiskControl {
         {
             return Some("inactive_or_delisted");
         }
-        let status = instrument.status.trim().to_ascii_lowercase();
-        let terminal_status = matches!(
-            status.as_str(),
-            "inactive" | "delisted" | "terminated" | "expired"
-        );
-        if terminal_status && instrument.delisted_at.is_none() {
-            return Some("inactive_or_delisted");
-        }
+        // Latest reference status has no historical as-of date. Execution-day
+        // risk snapshots remain authoritative; missing quotes are not waived.
         None
     }
 
@@ -410,7 +414,7 @@ impl ChinaAShareRiskControl {
         }
         let reject_one_yuan = match scope {
             RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
-            RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
+            RiskCheckScope::Buy => false,
             RiskCheckScope::Sell => false,
         };
         if reject_one_yuan
@@ -483,6 +487,14 @@ impl ChinaAShareRiskControl {
         ) {
             return Some(reason);
         }
+        if !check_price.is_finite() || check_price <= 0.0 {
+            return Some("invalid execution price");
+        }
+        // Daily candidate flags can describe the later close. Execution
+        // price constraints must use this order's actual pricing clock.
+        if config.static_rules.reject_one_yuan_buy && check_price <= 1.0 {
+            return Some("one_yuan");
+        }
         if config.static_rules.respect_allow_buy_sell && !candidate.allow_buy {
             return Some("buy_disabled");
         }
@@ -664,7 +676,6 @@ fn missing_buy_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -
             || config.static_rules.reject_new_listing_buy
             || config.static_rules.reject_kcb_buy
             || config.static_rules.reject_bjse_buy
-            || config.static_rules.reject_one_yuan_buy
             || config.static_rules.reject_upper_limit_buy
             || config.static_rules.respect_allow_buy_sell;
     }
@@ -741,7 +752,7 @@ fn missing_single_field_rejected(
         },
         "is_one_yuan" | "one_yuan" => match scope {
             RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
-            RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
+            RiskCheckScope::Buy => false,
             RiskCheckScope::Sell => false,
         },
         "allow_buy" => match scope {
@@ -785,7 +796,6 @@ fn missing_single_field_rejected(
                     || config.static_rules.reject_new_listing_buy
                     || config.static_rules.reject_kcb_buy
                     || config.static_rules.reject_bjse_buy
-                    || config.static_rules.reject_one_yuan_buy
                     || config.static_rules.reject_upper_limit_buy
                     || config.static_rules.respect_allow_buy_sell
             }
@@ -843,7 +853,7 @@ mod tests {
                 Some(&instrument("delisted", None)),
                 date,
             ),
-            Some("inactive_or_delisted")
+            None
         );
         assert_eq!(
             ChinaAShareRiskControl::instrument_rejection_reason(
@@ -902,6 +912,61 @@ mod tests {
         position
     }
 
+    #[test]
+    fn one_yuan_buy_rule_uses_execution_price_not_later_close_or_earlier_open() {
+        let day = d(2025, 2, 6);
+        let mut candidate = candidate(day);
+        let mut snapshot = market(day, 1.2, 0.5);
+        let config = FidcRiskControlConfig::default();
+        candidate.is_one_yuan = true;
+        snapshot.day_open = 0.9;
+        snapshot.close = 0.8;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, 1.2, &config), None);
+        candidate.is_one_yuan = false;
+        snapshot.day_open = 1.2;
+        snapshot.close = 1.3;
+        for price in [0.9, 1.0] {
+            assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+                day, &candidate, &snapshot, None, price, &config), Some("one_yuan"));
+        }
+        let mut relaxed = config;
+        relaxed.static_rules.reject_one_yuan_buy = false;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, 0.9, &relaxed), None);
+    }
+
+    #[test]
+    fn execution_quote_covers_missing_one_yuan_flag_but_not_other_risk_facts() {
+        let day = d(2025, 2, 6);
+        let mut candidate = candidate(day);
+        let snapshot = market(day, 1.2, 0.5);
+        let config = FidcRiskControlConfig::default();
+        candidate.risk_level_code = Some("missing_risk_state:is_one_yuan".into());
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, 1.2, &config), None);
+        candidate.risk_level_code = Some("missing_risk_state:is_st".into());
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, 1.2, &config), Some("missing_risk_state"));
+        candidate.risk_level_code = None;
+        for price in [0.0, f64::NAN, f64::INFINITY] {
+            assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+                day, &candidate, &snapshot, None, price, &config), Some("invalid execution price"));
+        }
+    }
+
+    #[test]
+    fn explicit_one_yuan_selection_policy_still_uses_selection_facts() {
+        let day = d(2025, 2, 6);
+        let mut candidate = candidate(day);
+        candidate.is_one_yuan = true;
+        let snapshot = market(day, 1.2, 0.5);
+        let mut config = FidcRiskControlConfig::default();
+        config.static_rules.reject_one_yuan_selection = true;
+        assert_eq!(ChinaAShareRiskControl::selection_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, &config), Some("one_yuan"));
+    }
+
     #[test]
     fn sell_rejection_respects_allow_sell_policy_on_execution_day() {
         let prev_date = d(2024, 4, 16);

crates/fidc-core/src/signal_contract.rs

@@ -0,0 +1,590 @@
+//! Immutable, account-independent trading signals. Quantity and execution
+//! prices are intentionally absent; the existing broker owns those decisions.
+
+use std::collections::{BTreeMap, BTreeSet};
+use std::sync::{Arc, Mutex, OnceLock, Weak};
+
+use chrono::{DateTime, FixedOffset, NaiveDate, NaiveDateTime, NaiveTime, Utc};
+use serde::{Deserialize, Serialize};
+use sha2::{Digest, Sha256};
+
+use crate::strategy::{OrderIntent, StrategyContext};
+use crate::portfolio::PortfolioState;
+
+pub const SIGNAL_BOOK_SCHEMA: &str = "fidc.signal-book/v2";
+
+#[derive(Debug, Clone, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase", deny_unknown_fields)]
+pub struct SignalBookReference {
+    pub book_id: String,
+    pub version_sha256: String,
+    pub artifact_sha256: String,
+}
+
+impl SignalBookReference {
+    pub fn validate(&self) -> Result<(), String> {
+        if !valid_sha(&self.version_sha256) || !valid_sha(&self.artifact_sha256)
+            || self.book_id != format!("signal_book_{}",self.version_sha256)
+        { return Err("signal_book_reference_invalid".into()); }
+        Ok(())
+    }
+}
+
+#[derive(Default)]
+struct SignalCache {
+    entries: BTreeMap<String,Weak<ValidatedSignalBook>>,
+    retained: std::collections::VecDeque<(String,Arc<ValidatedSignalBook>,usize)>,
+}
+
+fn signal_cache() -> &'static Mutex<SignalCache> {
+    static CACHE: OnceLock<Mutex<SignalCache>> = OnceLock::new();
+    CACHE.get_or_init(||Mutex::new(SignalCache::default()))
+}
+
+pub fn cached_signal_book(reference: &SignalBookReference) -> Result<Option<Arc<ValidatedSignalBook>>,String> {
+    reference.validate()?;
+    let cache=signal_cache().lock().map_err(|_|"signal_cache_lock_failed")?;
+    let book=cache.entries.get(&reference.artifact_sha256).and_then(Weak::upgrade);
+    if book.as_ref().is_some_and(|book|book.version_sha256()!=reference.version_sha256) {
+        return Err("signal_book_cached_version_mismatch".into());
+    }
+    Ok(book)
+}
+
+pub fn register_signal_book(reference: &SignalBookReference, body: &[u8]) -> Result<Arc<ValidatedSignalBook>,String> {
+    use sha2::{Digest,Sha256};
+    reference.validate()?;
+    if body.len()>64*1024*1024 || format!("{:x}",Sha256::digest(body))!=reference.artifact_sha256 {
+        return Err("signal_book_artifact_hash_or_size_invalid".into());
+    }
+    let raw:SignalBook=serde_json::from_slice(body).map_err(|error|format!("signal_book_decode_failed: {error}"))?;
+    if raw.version_sha256!=reference.version_sha256 { return Err("signal_book_version_mismatch".into()); }
+    let book=Arc::new(raw.validate()?);
+    let mut cache=signal_cache().lock().map_err(|_|"signal_cache_lock_failed")?;
+    cache.entries.retain(|_,value|value.strong_count()>0);
+    if let Some(existing)=cache.entries.get(&reference.artifact_sha256).and_then(Weak::upgrade) { return Ok(existing); }
+    cache.entries.insert(reference.artifact_sha256.clone(),Arc::downgrade(&book));
+    let estimated=body.len().saturating_mul(4);
+    if estimated<=128*1024*1024 {
+        cache.retained.push_back((reference.artifact_sha256.clone(),book.clone(),estimated));
+        while cache.retained.len()>4 || cache.retained.iter().map(|entry|entry.2).sum::<usize>()>128*1024*1024 {
+            cache.retained.pop_front();
+        }
+    }
+    Ok(book)
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(rename_all = "snake_case")]
+pub enum SignalProvenance {
+    Observed,
+    Reconstructed,
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(rename_all = "snake_case")]
+pub enum SignalFrequency {
+    Daily,
+    Minute,
+}
+
+#[derive(Debug, Clone, Deserialize, Serialize)]
+#[serde(tag = "kind", rename_all = "snake_case", deny_unknown_fields)]
+pub enum SignalAction {
+    TargetWeight { symbol: String, weight: f64 },
+    BuyCondition { symbol: String, allowed: bool },
+    Exit { symbol: String },
+    Reduce { symbol: String, remaining_ratio: f64 },
+}
+
+impl SignalAction {
+    fn symbol(&self) -> &str {
+        match self {
+            Self::TargetWeight { symbol, .. }
+            | Self::BuyCondition { symbol, .. }
+            | Self::Exit { symbol }
+            | Self::Reduce { symbol, .. } => symbol,
+        }
+    }
+}
+
+#[derive(Debug, Clone, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase", deny_unknown_fields)]
+pub struct SignalSnapshot {
+    pub signal_at: DateTime<Utc>,
+    pub decision_at: DateTime<Utc>,
+    pub input_as_of: DateTime<Utc>,
+    pub input_available_at: DateTime<Utc>,
+    pub generated_at: DateTime<Utc>,
+    pub published_at: DateTime<Utc>,
+    pub input_sha256: String,
+    pub complete_targets: bool,
+    pub actions: Vec<SignalAction>,
+}
+
+#[derive(Debug, Clone, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase", deny_unknown_fields)]
+pub struct SignalBook {
+    pub schema: String,
+    pub version_sha256: String,
+    pub generator_sha256: String,
+    pub model_sha256: Option<String>,
+    pub knowledge_cutoff: Option<DateTime<Utc>>,
+    pub provenance: SignalProvenance,
+    pub frequency: SignalFrequency,
+    pub expected_decisions: Vec<DateTime<Utc>>,
+    pub snapshots: Vec<SignalSnapshot>,
+}
+
+#[derive(Debug, Clone)]
+pub struct ValidatedSignalBook {
+    book: SignalBook,
+    index: BTreeMap<NaiveDateTime, usize>,
+}
+
+fn valid_sha(value: &str) -> bool {
+    value.len() == 64 && value.bytes().all(|byte| byte.is_ascii_digit() || (b'a'..=b'f').contains(&byte))
+}
+
+fn shanghai(value: DateTime<Utc>) -> NaiveDateTime {
+    value.with_timezone(&FixedOffset::east_opt(8 * 3600).expect("Shanghai offset")).naive_local()
+}
+
+impl SignalBook {
+    pub fn content_sha256(&self) -> Result<String, String> {
+        let mut value=serde_json::to_value(self).map_err(|error|error.to_string())?;
+        value.as_object_mut().ok_or("signal_book_object_required")?.remove("versionSha256");
+        value["knowledgeCutoff"]=self.knowledge_cutoff.map(|at|serde_json::json!(at.timestamp_micros())).unwrap_or(serde_json::Value::Null);
+        value["expectedDecisions"]=serde_json::json!(self.expected_decisions.iter().map(DateTime::timestamp_micros).collect::<Vec<_>>());
+        for (raw,snapshot) in value["snapshots"].as_array_mut().ok_or("signal_snapshots_required")?.iter_mut().zip(&self.snapshots) {
+            let object=raw.as_object_mut().ok_or("signal_snapshot_required")?;
+            object.remove("generatedAt");
+            object.remove("publishedAt");
+            for (key,at) in [("signalAt",snapshot.signal_at),("decisionAt",snapshot.decision_at),
+                            ("inputAsOf",snapshot.input_as_of),("inputAvailableAt",snapshot.input_available_at)] {
+                object.insert(key.into(),serde_json::json!(at.timestamp_micros()));
+            }
+            for (raw,action) in object.get_mut("actions").and_then(serde_json::Value::as_array_mut).ok_or("signal_actions_required")?.iter_mut().zip(&snapshot.actions) {
+                match action {
+                    SignalAction::TargetWeight{weight,..}=>raw["weight"]=serde_json::json!(format!("{:016x}",weight.to_bits())),
+                    SignalAction::Reduce{remaining_ratio,..}=>raw["remaining_ratio"]=serde_json::json!(format!("{:016x}",remaining_ratio.to_bits())),
+                    _=>{}
+                }
+            }
+        }
+        fn sorted(value:serde_json::Value)->serde_json::Value {
+            match value {
+                serde_json::Value::Object(map)=>serde_json::Value::Object(map.into_iter().map(|(key,value)|(key,sorted(value)))
+                    .collect::<BTreeMap<_,_>>().into_iter().collect()),
+                serde_json::Value::Array(rows)=>serde_json::Value::Array(rows.into_iter().map(sorted).collect()),
+                other=>other,
+            }
+        }
+        let raw=serde_json::to_vec(&sorted(value)).map_err(|error|error.to_string())?;
+        Ok(format!("{:x}",Sha256::digest(raw)))
+    }
+
+    pub fn validate(self) -> Result<ValidatedSignalBook, String> {
+        if self.schema != SIGNAL_BOOK_SCHEMA || !valid_sha(&self.version_sha256)
+            || !valid_sha(&self.generator_sha256)
+        {
+            return Err("signal_book_identity_invalid".into());
+        }
+        if self.model_sha256.as_ref().is_some_and(|value| !valid_sha(value))
+            || self.model_sha256.is_some() != self.knowledge_cutoff.is_some()
+        { return Err("signal_model_training_identity_incomplete".into()); }
+        if self.expected_decisions.is_empty() || self.expected_decisions.len() > 100_000
+            || self.expected_decisions.len() != self.snapshots.len()
+        {
+            return Err("signal_book_decision_coverage_incomplete".into());
+        }
+        let mut index = BTreeMap::new();
+        let mut previous = None;
+        let mut total_actions = 0usize;
+        for (number, (expected, snapshot)) in self.expected_decisions.iter().zip(&self.snapshots).enumerate() {
+            if [*expected,snapshot.signal_at,snapshot.input_as_of,snapshot.input_available_at,snapshot.generated_at,snapshot.published_at]
+                .iter().any(|at|at.timestamp_subsec_nanos()%1000!=0) || self.knowledge_cutoff.is_some_and(|at|at.timestamp_subsec_nanos()%1000!=0) {
+                return Err("signal_timestamp_requires_microsecond_precision".into());
+            }
+            if snapshot.decision_at != *expected || previous.is_some_and(|value| value >= *expected) {
+                return Err("signal_book_decisions_duplicate_or_unordered".into());
+            }
+            previous = Some(*expected);
+            if self.knowledge_cutoff.is_some_and(|cutoff| cutoff > snapshot.signal_at) || snapshot.signal_at > *expected
+                || snapshot.input_available_at > snapshot.signal_at || snapshot.input_as_of > snapshot.input_available_at
+                || snapshot.published_at < snapshot.generated_at || !valid_sha(&snapshot.input_sha256)
+                || snapshot.generated_at < snapshot.input_available_at
+                || self.knowledge_cutoff.is_some_and(|cutoff| snapshot.generated_at < cutoff)
+            {
+                return Err("signal_book_future_or_invalid_input".into());
+            }
+            if self.provenance == SignalProvenance::Observed && snapshot.published_at > *expected {
+                return Err("observed_signal_not_available_at_decision".into());
+            }
+            total_actions = total_actions.checked_add(snapshot.actions.len()).ok_or("signal_book_action_limit")?;
+            if total_actions > 2_000_000 { return Err("signal_book_action_limit".into()); }
+            let mut action_keys = BTreeSet::new();
+            let mut target_symbols = BTreeSet::new();
+            let mut reductions = BTreeSet::new();
+            let mut total_weight = 0.0;
+            for action in &snapshot.actions {
+                let symbol = action.symbol();
+                if symbol.is_empty() || symbol.trim() != symbol { return Err("signal_symbol_invalid".into()); }
+                let kind = match action {
+                    SignalAction::TargetWeight { weight, .. } => {
+                        if !weight.is_finite() || !(0.0..=1.0).contains(weight) { return Err("signal_target_weight_invalid".into()); }
+                        target_symbols.insert(symbol);
+                        total_weight += weight;
+                        "target"
+                    }
+                    SignalAction::BuyCondition { .. } => "buy_condition",
+                    SignalAction::Exit { .. } => { reductions.insert(symbol); "exit" }
+                    SignalAction::Reduce { remaining_ratio, .. } => {
+                        if !remaining_ratio.is_finite() || !(0.0..1.0).contains(remaining_ratio) { return Err("signal_reduction_invalid".into()); }
+                        reductions.insert(symbol);
+                        "reduce"
+                    }
+                };
+                if !action_keys.insert((symbol, kind)) { return Err("signal_action_duplicate".into()); }
+            }
+            if total_weight > 1.0 + 1e-12 { return Err("signal_target_exposure_exceeds_one".into()); }
+            if snapshot.complete_targets && !reductions.is_empty() {
+                return Err("complete_target_snapshot_cannot_mix_relative_exits".into());
+            }
+            if !target_symbols.is_disjoint(&reductions) { return Err("signal_target_exit_conflict".into()); }
+            for symbol in &reductions {
+                if action_keys.contains(&(*symbol, "exit")) && action_keys.contains(&(*symbol, "reduce")) {
+                    return Err("signal_exit_reduction_conflict".into());
+                }
+            }
+            index.insert(shanghai(*expected), number);
+        }
+        if self.content_sha256()? != self.version_sha256 {
+            return Err("signal_book_content_hash_mismatch".into());
+        }
+        Ok(ValidatedSignalBook { book: self, index })
+    }
+}
+
+impl ValidatedSignalBook {
+    pub fn require_observed(&self) -> Result<(), String> {
+        if self.book.provenance != SignalProvenance::Observed {
+            return Err("reconstructed_signal_forbidden_in_online_execution".into());
+        }
+        Ok(())
+    }
+
+    pub fn version_sha256(&self) -> &str { &self.book.version_sha256 }
+    pub fn generator_sha256(&self) -> &str { &self.book.generator_sha256 }
+
+    pub fn decision_dates(&self) -> BTreeSet<NaiveDate> {
+        self.index.keys().map(|value| value.date()).collect()
+    }
+
+    pub fn symbols(&self) -> BTreeSet<String> {
+        self.book.snapshots.iter().flat_map(|snapshot| &snapshot.actions)
+            .map(|action| action.symbol().to_owned()).collect()
+    }
+
+    pub fn snapshot_for(&self, ctx: &StrategyContext<'_>) -> Result<&SignalSnapshot, String> {
+        let snapshot = self.snapshot_at(ctx.execution_date, ctx.current_time(), ctx.is_lagged_execution())?;
+        if self.book.provenance == SignalProvenance::Observed && ctx.current_datetime().is_none() {
+            return Err("observed_signal_consumption_clock_missing".into());
+        }
+        let consumption_clock=ctx.current_datetime()
+            .unwrap_or(ctx.decision_date.and_hms_opt(15,0,0).expect("completed decision session"));
+        let lagged_daily=ctx.is_lagged_execution() && self.book.frequency==SignalFrequency::Daily;
+        if lagged_daily && shanghai(snapshot.input_as_of).date()>ctx.decision_date {
+            return Err("next_open_signal_contains_execution_session_inputs".into());
+        }
+        if shanghai(snapshot.input_available_at)>consumption_clock || shanghai(snapshot.signal_at)>consumption_clock {
+            return Err("signal_not_available_at_consumption_clock".into());
+        }
+        if self.book.provenance == SignalProvenance::Observed
+            && (shanghai(snapshot.generated_at)>consumption_clock || shanghai(snapshot.published_at)>consumption_clock) {
+            return Err("observed_signal_published_after_consumption_clock".into());
+        }
+        Ok(snapshot)
+    }
+
+    pub fn is_due_on(&self, execution_date: NaiveDate) -> bool {
+        self.index.range(execution_date.and_hms_opt(0,0,0).expect("session start")..)
+            .next().is_some_and(|(at,_)|at.date()==execution_date)
+    }
+
+    fn snapshot_at(&self, execution_date: NaiveDate, current_time: Option<NaiveTime>, lagged: bool) -> Result<&SignalSnapshot, String> {
+        let at = if self.book.frequency == SignalFrequency::Daily && lagged {
+            execution_date.and_hms_opt(9, 30, 0).expect("next open")
+        } else {
+            execution_date.and_time(current_time.unwrap_or(NaiveTime::from_hms_opt(15, 0, 0).expect("daily close")))
+        };
+        self.index.get(&at).map(|index| &self.book.snapshots[*index])
+            .ok_or_else(|| format!("signal_snapshot_missing_at_decision: {at}"))
+    }
+
+    pub fn intents(&self, ctx: &StrategyContext<'_>) -> Result<Vec<OrderIntent>, String> {
+        let snapshot = self.snapshot_for(ctx)?;
+        self.snapshot_intents(snapshot, ctx.portfolio)
+    }
+
+    fn snapshot_intents(&self, snapshot: &SignalSnapshot, portfolio: &PortfolioState) -> Result<Vec<OrderIntent>, String> {
+        let reason = format!("信号执行 version={} decision={}", self.book.version_sha256, snapshot.decision_at);
+        let mut intents = Vec::new();
+        let mut weights = BTreeMap::new();
+        for action in &snapshot.actions {
+            match action {
+                SignalAction::TargetWeight { symbol, weight } if snapshot.complete_targets => {
+                    weights.insert(symbol.clone(), *weight);
+                }
+                SignalAction::TargetWeight { symbol, weight } => intents.push(OrderIntent::TargetPercent {
+                    symbol: symbol.clone(), target_percent: *weight, reason: reason.clone(),
+                }),
+                SignalAction::Exit { symbol } => intents.push(OrderIntent::TargetPercent {
+                    symbol: symbol.clone(), target_percent: 0.0, reason: reason.clone(),
+                }),
+                SignalAction::Reduce { symbol, remaining_ratio } => {
+                    if let Some(position) = portfolio.position(symbol).filter(|position| position.quantity > 0) {
+                        let quantity = (f64::from(position.quantity) * remaining_ratio).floor() as u32;
+                        let target_quantity = i32::try_from(quantity).map_err(|_| "signal_reduction_quantity_overflow")?;
+                        intents.push(OrderIntent::TargetShares { symbol: symbol.clone(), target_quantity, reason: reason.clone() });
+                    }
+                }
+                SignalAction::BuyCondition { .. } => {}
+            }
+        }
+        if snapshot.complete_targets {
+            if weights.is_empty() {
+                for position in portfolio.positions().values().filter(|position| position.quantity > 0) {
+                    intents.push(OrderIntent::TargetPercent { symbol: position.symbol.clone(), target_percent: 0.0, reason: reason.clone() });
+                }
+            } else {
+                intents.push(OrderIntent::TargetPortfolioSmart { target_weights: weights,
+                    order_prices: None, valuation_prices: None, reason });
+            }
+        }
+        Ok(intents)
+    }
+
+    pub fn buy_denials(&self, ctx: &StrategyContext<'_>) -> Result<BTreeMap<String, String>, String> {
+        Ok(self.snapshot_for(ctx)?.actions.iter().filter_map(|action| match action {
+            SignalAction::BuyCondition { symbol, allowed: false } => Some((symbol.clone(), "信号买入条件未满足".into())),
+            _ => None,
+        }).collect())
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use chrono::Duration;
+    use serde_json::json;
+
+    fn book() -> SignalBook {
+        let decision: DateTime<Utc> = "2025-01-07T09:30:00+08:00".parse().unwrap();
+        let source: DateTime<Utc> = "2025-01-06T15:00:00+08:00".parse().unwrap();
+        seal(SignalBook {
+            schema: SIGNAL_BOOK_SCHEMA.into(), version_sha256: "a".repeat(64), generator_sha256: "b".repeat(64),
+            model_sha256: Some("d".repeat(64)),
+            knowledge_cutoff: Some("2024-12-31T15:00:00+08:00".parse().unwrap()),
+            provenance: SignalProvenance::Reconstructed, frequency: SignalFrequency::Daily,
+            expected_decisions: vec![decision], snapshots: vec![SignalSnapshot {
+                signal_at: source,
+                decision_at: decision, input_as_of: source, input_available_at: source,
+                generated_at: decision + Duration::days(10), published_at: decision + Duration::days(10),
+                input_sha256: "c".repeat(64), complete_targets: true,
+                actions: vec![SignalAction::TargetWeight { symbol: "000001.SZ".into(), weight: 0.5 }],
+            }],
+        })
+    }
+
+    fn seal(mut book:SignalBook)->SignalBook {
+        book.version_sha256=book.content_sha256().unwrap();
+        book
+    }
+
+    fn at_context<T>(at: Option<NaiveDateTime>, action: impl FnOnce(&StrategyContext<'_>) -> T) -> T {
+        let data = crate::DataSet::from_components(vec![], vec![], vec![], vec![], vec![crate::BenchmarkSnapshot {
+            date:NaiveDate::from_ymd_opt(2025,1,6).unwrap(), benchmark:"clock-fixture".into(),
+            open:100.0, close:100.0, prev_close:100.0, volume:1,
+        }]).unwrap();
+        let portfolio = PortfolioState::new(10_000.0);
+        let symbols = BTreeSet::new();
+        action(&StrategyContext {
+            execution_date: NaiveDate::from_ymd_opt(2025,1,7).unwrap(),
+            decision_date: NaiveDate::from_ymd_opt(2025,1,6).unwrap(), decision_index:0,
+            data:&data, portfolio:&portfolio, futures_account:None, open_orders:&[],
+            dynamic_universe:None, subscriptions:&symbols, process_events:&[], active_process_event:None,
+            active_datetime:at, order_events:&[], fills:&[],
+        })
+    }
+
+    #[test]
+    fn observed_next_open_never_backdates_a_morning_publication_into_yesterdays_orders() {
+        let mut raw = book();
+        raw.provenance=SignalProvenance::Observed;
+        raw.snapshots[0].generated_at="2025-01-07T08:45:00+08:00".parse().unwrap();
+        raw.snapshots[0].published_at="2025-01-07T08:46:00+08:00".parse().unwrap();
+        let value=seal(raw).validate().unwrap();
+        for clock in ["2025-01-06T15:00:00", "2025-01-07T08:45:00"] {
+            at_context(Some(clock.parse().unwrap()), |ctx| {
+                assert_eq!(value.intents(ctx).unwrap_err(),"observed_signal_published_after_consumption_clock");
+                assert!(ctx.portfolio.positions().is_empty());
+            });
+        }
+        at_context(Some("2025-01-07T09:30:00".parse().unwrap()), |ctx| {
+            assert_eq!(value.intents(ctx).unwrap().len(),1);
+            assert!(ctx.portfolio.positions().is_empty());
+        });
+        at_context(None, |ctx| assert_eq!(value.intents(ctx).unwrap_err(),"observed_signal_consumption_clock_missing"));
+    }
+
+    #[test]
+    fn reconstruction_ignores_research_wall_clock_but_never_early_input_availability() {
+        let value=book().validate().unwrap();
+        at_context(Some("2025-01-06T15:00:00".parse().unwrap()), |ctx| assert!(value.intents(ctx).is_ok()));
+        at_context(Some("2025-01-06T14:59:59".parse().unwrap()), |ctx| {
+            assert_eq!(value.intents(ctx).unwrap_err(),"signal_not_available_at_consumption_clock");
+        });
+        let mut raw=book();
+        raw.snapshots[0].input_as_of="2025-01-07T08:30:00+08:00".parse().unwrap();
+        raw.snapshots[0].input_available_at=raw.snapshots[0].input_as_of;
+        raw.snapshots[0].signal_at=raw.snapshots[0].input_as_of;
+        let value=seal(raw).validate().unwrap();
+        at_context(Some("2025-01-07T09:30:00".parse().unwrap()), |ctx| {
+            assert_eq!(value.intents(ctx).unwrap_err(),"next_open_signal_contains_execution_session_inputs");
+        });
+    }
+
+    #[test]
+    fn historical_reconstruction_is_not_online_publication() {
+        let validated = book().validate().unwrap();
+        assert!(validated.require_observed().unwrap_err().contains("reconstructed"));
+        let mut observed = book();
+        observed.provenance = SignalProvenance::Observed;
+        assert!(observed.clone().validate().unwrap_err().contains("not_available"));
+        observed.snapshots[0].generated_at = observed.snapshots[0].decision_at;
+        observed.snapshots[0].published_at = observed.snapshots[0].decision_at;
+        seal(observed).validate().unwrap().require_observed().unwrap();
+    }
+
+    #[test]
+    fn rejects_future_inputs_and_model_knowledge() {
+        for field in 0..3 {
+            let mut value = book();
+            let future = value.snapshots[0].decision_at + Duration::seconds(1);
+            match field {
+                0 => value.snapshots[0].input_as_of = future,
+                1 => value.snapshots[0].input_available_at = future,
+                _ => value.knowledge_cutoff = Some(future),
+            }
+            assert!(value.validate().unwrap_err().contains("future"));
+        }
+    }
+
+    #[test]
+    fn rejects_quantities_prices_and_unknown_signal_fields() {
+        for name in ["quantity", "execution_price", "account_id", "cash"] {
+            let mut action = json!({"kind":"target_weight","symbol":"000001.SZ","weight":0.5});
+            action[name] = json!(100);
+            assert!(serde_json::from_value::<SignalAction>(action).is_err());
+        }
+    }
+
+    #[test]
+    fn coverage_and_duplicate_actions_fail_closed() {
+        let mut value = book();
+        value.expected_decisions.push(value.expected_decisions[0] + Duration::days(1));
+        assert!(value.validate().unwrap_err().contains("coverage"));
+        let mut value = book();
+        value.snapshots.push(value.snapshots[0].clone());
+        value.expected_decisions.push(value.expected_decisions[0]);
+        assert!(value.validate().unwrap_err().contains("duplicate"));
+        let mut value = book();
+        let repeated = value.snapshots[0].actions[0].clone();
+        value.snapshots[0].actions.push(repeated);
+        assert!(value.validate().unwrap_err().contains("duplicate"));
+    }
+
+    #[test]
+    fn rejects_overallocation_nonfinite_and_ambiguous_actions() {
+        for weight in [f64::NAN, f64::INFINITY, -0.1, 1.1] {
+            let mut value = book();
+            value.snapshots[0].actions[0] = SignalAction::TargetWeight { symbol: "000001.SZ".into(), weight };
+            assert!(value.validate().is_err());
+        }
+        let mut value = book();
+        value.snapshots[0].actions.push(SignalAction::TargetWeight { symbol:"000002.SZ".into(),weight:0.6 });
+        assert!(value.validate().unwrap_err().contains("exposure"));
+        let mut value = book();
+        value.snapshots[0].actions.push(SignalAction::Exit {symbol:"000001.SZ".into()});
+        assert!(value.validate().is_err());
+    }
+
+    #[test]
+    fn next_open_uses_decision_session_and_never_nearest_signal() {
+        let value = book().validate().unwrap();
+        let day = NaiveDate::from_ymd_opt(2025,1,7).unwrap();
+        assert!(value.snapshot_at(day, NaiveTime::from_hms_opt(9,30,0), true).is_ok());
+        assert!(value.snapshot_at(day, NaiveTime::from_hms_opt(14,59,0), false).is_err());
+        assert!(value.snapshot_at(day + Duration::days(1), None, true).is_err());
+    }
+
+    #[test]
+    fn reduction_is_resolved_from_each_accounts_actual_position() {
+        let mut raw = book();
+        raw.snapshots[0].complete_targets = false;
+        raw.snapshots[0].actions = vec![SignalAction::Reduce {symbol:"000001.SZ".into(),remaining_ratio:0.5}];
+        let value = seal(raw).validate().unwrap();
+        let day = NaiveDate::from_ymd_opt(2025,1,3).unwrap();
+        for (held, expected) in [(1000,500),(3000,1500)] {
+            let mut portfolio = PortfolioState::new(100_000.0);
+            portfolio.position_mut("000001.SZ").buy(day,held,10.0);
+            let result = value.snapshot_intents(&value.book.snapshots[0],&portfolio).unwrap();
+            assert!(matches!(result[0],OrderIntent::TargetShares {target_quantity,..} if target_quantity==expected));
+            assert_eq!(portfolio.position("000001.SZ").unwrap().quantity,held);
+        }
+        assert!(value.snapshot_intents(&value.book.snapshots[0],&PortfolioState::new(10_000.0)).unwrap().is_empty());
+    }
+
+    #[test]
+    fn empty_complete_snapshot_clears_only_that_accounts_holdings() {
+        let mut raw = book();
+        raw.snapshots[0].actions.clear();
+        let value = seal(raw).validate().unwrap();
+        let day = NaiveDate::from_ymd_opt(2025,1,3).unwrap();
+        let mut portfolio = PortfolioState::new(100_000.0);
+        portfolio.position_mut("000002.SZ").buy(day,200,10.0);
+        let result = value.snapshot_intents(&value.book.snapshots[0],&portfolio).unwrap();
+        assert!(matches!(&result[0],OrderIntent::TargetPercent {symbol,target_percent,..} if symbol=="000002.SZ" && *target_percent==0.0));
+    }
+
+    #[test]
+    fn platform_spec_consumes_book_without_running_another_selection() {
+        let spec = json!({"signalBook":book(),"runtimeExpressions":{"trading":{"actions":[{"kind":"consume_signal"}]}}});
+        let config = crate::platform_strategy_spec::platform_expr_config_from_value("signal-fixture","000001.SZ",&spec).unwrap();
+        assert!(!config.rotation_enabled && config.signal_book.is_some());
+        assert!(matches!(config.explicit_actions.as_slice(),[crate::PlatformTradeAction::ConsumeSignal]));
+    }
+
+    #[test]
+    fn changed_valid_contents_must_not_reuse_a_version_hash() {
+        let mut raw=book();
+        raw.snapshots[0].actions=vec![SignalAction::TargetWeight{symbol:"000001.SZ".into(),weight:0.4}];
+        assert_eq!(raw.clone().validate().unwrap_err(),"signal_book_content_hash_mismatch");
+        seal(raw).validate().unwrap();
+    }
+
+    #[test]
+    fn completed_daily_inputs_may_be_published_after_market_close() {
+        let mut raw=book();
+        raw.expected_decisions=vec!["2026-07-07T09:30:00+08:00".parse().unwrap()];
+        raw.snapshots[0].decision_at=raw.expected_decisions[0];
+        raw.snapshots[0].input_as_of="2026-07-06T15:30:00+08:00".parse().unwrap();
+        raw.snapshots[0].input_available_at="2026-07-06T16:00:00+08:00".parse().unwrap();
+        raw.snapshots[0].signal_at=raw.snapshots[0].input_available_at;
+        raw.snapshots[0].generated_at=raw.snapshots[0].input_available_at;
+        raw.snapshots[0].published_at=raw.snapshots[0].generated_at;
+        raw.provenance=SignalProvenance::Observed;
+        seal(raw).validate().unwrap().require_observed().unwrap();
+    }
+}

crates/fidc-core/src/strategy_ai.rs

@@ -264,6 +264,10 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
                 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.automatic_trade_protection(...)".to_string(),
+                detail: r#"当前股票/ETF策略的独立自动交易保护：trading.automatic_trade_protection({"buy_protection_days":3,"sell_cooldown_days":3,"max_holding_days":90,"locks":[{"symbol":"000001.SZ","start_date":"2026-09-11","end_date":null}]})。配置冻结到 runtimeExpressions.trading.automaticTradeProtection，回测、paper/live 共用内核；不并入全局风控。0/null/未填关闭对应周期；成交日及之后N个完整正式交易日内，买入保护禁止自动卖出及止盈止损，卖出冷却禁止自动增加仓位；只由真实成交启动或延长，拒绝/未成交/撤单不启动。最长持有按首次实际建仓后的正式交易日计数，加仓与部分卖出不重置，清仓后再开仓重置；日期锁定两端包含且高于自动退出，持仓占用真实预算和槽位。人工交易通过独立服务路径执行，仍校验权限、券商及T+1，不接受客户端origin旁路。持仓来源、实际成交或正式日历缺失时明确拒绝；期货与股票期货混合账户尚不支持此能力，不得悄悄忽略。旧trading.max_holding_days仍保留旧含义，不得和新配置声明不同最大周期。"#.to_string(),
+            },
             ManualSection {
                 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(),

crates/fidc-core/tests/automatic_trade_protection.rs

@@ -0,0 +1,336 @@
+use chrono::NaiveDate;
+use fidc_core::holding_policy::{AutomaticTradeLock, AutomaticTradeProtection};
+use fidc_core::{
+    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
+    ChinaAShareCostModel, ChinaEquityRuleHooks, DailyMarketSnapshot, DataSet, Instrument,
+    MatchingType, OrderSide, PlatformExplicitOrderKind, PlatformExprStrategy,
+    PlatformExprStrategyConfig, PlatformTradeAction, PriceField,
+};
+
+fn d(day: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(2026, 9, day).unwrap()
+}
+fn data() -> DataSet {
+    let dates = [11, 14, 15, 16, 17, 18].map(d);
+    DataSet::from_components(
+        vec![Instrument {
+            symbol: "000001.SZ".into(),
+            name: "测试".into(),
+            board: "SZ".into(),
+            round_lot: 100,
+            listed_at: Some(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap()),
+            delisted_at: None,
+            status: "active".into(),
+        }],
+        dates
+            .iter()
+            .map(|date| DailyMarketSnapshot {
+                date: *date,
+                symbol: "000001.SZ".into(),
+                timestamp: Some(format!("{date} 15:00:00")),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.0,
+                low: 10.0,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                prev_close: 10.0,
+                volume: 100_000,
+                minute_volume: 100_000,
+                bid1_volume: 100_000,
+                ask1_volume: 100_000,
+                trading_phase: Some("continuous".into()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            })
+            .collect(),
+        dates
+            .iter()
+            .map(|date| fidc_core::DailyFactorSnapshot {
+                date: *date,
+                symbol: "000001.SZ".into(),
+                market_cap_bn: 10.0,
+                free_float_cap_bn: 10.0,
+                pe_ttm: 10.0,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                adjustment_factor_backward1: Some(1.0),
+                extra_factors: Default::default(),
+            })
+            .collect(),
+        dates
+            .iter()
+            .map(|date| CandidateEligibility {
+                date: *date,
+                symbol: "000001.SZ".into(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            })
+            .collect(),
+        dates
+            .iter()
+            .map(|date| BenchmarkSnapshot {
+                date: *date,
+                benchmark: "000300.SH".into(),
+                open: 100.0,
+                close: 100.0,
+                prev_close: 100.0,
+                volume: 1_000_000,
+            })
+            .collect(),
+    )
+    .unwrap()
+}
+fn action(quantity: &str, when: &str) -> PlatformTradeAction {
+    PlatformTradeAction::Order {
+        kind: PlatformExplicitOrderKind::Shares,
+        symbol: "000001.SZ".into(),
+        amount_expr: quantity.into(),
+        when_expr: Some(when.into()),
+        limit_price_expr: None,
+        time_in_force: None,
+        start_time_expr: None,
+        end_time_expr: None,
+        reason: "configured_strategy_action".into(),
+    }
+}
+fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
+    let mut config = PlatformExprStrategyConfig::generic();
+    config.signal_symbol = "000001.SZ".into();
+    config.benchmark_symbol = "000300.SH".into();
+    config.rotation_enabled = false;
+    config.automatic_trade_protection = policy;
+    config.explicit_actions = vec![
+        action(
+            "100",
+            "decision_date == \"2026-09-11\" || decision_date == \"2026-09-18\"",
+        ),
+        action("-100", "decision_date >= \"2026-09-14\""),
+    ];
+    config.matching_type = MatchingType::CurrentBarClose;
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+        .with_matching_type(MatchingType::CurrentBarClose);
+    BacktestEngine::new(
+        data(),
+        PlatformExprStrategy::new(config),
+        broker,
+        BacktestConfig {
+            initial_cash: 10_000.0,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(d(11)),
+            end_date: Some(d(18)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Close,
+        },
+    )
+    .run()
+    .unwrap()
+}
+
+#[test]
+fn framework_protection_uses_fills_and_covers_explicit_strategy_orders() {
+    let result = run(AutomaticTradeProtection {
+        buy_protection_days: 3,
+        sell_cooldown_days: 3,
+        ..Default::default()
+    });
+    assert_eq!(
+        result
+            .fills
+            .iter()
+            .map(|fill| (fill.date, fill.side, fill.quantity))
+            .collect::<Vec<_>>(),
+        vec![(d(11), OrderSide::Buy, 100), (d(17), OrderSide::Sell, 100)]
+    );
+    assert!(!result.order_events.iter().any(|order| order.date == d(14)
+        || order.date == d(15)
+        || order.date == d(16)
+        || order.date == d(18)));
+}
+
+#[test]
+fn absolute_lock_blocks_initial_strategy_buy_without_a_rejected_order() {
+    let result = run(AutomaticTradeProtection {
+        locks: vec![AutomaticTradeLock {
+            symbol: "000001.SZ".into(),
+            start_date: d(11),
+            end_date: None,
+        }],
+        ..Default::default()
+    });
+    assert!(result.fills.is_empty());
+    assert!(result.order_events.is_empty());
+}
+
+#[test]
+fn maximum_holding_policy_applies_to_discrete_strategies_and_yields_to_buy_protection() {
+    let result = run(AutomaticTradeProtection {
+        max_holding_days: 1,
+        buy_protection_days: 3,
+        sell_cooldown_days: 3,
+        ..Default::default()
+    });
+    assert_eq!(
+        result
+            .fills
+            .iter()
+            .map(|fill| (fill.date, fill.side))
+            .collect::<Vec<_>>(),
+        vec![(d(11), OrderSide::Buy), (d(17), OrderSide::Sell)]
+    );
+    assert!(
+        result
+            .order_events
+            .iter()
+            .any(|order| order.reason == "max_holding_days_exit")
+    );
+}
+
+#[test]
+fn serialized_framework_policy_survives_shared_alias_normalization_and_rejects_conflicts() {
+    let policy = serde_json::json!({"buy_protection_days":3,"sell_cooldown_days":3,"max_holding_days":90,"locks":[{"symbol":"000001.SZ","start_date":"2026-09-11","end_date":null}]});
+    for key in ["automaticTradeProtection", "automatic_trade_protection"] {
+        let value = serde_json::json!({"runtimeExpressions":{"trading":{key:policy}}});
+        let cfg = fidc_core::platform_expr_config_from_value("test", "000001.SZ", &value).unwrap();
+        assert_eq!(cfg.automatic_trade_protection.buy_protection_days, 3);
+        assert_eq!(cfg.max_holding_days, Some(90));
+        assert_eq!(cfg.automatic_trade_protection.locks.len(), 1);
+    }
+    let conflict = serde_json::json!({"runtimeExpressions":{"trading":{"maxHoldingDays":30,"automaticTradeProtection":policy}}});
+    assert!(
+        fidc_core::platform_expr_config_from_value("test", "000001.SZ", &conflict)
+            .unwrap_err()
+            .to_string()
+            .contains("conflicting maximum")
+    );
+    let unknown = serde_json::json!({"runtimeExpressions":{"trading":{"automaticTradeProtection":{"origin":"manual"}}}});
+    assert!(fidc_core::platform_expr_config_from_value("test", "000001.SZ", &unknown).is_err());
+}
+
+#[test]
+fn locked_holding_keeps_its_slot_even_when_cash_can_buy_the_next_candidate() {
+    let base = data();
+    let dates = [11, 14, 15, 16, 17, 18].map(d);
+    let symbols = ["000001.SZ", "000002.SZ"];
+    let dataset = DataSet::from_components(
+        symbols
+            .iter()
+            .map(|symbol| {
+                let mut row = base.instruments()["000001.SZ"].clone();
+                row.symbol = (*symbol).into();
+                row
+            })
+            .collect(),
+        dates
+            .iter()
+            .flat_map(|date| {
+                symbols.iter().map(|symbol| {
+                    let mut row = base.market(*date, "000001.SZ").unwrap().clone();
+                    row.symbol = (*symbol).into();
+                    row
+                })
+            })
+            .collect(),
+        dates
+            .iter()
+            .flat_map(|date| {
+                symbols.iter().map(|symbol| {
+                    let mut row = base.factor(*date, "000001.SZ").unwrap().clone();
+                    row.symbol = (*symbol).into();
+                    row
+                })
+            })
+            .collect(),
+        dates
+            .iter()
+            .flat_map(|date| {
+                symbols.iter().map(|symbol| {
+                    let mut row = base.candidate(*date, "000001.SZ").unwrap().clone();
+                    row.symbol = (*symbol).into();
+                    row
+                })
+            })
+            .collect(),
+        dates
+            .iter()
+            .map(|date| BenchmarkSnapshot {
+                date: *date,
+                benchmark: "000300.SH".into(),
+                open: 100.0,
+                close: 100.0,
+                prev_close: 100.0,
+                volume: 100_000,
+            })
+            .collect(),
+    )
+    .unwrap();
+    let mut config = PlatformExprStrategyConfig::generic();
+    config.signal_symbol = "000001.SZ".into();
+    config.benchmark_symbol = "000300.SH".into();
+    config.strategy_name = "protection_test".into();
+    config.max_positions = 1;
+    config.selection_limit_expr = "1".into();
+    config.refresh_rate = 1;
+    config.exposure_expr = "0.5".into();
+    config.market_cap_lower_expr = "0".into();
+    config.market_cap_upper_expr = "100".into();
+    config.stock_filter_expr="(decision_date == \"2026-09-11\" && symbol == \"000001.SZ\") || (decision_date != \"2026-09-11\" && symbol == \"000002.SZ\")".into();
+    config.automatic_trade_protection = AutomaticTradeProtection {
+        locks: vec![AutomaticTradeLock {
+            symbol: "000001.SZ".into(),
+            start_date: d(14),
+            end_date: Some(d(16)),
+        }],
+        ..Default::default()
+    };
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+        .with_matching_type(MatchingType::CurrentBarClose);
+    let result = BacktestEngine::new(
+        dataset,
+        PlatformExprStrategy::new(config),
+        broker,
+        BacktestConfig {
+            initial_cash: 10_000.0,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(d(11)),
+            end_date: Some(d(18)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Close,
+        },
+    )
+    .run()
+    .unwrap();
+    assert_eq!(
+        result
+            .fills
+            .first()
+            .map(|fill| (fill.symbol.as_str(), fill.date)),
+        Some(("000001.SZ", d(11)))
+    );
+    assert!(
+        !result
+            .fills
+            .iter()
+            .any(|fill| [d(14), d(15), d(16)].contains(&fill.date)),
+        "{:?}",
+        result.fills
+    );
+    assert!(
+        result.fills.iter().any(|fill| fill.symbol == "000002.SZ"
+            && fill.side == OrderSide::Buy
+            && fill.date == d(17)),
+        "{:?}",
+        result.fills
+    );
+}

crates/fidc-core/tests/decision_quote_preload.rs

@@ -2,7 +2,7 @@ use chrono::{Duration, NaiveDate, NaiveTime};
 use fidc_core::{
     BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
     ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
-    IntradayExecutionQuote, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext,
+    Instrument, IntradayExecutionQuote, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext,
     StrategyDecision,
 };
 use std::collections::{BTreeMap, BTreeSet};
@@ -16,6 +16,18 @@ fn t(hour: u32, minute: u32, second: u32) -> NaiveTime {
     NaiveTime::from_hms_opt(hour, minute, second).expect("valid time")
 }
 
+fn fixture_instruments() -> Vec<Instrument> {
+    vec![Instrument {
+        symbol: "000001.SZ".to_string(),
+        name: "quote-plan-fixture".to_string(),
+        board: "SZ".to_string(),
+        round_lot: 100,
+        listed_at: Some(d(2020, 1, 1)),
+        delisted_at: None,
+        status: "active".to_string(),
+    }]
+}
+
 #[derive(Default)]
 struct DecisionQuoteReader {
     day_count: usize,
@@ -90,7 +102,7 @@ impl Strategy for NoLoaderDecisionQuoteStrategy {
 
 fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
     DataSet::from_components(
-        Vec::new(),
+        fixture_instruments(),
         vec![DailyMarketSnapshot {
             date,
             symbol: "000001.SZ".to_string(),
@@ -253,7 +265,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
     let first = d(2026, 1, 5);
     let second = d(2026, 1, 6);
     let data = DataSet::from_components(
-        Vec::new(),
+        fixture_instruments(),
         vec![
             DailyMarketSnapshot {
                 date: first,
@@ -423,7 +435,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
     let first = d(2026, 1, 5);
     let second = d(2026, 1, 6);
     let data = DataSet::from_components_with_actions_and_quotes(
-        Vec::new(),
+        fixture_instruments(),
         vec![
             DailyMarketSnapshot {
                 date: first,
@@ -658,7 +670,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
     let first = d(2026, 1, 5);
     let second = d(2026, 1, 6);
     let data = DataSet::from_components(
-        Vec::new(),
+        fixture_instruments(),
         vec![
             DailyMarketSnapshot {
                 date: first,

crates/fidc-core/tests/engine_hooks.rs

@@ -2143,15 +2143,15 @@ fn strategy_context_exposes_advanced_data_helpers() {
 fn engine_runs_minute_hooks_and_executes_minute_orders() {
     let date = d(2025, 1, 2);
     let data = DataSet::from_components_with_actions_and_quotes(
-        vec![Instrument {
-            symbol: "000001.SZ".to_string(),
+        ["000001.SZ", "000002.SZ"].into_iter().map(|symbol| Instrument {
+            symbol: symbol.to_string(),
             name: "Anchor".to_string(),
             board: "SZ".to_string(),
             round_lot: 100,
             listed_at: Some(d(2020, 1, 1)),
             delisted_at: None,
             status: "active".to_string(),
-        }],
+        }).collect(),
         vec![DailyMarketSnapshot {
             date,
             symbol: "000001.SZ".to_string(),
@@ -2174,7 +2174,7 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
             upper_limit: 11.0,
             lower_limit: 9.0,
             price_tick: 0.01,
-        }],
+        }, market_row(date, "000002.SZ", 20.0, 20.4)],
         vec![DailyFactorSnapshot {
             date,
             symbol: "000001.SZ".to_string(),
@@ -4162,7 +4162,7 @@ impl Strategy for BuyMissingRowThenHoldStrategy {
 }
 
 #[test]
-fn engine_carries_position_price_when_current_market_row_is_missing() {
+fn engine_rejects_an_unexplained_missing_holding_close() {
     let date1 = d(2025, 5, 26);
     let date2 = d(2025, 5, 27);
     let data = DataSet::from_components(
@@ -4230,20 +4230,16 @@ fn engine_carries_position_price_when_current_market_row_is_missing() {
         },
     );
 
-    let result = engine
+    let error = engine
         .run()
-        .expect("backtest should not fail on one missing holding row");
-    assert_eq!(result.equity_curve.len(), 2);
-    assert!(
-        result
-            .daily_holdings
-            .iter()
-            .any(|holding| holding.date == date2 && holding.symbol == "601028.SH")
-    );
+        .expect_err("unknown missing market data must not become a carried close");
+    let detail = format!("{error:?}");
+    assert!(detail.contains("MissingSnapshot") && detail.contains("close price"));
+    assert!(detail.contains("601028.SH") && detail.contains("2025-05-27"));
 }
 
 #[test]
-fn platform_strategy_skips_position_stop_take_when_current_market_row_is_missing() {
+fn platform_strategy_cannot_hide_missing_valuation_by_skipping_stop_take() {
     let date1 = d(2025, 5, 26);
     let date2 = d(2025, 5, 27);
     let data = DataSet::from_components(
@@ -4333,14 +4329,10 @@ fn platform_strategy_skips_position_stop_take_when_current_market_row_is_missing
         },
     );
 
-    let result = engine
+    let error = engine
         .run()
-        .expect("platform strategy should hold through a missing current market row");
-    assert_eq!(result.equity_curve.len(), 2);
-    assert!(
-        result
-            .daily_holdings
-            .iter()
-            .any(|holding| holding.date == date2 && holding.symbol == "601028.SH")
-    );
+        .expect_err("skipping a stop condition cannot fabricate the missing valuation");
+    let detail = format!("{error:?}");
+    assert!(detail.contains("MissingSnapshot") && detail.contains("close price"));
+    assert!(detail.contains("601028.SH") && detail.contains("2025-05-27"));
 }

crates/fidc-signal-client/Cargo.toml

@@ -0,0 +1,10 @@
+[package]
+name = "fidc-signal-client"
+version.workspace = true
+edition.workspace = true
+license.workspace = true
+
+[dependencies]
+fidc-core = { path = "../fidc-core" }
+reqwest.workspace = true
+serde_json.workspace = true

crates/fidc-signal-client/src/lib.rs

@@ -0,0 +1,43 @@
+//! Shared signal transport for FIDC backtest and trading services.
+
+use std::sync::Arc;
+use fidc_core::signal_contract::{SignalBookReference,ValidatedSignalBook,cached_signal_book,register_signal_book};
+use reqwest::Client;
+use serde_json::{Value,json};
+
+#[derive(Clone,Copy)]
+pub enum Purpose { Backtest, Online }
+
+pub async fn load(client:&Client, source_url:&str, token:&str, reference:&SignalBookReference, purpose:Purpose)
+    -> Result<Arc<ValidatedSignalBook>,String>
+{
+    reference.validate()?;
+    if token.len()<32 {return Err("signal_service_auth_not_configured".into());}
+    let purpose_name=match purpose {Purpose::Backtest=>"backtest",Purpose::Online=>"online"};
+    let payload=json!({"reference":reference,"purpose":purpose_name});
+    let root=format!("{}/api/strategy-signals/internal",source_url.trim_end_matches('/'));
+    // Registration/purpose validation always precedes a process-cache hit.
+    let response=client.post(format!("{root}/validate"))
+        .header("X-FIDC-Lifecycle-Token",token).json(&payload).send().await
+        .map_err(|_|"signal_validation_service_unavailable")?;
+    if !response.status().is_success() {return Err(format!("signal_validation_rejected_http_{}",response.status()));}
+    let validation:Value=response.json().await.map_err(|_|"signal_validation_response_invalid")?;
+    if validation.get("ok")!=Some(&Value::Bool(true)) || validation.get("reference")!=Some(&json!(reference)) {
+        return Err("signal_validation_identity_mismatch".into());
+    }
+    let book=if let Some(book)=cached_signal_book(reference)? {book} else {
+        let mut response=client.post(format!("{root}/book"))
+            .header("X-FIDC-Lifecycle-Token",token).json(&payload).send().await
+            .map_err(|_|"signal_book_service_unavailable")?;
+        if !response.status().is_success() {return Err(format!("signal_book_rejected_http_{}",response.status()));}
+        if response.content_length().is_some_and(|bytes|bytes>64*1024*1024) {return Err("signal_book_transport_size_exceeded".into());}
+        let mut bytes=Vec::new();
+        while let Some(chunk)=response.chunk().await.map_err(|_|"signal_book_transport_incomplete")? {
+            if bytes.len().saturating_add(chunk.len())>64*1024*1024 {return Err("signal_book_transport_size_exceeded".into());}
+            bytes.extend_from_slice(&chunk);
+        }
+        register_signal_book(reference,&bytes)?
+    };
+    if matches!(purpose,Purpose::Online) {book.require_observed()?;}
+    Ok(book)
+}

docs/automatic-trade-protection-20260911.md

@@ -0,0 +1,25 @@
+# 策略级自动交易保护
+
+## 统一合同
+
+`runtimeExpressions.trading.automaticTradeProtection` 是每个股票/ETF策略自己的不可变配置。股票池、表达式轮动和显式订单复用 `holding_policy` 内核，不新增全局共享配置，也不修改未配置的历史策略。
+
+```json
+{"buy_protection_days":3,"sell_cooldown_days":3,"max_holding_days":90,"locks":[{"symbol":"000001.SZ","start_date":"2026-09-11","end_date":"2026-09-16"}]}
+```
+
+- 周期为空、null或0关闭，必须为0—3650整数；锁定支持同股多个区间，起止日包含当日，截止null持续有效。
+- 买入保护禁止自动减仓/清仓及止盈止损；卖出冷却禁止自动增加仓位。只有实际成交计时，部分成交延长对应最后成交日；未成交、拒绝、撤单不启动。
+- 成交日及后续N个完整正式交易日均受保护。例如周五成交、N=3，保护到下周三结束，周四恢复；不按72小时或自然日替代。
+- 最长持有从连续持仓第一次实际买入开始，跨正式交易日计数；加仓、部分卖出和有证据的证券转换不重置，完全卖出再买入开启新周期。锁定和买入保护优先于最长持有退出。
+- 日期锁定禁止自动买卖，已接受的挂单不自动撤销；手工路径只绕过自动策略保护，不绕过账户授权、T+1、券商和风控。
+- 保留的真实持仓继续占用资金与席位，不把未完成卖出当现金。最长持有退出先形成唯一最终目标，不能叠加一笔策略部分卖出和一笔框架全量卖出。
+- 在线上下文重建必须注入已经校验的真实成交/持仓快照，不能把重建日或旧行情日当建仓日。期货或股票期货混合账户未纳入本合同，显式拒绝。
+
+## 根因补充修复
+
+组合 `decision_date == "2026-09-11" && symbol == "000001.SZ"` 会落到字符串表达式路径。旧代码遗漏日期等内建标识符的保留登记，又按“额外因子”注入NaN，覆盖同名真实日期，造成选股错误。现登记全部已注入内建字段，并禁止额外因子覆盖已存在的作用域变量。单独数字VM日期测试不足以发现该问题，新增日期+证券混合选择回归。
+
+## 验证与边界
+
+原生完整回测测试验证：显式策略真实模拟成交日启动3日保护/禁买、日期锁定零委托、最长持有让位于保护、锁定持仓占据资金与席位、解锁后才按候选顺序买入；序列化和别名归一不改max_holding_days字段，冲突策略拒绝。现有534核心用例通过（6个既有忽略项）。这些是隔离内核测试，不是GT实际成交验收。

docs/execution-price-account-audit-20260911.md

@@ -0,0 +1,87 @@
+# 执行价风控与共享信号账户隔离验收
+
+## 结论
+
+本次修复已通过测试并发布 177。只证明一元股请求阶段价格修复、同一共享信号的账户隔离和既有真实样本结果不变；完整生产闭环尚未完成。next-open 全天容量、动态滑点的日内可见性及逐成交腿风控仍是未关闭项，不能称为全部成交无未来信息。
+
+## 修复
+
+- `risk_control.rs` 的 Buy 一元股规则改用本次 `check_price`，不再读取日线 `is_one_yuan` 或当天更早的 `day_open`。无效价格拒绝，其他缺失风险事实仍拒绝；显式 Selection 规则保留。
+- Trading 共用 `risk.rs` 的 Paper/Live 订单前检查使用新鲜 `last_price`，不再被日线标记或开盘价覆盖。选股阶段的开关和日线标记单独处理。
+- 缺执行价格继续输出具体 `missing_execution_price field=open`，保留 `historical_price_fallback=false`；停牌等权威状态仍优先，不因新通用校验丢失根因。
+- 没有修改共享信号内容、模型、账号权限、运行配置、Source Lake、研究 checkpoint 或既有回测数据。
+
+## 账户隔离组合
+
+隔离共享核心测试使用同一份经过原生校验的 `fidc.signal-book/v2`，信号只表达保留 50% 持仓。当前价 10、止损 10%、止盈 20%；每个账户独立计算实际订单。
+
+| 原数量 | 买入价 | 买入费用总额 | 预期剩余 | 结果 |
+| ---: | ---: | ---: | ---: | --- |
+| 1,000 | 8.00 | 0 | 0 | 止盈优先于半仓目标 |
+| 1,000 | 10.00 | 0 | 500 | 按本账户数量减半 |
+| 3,000 | 10.00 | 0 | 1,500 | 不共用其他账户数量 |
+| 1,000 | 12.00 | 0 | 0 | 止损 |
+| 1,000 | 11.11 | 0 | 500 | 尚未跨过止损阈值 |
+| 1,000 | 11.11 | 2.00 | 0 | 含费用成本跨过止损阈值 |
+
+六种账户卖出后，当天再消费同一买入目标均不得买回；独立未卖出账户可正常买入。同一信号版本不变，策略规划不预先修改持仓。这些是隔离合成账户测试，不是券商委托/成交证据。
+
+## 回归与真实回放
+
+- Engine：656 通过，8 个专用测试忽略。
+- Trading 工作区：537 通过，9 个专用测试忽略。
+- Backtest Runner：370 通过、3 忽略；API：99 通过、1 忽略。
+- 一元股专项覆盖真实执行价为 0.9/1.0/1.2、旧标记与新价格相反、缺失其他风险事实、NaN/无效价及开关独立性。
+
+实际 HTTP 回测使用原始冻结请求、信号和 bundle，未复制结果：
+
+- 原基准：`btr_req_260d0f3179d40fda5c918d48eba0a239bd335406c82a1cbe`。
+- 新运行：`btr_1789091571964_2429476_0`。
+- 区间：2025-02-05 至 2025-02-10；初始资金 10,000,000；目标 10 仓；next-open；滑点 0.002；佣金万三、最低 5。
+- 两次均 28 成交，最终资产 10,089,448.918844，收益 0.89448918844%。
+- 订单、成交、账户事件、权益、持仓、风险审计六项摘要相同。
+- Canonical SHA256：`befa50b3ec5b94adafede459903db7e2542797cf0eefe2de32900afc83ca1481`。
+- 服务端 3.954 秒，客户端含轮询 6.072 秒。此短区间已有缓存样本不能代表全市场冷态或多年性能。
+
+## 发布
+
+- Engine `d3c36e947894fd220b62ecd6fbfe02473f70bd2c`，tag `v2026.9.11`。
+- Trading `dfcec36bd1c0f92e73cd30073540eb39dbd02835`，tag `v2026.9.11`。
+- Backtest service `75202cc3b876daf99d0d2dffb988ca456c34aabf`，重新链接上述引擎。
+- 只使用官方 installer，以 Boris 构建和运行。发布后 Backtest/Runtime/Paper/Live 的进程和 HTTP `/healthz` 正常，运行二进制核对独立清单，不仅检查源码 HEAD。实时行情 `/readyz` 仍为 503，原因如下，不能宣称自然交易正常。
+- 原 3 Paper / 1 Live 配置和状态摘要前后相同；本次投影 Paper 为 `52a909117fe8f01ae35a327bd86310e2583d291609bba6596dc0f49a2b10559c`，Live 为 `aaec1e9dbc984012e9fe677e54db1efb860edd59d5840d1dc87c4b230b26bac6`。仅与本次相同投影的发布前数据对比，不与此前其他字段投影混比。
+- Source PID 2267019、因子主进程 PID 2178403、NRestarts 均不变。本轮未调用 Source/因子重启入口；不能由主 PID 不变推断全部因子子任务已经验收。
+
+## 未关闭问题
+
+### 实时行情配额
+
+发布后文件日志审查发现 THS `-4302`：本周行情用量超过 1.5 亿。受保护的行情源目录只返回 `ths_realtime`，enabled=true、ready=false；没有已配置可用的授权备用源。行情 `/readyz` 返回503、snapshot_count=0，实盘日志反复记录实际执行日2026-09-11请求150证券、收到0新鲜行情，因此 next-open 规划失败。
+
+所查尾部8,000行日志中，配额告警最早已出现在01:30:12 UTC（上海09:30），早于本轮09:58的Trading发布。不能把该故障归因于本次一元股代码或用重启解决。不得拿昨日收盘、Source历史数据或手工报价代替实时价格；恢复账户配额或配置正式授权的可用行情源后，才能继续自然交易验收。
+
+Paper的3条WARN为启动重建的PG读取，分别约1.015/1.122/1.460秒；本轮未见ERROR，但这只是采样范围，不能称全部日志无异常。证据：`realtime-quota-timeline.json`、`realtime-provider-readiness.json`、`post-deploy-file-log-audit.json`。Runtime无新采样日志不等于实际调度通过。
+
+### 执行容量与校准
+
+独立依赖探针确认：保持 next-open 订单和开盘价不变，仅修改执行日后来形成的全天量，成交量从 100 变为 1,000；仅修改全天 high/low，动态滑点成交价从 10.305 变为 11.000。探针是合成输入，不冒充市场证据。
+
+详见 `/Users/boris/WorkSpace/docs/fidc/execution-time-capacity-coordination-20260911.md`。下一步须分离实测执行时点容量和声明的容量估计、冻结校准数据时钟、覆盖挂单逐成交腿；不能偷偷改为昨日成交量、关闭限制或使用未来一分钟量。V18 研究只允许新不可变后继评估，不能改现有结果。
+
+自然 Paper 观察与正式 Live 仍需真实合格版本和正式审批。当前研究控制模型仅 23 个验证日，2026 留出期继续封存；不得为演示闭环降低门槛、伪造 observed、代替审批或手工发证券订单。
+
+### 并发代码合并
+
+报告推送时远端新增 `33924b1/f2e228e` 的策略自动交易保护。已保留并合并至main `f7d16fb`，177源码同步，组合引擎回归666通过、8忽略。该合并后的新保护尚未由本任务部署，线上仍使用本报告列出的d3c36e9/dfcec36清单；不能把源码同步当作发布或把对方功能归为本次已完成的自然交易验收。
+
+随后 Trading main 新增 `4ff7ee9aeefa2e1013098212dc75b4969499a1a6`，本机与177均已正常快进同步，合并组合工作区545通过、10忽略。此为并发功能合并后的源码测试，同样不改变本次发布清单；不重复部署另一个任务尚在验收的完整交易保护功能。
+
+## 证据
+
+177 根目录：`/srv/fidc/canonical/run/research/execution-risk-signal-audit-20260911/`。
+
+- `engine-full-tests-v2.log`、`trading-full-tests.log`、`backtest-full-tests.log`。
+- `deploy-before.json`、`deploy-after.json`、`running-binary-verification.json`。
+- `same-signal-backtest/request.json`、`submission.json`、`result.json`、`comparison.json`。
+- `execution-time-dependency-probe.json` SHA256：`feeb69275b8ad537f16e4c119cc7e59dd3a15773334fb591e27d7afdf34311d3`。
+- 官方部署日志与独立探针源码保存在相同证据根，不写入交易数据库或修改原始行情。

docs/lifecycle-price-evidence-20260910.md

@@ -0,0 +1,15 @@
+# 生命周期、价格缺失与历史状态
+
+证券有效区间为 `[listed_at, delisted_at)`。无明确摘牌日期的最新 terminal 标签不能反向污染历史；已知未来摘牌日不阻断此前的正常交易。退市整理期不是已摘牌。
+
+执行价加载前分别核验证券身份、正式上市/摘牌边界。合法上市前、摘牌后不查询和补价，记录结构化原因；同一日已有正执行价与生命周期边界冲突时报错。未知身份/代码映射、上市后的分钟缺口、候选事实缺失继续失败，不因 missing candidate 而跳过校验。持仓仅在当日正式暂停交易事实成立时允许按既定估值合同沿用历史价格；普通行情缺口不再无条件沿用旧价。
+
+整个明确证券范围尚未上市时保留官方日历内现金净值点，不缩短回测范围，不伪造成交或 OHLCV。基准只在首个基线点归一，后续无交易日不反复重置。
+
+513 项核心测试通过，6 项原有测试忽略。新增验证包含沪深北股票和 ETF 上市前、实际摘牌日、未知证券身份、候选缺失、正式停牌和普通价格缺口、全池上市前现金期间。对单个正式分区的数据缺口仍需数据源修复，不从这些测试外推全市场完整性。
+
+## 真实边界回放补充
+
+177 回测 `btr_1789041425783_797911_1`：920038.BJ，2026-08-04 至 08-07。真实上市日08-05，原结果只保留08-05至08-07三个净值点。原因是准备面同时加载基准000300.SH，基准不是交易候选但参与了“全部证券生命周期外”的判定。现在只排除已声明且没有交易候选记录的基准，不按代码或名称猜测指数，也不把真实候选排除；补充真实准备结构的回归后，4日现金区间完整保留。
+
+该草稿沿用源池 `rejectBjseSelection=false`、`rejectBjseBuy=true`，所以选中北交所但不下单符合其买入政策；原规划阶段没有记录拒绝原因则是审计缺项。新增 `scope=buy, stage=buy_planning` 审计，不伪造订单ID，不把买入否决改写成选股排除。测试验证禁止时无订单且有bjse原因，放开买入政策时正常生成意图。最新核心514项通过、6项原有忽略。