记录模拟委托异常恢复的Linux配套验收

This reverts commit 5d0823c060bfd2a42a3f86a381e874004ab7f6af.

Cargo.toml

@@ -1,6 +1,7 @@
 [workspace]
 members = [
     "crates/fidc-core",
+    "crates/fidc-signal-client",
 ]
 resolver = "2"
 
@@ -11,6 +12,7 @@ version = "0.1.0"
 authors = ["OpenAI Codex"]
 
 [workspace.dependencies]
+rust_decimal = { version = "=1.39.0", features = ["serde-with-str"] }
 sha2 = "=0.10.9"
 ahash = "=0.8.12"
 chrono = { version = "=0.4.44", features = ["serde"] }

README.md

@@ -1,3 +1,5 @@
+<p><img src="assets/brand/fiPandaWithTitle.png" alt="FiPanda" width="144" height="144"></p>
+
 # fidc-backtest-engine
 
 面向中国 A 股和期货策略的 Rust 回测核心。仓库目标是提供平台自有的策略 DSL、执行模型、撮合模型和结果分析能力，最终由 `fidc-backtest-service` 对外提供策略运行服务。

assets/brand/README.md

@@ -0,0 +1,11 @@
+# FiPanda 品牌资源
+
+FIDC 系列共用用户提供的两张原始透明图片，不重绘、不裁切、不染色。
+
+- `fiPandaWithTitle.png`：带标题版，登录页、项目首页、独立报告使用。
+- `fipanda.png`：无标题版，顶部导航、小尺寸标识和系统图标使用。
+- `favicon-32.png`：由无标题版等比生成，供浏览器标签页使用。
+
+导航图标建议 28–42px；带标题版建议 96–160px。始终等比完整显示，保留透明背景，不为 Logo 增加大块容器或改变业务页面主题。项目名称、权限、交易合同与内部 FIDC 标识不因品牌图片变更而重命名。
+
+原图保存在 `omniquant/assets/brand/source/`；`manifest.json` 记录原图和显示资源的 SHA-256。需要更新时，在完整工作区运行 `node omniquant/scripts/sync-fipanda-branding.mjs`，统一生成八个仓库及可下载策略技能包的资源，禁止分别维护不同版本。

assets/brand/manifest.json

@@ -0,0 +1,38 @@
+{
+  "schema": "fidc.fipanda-brand/v1",
+  "brand": "FiPanda",
+  "sourceRepository": "omniquant",
+  "sources": [
+    {
+      "file": "fipanda.png",
+      "sha256": "ff7dc0677b7d9c8dc6d008d3391f27fd583e3de35560dab021c1e2f8f2c464e5"
+    },
+    {
+      "file": "fiPandaWithTitle.png",
+      "sha256": "01bfb6acb36830d9b1ce6f7dc8c718977d43af44572ee6a26991d6c6aa2847d6"
+    }
+  ],
+  "assets": [
+    {
+      "file": "fipanda.png",
+      "source": "fipanda.png",
+      "pixels": 192,
+      "usage": "navigation, compact icons, apple-touch-icon",
+      "sha256": "450aad3506ec3c67624b7705f4d8f851a9102fe950e7671a06fb1203dc1d9cf7"
+    },
+    {
+      "file": "fiPandaWithTitle.png",
+      "source": "fiPandaWithTitle.png",
+      "pixels": 384,
+      "usage": "login, project README, standalone reports",
+      "sha256": "d33846b3687ea69d43b4a1f17ceeb02662bd25f26fabc4c86c25b3475f20dede"
+    },
+    {
+      "file": "favicon-32.png",
+      "source": "fipanda.png",
+      "pixels": 32,
+      "usage": "browser tab icon",
+      "sha256": "ec3d7783457db284d46ae6e27833685203838637a7d68946ff85402725f8e420"
+    }
+  ]
+}

crates/fidc-core/Cargo.toml

@@ -6,6 +6,8 @@ license.workspace = true
 authors.workspace = true
 
 [dependencies]
+compact_str = { version = "=0.10.0", features = ["serde"] }
+rust_decimal.workspace = true
 ahash.workspace = true
 chrono.workspace = true
 indexmap.workspace = true

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/tests/algorithm_clock.rs

@@ -0,0 +1,778 @@
+use super::*;
+
+fn time(minute: u32) -> NaiveTime {
+    NaiveTime::from_hms_opt(10, minute, 0).unwrap()
+}
+
+fn data(quotes: &[(u32, f64, u32)]) -> DataSet {
+    data_with_snapshot(quotes, limit_test_snapshot())
+}
+
+fn data_with_snapshot(quotes: &[(u32, f64, u32)], snapshot: DailyMarketSnapshot) -> DataSet {
+    DataSet::from_components_with_actions_and_quotes(
+        vec![limit_test_instrument()],
+        vec![snapshot],
+        vec![],
+        vec![limit_test_candidate(true, true)],
+        vec![limit_test_benchmark()],
+        vec![],
+        quotes
+            .iter()
+            .map(|&(minute, price, volume)| {
+                let mut quote = limit_test_quote(price, price, price);
+                quote.timestamp = quote.date.and_time(time(minute));
+                quote.volume_delta = u64::from(volume);
+                quote.amount_delta = price * f64::from(volume);
+                quote.bid1_volume = u64::from(volume / 100);
+                quote.ask1_volume = u64::from(volume / 100);
+                quote
+            })
+            .collect(),
+    )
+    .unwrap()
+}
+
+fn broker() -> BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks> {
+    BrokerSimulator::new(
+        ChinaAShareCostModel::default()
+            .with_commission_rate(0.0003)
+            .with_minimum_commission(5.),
+        ChinaEquityRuleHooks,
+    )
+    .with_matching_type(MatchingType::MinuteLast)
+    .with_execution_price_field(PriceField::Last)
+    .with_intraday_execution_start_time(time(0))
+    .with_volume_limit(true)
+    .with_volume_percent(0.25)
+    .with_liquidity_limit(false)
+    .with_inactive_limit(false)
+    .with_strict_value_budget(true)
+}
+
+fn intent(style: AlgoOrderStyle, value: f64) -> StrategyDecision {
+    StrategyDecision {
+        order_intents: vec![OrderIntent::AlgoValue {
+            symbol: "000001.SZ".into(),
+            value,
+            style,
+            start_time: Some(time(0)),
+            end_time: Some(time(10)),
+            reason: "clock-algorithm".into(),
+        }],
+        ..Default::default()
+    }
+}
+
+fn step(
+    broker: &BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
+    portfolio: &mut PortfolioState,
+    data: &DataSet,
+    minute: u32,
+    decision: &StrategyDecision,
+) -> BrokerExecutionReport {
+    broker
+        .execute_between(
+            limit_test_snapshot().date,
+            portfolio,
+            data,
+            decision,
+            Some(time(minute)),
+            Some(time(minute)),
+        )
+        .unwrap()
+}
+
+#[test]
+fn twap_clock_preserves_quantity_prices_fees_budget_and_parent_order() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (2, 10.1, 4_000),
+        (5, 10.2, 4_000),
+        (10, 10.3, 4_000),
+    ]);
+    let decision = intent(AlgoOrderStyle::Twap, 10_000.);
+    let mut synchronous_account = PortfolioState::new(20_000.);
+    let reference = broker()
+        .execute(
+            limit_test_snapshot().date,
+            &mut synchronous_account,
+            &data,
+            &decision,
+        )
+        .unwrap();
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let mut fills = Vec::new();
+    let mut events = Vec::new();
+    let empty = StrategyDecision::default();
+    for minute in [0, 2, 5, 10] {
+        let batch = step(
+            &broker,
+            &mut account,
+            &data,
+            minute,
+            if minute == 0 { &decision } else { &empty },
+        );
+        assert!(
+            batch
+                .fill_events
+                .iter()
+                .all(|fill| fill.execution_timestamp.unwrap().time() <= time(minute))
+        );
+        fills.extend(batch.fill_events);
+        events.extend(batch.order_events);
+    }
+    let canonical = |rows: &[crate::events::FillEvent]| {
+        rows.iter()
+            .map(|fill| {
+                (
+                    fill.quantity,
+                    fill.price.to_bits(),
+                    fill.commission.to_bits(),
+                    fill.stamp_tax.to_bits(),
+                    fill.transfer_fee.to_bits(),
+                    fill.execution_timestamp,
+                    fill.order_id,
+                )
+            })
+            .collect::<Vec<_>>()
+    };
+    assert_eq!(canonical(&fills), canonical(&reference.fill_events));
+    assert_eq!(account.cash(), synchronous_account.cash());
+    assert_eq!(fills.iter().map(|fill| fill.quantity).sum::<u32>(), 900);
+    assert_eq!(fills.iter().map(|fill| fill.commission).sum::<f64>(), 5.);
+    assert!(fills.iter().map(|fill| -fill.net_cash_flow).sum::<f64>() <= 10_000.);
+    assert!(events.iter().all(|event| event.order_id == Some(1)));
+    assert_eq!(events.last().unwrap().status, OrderStatus::Filled);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn partial_algorithm_cancel_releases_reservation_and_never_executes_the_remainder() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (2, 10., 4_000),
+        (5, 10., 4_000),
+        (10, 10., 4_000),
+    ]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    assert_eq!(broker.open_order_views()[0].reserved_cash, Some(10_000.));
+    let partial = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        partial
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    let working = broker.open_order_views();
+    assert_eq!(working[0].order_id, 1);
+    assert_eq!(working[0].filled_quantity, 100);
+    assert_eq!(
+        working[0].reserved_cash,
+        Some(10_000. + partial.fill_events[0].net_cash_flow)
+    );
+    let cancel = step(
+        &broker,
+        &mut account,
+        &data,
+        3,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::CancelAll {
+                reason: "explicit-user-cancel".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert!(cancel.fill_events.is_empty());
+    assert_eq!(
+        cancel.order_events.last().unwrap().status,
+        OrderStatus::Canceled
+    );
+    assert_eq!(cancel.order_events.last().unwrap().filled_quantity, 100);
+    assert!(broker.open_order_views().is_empty());
+    assert!(
+        step(
+            &broker,
+            &mut account,
+            &data,
+            10,
+            &StrategyDecision::default()
+        )
+        .fill_events
+        .is_empty()
+    );
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+}
+
+#[test]
+fn algorithm_expiry_without_a_quote_does_not_reuse_old_liquidity() {
+    let data = data(&[(0, 10., 4_000), (2, 10., 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        broker.next_day_order_expiry(limit_test_snapshot().date),
+        Some(time(10))
+    );
+    let terminal = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert!(terminal.fill_events.is_empty());
+    assert_eq!(
+        terminal.order_events.last().unwrap().status,
+        OrderStatus::Expired
+    );
+    assert_eq!(terminal.order_events.last().unwrap().filled_quantity, 100);
+    assert!(
+        terminal
+            .process_events
+            .iter()
+            .any(|event| event.detail.contains("Expired")),
+        "{:?}",
+        terminal.process_events
+    );
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn separate_buy_cannot_spend_the_working_algorithms_cash_budget() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (1, 10., 4_000),
+        (2, 10., 4_000),
+        (10, 10., 4_000),
+    ]);
+    let broker = broker();
+    let mut account = PortfolioState::new(11_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    let other = step(
+        &broker,
+        &mut account,
+        &data,
+        1,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "000001.SZ".into(),
+                quantity: 1_000,
+                reason: "separate-buy".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert!(
+        other.fill_events.is_empty(),
+        "cash reserved for order 1 was spent: {:?}",
+        other.fill_events
+    );
+    let final_batch = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert!(
+        final_batch
+            .fill_events
+            .iter()
+            .all(|fill| fill.order_id == Some(1))
+    );
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 900);
+    assert!(account.cash() >= 1_000.);
+}
+
+#[test]
+fn changing_the_later_daily_close_does_not_resize_an_algorithm_submitted_now() {
+    let quotes = [(0, 10., 4_000), (2, 10.1, 4_000), (10, 10.2, 4_000)];
+    let mut changed = limit_test_snapshot();
+    changed.close = 100.;
+    changed.last_price = 100.;
+    let run = |data: DataSet| {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        let initial = step(
+            &broker,
+            &mut account,
+            &data,
+            0,
+            &intent(AlgoOrderStyle::Twap, 10_000.),
+        );
+        assert!(initial.fill_events.is_empty());
+        let quantity = broker.open_order_views()[0].requested_quantity;
+        let final_batch = step(
+            &broker,
+            &mut account,
+            &data,
+            10,
+            &StrategyDecision::default(),
+        );
+        (
+            quantity,
+            final_batch
+                .fill_events
+                .iter()
+                .map(|fill| {
+                    (
+                        fill.quantity,
+                        fill.price.to_bits(),
+                        fill.net_cash_flow.to_bits(),
+                    )
+                })
+                .collect::<Vec<_>>(),
+        )
+    };
+    assert_eq!(
+        run(data(&quotes)),
+        run(data_with_snapshot(&quotes, changed))
+    );
+}
+
+#[test]
+fn vwap_clock_preserves_cash_costs_and_does_not_spend_future_volume() {
+    let data = data(&[
+        (0, 10., 400),
+        (2, 10., 800),
+        (5, 10., 1_200),
+        (10, 10., 4_000),
+    ]);
+    let decision = intent(AlgoOrderStyle::Vwap, 10_000.);
+    let mut synchronous_account = PortfolioState::new(20_000.);
+    let reference = broker()
+        .execute(
+            limit_test_snapshot().date,
+            &mut synchronous_account,
+            &data,
+            &decision,
+        )
+        .unwrap();
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let empty = StrategyDecision::default();
+    let mut filled = 0;
+    let mut commission = 0.;
+    for (minute, expected) in [(0, 100), (2, 300), (5, 600), (10, 900)] {
+        let batch = step(
+            &broker,
+            &mut account,
+            &data,
+            minute,
+            if minute == 0 { &decision } else { &empty },
+        );
+        filled += batch
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>();
+        commission += batch
+            .fill_events
+            .iter()
+            .map(|fill| fill.commission)
+            .sum::<f64>();
+        assert_eq!(filled, expected);
+        assert!(batch.fill_events.iter().all(|fill| fill.order_id == Some(1)
+            && fill.execution_timestamp.unwrap().time() <= time(minute)));
+    }
+    assert_eq!(account.cash(), synchronous_account.cash());
+    assert_eq!(
+        commission,
+        reference
+            .fill_events
+            .iter()
+            .map(|fill| fill.commission)
+            .sum::<f64>()
+    );
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn global_vwap_matching_keeps_the_same_working_order_between_clock_ticks() {
+    let data = data(&[(0, 10., 400), (2, 10., 400), (10, 10., 4_000)]);
+    let broker = broker().with_matching_type(MatchingType::Vwap);
+    let mut account = PortfolioState::new(20_000.);
+    let first = step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "000001.SZ".into(),
+                quantity: 900,
+                reason: "configured-vwap".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert_eq!(
+        first
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        broker.open_order_views().len(),
+        1,
+        "{:?}",
+        first.order_events
+    );
+    let second = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(second.fill_events[0].quantity, 100);
+    assert_eq!(second.fill_events[0].order_id, Some(1));
+    let final_batch = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(final_batch.fill_events[0].quantity, 700);
+    assert_eq!(final_batch.fill_events[0].order_id, Some(1));
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn algorithm_sell_honors_t_plus_one_and_keeps_original_quantity_after_partial_fills() {
+    let data = data(&[(0, 10., 400), (2, 10., 800), (10, 10., 4_000)]);
+    let date = limit_test_snapshot().date;
+    for acquired_today in [false, true] {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        account.position_mut("000001.SZ").buy(
+            if acquired_today {
+                date
+            } else {
+                date.pred_opt().unwrap()
+            },
+            1_000,
+            10.,
+        );
+        let decision = intent(AlgoOrderStyle::Vwap, -10_000.);
+        let mut fills = Vec::new();
+        let mut events = Vec::new();
+        let empty = StrategyDecision::default();
+        for minute in [0, 2, 10] {
+            let batch = step(
+                &broker,
+                &mut account,
+                &data,
+                minute,
+                if minute == 0 { &decision } else { &empty },
+            );
+            fills.extend(batch.fill_events);
+            events.extend(batch.order_events);
+        }
+        assert_eq!(
+            fills.iter().map(|fill| fill.quantity).sum::<u32>(),
+            if acquired_today { 0 } else { 1_000 }
+        );
+        assert!(events.iter().all(|event| event.order_id == Some(1)));
+        if !acquired_today {
+            assert_eq!(events.last().unwrap().status, OrderStatus::Filled);
+            assert_eq!(events.last().unwrap().requested_quantity, 1_000);
+            assert_eq!(events.last().unwrap().filled_quantity, 1_000);
+        }
+        assert!(broker.open_order_views().is_empty());
+    }
+}
+
+#[test]
+fn an_explicit_ioc_or_fok_does_not_become_a_persistent_algorithm() {
+    let data = data(&[(0, 10., 400), (2, 10., 4_000), (10, 10., 4_000)]);
+    for tif in [
+        OrderTimeInForce::Ioc,
+        OrderTimeInForce::Fok,
+        OrderTimeInForce::Day,
+        OrderTimeInForce::Gtc,
+    ] {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        let mut decision = intent(AlgoOrderStyle::Vwap, 10_000.);
+        if !decision.order_intents[0].supports_time_in_force(tif) {
+            decision.order_intents = decision
+                .order_intents
+                .into_iter()
+                .map(|intent| intent.with_time_in_force(tif))
+                .collect();
+            let error = broker
+                .execute_between(
+                    limit_test_snapshot().date,
+                    &mut account,
+                    &data,
+                    &decision,
+                    Some(time(0)),
+                    Some(time(0)),
+                )
+                .unwrap_err();
+            assert!(
+                error
+                    .to_string()
+                    .contains("is not supported for this order intent")
+            );
+            assert_eq!(account.cash(), 20_000.);
+            assert!(broker.open_order_views().is_empty());
+            continue;
+        }
+        decision.order_intents = decision
+            .order_intents
+            .into_iter()
+            .map(|intent| intent.with_time_in_force(tif))
+            .collect();
+        let first = step(&broker, &mut account, &data, 0, &decision);
+        let persists = matches!(tif, OrderTimeInForce::Day | OrderTimeInForce::Gtc);
+        assert_eq!(
+            !broker.open_order_views().is_empty(),
+            persists,
+            "{tif:?}: {:?}",
+            first.order_events
+        );
+        if !persists {
+            assert!(
+                step(
+                    &broker,
+                    &mut account,
+                    &data,
+                    10,
+                    &StrategyDecision::default()
+                )
+                .fill_events
+                .is_empty()
+            );
+        }
+    }
+}
+
+#[test]
+fn two_working_algorithms_reserve_only_real_cash_without_starving_the_first() {
+    let data = data(&[(0, 10., 40_000), (10, 10., 40_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(15_000.);
+    let mut decision = intent(AlgoOrderStyle::Twap, 10_000.);
+    decision
+        .order_intents
+        .extend(intent(AlgoOrderStyle::Twap, 10_000.).order_intents);
+    step(&broker, &mut account, &data, 0, &decision);
+    assert_eq!(
+        broker
+            .open_order_views()
+            .iter()
+            .map(|order| order.reserved_cash.unwrap())
+            .collect::<Vec<_>>(),
+        vec![10_000., 5_000.]
+    );
+    let report = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        report
+            .fill_events
+            .iter()
+            .map(|fill| (fill.order_id, fill.quantity))
+            .collect::<Vec<_>>(),
+        vec![(Some(1), 900), (Some(2), 500)]
+    );
+    assert!(account.cash() >= 0.);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn a_clock_slice_does_not_turn_window_twap_into_an_unlimited_instant_order() {
+    let data = data(&[(0, 10., 100), (2, 10., 100), (10, 10.1, 100)]);
+    let broker = broker()
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    let first = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    let last = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        first
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        last.fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        last.order_events.last().unwrap().status,
+        OrderStatus::Expired
+    );
+    assert_eq!(last.order_events.last().unwrap().filled_quantity, 200);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn non_matching_controls_amend_or_cancel_without_filling_a_crossing_quote() {
+    let data = data(&[(0, 10., 4_000), (2, 9.4, 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &StrategyDecision {
+            order_intents: vec![
+                OrderIntent::LimitShares {
+                    symbol: "000001.SZ".into(),
+                    quantity: 100,
+                    limit_price: 9.5,
+                    reason: "resting".into(),
+                }
+                .with_time_in_force(OrderTimeInForce::Gtc),
+            ],
+            ..Default::default()
+        },
+    );
+    assert_eq!(broker.open_order_views().len(), 1);
+    let modify = broker
+        .execute_controls_without_matching(
+            limit_test_snapshot().date,
+            limit_test_snapshot().date,
+            &mut account,
+            &data,
+            &StrategyDecision {
+                order_intents: vec![OrderIntent::ModifyOrder {
+                    order_id: 1,
+                    new_total_quantity: Some(200),
+                    new_limit_price: Some(9.3),
+                    reason: "pre-open-amend".into(),
+                }],
+                ..Default::default()
+            },
+            Some(time(2)),
+        )
+        .unwrap();
+    assert!(modify.fill_events.is_empty());
+    assert_eq!(broker.open_order_views()[0].limit_price, 9.3);
+    assert_eq!(broker.open_order_views()[0].requested_quantity, 200);
+    let cancel = broker
+        .execute_controls_without_matching(
+            limit_test_snapshot().date,
+            limit_test_snapshot().date,
+            &mut account,
+            &data,
+            &StrategyDecision {
+                order_intents: vec![OrderIntent::CancelAll {
+                    reason: "pre-open-cancel".into(),
+                }],
+                ..Default::default()
+            },
+            Some(time(2)),
+        )
+        .unwrap();
+    assert!(cancel.fill_events.is_empty());
+    assert_eq!(
+        cancel.order_events.last().unwrap().status,
+        OrderStatus::Canceled
+    );
+    assert_eq!(account.cash(), 20_000.);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn control_only_phase_cannot_be_used_to_submit_an_order_or_leave_matching_disabled() {
+    let data = data(&[(0, 10., 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let submit = StrategyDecision {
+        order_intents: vec![OrderIntent::Shares {
+            symbol: "000001.SZ".into(),
+            quantity: 100,
+            reason: "normal-order".into(),
+        }],
+        ..Default::default()
+    };
+    assert!(
+        broker
+            .execute_controls_without_matching(
+                limit_test_snapshot().date,
+                limit_test_snapshot().date,
+                &mut account,
+                &data,
+                &submit,
+                Some(time(0))
+            )
+            .is_err()
+    );
+    assert_eq!(account.cash(), 20_000.);
+    assert_eq!(
+        step(&broker, &mut account, &data, 0, &submit).fill_events[0].quantity,
+        100
+    );
+}

crates/fidc-core/src/broker_order_recovery_tests.rs

@@ -0,0 +1,515 @@
+// Kept inside broker::tests to inspect internal accepted-order identity as
+// well as the public report. These are simulator states, never GT requests.
+fn recovery_test_data(missing_previous: Option<usize>, intraday: bool) -> DataSet {
+    let previous = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let mut instruments = Vec::new();
+    let mut rows = Vec::new();
+    let mut candidates = Vec::new();
+    let mut quotes = Vec::new();
+    for index in 1..=2 {
+        let symbol = format!("{index:06}.SZ");
+        let mut instrument = limit_test_instrument();
+        instrument.symbol = symbol.clone();
+        instruments.push(instrument);
+        for day in [previous, date] {
+            if day == previous && missing_previous == Some(index) {
+                continue;
+            }
+            let mut row = dated_limit_test_snapshot(day);
+            row.symbol = symbol.clone().into();
+            rows.push(row);
+            let mut candidate = dated_limit_test_candidate(day, false, false, true, true);
+            candidate.symbol = symbol.clone().into();
+            candidates.push(candidate);
+        }
+        if intraday {
+            let mut quote = limit_test_quote(10., 10., 10.);
+            quote.symbol = symbol;
+            quote.date = date;
+            quote.timestamp = date.and_hms_opt(9, 33, 0).unwrap();
+            quotes.push(quote);
+        }
+    }
+    DataSet::from_components_with_actions_and_quotes(
+        instruments,
+        rows,
+        vec![],
+        candidates,
+        vec![
+            dated_limit_test_benchmark(previous),
+            dated_limit_test_benchmark(date),
+        ],
+        vec![],
+        quotes,
+    )
+    .unwrap()
+}
+
+fn recovery_test_broker(
+    intraday: bool,
+    first_side: OrderSide,
+) -> (
+    BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
+    PortfolioState,
+) {
+    let mut broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+        .with_matching_type(if intraday {
+            MatchingType::MinuteLast
+        } else {
+            MatchingType::CurrentBarClose
+        })
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_slippage_model(SlippageModel::HistoricalVolumeVolatility(
+            super::DynamicSlippageConfig::new(0., 0., 0.1),
+        ));
+    if intraday {
+        broker =
+            broker.with_intraday_execution_start_time(NaiveTime::from_hms_opt(9, 33, 0).unwrap());
+    }
+    let mut first = test_open_order(1);
+    first.filled_quantity = 100;
+    first.remaining_quantity = 100;
+    first.commission_remaining = Some(0.);
+    first.side = first_side;
+    let mut second = test_open_order(2);
+    second.symbol = "000002.SZ".into();
+    broker.upsert_open_order(first);
+    broker.upsert_open_order(second);
+    broker.next_order_id.set(3);
+    let mut account = PortfolioState::new(9000.);
+    account.position_mut("000001.SZ").buy(
+        chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(),
+        if first_side == OrderSide::Buy {
+            100
+        } else {
+            200
+        },
+        10.,
+    );
+    account.begin_trading_day();
+    (broker, account)
+}
+
+fn recovery_report_value(report: &BrokerExecutionReport) -> serde_json::Value {
+    serde_json::json!({"orders":report.order_events,"fills":report.fill_events,
+        "positions":report.position_events,"accounts":report.account_events,
+        "events":report.process_events,"diagnostics":report.diagnostics})
+}
+
+#[test]
+fn failed_resting_order_batch_keeps_accepted_orders_and_unpublished_financial_state() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    for intraday in [false, true] {
+        for first_side in [OrderSide::Buy, OrderSide::Sell] {
+            for missing in [1, 2] {
+                let (broker, mut account) = recovery_test_broker(intraday, first_side);
+                let orders = format!("{:?}", broker.open_orders.borrow());
+                let ledger = account.financial_replay_identity();
+                let error = broker
+                    .execute(
+                        date,
+                        &mut account,
+                        &recovery_test_data(Some(missing), intraday),
+                        &StrategyDecision::default(),
+                    )
+                    .unwrap_err();
+                assert!(
+                    error
+                        .to_string()
+                        .contains("historical_slippage_calibration_missing")
+                );
+                assert_eq!(
+                    format!("{:?}", broker.open_orders.borrow()),
+                    orders,
+                    "intraday={intraday} first={first_side:?} missing={missing}"
+                );
+                assert_eq!(account.financial_replay_identity(), ledger);
+                assert!(broker.same_day_sold_symbols.borrow().is_empty());
+                let recovered = broker
+                    .execute(
+                        date,
+                        &mut account,
+                        &recovery_test_data(None, intraday),
+                        &StrategyDecision::default(),
+                    )
+                    .unwrap();
+                let (clean, mut clean_account) = recovery_test_broker(intraday, first_side);
+                let reference = clean
+                    .execute(
+                        date,
+                        &mut clean_account,
+                        &recovery_test_data(None, intraday),
+                        &StrategyDecision::default(),
+                    )
+                    .unwrap();
+                assert_eq!(
+                    recovery_report_value(&recovered),
+                    recovery_report_value(&reference)
+                );
+                assert_eq!(
+                    account.financial_replay_identity(),
+                    clean_account.financial_replay_identity()
+                );
+                assert!(broker.open_order_views().is_empty());
+                assert_eq!(recovered.fill_events.len(), 2);
+            }
+        }
+    }
+}
+
+#[test]
+fn failed_new_batch_does_not_erase_prior_success_or_double_charge_on_retry() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let (broker, mut account) = recovery_test_broker(true, OrderSide::Buy);
+    let good = recovery_test_data(None, true);
+    let prior = broker
+        .execute(date, &mut account, &good, &StrategyDecision::default())
+        .unwrap();
+    assert_eq!(prior.fill_events.len(), 2);
+    let initial = account.financial_replay_identity();
+    let id = broker.next_order_id.get();
+    let decision = StrategyDecision {
+        order_intents: vec![
+            OrderIntent::Shares {
+                symbol: "000001.SZ".into(),
+                quantity: 100,
+                reason: "next-batch-a".into(),
+            },
+            OrderIntent::Shares {
+                symbol: "000002.SZ".into(),
+                quantity: 100,
+                reason: "next-batch-b".into(),
+            },
+        ],
+        ..Default::default()
+    };
+    // A later quote lets this batch execute independently of the prior fills.
+    let mut parts = good.snapshot_components();
+    for quote in &mut parts.execution_quotes {
+        quote.timestamp += chrono::Duration::minutes(1);
+    }
+    broker
+        .runtime_execution_clock
+        .set(Some(NaiveTime::from_hms_opt(9, 34, 0).unwrap()));
+    let restored = DataSet::from_components_with_actions_and_quotes(
+        parts.instruments.clone(),
+        parts.market.clone(),
+        parts.factors.clone(),
+        parts.candidates.clone(),
+        parts.benchmarks.clone(),
+        vec![],
+        parts.execution_quotes.clone(),
+    )
+    .unwrap();
+    parts
+        .market
+        .retain(|row| !(row.symbol.as_str() == "000002.SZ" && row.date < date));
+    let broken = DataSet::from_components_with_actions_and_quotes(
+        parts.instruments,
+        parts.market,
+        parts.factors,
+        parts.candidates,
+        parts.benchmarks,
+        vec![],
+        parts.execution_quotes,
+    )
+    .unwrap();
+    assert!(
+        broker
+            .execute(date, &mut account, &broken, &decision)
+            .is_err()
+    );
+    assert_eq!(account.financial_replay_identity(), initial);
+    assert_eq!(broker.next_order_id.get(), id);
+    assert!(broker.open_orders.borrow().is_empty());
+    let result = broker
+        .execute(date, &mut account, &restored, &decision)
+        .unwrap();
+    assert_eq!(result.fill_events.len(), 2);
+    assert_eq!(result.fill_events[0].order_id, Some(id));
+    assert_eq!(result.fill_events[1].order_id, Some(id + 1));
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 300);
+    assert_eq!(account.position("000002.SZ").unwrap().quantity, 300);
+    assert_eq!(
+        prior.fill_events.len(),
+        2,
+        "previously returned report remains intact"
+    );
+}
+
+#[test]
+fn unwinding_an_unpublished_simulator_transaction_restores_its_state() {
+    let (broker, mut account) = recovery_test_broker(false, OrderSide::Sell);
+    let initial = account.financial_replay_identity();
+    let orders = format!("{:?}", broker.open_orders.borrow());
+    let result = std::panic::catch_unwind(std::panic::AssertUnwindSafe(|| {
+        let _ = broker.execution_transaction(&mut account, true, None, |account| {
+            account.apply_cash_delta(500.).unwrap();
+            broker.open_orders.borrow_mut().clear();
+            panic!("isolated simulator callback unwind");
+        });
+    }));
+    assert!(result.is_err());
+    assert_eq!(account.financial_replay_identity(), initial);
+    assert_eq!(format!("{:?}", broker.open_orders.borrow()), orders);
+    assert_eq!(broker.execution_transaction_depth.get(), 0);
+}
+
+#[test]
+fn deferred_etf_batch_failure_keeps_both_targets_and_prior_generation_progress() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let previous = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let mut parts = recovery_test_data(None, false).snapshot_components();
+    for instrument in &mut parts.instruments {
+        instrument.board = "ETF".into();
+    }
+    let good = DataSet::from_components_with_actions_and_quotes(
+        parts.instruments.clone(),
+        parts.market.clone(),
+        parts.factors.clone(),
+        parts.candidates.clone(),
+        parts.benchmarks.clone(),
+        vec![],
+        vec![],
+    )
+    .unwrap();
+    parts
+        .market
+        .retain(|row| !(row.date == date && row.symbol.as_str() == "000002.SZ"));
+    let bad = DataSet::from_components_with_actions_and_quotes(
+        parts.instruments,
+        parts.market,
+        parts.factors,
+        parts.candidates,
+        parts.benchmarks,
+        vec![],
+        vec![],
+    )
+    .unwrap();
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    let members = std::sync::Arc::new(
+        (1..=2)
+            .map(|index| crate::stock_pool_execution::StockPoolMemberSpec {
+                symbol: format!("{index:06}.SZ"),
+                requested_order: index,
+                recommendation_reason: String::new(),
+                target_weight_bps: None,
+                stop_loss: None,
+                take_profit: None,
+            })
+            .collect::<Vec<_>>(),
+    );
+    broker
+        .deferred_etf_targets
+        .borrow_mut()
+        .replace_generation("pool", "latest");
+    for index in 1..=2 {
+        broker
+            .deferred_etf_targets
+            .borrow_mut()
+            .upsert(crate::etf_execution::DeferredEtfTarget {
+                pool_id: "pool".into(),
+                generation: "latest".into(),
+                symbol: format!("{index:06}.SZ"),
+                signal_date: previous,
+                signal_at: previous.and_hms_opt(13, 0, 0).unwrap(),
+                execute_on: Some(date),
+                target_value: 1000.into(),
+                target_weight_bps: 5000,
+                side: crate::stock_pool_execution::OrderSide::Buy,
+                max_positions: 2,
+                rule: Default::default(),
+                members: std::sync::Arc::clone(&members),
+                reason: "deferred recovery fixture".into(),
+            });
+    }
+    let queue = format!("{:?}", broker.deferred_etf_targets.borrow());
+    let mut account = PortfolioState::new(10000.);
+    let state = account.stock_pool_execution_state("pool");
+    assert!(
+        broker
+            .execute_deferred_etf_targets(date, &mut account, &bad)
+            .is_err()
+    );
+    assert_eq!(account.cash(), 10000.);
+    assert!(account.positions().is_empty());
+    assert_eq!(account.stock_pool_execution_state("pool"), state);
+    assert_eq!(format!("{:?}", broker.deferred_etf_targets.borrow()), queue);
+    assert_eq!(broker.next_order_id.get(), 1);
+    assert_eq!(broker.execution_transaction_depth.get(), 0);
+    let result = broker
+        .execute_deferred_etf_targets(date, &mut account, &good)
+        .unwrap();
+    assert_eq!(result.fill_events.len(), 2, "{result:?}");
+    assert_eq!(broker.pending_etf_target_count(), 0);
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+    assert_eq!(account.position("000002.SZ").unwrap().quantity, 100);
+}
+
+#[test]
+fn public_callback_unwind_does_not_leak_order_context_or_authoritative_prior_state() {
+    struct PanicRules;
+    impl crate::rules::EquityRuleHooks for PanicRules {
+        fn can_buy(
+            &self,
+            _: chrono::NaiveDate,
+            _: &DailyMarketSnapshot,
+            _: &CandidateEligibility,
+            _: PriceField,
+        ) -> crate::rules::RuleCheck {
+            panic!("isolated rule callback panic")
+        }
+        fn can_sell(
+            &self,
+            _: chrono::NaiveDate,
+            _: &DailyMarketSnapshot,
+            _: &CandidateEligibility,
+            _: &crate::portfolio::Position,
+            _: PriceField,
+        ) -> crate::rules::RuleCheck {
+            unreachable!()
+        }
+    }
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let prior = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), PanicRules)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    broker.runtime_decision_date.set(Some(prior));
+    broker
+        .runtime_buy_denials
+        .borrow_mut()
+        .insert("unrelated".into(), "prior".into());
+    let mut account = PortfolioState::new(10000.);
+    let decision = StrategyDecision {
+        buy_denials: BTreeMap::from([("another".into(), "temporary".into())]),
+        order_intents: vec![
+            OrderIntent::LimitShares {
+                symbol: "000001.SZ".into(),
+                quantity: 100,
+                limit_price: 10.,
+                reason: "panic fixture".into(),
+            }
+            .with_time_in_force(OrderTimeInForce::Gtc),
+        ],
+        ..Default::default()
+    };
+    assert!(
+        std::panic::catch_unwind(std::panic::AssertUnwindSafe(|| {
+            let _ = broker.execute(
+                date,
+                &mut account,
+                &recovery_test_data(None, false),
+                &decision,
+            );
+        }))
+        .is_err()
+    );
+    assert_eq!(account.cash(), 10000.);
+    assert!(account.positions().is_empty());
+    assert!(broker.open_order_views().is_empty());
+    assert_eq!(broker.runtime_decision_date.get(), Some(prior));
+    assert_eq!(
+        *broker.runtime_buy_denials.borrow(),
+        BTreeMap::from([("unrelated".into(), "prior".into())])
+    );
+    assert_eq!(broker.runtime_time_in_force.get(), None);
+    assert_eq!(broker.runtime_target_position_limit.get(), None);
+    assert_eq!(broker.execution_transaction_depth.get(), 0);
+}
+
+#[test]
+fn simulator_transaction_profile_preserves_successful_output() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let previous = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let mut instruments = Vec::new();
+    let mut market = Vec::new();
+    let mut candidates = Vec::new();
+    for index in 1..=30 {
+        let symbol = format!("{index:06}.SZ");
+        let mut instrument = limit_test_instrument();
+        instrument.symbol = symbol.clone();
+        instruments.push(instrument);
+        for day in [previous, date] {
+            let mut row = dated_limit_test_snapshot(day);
+            row.symbol = symbol.clone().into();
+            market.push(row);
+            let mut row = dated_limit_test_candidate(day, false, false, true, true);
+            row.symbol = symbol.clone().into();
+            candidates.push(row);
+        }
+    }
+    let data = DataSet::from_components(
+        instruments,
+        market,
+        vec![],
+        candidates,
+        vec![
+            dated_limit_test_benchmark(previous),
+            dated_limit_test_benchmark(date),
+        ],
+    )
+    .unwrap();
+    let mut reference = None;
+    let mut samples = Vec::new();
+    for protected in [false, true, true, false] {
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+        // Private comparison only: no runtime option can disable protection.
+        if !protected {
+            broker.execution_transaction_depth.set(1);
+        }
+        let mut account = PortfolioState::new(10_000_000.);
+        for index in 1..=30 {
+            for _ in 0..20 {
+                account
+                    .position_mut(&format!("{index:06}.SZ"))
+                    .buy(previous, 100, 10.);
+            }
+        }
+        account.begin_trading_day();
+        let mut orders = Vec::new();
+        let mut fills = Vec::new();
+        let start = std::time::Instant::now();
+        for index in 0..500 {
+            let report = broker
+                .execute(
+                    date,
+                    &mut account,
+                    &data,
+                    &StrategyDecision {
+                        order_intents: vec![OrderIntent::Shares {
+                            symbol: format!("{:06}.SZ", index % 30 + 1),
+                            quantity: 100,
+                            reason: "transaction profile".into(),
+                        }],
+                        ..Default::default()
+                    },
+                )
+                .unwrap();
+            orders.extend(report.order_events);
+            fills.extend(report.fill_events);
+        }
+        samples.push(
+            serde_json::json!({"protected":protected,"microseconds":start.elapsed().as_micros()}),
+        );
+        assert_eq!(fills.len(), 500);
+        let outcome = serde_json::json!({"orders":orders,"fills":fills,"ledger":account.financial_replay_identity()});
+        if let Some(reference) = &reference {
+            assert_eq!(&outcome, reference);
+        } else {
+            reference = Some(outcome);
+        }
+    }
+    println!(
+        "simulator_transaction_profile={}",
+        serde_json::json!({"securities":30,"initial_lots_per_security":20,"calls":500,"samples":samples,
+        "scope":"isolated broker only; not Source or full backtest throughput"})
+    );
+}

crates/fidc-core/src/broker_stock_pool.rs

@@ -0,0 +1,856 @@
+//! Executes one frozen pool intent against real broker-simulator state.
+use super::*;
+use crate::holding_policy::HoldingLifecycleEvidence;
+use crate::stock_pool_execution as pool;
+use rust_decimal::{Decimal, prelude::ToPrimitive};
+use chrono::Timelike;
+
+#[derive(Debug, Clone)]
+pub(super) struct DeferredStockPoolExecution {
+    date: NaiveDate,
+    contract: Box<pool::FrozenStockPoolIntent>,
+    buy_only: bool,
+    symbols: BTreeSet<String>,
+    initial_holdings: BTreeSet<String>,
+}
+
+impl<C, R> BrokerSimulator<C, R> {
+    pub(crate) fn pending_stock_pool_symbols(&self) -> BTreeSet<String> {
+        self.deferred_stock_pools.borrow().values().flat_map(|pending| pending.symbols.iter().cloned()).collect()
+    }
+
+    pub(crate) fn has_pending_stock_pool_execution(&self) -> bool {
+        !self.deferred_stock_pools.borrow().is_empty()
+    }
+
+    pub(crate) fn finish_stock_pool_session(&self, date: NaiveDate, report: &mut BrokerExecutionReport) {
+        self.deferred_stock_pools.borrow_mut().retain(|_, pending| {
+            if pending.date <= date {
+                report.diagnostics.push(format!("stock_pool_unsubmitted_phase_expired generation={} date={date} no_buy_order_created=true",pending.contract.generation));
+                false
+            } else { true }
+        });
+    }
+}
+
+fn decimal(value: f64, label: &str) -> Result<Decimal, BacktestError> {
+    if !value.is_finite() {
+        return Err(BacktestError::Execution(format!(
+            "stock_pool_nonfinite_{label}"
+        )));
+    }
+    value
+        .to_string()
+        .parse()
+        .map_err(|_| BacktestError::Execution(format!("stock_pool_decimal_range_{label}")))
+}
+
+fn etf_activity(report:&mut BrokerExecutionReport,date:NaiveDate,symbol:&str,side:pool::OrderSide,detail:String) {
+    report.process_events.push(ProcessEvent {date,kind:ProcessEventKind::EtfExecutionFallback,order_id:None,
+        symbol:Some(symbol.into()),side:Some(if side==pool::OrderSide::Buy {OrderSide::Buy} else {OrderSide::Sell}),detail});
+}
+
+fn pool_positions(
+    portfolio: &PortfolioState,
+    date: NaiveDate,
+) -> Result<Vec<pool::Position>, BacktestError> {
+    portfolio
+        .positions()
+        .values()
+        .filter(|p| p.quantity > 0)
+        .map(|p| {
+            Ok(pool::Position {
+                symbol: p.symbol.clone(),
+                quantity: Decimal::from(p.quantity),
+                closable_quantity: Decimal::from(p.sellable_qty(date)),
+                average_cost: decimal(p.average_cost, "position_cost")?,
+            })
+        })
+        .collect()
+}
+
+#[cfg(test)]
+mod successor_protection_tests {
+    use super::*;
+    use crate::holding_policy::{AutomaticTradeLock, AutomaticTradeProtection};
+    fn day(n: u32) -> NaiveDate { NaiveDate::from_ymd_opt(2026, 9, n).unwrap() }
+
+    #[test]
+    fn deferred_etf_open_rechecks_inherited_locks_and_cooldown_before_any_order() {
+        let old = "159915.SZ";
+        let new = "159999.SZ";
+        let data = DataSet::from_components(
+            [old, new].into_iter().map(|symbol| crate::Instrument {
+                symbol: symbol.into(), name: "isolated ETF fixture".into(), board: "ETF".into(), round_lot: 100,
+                listed_at: Some(day(1)), delisted_at: None, status: "active".into(),
+            }).collect(), vec![crate::DailyMarketSnapshot {
+                date: day(15), symbol: new.into(), timestamp: None, day_open: 5., open: 5., high: 5., low: 5.,
+                close: 5., last_price: 5., bid1: 5., ask1: 5., prev_close: 5., volume: 100000,
+                minute_volume: 0, bid1_volume: 100000, ask1_volume: 100000, trading_phase: None,
+                paused: false, upper_limit: 5.5, lower_limit: 4.5, price_tick: 0.001,
+            }], vec![], vec![crate::CandidateEligibility {
+                date: day(15), symbol: new.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,
+            }], [11,14,15].into_iter().map(|n| crate::BenchmarkSnapshot {
+                date: day(n), benchmark: "000300.SH".into(), open: 100., close: 100., prev_close: 100., volume: 10000,
+            }).collect()).unwrap();
+        for mode in ["lock", "cooldown", "expired"] {
+            let broker = BrokerSimulator::new(crate::ChinaAShareCostModel::default(), crate::ChinaEquityRuleHooks)
+                .with_volume_limit(false).with_liquidity_limit(false);
+            let mut portfolio = PortfolioState::new(10000.);
+            portfolio.position_mut(old).buy(day(11), 200, 10.);
+            portfolio.position_mut(old).sell(100, 10.).unwrap();
+            broker.mark_same_day_sold(day(11), old);
+            portfolio.apply_successor_conversion(old, new, 2., 0.).unwrap();
+            let policy = AutomaticTradeProtection {
+                sell_cooldown_days: if mode == "cooldown" { 3 } else { 0 },
+                locks: if mode != "cooldown" { vec![AutomaticTradeLock {
+                    symbol: old.into(), start_date: day(11), end_date: Some(day(if mode == "expired" {14} else {15})),
+                }] } else { vec![] }, ..Default::default()
+            };
+            let rule = pool::StockPoolExecutionRule { automatic_trade_protection: policy, ..Default::default() };
+            broker.deferred_etf_targets.borrow_mut().replace_generation("pool", "latest");
+            broker.deferred_etf_targets.borrow_mut().upsert(crate::etf_execution::DeferredEtfTarget {
+                pool_id: "pool".into(), generation: "latest".into(), symbol: new.into(),
+                signal_date: day(14), signal_at: day(14).and_hms_opt(13,0,0).unwrap(), execute_on: Some(day(15)),
+                target_value: 5000.into(), target_weight_bps: 10000, side: pool::OrderSide::Buy, max_positions: 1,
+                rule: std::sync::Arc::new(rule), members: std::sync::Arc::new(vec![pool::StockPoolMemberSpec {
+                    symbol: new.into(), requested_order: 0, recommendation_reason: String::new(),
+                    target_weight_bps: None, stop_loss: None, take_profit: None,
+                }]), reason: "isolated deferred ETF target".into(),
+            });
+            let report = broker.execute_deferred_etf_targets(day(15), &mut portfolio, &data).unwrap();
+            if mode == "expired" {
+                assert_eq!(report.fill_events.len(), 1, "{report:?}");
+                assert_eq!(portfolio.position(new).unwrap().quantity, 1000);
+            } else {
+                assert!(report.order_events.is_empty(), "{mode}: {report:?}");
+                assert!(report.fill_events.is_empty());
+                assert_eq!(portfolio.position(new).unwrap().quantity, 200);
+                assert!(report.diagnostics.iter().any(|text| text.contains(if mode == "lock" {"automatic_trade_locked"} else {"sell_fill_cooldown"})));
+            }
+        }
+    }
+}
+
+impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
+    fn pool_automatic_permission(&self, symbol: &str, date: NaiveDate,
+        policy: &crate::holding_policy::AutomaticTradeProtection,
+        portfolio: &PortfolioState, data: &DataSet)
+        -> Result<crate::holding_policy::AutomaticTradePermission, BacktestError> {
+        let position = portfolio.position(symbol).filter(|position| position.quantity > 0);
+        let sold = self.same_day_sold_symbols.borrow().iter().rev()
+            .find(|(day, symbols)| **day <= date && (symbols.contains(symbol)
+                || portfolio.corporate_predecessors(symbol).any(|previous| symbols.contains(previous))))
+            .map(|(day, _)| *day);
+        let evidence = HoldingLifecycleEvidence {
+            has_position: position.is_some(), opened_date: position.and_then(|position| position.opened_date()),
+            last_buy_date: position.and_then(|position| position.last_buy_date()), last_sell_date: sold,
+        };
+        policy.evaluate_with_predecessors(symbol, date, &evidence, data.calendar(),
+            portfolio.corporate_predecessors(symbol)).map_err(BacktestError::Execution)
+    }
+
+    pub(super) fn resume_stock_pool_executions(&self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet,
+        session: &mut BrokerExecutionSession, report: &mut BrokerExecutionReport) -> Result<(), BacktestError> {
+        let clock = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time);
+        let mut expired = Vec::new();
+        for (id, pending) in self.deferred_stock_pools.borrow().iter() {
+            let end = NaiveTime::parse_from_str(&pending.contract.rule.window_end, "%H:%M")
+                .map_err(|_| BacktestError::Execution("stock_pool_execution_window_invalid".into()))?;
+            if pending.date != date || clock.is_some_and(|clock| clock >= end) { expired.push(id.clone()); }
+        }
+        for id in expired {
+            if let Some(pending) = self.deferred_stock_pools.borrow_mut().remove(&id) {
+                report.diagnostics.push(format!("stock_pool_unsubmitted_phase_expired generation={} date={date} no_buy_order_created=true",pending.contract.generation));
+            }
+        }
+        if self.has_open_orders() || clock.is_none() { return Ok(()); }
+        let pending = std::mem::take(&mut *self.deferred_stock_pools.borrow_mut());
+        for (id, pending) in pending {
+            let now = clock.expect("clock checked above");
+            let start = NaiveTime::parse_from_str(&pending.contract.rule.window_start, "%H:%M")
+                .map_err(|_| BacktestError::Execution("stock_pool_execution_window_invalid".into()))?;
+            if now < start || !pool::stock_pool_is_trading_minute(now.hour() * 60 + now.minute()) {
+                self.deferred_stock_pools.borrow_mut().insert(id, pending);
+                continue;
+            }
+            let prior_followup = self.runtime_stock_pool_followup.replace(true);
+            let prior_decision = self.runtime_decision_date.replace(Some(pending.contract.signal_date));
+            let prior_created = self.runtime_order_created_date.replace(Some(date));
+            let order_start = report.order_events.len();
+            let fill_start = report.fill_events.len();
+            report.diagnostics.push(format!("stock_pool_resume_after_order_reports generation={} clock={} cash={}",pending.contract.generation,clock.unwrap(),portfolio.cash()));
+            let result = self.process_stock_pool_contract_phase(date, portfolio, data, &pending.contract,
+                &mut session.intraday_turnover, &mut session.execution_cursors, &mut session.global_execution_cursor,
+                &mut session.commission_state, report, pending.buy_only, Some(&pending.initial_holdings));
+            self.runtime_stock_pool_followup.set(prior_followup);
+            self.runtime_decision_date.set(prior_decision);
+            self.runtime_order_created_date.set(prior_created);
+            result?;
+            Self::annotate_report_range(report, order_start, fill_start, pending.contract.signal_date, date, date);
+        }
+        Ok(())
+    }
+
+    fn pool_quote_inputs(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbols: &BTreeSet<String>,
+        execution_clock: Option<NaiveDateTime>,
+        cumulative_conditions: bool,
+    ) -> Result<(Vec<pool::MarketSnapshot>, Vec<String>), BacktestError> {
+        let mut unavailable = Vec::new();
+        let quotes = symbols
+            .iter()
+            .map(|symbol| {
+                let snapshot = data.market(date, symbol).ok_or_else(|| {
+                    BacktestError::Execution(format!(
+                        "stock_pool_execution_snapshot_missing:{symbol}:{date}"
+                    ))
+                })?;
+                let instrument = data.instruments().get(symbol).ok_or_else(|| {
+                    BacktestError::Execution(format!("stock_pool_instrument_missing:{symbol}"))
+                })?;
+                let fallback = self.pool_etf_fallback_reference(date, data, symbol, execution_clock)?;
+                let (price, prev, volume, amount, bid, ask, buy_price, sell_price) = if let Some(reference) = fallback {
+                    let calibration = self.slippage_calibration(data, snapshot)?;
+                    (reference.price, snapshot.prev_close, None, None, None, None,
+                        self.quote_execution_price(snapshot, OrderSide::Buy, reference.price, None, calibration.as_ref())?,
+                        self.quote_execution_price(snapshot, OrderSide::Sell, reference.price, None, calibration.as_ref())?)
+                } else if self
+                    .matching_type_uses_intraday_quotes()
+                {
+                    let time = self
+                        .runtime_intraday_start_time
+                        .get()
+                        .or(self.intraday_execution_start_time)
+                        .ok_or_else(|| {
+                            BacktestError::Execution(
+                                "stock_pool_intraday_execution_clock_required".into(),
+                            )
+                        })?;
+                    let clock = execution_clock
+                        .unwrap_or(date.and_time(time))
+                        .max(date.and_time(time));
+                    let quote = data
+                        .execution_quotes_on(date, symbol)
+                        .iter()
+                        .rev()
+                        .find(|quote| quote.timestamp <= clock)
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_execution_quote_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    if !quote.last_price.is_finite() || quote.last_price <= 0.0 {
+                        return Err(BacktestError::Execution(format!(
+                            "stock_pool_execution_quote_invalid:{symbol}:{clock}"
+                        )));
+                    }
+                    let raw_buy = self
+                        .select_quote_reference_price(
+                            snapshot,
+                            quote,
+                            OrderSide::Buy,
+                            self.matching_type_for_algo_request(None),
+                        )
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_buy_reference_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    let raw_sell = self
+                        .select_quote_reference_price(
+                            snapshot,
+                            quote,
+                            OrderSide::Sell,
+                            self.matching_type_for_algo_request(None),
+                        )
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_sell_reference_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    let calibration = self.slippage_calibration(data, snapshot)?;
+                    let buy = self.quote_execution_price(
+                        snapshot,
+                        OrderSide::Buy,
+                        raw_buy,
+                        None,
+                        calibration.as_ref(),
+                    )?;
+                    let sell = self.quote_execution_price(
+                        snapshot,
+                        OrderSide::Sell,
+                        raw_sell,
+                        None,
+                        calibration.as_ref(),
+                    )?;
+                    let totals = if cumulative_conditions {
+                        match data.execution_session_totals(symbol, clock) {
+                            Ok(totals) => Some(totals),
+                            Err(reason) => { unavailable.push(reason); None }
+                        }
+                    } else { None };
+                    (
+                        quote.last_price,
+                        snapshot.prev_close,
+                        totals.map(|total| total.0),
+                        totals.map(|total| total.1),
+                        Some(quote.bid1),
+                        Some(quote.ask1),
+                        buy,
+                        sell,
+                    )
+                } else {
+                    let price = snapshot.price(self.effective_execution_price_field(date));
+                    if !price.is_finite() || price <= 0.0 {
+                        return Err(BacktestError::Execution(format!(
+                            "stock_pool_execution_price_missing:{symbol}:{date}"
+                        )));
+                    }
+                    // A daily open does not reveal the session's volume/turnover.
+                    let completed = self.effective_execution_price_field(date) == PriceField::Close;
+                    let totals = if cumulative_conditions && !completed {
+                        let at = execution_clock.unwrap_or_else(|| date.and_hms_opt(9,30,0).unwrap());
+                        match data.execution_session_totals(symbol, at) {
+                            Ok(totals) => Some(totals),
+                            Err(reason) => { unavailable.push(reason); None }
+                        }
+                    } else { None };
+                    let amount = if completed && cumulative_conditions {
+                        data.factor(date, symbol).and_then(|row| row.extra_factors.get("amount")).copied()
+                            .map(|value| decimal(value, "amount")).transpose()?
+                    } else { totals.map(|total| total.1) };
+                    (
+                        price,
+                        snapshot.prev_close,
+                        if completed { Some(Decimal::from(snapshot.volume)) } else { totals.map(|total| total.0) },
+                        amount,
+                        None,
+                        None,
+                        self.snapshot_execution_price(data, snapshot, OrderSide::Buy, None)?,
+                        self.snapshot_execution_price(data, snapshot, OrderSide::Sell, None)?,
+                    )
+                };
+                Ok(pool::MarketSnapshot {
+                    symbol: symbol.clone(),
+                    last_price: decimal(price, "price")?,
+                    prev_close: Some(decimal(prev, "prev_close")?),
+                    volume,
+                    turnover: amount,
+                    bid_price_1: bid.map(|v| decimal(v, "bid")).transpose()?,
+                    ask_price_1: ask.map(|v| decimal(v, "ask")).transpose()?,
+                    is_kcb: Some(instrument.board.eq_ignore_ascii_case("KSH")),
+                    instrument_rules: Some(pool::StockPoolInstrumentRules {
+                        price_tick: decimal(snapshot.price_tick, "price_tick")?,
+                        quantity_step: instrument.order_step_size().into(),
+                        minimum_buy_quantity: instrument.minimum_order_quantity().into(),
+                    }),
+                    buy_sizing_price: Some(decimal(buy_price, "buy_price")?),
+                    sell_sizing_price: Some(decimal(sell_price, "sell_price")?),
+                })
+            })
+            .collect::<Result<Vec<_>, BacktestError>>()?;
+        Ok((quotes, unavailable))
+    }
+
+    fn pool_etf_fallback_reference(&self, date: NaiveDate, data: &DataSet, symbol: &str, clock: Option<NaiveDateTime>) -> Result<Option<crate::etf_execution::EtfFallbackReference>, BacktestError> {
+        if !self.matching_type_uses_intraday_quotes() || !self.has_verified_etf_minute_absence(date, symbol) {
+            return Ok(None);
+        }
+        let time = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time)
+            .ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: execution clock missing".into()))?;
+        let at = clock.unwrap_or(date.and_time(time)).max(date.and_time(time));
+        crate::etf_execution::reference(data, symbol, at).map(Some)
+    }
+
+    pub(super) fn process_stock_pool_contract(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        contract: &pool::FrozenStockPoolIntent,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut IntradayExecutionLedger,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
+        report: &mut BrokerExecutionReport,
+    ) -> Result<(), BacktestError> {
+        self.process_stock_pool_contract_phase(date, portfolio, data, contract, intraday_turnover,
+            execution_cursors, global_execution_cursor, commission_state, report, false, None)
+    }
+
+    fn process_stock_pool_contract_phase(
+        &self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet,
+        contract: &pool::FrozenStockPoolIntent, intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut IntradayExecutionLedger, global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>, report: &mut BrokerExecutionReport, buy_only: bool,
+        initial_holdings: Option<&BTreeSet<String>>,
+    ) -> Result<(), BacktestError> {
+        if contract.signal_date > date
+            || contract.frozen_equity < Decimal::ZERO
+            || contract.generation.is_empty()
+            || contract.pool_id.trim().is_empty()
+        {
+            return Err(BacktestError::Execution(
+                "stock_pool_frozen_intent_invalid".into(),
+            ));
+        }
+        if self.matching_type == MatchingType::NextBarOpen && contract.signal_date >= date {
+            return Err(BacktestError::Execution(
+                "stock_pool_next_open_requires_prior_signal".into(),
+            ));
+        }
+        let mut selection = contract.selection.clone();
+        let mut members = contract.members.clone();
+        for symbol in &contract.selection.requested_symbols {
+            let instrument = data.instruments().get(symbol).ok_or_else(|| {
+                BacktestError::Execution(format!("stock_pool_instrument_missing:{symbol}"))
+            })?;
+            if portfolio.position(symbol).is_none()
+                && let Some(reason) = instrument.dated_market_absence_reason(date)
+            {
+                selection.requested_symbols.retain(|v| v != symbol);
+                selection.normal_trading_symbols.retain(|v| v != symbol);
+                selection.risk_eligible_symbols.retain(|v| v != symbol);
+                selection.final_symbols.retain(|v| v != symbol);
+                members.retain(|v| &v.symbol != symbol);
+                report.diagnostics.push(format!(
+                    "stock_pool_market_absence symbol={symbol} date={date} reason={reason}"
+                ));
+            }
+        }
+        let mut scope = selection
+            .requested_symbols
+            .iter()
+            .cloned()
+            .collect::<BTreeSet<_>>();
+        scope.extend(portfolio.positions().keys().cloned());
+        let before_positions = initial_holdings.cloned().unwrap_or_else(|| portfolio.positions().keys().cloned().collect());
+        let official_dates = data.calendar().iter().collect::<Vec<_>>();
+        let initial_positions = pool_positions(portfolio, date)?;
+        let state = portfolio
+            .stock_pool_execution_state(&contract.pool_id)
+            .observe(
+                contract.signal_date,
+                date,
+                &official_dates,
+                &members,
+                &initial_positions,
+            )
+            .map_err(BacktestError::Execution)?;
+        portfolio
+            .set_stock_pool_execution_state(&contract.pool_id, state)
+            .map_err(BacktestError::Execution)?;
+        let superseded = self.deferred_etf_targets.borrow_mut().replace_generation(&contract.pool_id, &contract.generation);
+        if superseded > 0 { report.diagnostics.push(format!("etf_daily_open_fallback:superseded pool={} generation={} targets={superseded}", contract.pool_id, contract.generation)); }
+        if self.has_open_orders() {
+            self.deferred_stock_pools.borrow_mut().insert(contract.pool_id.clone(), DeferredStockPoolExecution {
+                date, contract: Box::new(contract.clone()), buy_only, symbols: scope, initial_holdings: before_positions,
+            });
+            report
+                .diagnostics
+                .push("stock_pool_waiting_for_active_orders no_new_intent=true".into());
+            return Ok(());
+        }
+        let mut constraints = contract.constraints.clone();
+        constraints.execution_date = Some(date);
+        constraints.frozen_positions.clear();
+        let mut quote_scope = scope.clone();
+        for symbol in &scope {
+            let paused = data.market(date, symbol).is_some_and(|row| row.paused)
+                || data
+                    .candidate(date, symbol)
+                    .is_some_and(|row| row.is_paused);
+            if !paused {
+                continue;
+            }
+            quote_scope.remove(symbol);
+            if let Some(position) = portfolio
+                .position(symbol)
+                .filter(|position| position.quantity > 0)
+            {
+                constraints.frozen_positions.insert(
+                    symbol.clone(),
+                    pool::FrozenStockPoolPosition {
+                        trade_date: date,
+                        reason: "paused".into(),
+                        valuation_price: decimal(position.last_price, "paused_holding_valuation")?,
+                    },
+                );
+            } else {
+                selection
+                    .normal_trading_symbols
+                    .retain(|item| item != symbol);
+                selection
+                    .risk_eligible_symbols
+                    .retain(|item| item != symbol);
+                selection.final_symbols.retain(|item| item != symbol);
+                selection
+                    .exclusion_reasons
+                    .entry(symbol.clone())
+                    .or_default()
+                    .push("paused".into());
+            }
+        }
+        // All delayed symbols in a generation share immutable configuration.
+        // Do not duplicate an N-member pool N times in a large mixed pool.
+        let mut deferred_configuration = None;
+        for side in [pool::OrderSide::Sell, pool::OrderSide::Buy] {
+            if buy_only && side == pool::OrderSide::Sell { continue; }
+            if side == pool::OrderSide::Buy && self.has_open_orders()
+                && self.effective_rebalance_cash_mode() == RebalanceCashMode::SellThenBuy {
+                self.deferred_stock_pools.borrow_mut().insert(contract.pool_id.clone(), DeferredStockPoolExecution {
+                    date, contract: Box::new(contract.clone()), buy_only: true, symbols: quote_scope.clone(), initial_holdings: before_positions.clone(),
+                });
+                report.diagnostics.push(format!("stock_pool_waiting_for_sell_reports generation={} no_buy_order_created=true",contract.generation));
+                break;
+            }
+            let mut fallback_references = BTreeMap::new();
+            for symbol in &quote_scope {
+                if let Some(reference) = self.pool_etf_fallback_reference(date, data, symbol, *global_execution_cursor)? {
+                    let condition = if side == pool::OrderSide::Buy { &contract.rule.buy_condition } else { &contract.rule.sell_condition };
+                    if !condition.trim().is_empty() {
+                        return Err(BacktestError::Execution(format!("etf_daily_open_fallback: intraday condition evidence unavailable symbol={symbol} side={side:?}; daily reference is not a minute or tick signal")));
+                    }
+                    fallback_references.insert(symbol.clone(), reference);
+                }
+            }
+            let (quotes, unavailable) = self.pool_quote_inputs(date, data, &quote_scope, *global_execution_cursor,
+                crate::stock_pool_quote_facts::requires_session_totals(&contract.rule))?;
+            let positions = pool_positions(portfolio, date)?;
+            let execution_state = portfolio
+                .stock_pool_execution_state(&contract.pool_id)
+                .observe(
+                    contract.signal_date,
+                    date,
+                    &official_dates,
+                    &members,
+                    &positions,
+                )
+                .map_err(BacktestError::Execution)?;
+            constraints.pending_entry_symbols = execution_state.pending_symbols();
+            constraints.prior_target_weights = execution_state.last_target_weights.clone();
+            constraints.position_action_bases = execution_state.position_action_bases_for(&contract.generation);
+            constraints.next_day_outside_exit_symbols = execution_state.next_day_exit_symbols(date);
+            let account = pool::AccountSnapshot {
+                total_equity: contract.frozen_equity,
+                cash: decimal(portfolio.cash(), "cash")?,
+                frozen_cash: Decimal::ZERO,
+            };
+            constraints.automatic_permissions.clear();
+            if contract.rule.automatic_trade_protection.enabled() {
+                for symbol in &scope {
+                    let permission = self.pool_automatic_permission(symbol, date,
+                        &contract.rule.automatic_trade_protection, portfolio, data)?;
+                    constraints
+                        .automatic_permissions
+                        .insert(symbol.clone(), permission);
+                }
+            }
+            if side == pool::OrderSide::Buy {
+                for (symbol, reference) in &fallback_references {
+                    if !reference.immediate {
+                        // The sell leg was queued, not filled. Keep its real
+                        // holdings/slots and do not finance buys with proceeds
+                        // from the following session.
+                        constraints.automatic_permissions.entry(symbol.clone()).or_default()
+                            .sell_denial.get_or_insert("etf_daily_open_deferred");
+                    }
+                }
+            }
+            if self
+                .risk_config
+                .static_rules
+                .forbid_same_day_rebuy_after_sell
+            {
+                constraints.same_day_sold_symbols.extend(
+                    self.same_day_sold_symbols
+                        .borrow()
+                        .get(&date)
+                        .into_iter()
+                        .flatten()
+                        .cloned(),
+                );
+            }
+            constraints.same_day_sold_symbols.extend(
+                before_positions
+                    .iter()
+                    .filter(|symbol| portfolio.position(symbol).is_none_or(|p| p.quantity == 0))
+                    .cloned(),
+            );
+            let fee =
+                |symbol: &str, side: pool::OrderSide, gross: Decimal| -> Result<Decimal, String> {
+                    let amount = gross
+                        .to_f64()
+                        .ok_or("stock_pool_cost_amount_out_of_range")?;
+                    decimal(
+                        self.cost_model
+                            .calculate_for_instrument(
+                                date,
+                                if side == pool::OrderSide::Buy {
+                                    OrderSide::Buy
+                                } else {
+                                    OrderSide::Sell
+                                },
+                                amount,
+                                data.instruments().get(symbol),
+                            )
+                            .total(),
+                        "fee",
+                    )
+                    .map_err(|e| e.to_string())
+                };
+            let plan = pool::build_stock_pool_target_plan_with_fee_model(
+                &selection,
+                &members,
+                &contract.rule,
+                &account,
+                &positions,
+                &quotes,
+                contract.invest_ratio_bps,
+                contract.reserve_cash,
+                &contract.out_of_pool_policy,
+                "full_rebalance",
+                &constraints,
+                &contract.generation,
+                Decimal::ZERO,
+                Decimal::ZERO,
+                Decimal::ZERO,
+                Some(&fee),
+            )
+            .map_err(|error| BacktestError::Execution(if !unavailable.is_empty()
+                && (error.contains("requires volume") || error.contains("requires amount")) {
+                    format!("{error}; {}", unavailable.join("; "))
+                } else { error }))?;
+            report.diagnostics.extend(unavailable.into_iter().map(|reason| format!("stock_pool_quote_fact_unavailable {reason}")));
+            let mut updated = execution_state
+                .record_plan(contract.signal_date, &contract.generation, &plan)
+                .map_err(BacktestError::Execution)?;
+            for (symbol, reference) in &fallback_references {
+                if !reference.immediate && let Some(entry) = updated.entries.get_mut(symbol) {
+                    // The signal only fixes money, not shares at a stale close.
+                    entry.completion_quantity = None;
+                }
+            }
+            portfolio
+                .set_stock_pool_execution_state(&contract.pool_id, updated)
+                .map_err(BacktestError::Execution)?;
+            report.diagnostics.push(format!("stock_pool_plan phase={side:?} generation={} requested_bps={} effective_bps={} budget={}",contract.generation,plan.requested_invest_ratio_bps,plan.effective_invest_ratio_bps,plan.budget));
+            let max_positions = constraints
+                .target_holding_count
+                .unwrap_or(selection.final_symbols.len());
+            for row in plan.rows {
+                if side == pool::OrderSide::Buy && row.side.is_none() {
+                    report.diagnostics.push(format!(
+                        "stock_pool_decision symbol={} status={} current={} target={} reason={}",
+                        row.symbol,
+                        row.status,
+                        row.current_quantity,
+                        row.target_quantity,
+                        row.reason
+                    ));
+                }
+                if row.side != Some(side) {
+                    continue;
+                }
+                if let Some(reference) = fallback_references.get(&row.symbol) {
+                    let time = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time).expect("fallback clock validated");
+                    let at = global_execution_cursor.unwrap_or(date.and_time(time)).max(date.and_time(time));
+                    if !reference.immediate {
+                        report.diagnostics.push(format!("etf_daily_open_fallback:deferred symbol={} signal_at={at} reference_date={} reference_price={} target_value={} execute_on={:?}", row.symbol, reference.reference_date, reference.price, row.target_value, reference.execute_on));
+                        let deferred = deferred_configuration.get_or_insert_with(|| (
+                            std::sync::Arc::new(contract.rule.clone()), std::sync::Arc::new(members.clone()),
+                        ));
+                        let opening_date=reference.execute_on.map(|day|day.to_string()).unwrap_or_else(||"回测区间外（后续日历未加载）".into());
+                        etf_activity(report,date,&row.symbol,side,format!("ETF 顺延执行：信号 {at}，参考 {} 收盘 {}，目标金额 {}，下一正式开盘日 {opening_date}；未生成成交。",reference.reference_date,reference.price,row.target_value));
+                        self.deferred_etf_targets.borrow_mut().upsert(crate::etf_execution::DeferredEtfTarget {
+                            pool_id:contract.pool_id.clone(), generation:contract.generation.clone(), symbol:row.symbol.clone(),
+                            signal_date:contract.signal_date, signal_at:at, execute_on:reference.execute_on,
+                            target_value:row.target_value, target_weight_bps:row.target_weight_bps, side,
+                            max_positions, rule:std::sync::Arc::clone(&deferred.0), members:std::sync::Arc::clone(&deferred.1),
+                            reason:row.source_intent.clone().unwrap_or_else(||"stock_pool_target".into()),
+                        });
+                        continue;
+                    }
+                }
+                if side == pool::OrderSide::Buy
+                    && portfolio
+                        .position(&row.symbol)
+                        .is_none_or(|p| p.quantity == 0)
+                    && Self::positive_position_count(portfolio) >= max_positions
+                {
+                    report.diagnostics.push(format!(
+                        "stock_pool_buy_deferred symbol={} reason=occupied_position_slots",
+                        row.symbol
+                    ));
+                    continue;
+                }
+                let target = row.target_quantity.to_i32().ok_or_else(|| {
+                    BacktestError::Execution("stock_pool_target_quantity_out_of_range".into())
+                })?;
+                let fallback_reason = fallback_references.contains_key(&row.symbol).then(|| format!("{}: etf_daily_open_fallback signal_date={} execution_date={date}", row.source_intent.as_deref().unwrap_or("stock_pool_target"), contract.signal_date));
+                let reason = fallback_reason.as_deref().unwrap_or_else(|| row.source_intent.as_deref().unwrap_or("stock_pool_target"));
+                let first_fill = report.fill_events.len();
+                if fallback_references.contains_key(&row.symbol) {
+                    report.diagnostics.push(format!("etf_daily_open_fallback:opening symbol={} signal_date={} execution_date={date}", row.symbol, contract.signal_date));
+                    etf_activity(report,date,&row.symbol,side,format!("ETF 日线开盘回退：信号日 {}，执行日 {date}，使用正式日线开盘价；不是分钟成交行情。",contract.signal_date));
+                }
+                let mut execute = || if let Some(price) = row.limit_price {
+                    self.process_limit_target_shares(
+                        date,
+                        portfolio,
+                        data,
+                        &row.symbol,
+                        target,
+                        price.to_f64().ok_or_else(|| {
+                            BacktestError::Execution("stock_pool_limit_price_out_of_range".into())
+                        })?,
+                        reason,
+                        intraday_turnover,
+                        execution_cursors,
+                        global_execution_cursor,
+                        commission_state,
+                        report,
+                    )
+                } else {
+                    self.process_target_shares(
+                        date,
+                        portfolio,
+                        data,
+                        &row.symbol,
+                        target,
+                        reason,
+                        intraday_turnover,
+                        execution_cursors,
+                        global_execution_cursor,
+                        commission_state,
+                        report,
+                    )
+                };
+                if fallback_references.contains_key(&row.symbol) {
+                    self.with_etf_daily_open(execute)?;
+                    for fill in &mut report.fill_events[first_fill..] {
+                        fill.execution_start_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                        fill.execution_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                    }
+                } else { execute()?; }
+            }
+        }
+        Ok(())
+    }
+
+    pub(crate) fn pending_etf_target_count(&self) -> usize {
+        self.deferred_etf_targets.borrow().len()
+    }
+
+    /// Called at the opening clock, after settlement/corporate actions and
+    /// auction callbacks. It never sends a stock order or replays a strategy.
+    pub(crate) fn execute_deferred_etf_targets(&self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet) -> Result<BrokerExecutionReport, BacktestError> {
+        self.execution_transaction(portfolio, !self.has_open_orders() && self.pending_etf_target_count() > 0, None,
+            |portfolio| self.execute_deferred_etf_targets_inner(date, portfolio, data))
+    }
+
+    fn execute_deferred_etf_targets_inner(&self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet) -> Result<BrokerExecutionReport, BacktestError> {
+        let mut report = BrokerExecutionReport::default();
+        if self.has_open_orders() {
+            if self.pending_etf_target_count() > 0 {
+                report.diagnostics.push("etf_daily_open_fallback:waiting_for_active_orders".into());
+            }
+            return Ok(report);
+        }
+        let due = self.deferred_etf_targets.borrow_mut().take_due(date);
+        let dates = data.calendar().iter().collect::<Vec<_>>();
+        for target in due {
+            let instrument = data.instrument(&target.symbol).ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: instrument identity missing at execution".into()))?;
+            if !instrument.is_exchange_traded_fund() { return Err(BacktestError::Execution("etf_daily_open_fallback: instrument identity changed".into())); }
+            if let Some(reason) = instrument.dated_market_absence_reason(date) {
+                report.diagnostics.push(format!("etf_daily_open_fallback:blocked symbol={} date={date} reason={reason}", target.symbol));
+                continue;
+            }
+            let snapshot = data.market(date, &target.symbol).ok_or_else(|| BacktestError::Execution(format!("etf_daily_open_fallback: daily_open_missing symbol={} date={date}", target.symbol)))?;
+            if !snapshot.open.is_finite() || snapshot.open <= 0.0 {
+                return Err(BacktestError::Execution(format!("etf_daily_open_fallback: daily_open_invalid symbol={} date={date}", target.symbol)));
+            }
+            let position = portfolio.position(&target.symbol).filter(|p| p.quantity > 0);
+            let before_quantity = position.map_or(0, |p| p.quantity);
+            let permission = self.pool_automatic_permission(&target.symbol, date,
+                &target.rule.automatic_trade_protection, portfolio, data)?;
+            let denial = if target.side == pool::OrderSide::Buy {
+                permission.buy_denial.or(permission.max_holding_exit.then_some("max_holding_exit_pending"))
+            } else { permission.sell_denial };
+            if let Some(denial) = denial {
+                report.diagnostics.push(format!("etf_daily_open_fallback:protected symbol={} date={date} reason={denial}", target.symbol));
+                etf_activity(&mut report,date,&target.symbol,target.side,format!("ETF 顺延目标受持有保护限制：{denial}；未提交委托。"));
+                continue;
+            }
+            if target.side == pool::OrderSide::Buy && before_quantity == 0 && Self::positive_position_count(portfolio) >= target.max_positions {
+                report.diagnostics.push(format!("etf_daily_open_fallback:blocked symbol={} reason=occupied_position_slots", target.symbol));
+                continue;
+            }
+            let value = target.target_value.to_f64().ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: target value out of range".into()))?;
+            let current_value = snapshot.open * f64::from(before_quantity);
+            let satisfied = (target.side == pool::OrderSide::Buy && value <= current_value)
+                || (target.side == pool::OrderSide::Sell && value >= current_value);
+            let reason = format!("{}: etf_daily_open_fallback signal_at={} execution_at={} target_value={}", target.reason, target.signal_at, date.and_time(crate::etf_execution::opening_time()), target.target_value);
+            let mut sub = BrokerExecutionReport::default();
+            if !satisfied {
+                let (_, limit) = pool::resolve_stock_pool_order_price(&target.rule, &target.symbol, decimal(snapshot.open, "etf_open")?, target.side, decimal(snapshot.price_tick, "etf_tick")?).map_err(BacktestError::Execution)?;
+                let intent = match limit {
+                    Some(limit) => OrderIntent::LimitTargetValue { symbol:target.symbol.clone(), target_value:value, limit_price:limit.to_f64().ok_or_else(|| BacktestError::Execution("ETF limit out of range".into()))?, reason:reason.clone() },
+                    None => OrderIntent::TargetValue { symbol:target.symbol.clone(), target_value:value, reason:reason.clone() },
+                };
+                let old_time = self.runtime_intraday_start_time.replace(Some(crate::etf_execution::opening_time()));
+                let old_origin = self.runtime_resting_order_origin.replace(Some(RestingOrderOrigin { created_date:Some(target.signal_at.date()), submission_time:Some(target.signal_at.time()), accepted_date:date }));
+                let outcome = self.with_etf_daily_open(|| self.execute_with_event_dates(date, target.signal_date, target.signal_at.date(), portfolio, data, &StrategyDecision {
+                    order_intents:vec![OrderIntent::WithTimeInForce { intent:Box::new(intent), time_in_force:OrderTimeInForce::Day }], ..Default::default()
+                }));
+                self.runtime_intraday_start_time.set(old_time);
+                self.runtime_resting_order_origin.set(old_origin);
+                sub = outcome?;
+            }
+            // The actual open determines the full requested shares. A clipped
+            // or rejected execution must not be recorded as completed entry.
+            let order = sub.order_events.iter().rev().find(|order| order.symbol == target.symbol);
+            let goal_quantity = order.map_or(before_quantity, |order| match order.side {
+                OrderSide::Buy => before_quantity.saturating_add(order.requested_quantity),
+                OrderSide::Sell => before_quantity.saturating_sub(order.requested_quantity),
+            });
+            let status = if satisfied || (order.is_none() && !self.has_open_orders()) { "BELOW_MINIMUM_TRADE_UNIT_ALREADY_SATISFIED" } else { "READY" };
+            let positions = pool_positions(portfolio, date)?;
+            let state = portfolio.stock_pool_execution_state(&target.pool_id)
+                .observe(target.signal_date, date, &dates, &target.members, &positions).map_err(BacktestError::Execution)?
+                .record_targets(target.signal_date, &target.generation, [crate::stock_pool_state::StockPoolGoalObservation {
+                    symbol:&target.symbol, target_weight_bps:target.target_weight_bps, target_value:target.target_value,
+                    current_quantity:before_quantity.into(), target_quantity:goal_quantity.into(), status,
+                }]).map_err(BacktestError::Execution)?
+                .observe(target.signal_date, date, &dates, &target.members, &positions).map_err(BacktestError::Execution)?;
+            portfolio.set_stock_pool_execution_state(&target.pool_id, state).map_err(BacktestError::Execution)?;
+            for fill in &mut sub.fill_events {
+                fill.decision_date.get_or_insert(target.signal_date);
+                fill.order_created_date.get_or_insert(target.signal_at.date());
+                fill.execution_date.get_or_insert(date);
+                fill.execution_start_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                fill.execution_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+            }
+            for order in &mut sub.order_events {
+                order.decision_date.get_or_insert(target.signal_date);
+                order.order_created_date.get_or_insert(target.signal_at.date());
+                order.execution_date.get_or_insert(date);
+            }
+            report.diagnostics.push(reason);
+            etf_activity(&mut report,date,&target.symbol,target.side,format!("ETF 顺延目标开盘处理：原信号 {}，本次 {date} 09:30，冻结目标金额 {}，持仓 {before_quantity} → {}；按本日开盘价、资金与风控重新定量。",target.signal_at,target.target_value,portfolio.position(&target.symbol).map_or(0,|position|position.quantity)));
+            report.order_events.extend(sub.order_events);
+            report.fill_events.extend(sub.fill_events);
+            report.position_events.extend(sub.position_events);
+            report.account_events.extend(sub.account_events);
+            report.process_events.extend(sub.process_events);
+            report.diagnostics.extend(sub.diagnostics);
+        }
+        Ok(report)
+    }
+}

crates/fidc-core/src/broker_stock_pool_batch_tests.rs

@@ -0,0 +1,684 @@
+fn pool_batch_data() -> DataSet {
+    pool_batch_data_with(|_| true)
+}
+
+fn pool_batch_data_with(change: impl Fn(&mut IntradayExecutionQuote) -> bool) -> DataSet {
+    let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
+    let instruments = symbols
+        .iter()
+        .map(|symbol| Instrument {
+            symbol: (*symbol).into(),
+            ..limit_test_instrument()
+        })
+        .collect();
+    let snapshots = symbols
+        .iter()
+        .map(|symbol| DailyMarketSnapshot {
+            symbol: (*symbol).into(),
+            ..limit_test_snapshot()
+        })
+        .collect();
+    let candidates = symbols
+        .iter()
+        .map(|symbol| CandidateEligibility {
+            symbol: (*symbol).into(),
+            ..limit_test_candidate(true, true)
+        })
+        .collect();
+    let mut quotes = Vec::new();
+    for minute in [30, 31, 32, 33, 34, 36] {
+        for symbol in symbols {
+            let price = if symbol == "000001.SZ" && minute > 30 {
+                10.5
+            } else {
+                10.0
+            };
+            let mut quote = limit_test_quote(price, price, price);
+            quote.symbol = symbol.into();
+            quote.timestamp = quote.date.and_hms_opt(9, minute, 0).unwrap();
+            quote.volume_delta = 200;
+            quote.bid1_volume = 200;
+            quote.ask1_volume = 200;
+            quote.amount_delta = price * 200.0;
+            if change(&mut quote) {
+                quotes.push(quote);
+            }
+        }
+    }
+    DataSet::from_components_with_actions_and_quotes(
+        instruments,
+        snapshots,
+        Vec::new(),
+        candidates,
+        vec![limit_test_benchmark()],
+        Vec::new(),
+        quotes,
+    )
+    .unwrap()
+    .with_additional_trading_dates([chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap()])
+}
+
+fn pool_batch_decision(symbol: &str, generation: &str, end: &str) -> StrategyDecision {
+    use crate::stock_pool_execution as pool;
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let symbols = vec![symbol.to_owned()];
+    let rule = pool::StockPoolExecutionRule {
+        pricing_mode: pool::POOL_PRICE_FIXED_LIMIT.into(),
+        fixed_prices: [
+            ("000001.SZ".into(), rust_decimal::Decimal::new(104, 1)),
+            ("000002.SZ".into(), 10.into()),
+            ("000003.SZ".into(), 10.into()),
+        ]
+        .into(),
+        window_end: end.into(),
+        ..Default::default()
+    };
+    StrategyDecision {
+        order_intents: vec![OrderIntent::StockPool {
+            contract: Box::new(pool::FrozenStockPoolIntent {
+                pool_id: "batch-test".into(),
+                signal_date: signal,
+                frozen_equity: 2000.into(),
+                selection: pool::StockPoolSelection {
+                    trade_date: signal,
+                    requested_symbols: symbols.clone(),
+                    normal_trading_symbols: symbols.clone(),
+                    risk_eligible_symbols: symbols.clone(),
+                    final_symbols: symbols,
+                    exclusion_reasons: Default::default(),
+                    inherited_from_generation: None,
+                    explicit_empty: false,
+                    generation: Some(generation.into()),
+                },
+                members: vec![pool::StockPoolMemberSpec {
+                    symbol: symbol.into(),
+                    recommendation_reason: String::new(),
+                    requested_order: 0,
+                    target_weight_bps: None,
+                    stop_loss: None,
+                    take_profit: None,
+                }],
+                rule,
+                constraints: pool::StockPoolDecisionConstraints {
+                    target_holding_count: Some(1),
+                    ..Default::default()
+                },
+                invest_ratio_bps: 10000,
+                reserve_cash: 0.into(),
+                out_of_pool_policy: "reduce_to_zero_when_sellable".into(),
+                generation: generation.into(),
+            }),
+        }],
+        ..Default::default()
+    }
+}
+
+fn pool_batch_broker(partial: bool) -> BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks> {
+    let cost = ChinaAShareCostModel::from_trading_constraints(
+        crate::risk_control::TradingConstraintConfig {
+            commission_rate: 0.0,
+            minimum_commission: 0.0,
+            stamp_tax_rate_before_change: 0.0,
+            stamp_tax_rate_after_change: 0.0,
+            transfer_fee_rate: 0.0,
+            ..Default::default()
+        },
+    );
+    let broker =
+        BrokerSimulator::new_with_execution_price(cost, ChinaEquityRuleHooks, PriceField::Open)
+            .with_matching_type(if partial {
+                MatchingType::MinuteLast
+            } else {
+                MatchingType::NextBarOpen
+            })
+            .with_volume_limit(partial)
+            .with_volume_percent(0.5)
+            .with_liquidity_limit(false)
+            .with_inactive_limit(false);
+    if partial {
+        broker
+            .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(9, 30, 0).unwrap())
+    } else {
+        broker
+    }
+}
+
+fn pool_batch_account() -> PortfolioState {
+    let mut account = PortfolioState::new(0.0);
+    account.position_mut("000001.SZ").buy(
+        chrono::NaiveDate::from_ymd_opt(2024, 12, 30).unwrap(),
+        200,
+        10.0,
+    );
+    account
+}
+
+fn pool_batch_tick(
+    broker: &BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
+    account: &mut PortfolioState,
+    data: &DataSet,
+    minute: u32,
+    decision: &StrategyDecision,
+) -> BrokerExecutionReport {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    broker
+        .runtime_intraday_start_time
+        .set(Some(chrono::NaiveTime::from_hms_opt(9, minute, 0).unwrap()));
+    broker
+        .runtime_intraday_end_time
+        .set(Some(chrono::NaiveTime::from_hms_opt(9, minute, 0).unwrap()));
+    broker.execute(date, account, data, decision).unwrap()
+}
+
+#[test]
+fn stock_pool_pending_sell_continues_buy_after_actual_fill_without_strategy_rerun() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let data = pool_batch_data();
+    let broker = pool_batch_broker(false);
+    let mut account = pool_batch_account();
+    let initial = broker
+        .execute_with_event_dates(
+            date,
+            signal,
+            signal,
+            &mut account,
+            &data,
+            &pool_batch_decision("000002.SZ", "first", "09:35"),
+        )
+        .unwrap();
+    assert!(initial.fill_events.is_empty());
+    assert_eq!(broker.open_order_views().len(), 1);
+    assert_eq!(broker.open_order_views()[0].side, OrderSide::Sell);
+    let done = pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        31,
+        &StrategyDecision::default(),
+    );
+    assert!(
+        done.fill_events
+            .iter()
+            .any(|fill| fill.symbol == "000001.SZ" && fill.side == OrderSide::Sell)
+    );
+    assert_eq!(
+        account.position("000002.SZ").map(|p| p.quantity),
+        Some(200),
+        "sell proceeds must trigger the retained buy phase: {:?}",
+        done.diagnostics
+    );
+    assert!(
+        account
+            .position("000001.SZ")
+            .is_none_or(|p| p.quantity == 0)
+    );
+    let repeated = pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        32,
+        &StrategyDecision::default(),
+    );
+    assert!(repeated.order_events.is_empty() && repeated.fill_events.is_empty());
+}
+
+#[test]
+fn stock_pool_partial_sell_waits_for_the_whole_batch_and_never_reissues_buys() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let data = pool_batch_data();
+    let broker = pool_batch_broker(true);
+    let mut account = pool_batch_account();
+    broker
+        .execute_with_event_dates(
+            date,
+            signal,
+            signal,
+            &mut account,
+            &data,
+            &pool_batch_decision("000002.SZ", "partial", "09:35"),
+        )
+        .unwrap();
+    let first = pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        31,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+    assert!(account.position("000002.SZ").is_none());
+    assert!(
+        first
+            .order_events
+            .iter()
+            .all(|event| event.side == OrderSide::Sell)
+    );
+    let second = pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        32,
+        &StrategyDecision::default(),
+    );
+    let third = pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        33,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(account.position("000002.SZ").unwrap().quantity, 200);
+    let ids = second
+        .order_events
+        .iter()
+        .chain(&third.order_events)
+        .filter(|event| event.side == OrderSide::Buy)
+        .filter_map(|event| event.order_id)
+        .collect::<std::collections::BTreeSet<_>>();
+    assert_eq!(
+        ids.len(),
+        1,
+        "one buy intention; partial reports must keep its ID"
+    );
+    assert!(
+        pool_batch_tick(
+            &broker,
+            &mut account,
+            &data,
+            34,
+            &StrategyDecision::default()
+        )
+        .order_events
+        .is_empty()
+    );
+}
+
+#[test]
+fn stock_pool_delayed_sell_does_not_start_buys_after_the_configured_window() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let data = pool_batch_data();
+    let broker = pool_batch_broker(true);
+    let mut account = pool_batch_account();
+    broker
+        .execute_with_event_dates(
+            date,
+            signal,
+            signal,
+            &mut account,
+            &data,
+            &pool_batch_decision("000002.SZ", "expired", "09:32"),
+        )
+        .unwrap();
+    pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        31,
+        &StrategyDecision::default(),
+    );
+    let last = pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        32,
+        &StrategyDecision::default(),
+    );
+    assert!(account.position("000002.SZ").is_none());
+    assert!(
+        last.order_events
+            .iter()
+            .all(|event| event.side == OrderSide::Sell)
+    );
+    assert!(
+        last.diagnostics
+            .iter()
+            .any(|event| event.contains("unsubmitted_phase_expired"))
+    );
+    assert!(!broker.has_pending_stock_pool_execution());
+}
+
+#[test]
+fn stock_pool_new_signal_supersedes_the_unsubmitted_buy_phase() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let data = pool_batch_data();
+    let broker = pool_batch_broker(true);
+    let mut account = pool_batch_account();
+    broker
+        .execute_with_event_dates(
+            date,
+            signal,
+            signal,
+            &mut account,
+            &data,
+            &pool_batch_decision("000002.SZ", "old", "09:35"),
+        )
+        .unwrap();
+    pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        31,
+        &pool_batch_decision("000003.SZ", "new", "09:35"),
+    );
+    pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        32,
+        &StrategyDecision::default(),
+    );
+    pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        33,
+        &StrategyDecision::default(),
+    );
+    assert!(account.position("000002.SZ").is_none());
+    assert_eq!(account.position("000003.SZ").unwrap().quantity, 200);
+    assert!(!broker.has_pending_stock_pool_execution());
+}
+
+#[test]
+fn stock_pool_after_sell_uses_fresh_quotes_and_actual_submission_clock() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let data = pool_batch_data_with(|quote| {
+        if quote.symbol == "000002.SZ" {
+            quote.last_price = 10.2;
+            quote.bid1 = 10.2;
+            quote.ask1 = 10.2;
+            quote.amount_delta = 2040.0;
+        }
+        true
+    });
+    let broker = pool_batch_broker(false);
+    let mut account = pool_batch_account();
+    let mut decision = pool_batch_decision("000002.SZ", "fresh", "09:35");
+    if let OrderIntent::StockPool { contract } = &mut decision.order_intents[0] {
+        contract.rule.pricing_mode = crate::stock_pool_execution::POOL_PRICE_FORMULA_LIMIT.into();
+        contract.rule.sell_offset_bps = 400;
+    }
+    broker
+        .execute_with_event_dates(date, signal, signal, &mut account, &data, &decision)
+        .unwrap();
+    let result = pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        31,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        account.position("000002.SZ").unwrap().quantity,
+        100,
+        "2000/10.2 rounds to one 100-share lot, not 200 at stale open"
+    );
+    let fill = result
+        .fill_events
+        .iter()
+        .find(|fill| fill.symbol == "000002.SZ")
+        .unwrap();
+    assert_eq!(fill.price, 10.2);
+    assert_eq!(
+        fill.execution_start_timestamp,
+        Some(date.and_hms_opt(9, 31, 0).unwrap())
+    );
+    let event = result
+        .order_events
+        .iter()
+        .find(|event| event.side == OrderSide::Buy)
+        .unwrap();
+    assert_eq!(event.decision_date, Some(signal));
+    assert_eq!(event.order_created_date, Some(date));
+}
+
+#[test]
+fn stock_pool_after_sell_rejects_missing_quote_instead_of_reusing_daily_open() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let data = pool_batch_data_with(|quote| quote.symbol != "000002.SZ");
+    let broker = pool_batch_broker(false);
+    let mut account = pool_batch_account();
+    broker
+        .execute_with_event_dates(
+            date,
+            signal,
+            signal,
+            &mut account,
+            &data,
+            &pool_batch_decision("000002.SZ", "missing", "09:35"),
+        )
+        .unwrap();
+    broker
+        .runtime_intraday_start_time
+        .set(Some(chrono::NaiveTime::from_hms_opt(9, 31, 0).unwrap()));
+    broker
+        .runtime_intraday_end_time
+        .set(Some(chrono::NaiveTime::from_hms_opt(9, 31, 0).unwrap()));
+    let error = broker
+        .execute(date, &mut account, &data, &StrategyDecision::default())
+        .unwrap_err();
+    assert!(
+        error
+            .to_string()
+            .contains("stock_pool_execution_quote_missing:000002.SZ"),
+        "{error}"
+    );
+    assert!(account.position("000002.SZ").is_none());
+}
+
+#[test]
+fn stock_pool_delayed_take_profit_does_not_rebuy_the_same_generation_exit() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let data = pool_batch_data();
+    let broker = pool_batch_broker(false);
+    let mut account = PortfolioState::new(0.0);
+    account.position_mut("000001.SZ").buy(
+        chrono::NaiveDate::from_ymd_opt(2024, 12, 30).unwrap(),
+        200,
+        9.0,
+    );
+    let mut decision = pool_batch_decision("000002.SZ", "take-profit", "09:35");
+    if let OrderIntent::StockPool { contract } = &mut decision.order_intents[0] {
+        let symbols = vec!["000001.SZ".to_owned(), "000002.SZ".to_owned()];
+        contract.selection.requested_symbols = symbols.clone();
+        contract.selection.normal_trading_symbols = symbols.clone();
+        contract.selection.risk_eligible_symbols = symbols.clone();
+        contract.selection.final_symbols = symbols;
+        contract.constraints.target_holding_count = Some(2);
+        contract.members.insert(
+            0,
+            crate::stock_pool_execution::StockPoolMemberSpec {
+                symbol: "000001.SZ".into(),
+                recommendation_reason: String::new(),
+                requested_order: 0,
+                target_weight_bps: None,
+                stop_loss: None,
+                take_profit: Some(rust_decimal::Decimal::new(5, 2)),
+            },
+        );
+        contract.members[1].requested_order = 1;
+    }
+    broker
+        .execute_with_event_dates(date, signal, signal, &mut account, &data, &decision)
+        .unwrap();
+    let result = pool_batch_tick(
+        &broker,
+        &mut account,
+        &data,
+        31,
+        &StrategyDecision::default(),
+    );
+    assert!(
+        account
+            .position("000001.SZ")
+            .is_none_or(|p| p.quantity == 0)
+    );
+    assert_eq!(account.position("000002.SZ").unwrap().quantity, 200);
+    assert!(
+        !result
+            .order_events
+            .iter()
+            .any(|event| event.symbol == "000001.SZ" && event.side == OrderSide::Buy)
+    );
+}
+
+#[test]
+fn stock_pool_pending_phase_cannot_cross_the_execution_session() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let signal = chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap();
+    let data = pool_batch_data();
+    let broker = pool_batch_broker(false);
+    let mut account = pool_batch_account();
+    let mut report = broker
+        .execute_with_event_dates(
+            date,
+            signal,
+            signal,
+            &mut account,
+            &data,
+            &pool_batch_decision("000002.SZ", "end", "09:35"),
+        )
+        .unwrap();
+    assert!(broker.has_pending_stock_pool_execution());
+    broker.finish_stock_pool_session(date, &mut report);
+    assert!(!broker.has_pending_stock_pool_execution());
+    assert!(
+        report
+            .diagnostics
+            .iter()
+            .any(|event| event.contains("unsubmitted_phase_expired"))
+    );
+    assert_eq!(
+        broker.open_order_views().len(),
+        1,
+        "session cleanup preserves broker order history and remainder"
+    );
+}
+
+#[test]
+fn stock_pool_engine_drives_the_pending_buy_without_a_minute_strategy_callback() {
+    use crate::{BacktestConfig, BacktestEngine, BacktestError, Strategy, StrategyContext};
+    struct DailyPool;
+    impl Strategy for DailyPool {
+        fn name(&self) -> &str {
+            "daily-pool-batch"
+        }
+        fn requires_minute_callbacks(&self) -> bool {
+            false
+        }
+        fn schedule_rules(&self) -> Vec<crate::ScheduleRule> {
+            vec![
+                crate::ScheduleRule::daily("open", crate::ScheduleStage::OnDay)
+                    .with_time_rule(crate::ScheduleTimeRule::physical_time(9, 30)),
+            ]
+        }
+        fn on_scheduled(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+            _: &crate::ScheduleRule,
+        ) -> Result<StrategyDecision, BacktestError> {
+            if ctx.execution_date.day() == 2 {
+                Ok(StrategyDecision {
+                    order_intents: vec![OrderIntent::LimitTargetShares {
+                        symbol: "000001.SZ".into(),
+                        target_quantity: 200,
+                        limit_price: 10.0,
+                        reason: "initial-entry".into(),
+                    }],
+                    ..Default::default()
+                })
+            } else {
+                Ok(pool_batch_decision("000002.SZ", "rotation", "09:35"))
+            }
+        }
+        fn on_minute(
+            &mut self,
+            _: &StrategyContext<'_>,
+            _: &IntradayExecutionQuote,
+        ) -> Result<StrategyDecision, BacktestError> {
+            panic!("this daily strategy must not be rerun to continue a pending batch")
+        }
+    }
+    use chrono::Datelike;
+    let first = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let last = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let base = pool_batch_data();
+    let mut market = Vec::new();
+    let mut factors = Vec::new();
+    let mut candidates = Vec::new();
+    let mut benchmarks = Vec::new();
+    let mut quotes = Vec::new();
+    for date in [first, last] {
+        for symbol in ["000001.SZ", "000002.SZ", "000003.SZ"] {
+            let mut row = base.market(first, symbol).unwrap().clone();
+            row.date = date;
+            market.push(row);
+            let mut row = base.candidate(first, symbol).unwrap().clone();
+            row.date = date;
+            candidates.push(row);
+            factors.push(crate::data::DailyFactorSnapshot {
+                date,
+                symbol: symbol.into(),
+                market_cap_bn: 10.,
+                free_float_cap_bn: 10.,
+                pe_ttm: 10.,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                adjustment_factor_backward1: Some(1.),
+                extra_factors: Default::default(),
+            });
+            for original in base.execution_quotes_on(first, symbol) {
+                let mut quote = original.clone();
+                quote.date = date;
+                quote.timestamp = date.and_time(original.timestamp.time());
+                quotes.push(quote);
+            }
+        }
+        let mut row = limit_test_benchmark();
+        row.date = date;
+        benchmarks.push(row);
+    }
+    let data = DataSet::from_components_with_actions_and_quotes(
+        base.instruments().values().cloned().collect(),
+        market,
+        factors,
+        candidates,
+        benchmarks,
+        Vec::new(),
+        quotes,
+    )
+    .unwrap()
+    .with_additional_trading_dates([chrono::NaiveDate::from_ymd_opt(2024, 12, 31).unwrap()]);
+    let config = BacktestConfig {
+        initial_cash: 2000.0,
+        benchmark_code: "000852.SH".into(),
+        start_date: Some(first),
+        end_date: Some(last),
+        decision_lag_trading_days: 0,
+        execution_price_field: PriceField::Open,
+    };
+    let result = BacktestEngine::new(data, DailyPool, pool_batch_broker(false), config)
+        .run()
+        .unwrap();
+    assert_eq!(
+        result.fills.len(),
+        3,
+        "initial buy, delayed sell, resumed buy: orders={:?} equity={:?}",
+        result.order_events,
+        result.equity_curve
+    );
+    assert_eq!(result.fills[2].symbol, "000002.SZ");
+    assert_eq!(result.fills[2].quantity, 200);
+    assert_eq!(
+        result.fills[2].execution_timestamp,
+        Some(last.and_hms_opt(9, 31, 0).unwrap())
+    );
+    assert_eq!(result.holdings_summary.len(), 1);
+}

crates/fidc-core/src/corporate_book.rs

@@ -0,0 +1,868 @@
+use crate::{
+    AccountEvent, BacktestError, BrokerExecutionReport, CashReceivable, DataSet, FillEvent,
+    OrderSide, PortfolioState, PositionEvent, PriceField, ProcessEvent, ProcessEventKind,
+};
+use chrono::{NaiveDate, TimeZone};
+
+pub(crate) fn validate_action<'a>(
+    action: &'a crate::CorporateAction,
+    data: &DataSet,
+) -> Result<Option<(&'a str, f64, f64)>, String> {
+    let terms = action.validated_successor_terms()?;
+    crate::finite_serialization::validate(action).map_err(|error| {
+        format!(
+            "corporate_action_invalid_number: symbol={} action_date={} detail={error}",
+            action.symbol, action.date
+        )
+    })?;
+    if let Some((successor, _, _)) = terms {
+        for (symbol, role) in [(&*action.symbol, "source"), (successor, "successor")] {
+            if data.instrument(symbol).is_none() {
+                return Err(format!(
+                    "corporate_action_{role}_instrument_missing: symbol={symbol} action_date={} source_symbol={}",
+                    action.date, action.symbol
+                ));
+            }
+        }
+    }
+    Ok(terms)
+}
+
+/// One corporate-action calculation for normal processing and audited replay.
+pub(crate) fn apply(
+    date: NaiveDate,
+    data: &DataSet,
+    portfolio: &mut PortfolioState,
+    notes: &mut Vec<String>,
+    cash_dividends_enabled: bool,
+    cash_dividend_adjusts_cost_basis: bool,
+) -> Result<BrokerExecutionReport, BacktestError> {
+    let actions = data.corporate_actions_on(date);
+    for action in actions {
+        validate_action(action, data).map_err(BacktestError::Execution)?;
+    }
+    if !actions.iter().any(|action| {
+        action.has_effect()
+            && portfolio
+                .position(&action.symbol)
+                .is_some_and(|position| position.quantity > 0)
+    }) {
+        return Ok(BrokerExecutionReport::default());
+    }
+    // An entire settlement batch is a single ledger update. A later invalid
+    // cash leg must not leave an earlier split, receivable, target unit, or
+    // note applied to the observed account.
+    let mut next = portfolio.clone();
+    let mut recorded = Vec::new();
+    let report = apply_inner(
+        date,
+        data,
+        &mut next,
+        &mut recorded,
+        cash_dividends_enabled,
+        cash_dividend_adjusts_cost_basis,
+    )?;
+    *portfolio = next;
+    notes.extend(recorded);
+    Ok(report)
+}
+
+fn apply_inner(
+    date: NaiveDate,
+    data: &DataSet,
+    portfolio: &mut PortfolioState,
+    notes: &mut Vec<String>,
+    cash_dividends_enabled: bool,
+    cash_dividend_adjusts_cost_basis: bool,
+) -> Result<BrokerExecutionReport, BacktestError> {
+    let mut report = BrokerExecutionReport::default();
+    for action in data.corporate_actions_on(date) {
+        if !action.has_effect() {
+            continue;
+        }
+        let Some(existing_position) = portfolio.position(&action.symbol) else {
+            continue;
+        };
+        if existing_position.quantity == 0 {
+            continue;
+        }
+
+        if cash_dividends_enabled && action.share_cash.abs() > f64::EPSILON {
+            let cash_before = portfolio.cash();
+            let (cash_delta, quantity_after, average_cost) = {
+                let position = portfolio
+                    .position_mut_if_exists(&action.symbol)
+                    .expect("position exists for dividend action");
+                let cash_delta = if cash_dividend_adjusts_cost_basis {
+                    position.apply_cash_dividend(action.share_cash)
+                } else {
+                    position.apply_cash_dividend_preserve_cost_basis(action.share_cash)
+                };
+                (cash_delta, position.quantity, position.average_cost)
+            };
+            if cash_delta.abs() > f64::EPSILON {
+                let payable_date = action.payable_date.unwrap_or(date);
+                portfolio.add_cash_receivable(CashReceivable {
+                    symbol: action.symbol.clone(),
+                    ex_date: date,
+                    payable_date,
+                    amount: cash_delta,
+                    reason: format!("cash_dividend {:.6}", action.share_cash),
+                });
+                let note = format!(
+                    "cash_dividend_receivable {} share_cash={:.6} quantity={} payable_date={} cash={:.2}",
+                    action.symbol, action.share_cash, quantity_after, payable_date, cash_delta
+                );
+                notes.push(note.clone());
+                report.account_events.push(AccountEvent {
+                    date,
+                    cash_before,
+                    cash_after: portfolio.cash(),
+                    total_equity: portfolio.total_equity(),
+                    note,
+                });
+                report.position_events.push(PositionEvent {
+                    date,
+                    symbol: action.symbol.clone(),
+                    delta_quantity: 0,
+                    quantity_after,
+                    average_cost,
+                    realized_pnl_delta: 0.0,
+                    reason: format!("cash_dividend {:.6}", action.share_cash),
+                });
+            }
+        }
+
+        let split_ratio = action.split_ratio();
+        if (split_ratio - 1.0).abs() > f64::EPSILON {
+            checked_quantity(
+                &action.symbol,
+                date,
+                portfolio
+                    .position(&action.symbol)
+                    .expect("position exists for split")
+                    .quantity,
+                split_ratio,
+                0,
+            )?;
+            portfolio
+                .adjust_stock_pool_split(&action.symbol, split_ratio)
+                .map_err(BacktestError::Execution)?;
+            let (delta_quantity, quantity_after, average_cost) = {
+                let position = portfolio
+                    .position_mut_if_exists(&action.symbol)
+                    .expect("position exists for split action");
+                let delta_quantity = position.apply_split_ratio(split_ratio);
+                (delta_quantity, position.quantity, position.average_cost)
+            };
+            if delta_quantity != 0 {
+                let note = format!(
+                    "stock_split {} ratio={:.6} delta_qty={}",
+                    action.symbol, split_ratio, delta_quantity
+                );
+                notes.push(note);
+                report.position_events.push(PositionEvent {
+                    date,
+                    symbol: action.symbol.clone(),
+                    delta_quantity,
+                    quantity_after,
+                    average_cost,
+                    realized_pnl_delta: 0.0,
+                    reason: format!("stock_split {:.6}", split_ratio),
+                });
+            }
+        }
+
+        if let Some((successor_symbol, ratio, cash_per_share)) = action
+            .validated_successor_terms()
+            .map_err(BacktestError::Execution)?
+        {
+            checked_quantity(
+                &action.symbol,
+                date,
+                portfolio
+                    .position(&action.symbol)
+                    .expect("position exists for conversion")
+                    .quantity,
+                ratio,
+                portfolio
+                    .position(successor_symbol)
+                    .map_or(0, |position| position.quantity),
+            )?;
+            let Some(outcome) = portfolio.apply_successor_conversion(
+                &action.symbol,
+                successor_symbol,
+                ratio,
+                cash_per_share,
+            ) else {
+                continue;
+            };
+            let reason = format!(
+                "successor_conversion {}->{} ratio={:.6} cash_per_share={:.6}",
+                outcome.old_symbol, outcome.new_symbol, ratio, cash_per_share
+            );
+            notes.push(reason.clone());
+            report.position_events.push(PositionEvent {
+                date,
+                symbol: outcome.old_symbol.clone(),
+                delta_quantity: -(outcome.old_quantity as i32),
+                quantity_after: 0,
+                average_cost: 0.0,
+                realized_pnl_delta: 0.0,
+                reason: reason.clone(),
+            });
+            report.position_events.push(PositionEvent {
+                date,
+                symbol: outcome.new_symbol.clone(),
+                delta_quantity: outcome.new_quantity_delta,
+                quantity_after: outcome.new_quantity_after,
+                average_cost: outcome.new_average_cost_after,
+                realized_pnl_delta: 0.0,
+                reason: reason.clone(),
+            });
+            if outcome.cash_delta.abs() > f64::EPSILON {
+                let cash_before = portfolio.cash();
+                portfolio
+                    .apply_cash_delta(outcome.cash_delta)
+                    .map_err(BacktestError::Execution)?;
+                report.account_events.push(AccountEvent {
+                    date,
+                    cash_before,
+                    cash_after: portfolio.cash(),
+                    total_equity: portfolio.total_equity(),
+                    note: format!("{} cash={:.2}", reason, outcome.cash_delta),
+                });
+            }
+        }
+    }
+
+    portfolio.prune_flat_positions();
+    Ok(report)
+}
+
+fn checked_quantity(
+    symbol: &str,
+    date: NaiveDate,
+    quantity: u32,
+    ratio: f64,
+    merged: u32,
+) -> Result<(), BacktestError> {
+    let scaled = (f64::from(quantity) * ratio).round();
+    if !scaled.is_finite()
+        || scaled < 0.
+        || scaled > f64::from(i32::MAX)
+        || scaled + f64::from(merged) > f64::from(u32::MAX)
+    {
+        return Err(BacktestError::Execution(format!(
+            "corporate_action_quantity_overflow: symbol={symbol} action_date={date}"
+        )));
+    }
+    Ok(())
+}
+/// Preserve the declared fee-free accounting allocation model; this does not
+/// submit a market order or use a later opening quote as an earlier fact.
+pub(crate) fn settle_receivables(
+    date: NaiveDate,
+    data: &DataSet,
+    portfolio: &mut PortfolioState,
+    notes: &mut Vec<String>,
+    reinvest_enabled: bool,
+    runtime_input: Option<&crate::manual_execution::ManualExecutionReplay>,
+) -> Result<BrokerExecutionReport, BacktestError> {
+    if !portfolio
+        .cash_receivables()
+        .iter()
+        .any(|row| row.payable_date <= date)
+    {
+        return Ok(BrokerExecutionReport::default());
+    }
+    let mut next = portfolio.clone();
+    let mut recorded = Vec::new();
+    let control = if reinvest_enabled {
+        manual_reinvestment_control(date, runtime_input)?
+    } else {
+        None
+    };
+    let report = settle_receivables_inner(
+        date,
+        data,
+        &mut next,
+        &mut recorded,
+        reinvest_enabled,
+        control,
+    )?;
+    *portfolio = next;
+    notes.extend(recorded);
+    Ok(report)
+}
+
+/// The accounting stage precedes the market session. A later same-day setting
+/// must not retroactively change an allocation already observed at settlement.
+#[derive(Clone, Copy)]
+enum ManualReinvestmentControl<'a> {
+    Event(&'a crate::position_exposure::PositionExposureEvent),
+    LegacyZero(NaiveDate),
+}
+
+impl ManualReinvestmentControl<'_> {
+    fn suppression(self, symbol: &str) -> Option<String> {
+        use crate::position_exposure::PositionExposureAction as Action;
+        match self {
+            Self::LegacyZero(date) => Some(format!(
+                "runtime_zero_exposure legacy_effective_date={date}"
+            )),
+            Self::Event(event) => {
+                if matches!(event.action, Action::Restore) {
+                    return None;
+                }
+                let reason = if matches!(
+                    event.action,
+                    Action::Scale { requested_bps: 0 }
+                        | Action::Set {
+                            target_exposure_bps: 0
+                        }
+                ) {
+                    "runtime_zero_exposure"
+                } else if event
+                    .allocation_weights_bps
+                    .as_ref()
+                    .is_some_and(|weights| weights.get(symbol).copied().unwrap_or(0) == 0)
+                {
+                    "runtime_zero_allocation"
+                } else {
+                    return None;
+                };
+                Some(format!(
+                    "{reason} event_sequence={} effective_at={}",
+                    event.sequence, event.effective_at
+                ))
+            }
+        }
+    }
+}
+
+fn manual_reinvestment_control(
+    date: NaiveDate,
+    runtime_input: Option<&crate::manual_execution::ManualExecutionReplay>,
+) -> Result<Option<ManualReinvestmentControl<'_>>, BacktestError> {
+    let Some(input) = runtime_input else {
+        return Ok(None);
+    };
+    let at = chrono::FixedOffset::east_opt(8 * 3600)
+        .unwrap()
+        .from_local_datetime(&date.and_hms_opt(0, 0, 0).unwrap())
+        .single()
+        .ok_or_else(|| {
+            BacktestError::Execution(
+                "dividend_reinvestment: accounting stage clock is out of range".into(),
+            )
+        })?
+        .with_timezone(&chrono::Utc);
+    // The input has already been validated and bound to the runtime audit.
+    // Keep the same (time, sequence) precedence as PositionExposureTimeline.
+    if let Some(event) = input
+        .position_exposure_events
+        .iter()
+        .filter(|event| event.effective_at <= at)
+        .max_by_key(|event| (event.effective_at, event.sequence))
+    {
+        return Ok(Some(ManualReinvestmentControl::Event(event)));
+    }
+    Ok(input
+        .legacy_position_exposure_bps
+        .range(..=date)
+        .next_back()
+        .filter(|(_, bps)| **bps == 0)
+        .map(|(day, _)| ManualReinvestmentControl::LegacyZero(*day)))
+}
+
+fn settle_receivables_inner(
+    date: NaiveDate,
+    data: &DataSet,
+    portfolio: &mut PortfolioState,
+    notes: &mut Vec<String>,
+    reinvest_enabled: bool,
+    control: Option<ManualReinvestmentControl<'_>>,
+) -> Result<BrokerExecutionReport, BacktestError> {
+    let mut report = BrokerExecutionReport::default();
+    let due = portfolio.take_due_cash_receivables(date);
+    for receivable in due {
+        let cash_before = portfolio.cash();
+        portfolio
+            .settle_cash_receivable(&receivable)
+            .map_err(BacktestError::Execution)?;
+        let mut note = format!(
+            "cash_receivable_settled {} ex_date={} payable_date={} cash={:.2}",
+            receivable.symbol, receivable.ex_date, receivable.payable_date, receivable.amount
+        );
+        if let Some(suppression) =
+            control.and_then(|control| control.suppression(&receivable.symbol))
+            && receivable.reason.starts_with("cash_dividend")
+            && receivable.amount > 0.
+        {
+            note.push_str(&format!(
+                " dividend_reinvestment_not_applied reason={suppression} cash_retained=true"
+            ));
+        } else if reinvest_enabled
+            && receivable.reason.starts_with("cash_dividend")
+            && receivable.amount > 0.0
+        {
+            let instrument = data.instrument(&receivable.symbol).ok_or_else(|| BacktestError::Execution(format!(
+                "dividend_reinvestment: instrument metadata missing symbol={} payable_date={date}", receivable.symbol)))?;
+            if let Some(reason) = instrument.dated_market_absence_reason(date) {
+                note.push_str(&format!(
+                    " dividend_reinvestment_not_applied reason={reason} cash_retained=true"
+                ));
+            } else {
+                let (reinvest_price, reference_basis) = if let Some(position) = portfolio
+                    .position(&receivable.symbol)
+                    .filter(|position| position.quantity > 0)
+                {
+                    (Some(position.last_price), "adjusted_carried_mark")
+                } else {
+                    (
+                        data.calendar().previous_day(date).and_then(|prev_date| {
+                            data.price_on_or_before(
+                                prev_date,
+                                &receivable.symbol,
+                                PriceField::Close,
+                            )
+                        }),
+                        "previous_completed_close",
+                    )
+                };
+                let price = reinvest_price.filter(|price| price.is_finite() && *price > 0.).ok_or_else(|| BacktestError::Execution(format!(
+                "dividend_reinvestment: accounting reference missing or invalid symbol={} payable_date={date} basis={reference_basis}", receivable.symbol)))?;
+                let round_lot = instrument.round_lot;
+                if round_lot == 0 {
+                    return Err(BacktestError::Execution(format!(
+                        "dividend_reinvestment: invalid quantity unit symbol={}",
+                        receivable.symbol
+                    )));
+                }
+                {
+                    let raw = (receivable.amount / price).floor();
+                    if !raw.is_finite() || raw > i32::MAX as f64 {
+                        return Err(BacktestError::Execution("dividend_reinvestment: accounting allocation quantity exceeds the ledger contract".into()));
+                    }
+                    let raw_quantity = raw as u32;
+                    let reinvest_quantity = (raw_quantity / round_lot) * round_lot;
+                    if reinvest_quantity > 0 {
+                        // Report the same micro-unit amount actually posted to
+                        // the ledger, not a floating multiplication residue.
+                        let reinvest_money =
+                            crate::FixedMoney::from_f64(reinvest_quantity as f64 * price)
+                                .ok_or_else(|| {
+                                    BacktestError::Execution(
+                                        "dividend_reinvestment: allocation amount out of range"
+                                            .into(),
+                                    )
+                                })?;
+                        let cash_delta = reinvest_money.checked_neg().ok_or_else(|| {
+                            BacktestError::Execution(
+                                "dividend_reinvestment: cash amount out of range".into(),
+                            )
+                        })?;
+                        let residual_cash = crate::FixedMoney::from_f64(receivable.amount)
+                            .and_then(|cash| cash.checked_sub(reinvest_money))
+                            .ok_or_else(|| {
+                                BacktestError::Execution(
+                                    "dividend_reinvestment: residual amount out of range".into(),
+                                )
+                            })?
+                            .to_f64();
+                        let reinvest_cash = reinvest_money.to_f64();
+                        portfolio
+                            .apply_cash_delta_fixed(cash_delta)
+                            .map_err(BacktestError::Execution)?;
+                        portfolio.position_mut(&receivable.symbol).buy(
+                            date,
+                            reinvest_quantity,
+                            price,
+                        );
+
+                        note = format!(
+                            "cash_receivable_reinvested {} ex_date={} payable_date={} cash={:.2} reinvest_qty={} reinvest_price={:.4} residual_cash={:.2}",
+                            receivable.symbol,
+                            receivable.ex_date,
+                            receivable.payable_date,
+                            receivable.amount,
+                            reinvest_quantity,
+                            price,
+                            residual_cash
+                        );
+                        report.fill_events.push(FillEvent {
+                            origin: crate::events::FillOrigin::DividendReinvestment,
+                            date,
+                            decision_date: None,
+                            order_created_date: None,
+                            execution_date: None,
+                            execution_start_timestamp: date.and_hms_opt(0, 0, 0),
+                            execution_timestamp: date.and_hms_opt(0, 0, 0),
+                            order_id: None,
+                            symbol: receivable.symbol.clone(),
+                            side: OrderSide::Buy,
+                            quantity: reinvest_quantity,
+                            price,
+                            gross_amount: reinvest_cash,
+                            commission: 0.0,
+                            stamp_tax: 0.0,
+                            transfer_fee: 0.0,
+                            net_cash_flow: cash_delta.to_f64(),
+                            reason: "dividend_reinvestment".to_string(),
+                        });
+                        report.position_events.push(PositionEvent {
+                            date,
+                            symbol: receivable.symbol.clone(),
+                            delta_quantity: reinvest_quantity as i32,
+                            quantity_after: portfolio
+                                .position(&receivable.symbol)
+                                .map(|position| position.quantity)
+                                .unwrap_or(0),
+                            average_cost: portfolio
+                                .position(&receivable.symbol)
+                                .map(|position| position.average_cost)
+                                .unwrap_or(0.0),
+                            realized_pnl_delta: 0.0,
+                            reason: "dividend_reinvestment".to_string(),
+                        });
+                        report.process_events.push(ProcessEvent {
+                        date,
+                        kind: ProcessEventKind::Trade,
+                        order_id: None,
+                        symbol: Some(receivable.symbol.clone()),
+                        side: Some(OrderSide::Buy),
+                        detail: format!("dividend_reinvestment model=fee_free_accounting booked_at={} quantity={} price={} reference_basis={} ex_date={} payable_date={} residual_cash={}",
+                            date.and_hms_opt(0,0,0).unwrap(), reinvest_quantity, price, reference_basis,
+                            receivable.ex_date, receivable.payable_date, residual_cash),
+                    });
+                    }
+                }
+            }
+        }
+        notes.push(note.clone());
+        report.account_events.push(AccountEvent {
+            date,
+            cash_before,
+            cash_after: portfolio.cash(),
+            total_equity: portfolio.total_equity(),
+            note,
+        });
+    }
+    Ok(report)
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn date() -> NaiveDate {
+        NaiveDate::from_ymd_opt(2026, 9, 14).unwrap()
+    }
+    fn data(delisted: bool) -> DataSet {
+        DataSet::from_components(
+            vec![crate::Instrument {
+                symbol: "000001.SZ".into(),
+                name: "fixture".into(),
+                board: "SZ".into(),
+                round_lot: 100,
+                listed_at: Some(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap()),
+                delisted_at: delisted.then_some(date()),
+                status: "active".into(),
+            }],
+            vec![],
+            vec![],
+            vec![],
+            vec![crate::BenchmarkSnapshot {
+                date: date(),
+                benchmark: "000300.SH".into(),
+                open: 100.,
+                close: 100.,
+                prev_close: 100.,
+                volume: 0,
+            }],
+        )
+        .unwrap()
+    }
+    fn book() -> PortfolioState {
+        let mut book = PortfolioState::new(10.);
+        book.add_cash_receivable(CashReceivable {
+            symbol: "000001.SZ".into(),
+            ex_date: date().pred_opt().unwrap(),
+            payable_date: date(),
+            amount: 100.,
+            reason: "cash_dividend 1".into(),
+        });
+        book
+    }
+    #[test]
+    fn missing_accounting_reference_is_atomic_not_a_silent_cash_only_success() {
+        let mut book = book();
+        let before = book.financial_replay_identity();
+        let error =
+            settle_receivables(date(), &data(false), &mut book, &mut Vec::new(), true, None)
+                .unwrap_err();
+        assert!(error.to_string().contains("accounting reference missing"));
+        assert_eq!(book.financial_replay_identity(), before);
+    }
+    #[test]
+    fn terminated_security_keeps_paid_cash_and_is_not_recreated_by_reinvestment() {
+        let mut book = book();
+        let mut notes = Vec::new();
+        let report =
+            settle_receivables(date(), &data(true), &mut book, &mut notes, true, None).unwrap();
+        assert_eq!(book.cash(), 110.);
+        assert!(book.positions().is_empty());
+        assert!(book.cash_receivables().is_empty());
+        assert!(report.fill_events.is_empty());
+        assert!(notes[0].contains("dividend_reinvestment_not_applied"));
+    }
+
+    #[test]
+    fn manual_zero_skips_only_unused_allocation_facts_not_invalid_cash_evidence() {
+        let mut input = crate::manual_execution::ManualExecutionReplay {
+            schema: crate::manual_execution::MANUAL_REPLAY_SCHEMA.into(),
+            runtime_id: "runtime".into(),
+            account_id: "account".into(),
+            source_contract_sha256: "a".repeat(64),
+            content_sha256: String::new(),
+            observation_cutoff: "2026-09-14T08:00:00Z".parse().unwrap(),
+            actions: vec![],
+            position_exposure_events: vec![],
+            legacy_position_exposure_bps: std::collections::BTreeMap::from([(date(), 0)]),
+        };
+        input.content_sha256 = input.content_digest().unwrap();
+        input.validate().unwrap();
+        let mut account = book();
+        let mut notes = Vec::new();
+        // No historical price is present, but no optional purchase is wanted.
+        let report = settle_receivables(
+            date(),
+            &data(false),
+            &mut account,
+            &mut notes,
+            true,
+            Some(&input),
+        )
+        .unwrap();
+        assert_eq!(account.cash(), 110.);
+        assert!(account.positions().is_empty());
+        assert!(report.fill_events.is_empty());
+        assert!(notes[0].contains("runtime_zero_exposure"));
+        let mut account = book();
+        account.add_cash_receivable(CashReceivable {
+            symbol: "000001.SZ".into(),
+            ex_date: date(),
+            payable_date: date(),
+            amount: f64::NAN,
+            reason: "cash_dividend invalid fixture".into(),
+        });
+        let mut notes = vec!["prior".into()];
+        assert!(
+            settle_receivables(
+                date(),
+                &data(false),
+                &mut account,
+                &mut notes,
+                true,
+                Some(&input)
+            )
+            .is_err()
+        );
+        assert_eq!(account.cash(), 10.);
+        assert_eq!(account.cash_receivables().len(), 2);
+        assert!(account.cash_receivables()[1].amount.is_nan());
+        assert_eq!(notes, ["prior"]);
+    }
+
+    fn conversion() -> crate::CorporateAction {
+        crate::CorporateAction {
+            date: date(),
+            symbol: "000001.SZ".into(),
+            payable_date: None,
+            share_cash: 0.,
+            share_bonus: 0.,
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: Some("000002.SZ".into()),
+            successor_ratio: Some(1.5),
+            successor_cash: Some(0.5),
+        }
+    }
+
+    fn conversion_data(actions: Vec<crate::CorporateAction>, include_successor: bool) -> DataSet {
+        let mut instruments = data(false)
+            .instruments()
+            .values()
+            .cloned()
+            .collect::<Vec<_>>();
+        if include_successor {
+            let mut successor = instruments[0].clone();
+            successor.symbol = "000002.SZ".into();
+            instruments.push(successor);
+        }
+        DataSet::from_components_with_actions(
+            instruments,
+            vec![],
+            vec![],
+            vec![],
+            vec![crate::BenchmarkSnapshot {
+                date: date(),
+                benchmark: "000300.SH".into(),
+                open: 100.,
+                close: 100.,
+                prev_close: 100.,
+                volume: 0,
+            }],
+            actions,
+        )
+        .unwrap()
+    }
+
+    fn conversion_book() -> PortfolioState {
+        let mut book = PortfolioState::new(1000.);
+        book.position_mut("000001.SZ")
+            .buy(date().pred_opt().unwrap(), 100, 10.);
+        book
+    }
+
+    #[test]
+    fn successor_without_frozen_instrument_metadata_is_not_an_implicit_new_security() {
+        let mut action = conversion();
+        action.share_cash = 1.;
+        action.share_bonus = 1.;
+        let data = conversion_data(vec![action], false);
+        let mut book = conversion_book();
+        let before = book.financial_replay_identity();
+        let mut notes = vec!["prior".into()];
+        let error = apply(date(), &data, &mut book, &mut notes, true, true).unwrap_err();
+        assert!(error.to_string().contains("successor_instrument_missing"));
+        assert_eq!(book.financial_replay_identity(), before);
+        assert_eq!(notes, ["prior"]);
+    }
+
+    #[test]
+    fn invalid_successor_terms_cannot_be_replaced_with_one_share_or_zero_cash() {
+        let base = conversion();
+        let mut cases = Vec::new();
+        for ratio in [
+            None,
+            Some(0.),
+            Some(-1.),
+            Some(f64::NAN),
+            Some(f64::INFINITY),
+        ] {
+            let mut row = base.clone();
+            row.successor_ratio = ratio;
+            cases.push(row);
+        }
+        for symbol in [
+            None,
+            Some(""),
+            Some("  "),
+            Some("000001.SZ"),
+            Some(" 000002.SZ"),
+        ] {
+            let mut row = base.clone();
+            row.successor_symbol = symbol.map(str::to_owned);
+            cases.push(row);
+        }
+        for cash in [f64::NAN, f64::INFINITY, f64::NEG_INFINITY] {
+            let mut row = base.clone();
+            row.successor_cash = Some(cash);
+            cases.push(row);
+        }
+        for action in cases {
+            let mut book = conversion_book();
+            let before = book.financial_replay_identity();
+            let data = conversion_data(vec![action.clone()], true);
+            let mut notes = Vec::new();
+            assert!(
+                apply(date(), &data, &mut book, &mut notes, true, true).is_err(),
+                "accepted {action:?}"
+            );
+            assert_eq!(book.financial_replay_identity(), before);
+            assert!(notes.is_empty());
+        }
+    }
+
+    #[test]
+    fn a_late_corporate_batch_failure_keeps_prior_cash_positions_and_notes() {
+        let mut dividend = conversion();
+        dividend.successor_symbol = None;
+        dividend.successor_ratio = None;
+        dividend.successor_cash = None;
+        dividend.share_cash = 1.;
+        dividend.share_bonus = 1.;
+        let mut failure = conversion();
+        failure.successor_cash = Some(1e100);
+        let data = conversion_data(vec![dividend, failure], true);
+        let mut book = conversion_book();
+        let mut state = crate::stock_pool_state::StockPoolExecutionState {
+            last_execution_date: date().pred_opt(),
+            ..Default::default()
+        };
+        state.position_action_bases.insert(
+            "000001.SZ".into(),
+            crate::stock_pool_state::StockPoolPositionActionBasis {
+                generation: "original".into(),
+                first_execution_date: date().pred_opt().unwrap(),
+                quantity: rust_decimal::Decimal::from(100),
+            },
+        );
+        state.last_target_weights.insert("000001.SZ".into(), 10000);
+        book.set_stock_pool_execution_state("pool", state.clone())
+            .unwrap();
+        let before = book.financial_replay_identity();
+        let mut notes = vec!["prior".into()];
+        assert!(apply(date(), &data, &mut book, &mut notes, true, true).is_err());
+        assert_eq!(book.financial_replay_identity(), before);
+        assert_eq!(book.stock_pool_execution_state("pool"), state);
+        assert_eq!(notes, ["prior"]);
+    }
+
+    #[test]
+    fn corporate_quantity_overflow_fails_without_saturation_or_a_negative_delta() {
+        for split in [false, true] {
+            let mut action = conversion();
+            if split {
+                action.share_bonus = 1e100;
+            } else {
+                action.successor_ratio = Some(1e100);
+            }
+            let data = conversion_data(vec![action], true);
+            let mut book = conversion_book();
+            let before = book.financial_replay_identity();
+            let mut notes = Vec::new();
+            let error = apply(date(), &data, &mut book, &mut notes, true, true).unwrap_err();
+            assert!(
+                error
+                    .to_string()
+                    .contains("corporate_action_quantity_overflow")
+            );
+            assert_eq!(book.financial_replay_identity(), before);
+            assert!(notes.is_empty());
+        }
+    }
+
+    #[test]
+    fn verified_conversion_preserves_lots_without_creating_orders_or_fills() {
+        let data = conversion_data(vec![conversion()], true);
+        let mut book = conversion_book();
+        book.position_mut("000002.SZ").buy(date(), 50, 20.);
+        let mut notes = Vec::new();
+        let report = apply(date(), &data, &mut book, &mut notes, true, true).unwrap();
+        assert!(book.position("000001.SZ").is_none());
+        let successor = book.position("000002.SZ").unwrap();
+        assert_eq!(successor.quantity, 200);
+        assert_eq!(successor.opened_date(), date().pred_opt());
+        assert_eq!(successor.last_buy_date(), Some(date()));
+        assert_eq!(book.cash(), 1050.);
+        assert!(report.fill_events.is_empty());
+        assert!(report.order_events.is_empty());
+        assert_eq!(report.position_events.len(), 2);
+        assert!(notes[0].contains("ratio=1.500000"));
+    }
+}

crates/fidc-core/src/cost.rs

@@ -5,6 +5,7 @@ use chrono::NaiveDate;
 use crate::events::OrderSide;
 use crate::fixed_point::{FixedChinaAShareCostModel, FixedMoney, FixedTradingCost};
 use crate::risk_control::TradingConstraintConfig;
+use crate::Instrument;
 
 #[derive(Debug, Clone, Copy)]
 pub struct TradingCost {
@@ -35,6 +36,17 @@ impl TradingCost {
 pub trait CostModel {
     fn calculate(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> TradingCost;
 
+    fn calculate_for_instrument(&self, date: NaiveDate, side: OrderSide, gross_amount: f64, _instrument: Option<&Instrument>) -> TradingCost {
+        self.calculate(date, side, gross_amount)
+    }
+
+    fn calculate_with_order_state_for_instrument(
+        &self, date: NaiveDate, side: OrderSide, gross_amount: f64,
+        order_id: Option<u64>, commission_state: &mut BTreeMap<u64,f64>, _instrument: Option<&Instrument>,
+    ) -> TradingCost {
+        self.calculate_with_order_state(date, side, gross_amount, order_id, commission_state)
+    }
+
     fn calculate_with_order_state(
         &self,
         date: NaiveDate,
@@ -215,6 +227,27 @@ impl ChinaAShareCostModel {
 }
 
 impl CostModel for ChinaAShareCostModel {
+    fn calculate_for_instrument(&self, date: NaiveDate, side: OrderSide, gross_amount: f64, instrument: Option<&Instrument>) -> TradingCost {
+        let mut cost = self.calculate(date, side, gross_amount);
+        if instrument.is_some_and(Instrument::is_exchange_traded_fund) {
+            cost.stamp_tax = 0.0;
+            cost.transfer_fee = 0.0;
+        }
+        cost
+    }
+
+    fn calculate_with_order_state_for_instrument(
+        &self, date: NaiveDate, side: OrderSide, gross_amount: f64,
+        order_id: Option<u64>, commission_state: &mut BTreeMap<u64,f64>, instrument: Option<&Instrument>,
+    ) -> TradingCost {
+        let mut cost = self.calculate_with_order_state(date, side, gross_amount, order_id, commission_state);
+        if instrument.is_some_and(Instrument::is_exchange_traded_fund) {
+            cost.stamp_tax = 0.0;
+            cost.transfer_fee = 0.0;
+        }
+        cost
+    }
+
     fn calculate(&self, date: NaiveDate, side: OrderSide, gross_amount: f64) -> TradingCost {
         if gross_amount <= 0.0 {
             return TradingCost {
@@ -273,6 +306,25 @@ impl CostModel for ChinaAShareCostModel {
 mod tests {
     use super::*;
 
+    #[test]
+    fn fund_fees_use_admitted_instrument_type_and_share_the_order_commission_budget() {
+        let day=NaiveDate::from_ymd_opt(2026,9,11).unwrap();
+        let model=ChinaAShareCostModel::from_trading_constraints(TradingConstraintConfig{commission_rate:0.0003,minimum_commission:5.,transfer_fee_rate:0.00001,..Default::default()});
+        let mut instrument=Instrument{symbol:"510300.SH".into(),name:"fixture".into(),board:"ETF".into(),round_lot:100,listed_at:Some(day),delisted_at:None,status:"active".into()};
+        for side in [OrderSide::Buy,OrderSide::Sell] {
+            let cost=model.calculate_for_instrument(day,side,10_000.,Some(&instrument));
+            assert_eq!(cost.commission,5.);assert_eq!(cost.stamp_tax,0.);assert_eq!(cost.transfer_fee,0.);
+            let mut state=BTreeMap::new();
+            let one=model.calculate_with_order_state_for_instrument(day,side,1_000.,Some(1),&mut state,Some(&instrument));
+            let two=model.calculate_with_order_state_for_instrument(day,side,9_000.,Some(1),&mut state,Some(&instrument));
+            assert_eq!(one.total()+two.total(),cost.total());
+        }
+        instrument.board="SH".into();
+        let stock=model.calculate_for_instrument(day,OrderSide::Sell,10_000.,Some(&instrument));
+        assert_eq!(stock.stamp_tax,5.);assert_eq!(stock.transfer_fee,0.1);
+        assert_eq!(stock.total(),model.calculate(day,OrderSide::Sell,10_000.).total());
+    }
+
     #[test]
     fn default_quantizes_fees_to_micro_yuan() {
         let model = ChinaAShareCostModel::default();

crates/fidc-core/src/etf_execution.rs

@@ -0,0 +1,128 @@
+//! Historical ETF execution fallback. Never manufactures an intraday bar.
+use chrono::{NaiveDate, NaiveDateTime, NaiveTime};
+use rust_decimal::Decimal;
+use crate::{BacktestError, DataSet};
+
+pub(crate) fn opening_time() -> NaiveTime {
+    NaiveTime::from_hms_opt(9, 30, 0).expect("valid exchange opening time")
+}
+
+#[derive(Debug, Clone)]
+pub(crate) struct EtfFallbackReference {
+    pub price: f64,
+    pub reference_date: NaiveDate,
+    /// None means the next official session is outside the loaded calendar.
+    /// No natural-day guess or price from beyond the requested run is used.
+    pub execute_on: Option<NaiveDate>,
+    pub immediate: bool,
+}
+
+pub(crate) fn reference(data: &DataSet, symbol: &str, at: NaiveDateTime) -> Result<EtfFallbackReference, BacktestError> {
+    let fail = |reason: &str| BacktestError::Execution(format!(
+        "etf_daily_open_fallback:{reason} symbol={symbol} signal_at={at}"
+    ));
+    let instrument = data.instrument(symbol).ok_or_else(|| fail("instrument_identity_missing"))?;
+    if !instrument.is_exchange_traded_fund() || instrument.listed_at.is_none() {
+        return Err(fail("verified_etf_identity_required"));
+    }
+    if instrument.dated_market_absence_reason(at.date()).is_some() {
+        return Err(fail("outside_instrument_lifecycle"));
+    }
+    if at.time() == opening_time() {
+        let row = data.market(at.date(), symbol).ok_or_else(|| fail("daily_open_missing"))?;
+        if !row.open.is_finite() || row.open <= 0.0 { return Err(fail("daily_open_invalid")); }
+        return Ok(EtfFallbackReference { price: row.open, reference_date: at.date(), execute_on: Some(at.date()), immediate: true });
+    }
+    let previous = data.previous_trading_date(at.date(), 1).ok_or_else(|| fail("previous_official_session_missing"))?;
+    let close = data.market(previous, symbol).map(|row| row.close).ok_or_else(|| fail("previous_completed_close_missing"))?;
+    if !close.is_finite() || close <= 0.0 { return Err(fail("previous_completed_close_invalid")); }
+    Ok(EtfFallbackReference {
+        price: close, reference_date: previous, immediate: false,
+        execute_on: if at.time() < opening_time() { Some(at.date()) } else { data.next_trading_date(at.date(), 1) },
+    })
+}
+
+#[derive(Debug, Clone)]
+pub(crate) struct DeferredEtfTarget {
+    pub pool_id: String,
+    pub generation: String,
+    pub symbol: String,
+    pub signal_date: NaiveDate,
+    pub signal_at: NaiveDateTime,
+    pub execute_on: Option<NaiveDate>,
+    pub target_value: Decimal,
+    pub target_weight_bps: i32,
+    pub side: crate::stock_pool_execution::OrderSide,
+    pub max_positions: usize,
+    pub rule: std::sync::Arc<crate::stock_pool_execution::StockPoolExecutionRule>,
+    pub members: std::sync::Arc<Vec<crate::stock_pool_execution::StockPoolMemberSpec>>,
+    pub reason: String,
+}
+
+/// Owned by one broker/run. Replacing a full pool generation supersedes older
+/// queued targets; order of the latest candidate list is retained.
+#[derive(Debug, Default, Clone)]
+pub(crate) struct DeferredEtfTargets {
+    generations: std::collections::BTreeMap<String, String>,
+    rows: Vec<DeferredEtfTarget>,
+}
+
+impl DeferredEtfTargets {
+    pub fn replace_generation(&mut self, pool_id: &str, generation: &str) -> usize {
+        if self.generations.get(pool_id).is_some_and(|old| old == generation) { return 0; }
+        self.generations.insert(pool_id.into(), generation.into());
+        let before = self.rows.len();
+        self.rows.retain(|row| row.pool_id != pool_id);
+        before - self.rows.len()
+    }
+    pub fn upsert(&mut self, row: DeferredEtfTarget) {
+        if let Some(existing) = self.rows.iter_mut().find(|v| v.pool_id == row.pool_id && v.symbol == row.symbol) {
+            *existing = row;
+        } else { self.rows.push(row); }
+    }
+    pub fn take_due(&mut self, date: NaiveDate) -> Vec<DeferredEtfTarget> {
+        let mut due = Vec::new();
+        self.rows.retain(|row| {
+            if row.execute_on.is_some_and(|day| day <= date) { due.push(row.clone()); false } else { true }
+        });
+        due.sort_by_key(|row| match row.side { crate::stock_pool_execution::OrderSide::Sell => 0, crate::stock_pool_execution::OrderSide::Buy => 1 });
+        due
+    }
+    pub fn len(&self) -> usize { self.rows.len() }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn target(symbol:&str,side:crate::stock_pool_execution::OrderSide,generation:&str)->DeferredEtfTarget {
+        let date=NaiveDate::from_ymd_opt(2026,1,2).unwrap();
+        DeferredEtfTarget {pool_id:"pool".into(),generation:generation.into(),symbol:symbol.into(),signal_date:date,signal_at:date.and_hms_opt(13,0,0).unwrap(),execute_on:NaiveDate::from_ymd_opt(2026,1,5),target_value:1000.into(),target_weight_bps:5000,side,max_positions:2,rule:Default::default(),members:std::sync::Arc::new(vec![]),reason:"fixture".into()}
+    }
+    #[test]
+    fn latest_generation_overwrites_pending_targets_and_preserves_candidate_order() {
+        use crate::stock_pool_execution::OrderSide::{Buy,Sell};
+        let mut queue=DeferredEtfTargets::default();
+        queue.replace_generation("pool","v1");
+        queue.upsert(target("510300.SH",Buy,"v1"));
+        queue.upsert(target("159915.SZ",Buy,"v1"));
+        assert_eq!(queue.replace_generation("pool","v1"),0);
+        assert_eq!(queue.replace_generation("pool","v2"),2);
+        queue.upsert(target("560450.SH",Buy,"v2"));
+        queue.upsert(target("159915.SZ",Sell,"v2"));
+        queue.upsert(target("510300.SH",Buy,"v2"));
+        assert!(queue.take_due(NaiveDate::from_ymd_opt(2026,1,2).unwrap()).is_empty());
+        let due=queue.take_due(NaiveDate::from_ymd_opt(2026,1,5).unwrap());
+        assert_eq!(due.iter().map(|v|v.symbol.as_str()).collect::<Vec<_>>(),vec!["159915.SZ","560450.SH","510300.SH"]);
+        assert!(due.iter().all(|v|v.generation=="v2"));
+        assert_eq!(queue.len(),0);
+    }
+    #[test]
+    fn no_loaded_next_session_is_not_guessed_from_natural_days() {
+        let mut queue=DeferredEtfTargets::default();
+        let mut item=target("510300.SH",crate::stock_pool_execution::OrderSide::Buy,"v1");
+        item.execute_on=None;
+        queue.upsert(item);
+        assert!(queue.take_due(NaiveDate::from_ymd_opt(2026,2,1).unwrap()).is_empty());
+        assert_eq!(queue.len(),1);
+    }
+}

crates/fidc-core/src/events.rs

@@ -181,8 +181,22 @@ impl OrderEvent {
     }
 }
 
+#[derive(Debug, Clone, Copy, Default, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum FillOrigin {
+    #[default]
+    MarketExecution,
+    DividendReinvestment,
+}
+
+impl FillOrigin {
+    pub fn is_market_execution(&self) -> bool { *self == Self::MarketExecution }
+}
+
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct FillEvent {
+    #[serde(default, skip_serializing_if = "FillOrigin::is_market_execution")]
+    pub origin: FillOrigin,
     #[serde(with = "date_format")]
     pub date: NaiveDate,
     #[serde(default, with = "optional_date_format")]
@@ -219,6 +233,14 @@ pub struct FillEvent {
 
 impl FillEvent {
     pub fn validate(&self) -> Result<(), String> {
+        if self.origin == FillOrigin::DividendReinvestment && (
+            self.order_id.is_some() || self.side != OrderSide::Buy
+            || self.commission != 0. || self.stamp_tax != 0. || self.transfer_fee != 0.
+            || self.execution_timestamp != self.date.and_hms_opt(0, 0, 0)
+            || self.execution_start_timestamp != self.execution_timestamp
+        ) {
+            return Err("dividend accounting allocation cannot carry an exchange order, fees, or a market clock".into());
+        }
         if self.symbol.trim().is_empty()
             || self.quantity == 0
             || !self.price.is_finite()
@@ -311,12 +333,15 @@ pub enum ProcessEventKind {
     OrderUpdateReject,
     OrderUnsolicitedUpdate,
     Trade,
+    ManualExecutionObserved,
     UniverseUpdated,
     UniverseSubscribed,
     UniverseUnsubscribed,
     AccountDepositWithdraw,
     AccountFinanceRepay,
     AccountManagementFee,
+    SessionCapacityAudit,
+    EtfExecutionFallback,
 }
 
 impl ProcessEventKind {
@@ -356,12 +381,15 @@ impl ProcessEventKind {
             Self::OrderUpdateReject => "order_update_reject",
             Self::OrderUnsolicitedUpdate => "order_unsolicited_update",
             Self::Trade => "trade",
+            Self::ManualExecutionObserved => "manual_execution_observed",
             Self::UniverseUpdated => "universe_updated",
             Self::UniverseSubscribed => "universe_subscribed",
             Self::UniverseUnsubscribed => "universe_unsubscribed",
             Self::AccountDepositWithdraw => "account_deposit_withdraw",
             Self::AccountFinanceRepay => "account_finance_repay",
             Self::AccountManagementFee => "account_management_fee",
+            Self::SessionCapacityAudit => "session_capacity_audit",
+            Self::EtfExecutionFallback => "etf_execution_fallback",
         }
     }
 
@@ -387,12 +415,15 @@ impl ProcessEventKind {
                 | Self::OrderUpdateReject
                 | Self::OrderUnsolicitedUpdate
                 | Self::Trade
+                | Self::ManualExecutionObserved
                 | Self::UniverseUpdated
                 | Self::UniverseSubscribed
                 | Self::UniverseUnsubscribed
                 | Self::AccountDepositWithdraw
                 | Self::AccountFinanceRepay
                 | Self::AccountManagementFee
+                | Self::SessionCapacityAudit
+                | Self::EtfExecutionFallback
                 | Self::Settlement
         )
     }
@@ -416,7 +447,7 @@ pub struct ProcessEvent {
 mod tests {
     use chrono::{NaiveDate, NaiveDateTime};
 
-    use super::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEventKind};
+    use super::{FillEvent, FillOrigin, OrderEvent, OrderSide, OrderStatus, ProcessEventKind};
 
     fn order_event(status: OrderStatus, filled_quantity: u32) -> OrderEvent {
         OrderEvent {
@@ -460,6 +491,7 @@ mod tests {
 
     fn fill_event(start: Option<NaiveDateTime>, end: Option<NaiveDateTime>) -> FillEvent {
         FillEvent {
+            origin: crate::events::FillOrigin::MarketExecution,
             date: NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(),
             decision_date: None,
             order_created_date: None,
@@ -480,6 +512,27 @@ mod tests {
         }
     }
 
+    #[test]
+    fn accounting_origin_cannot_disguise_an_exchange_order_or_fee() {
+        let at = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap().and_hms_opt(0, 0, 0).unwrap();
+        let mut fill = fill_event(Some(at), Some(at));
+        fill.origin = FillOrigin::DividendReinvestment;
+        fill.order_id = None;
+        fill.commission = 0.;
+        fill.net_cash_flow = -1000.;
+        assert!(fill.validate().is_ok());
+        for kind in 0..3 {
+            let mut invalid = fill.clone();
+            match kind {
+                0 => invalid.order_id = Some(1),
+                1 => invalid.commission = 1.,
+                _ => { invalid.execution_timestamp = Some(at + chrono::Duration::hours(9)); invalid.execution_start_timestamp = invalid.execution_timestamp; }
+            }
+            assert!(invalid.validate().is_err());
+        }
+        assert!(serde_json::to_value(fill_event(None, None)).unwrap().get("origin").is_none());
+    }
+
     #[test]
     fn fill_execution_timestamp_range_is_explicit_and_backward_compatible() {
         let start = NaiveDate::from_ymd_opt(2025, 1, 2)

crates/fidc-core/src/execution_capacity.rs

@@ -0,0 +1,205 @@
+//! Causal volume budgets. Session totals may audit fills, never size earlier orders.
+use chrono::{NaiveDate, NaiveDateTime};
+use serde::{Deserialize, Serialize};
+use thiserror::Error;
+
+#[derive(Debug, Clone, Copy, Default, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(rename_all = "snake_case")]
+pub enum VolumeCapacityMode {
+    #[default]
+    ExecutionObservation,
+    CompletedBar,
+    SessionCapacityAudit,
+}
+
+impl VolumeCapacityMode {
+    pub fn validate(self, enabled: bool, has_execution_observations: bool) -> Result<(), CapacityError> {
+        if !enabled { return Ok(()); }
+        match self {
+            Self::ExecutionObservation if !has_execution_observations => Err(CapacityError::MissingObservation),
+            Self::CompletedBar => Err(CapacityError::MissingCompletedBar),
+            _ => Ok(()),
+        }
+    }
+
+    pub fn limits_execution_quantity(self) -> bool { self != Self::SessionCapacityAudit }
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Error)]
+pub enum CapacityError {
+    #[error("execution capacity ratio must be finite and in (0, 1]")]
+    InvalidRatio,
+    #[error("execution capacity decimal cannot be represented exactly")]
+    InvalidDecimal,
+    #[error("execution capacity observation has invalid time bounds")]
+    InvalidWindow,
+    #[error("execution capacity is not visible: available={available_at}, execution={execution_at}")]
+    NotVisible { available_at: NaiveDateTime, execution_at: NaiveDateTime },
+    #[error("execution capacity observation belongs to another session")]
+    WrongSession,
+    #[error("execution-time capacity is missing; daily session volume cannot size an earlier fill")]
+    MissingObservation,
+    #[error("completed_bar capacity requires declared bar end and availability; an undated daily total is not a completed observation")]
+    MissingCompletedBar,
+}
+
+#[derive(Debug, Clone, Default, Serialize, Deserialize)]
+#[serde(rename_all = "camelCase")]
+pub struct CapacityAuditSummary {
+    pub mode: VolumeCapacityMode,
+    pub enabled: bool,
+    pub participation_rate: f64,
+    pub audited_symbol_sessions: usize,
+    pub failed_symbol_sessions: usize,
+    pub audit_passed: Option<bool>,
+    pub execution_time_capacity_proven: bool,
+}
+
+impl CapacityAuditSummary {
+    pub fn observe(&mut self, audit: &SessionCapacityAudit) {
+        self.audited_symbol_sessions += 1;
+        self.failed_symbol_sessions += usize::from(!audit.passed);
+        self.audit_passed = Some(self.failed_symbol_sessions == 0);
+    }
+}
+
+/// Decimal semantics of the frozen JSON rate, evaluated without a float product.
+#[derive(Debug, Clone, Copy)]
+pub struct ParticipationRate {
+    numerator: u128,
+    denominator: u128,
+}
+
+impl ParticipationRate {
+    pub fn new(rate: f64) -> Result<Self, CapacityError> {
+        if !rate.is_finite() || rate <= 0.0 || rate > 1.0 {
+            return Err(CapacityError::InvalidRatio);
+        }
+        if rate < 1e-20 {
+            // Even u64::MAX shares at this rate cannot admit a single share.
+            return Ok(Self { numerator: 0, denominator: 1 });
+        }
+        if rate == 1.0 {
+            return Ok(Self { numerator: 1, denominator: 1 });
+        }
+        let text = rate.to_string();
+        let digits = text.strip_prefix("0.").ok_or(CapacityError::InvalidDecimal)?;
+        let digits = digits.trim_end_matches('0');
+        let numerator = digits.parse::<u128>().map_err(|_| CapacityError::InvalidDecimal)?;
+        let denominator = 10_u128.checked_pow(digits.len() as u32).ok_or(CapacityError::InvalidDecimal)?;
+        if numerator > u128::MAX / u128::from(u64::MAX) {
+            return Err(CapacityError::InvalidDecimal);
+        }
+        Ok(Self { numerator, denominator })
+    }
+
+    pub fn total_shares(self, market_shares: u64) -> u64 {
+        let total = u128::from(market_shares) * self.numerator / self.denominator;
+        u64::try_from(total).expect("participation rate cannot exceed the market shares")
+    }
+
+    pub fn remaining(self, market_shares: u64, consumed_shares: u64, requested: u32) -> u32 {
+        self.total_shares(market_shares).saturating_sub(consumed_shares).min(u64::from(requested)) as u32
+    }
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(rename_all = "snake_case")]
+pub enum VolumeObservationKind {
+    TradeIncrement,
+    CompletedBar,
+    CumulativeSession,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize)]
+pub struct VolumeObservation {
+    pub kind: VolumeObservationKind,
+    pub start: NaiveDateTime,
+    pub end: NaiveDateTime,
+    pub available_at: NaiveDateTime,
+    pub shares: u64,
+}
+
+impl VolumeObservation {
+    pub fn visible_shares(self, execution_at: NaiveDateTime) -> Result<u64, CapacityError> {
+        if self.start > self.end || self.available_at < self.end {
+            return Err(CapacityError::InvalidWindow);
+        }
+        if self.available_at > execution_at {
+            return Err(CapacityError::NotVisible { available_at: self.available_at, execution_at });
+        }
+        if self.start.date() != self.end.date() || self.end.date() != execution_at.date() {
+            return Err(CapacityError::WrongSession);
+        }
+        Ok(self.shares)
+    }
+
+    pub fn remaining(self, execution_at: NaiveDateTime, rate: ParticipationRate, consumed: u64, requested: u32) -> Result<u32, CapacityError> {
+        Ok(rate.remaining(self.visible_shares(execution_at)?, consumed, requested))
+    }
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+pub struct SessionCapacityAudit {
+    pub date: NaiveDate,
+    pub symbol: String,
+    pub filled_shares: u64,
+    pub session_shares: u64,
+    pub allowed_shares: u64,
+    pub passed: bool,
+}
+
+impl SessionCapacityAudit {
+    pub fn new(date: NaiveDate, symbol: String, filled_shares: u64, session_shares: u64, rate: ParticipationRate) -> Self {
+        let allowed_shares = rate.total_shares(session_shares);
+        Self { date, symbol, filled_shares, session_shares, allowed_shares, passed: filled_shares <= allowed_shares }
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn decimal_participation_never_rounds_a_fractional_share_up_or_overflows() {
+        assert_eq!(ParticipationRate::new(0.58).unwrap().total_shares(50), 29);
+        assert_eq!(ParticipationRate::new(0.25).unwrap().total_shares(3), 0);
+        assert_eq!(ParticipationRate::new(0.5).unwrap().total_shares(3), 1);
+        assert_eq!(ParticipationRate::new(1.).unwrap().total_shares(u64::MAX), u64::MAX);
+        assert_eq!(ParticipationRate::new(0.25).unwrap().remaining(u64::MAX, 0, u32::MAX), u32::MAX);
+        assert_eq!(ParticipationRate::new(f64::MIN_POSITIVE).unwrap().total_shares(u64::MAX), 0);
+        for rate in [0., -1., f64::NAN, f64::INFINITY, 1.001] {
+            assert!(ParticipationRate::new(rate).is_err());
+        }
+    }
+
+    #[test]
+    fn completed_volume_cannot_be_used_for_an_earlier_open() {
+        let day = NaiveDate::from_ymd_opt(2025,1,2).unwrap();
+        let opening = day.and_hms_opt(9,30,0).unwrap();
+        let closing = day.and_hms_opt(15,0,0).unwrap();
+        let observation = VolumeObservation { kind:VolumeObservationKind::CompletedBar, start:opening, end:closing, available_at:closing, shares:10000 };
+        assert!(matches!(observation.visible_shares(opening), Err(CapacityError::NotVisible { .. })));
+        assert_eq!(observation.remaining(closing, ParticipationRate::new(0.25).unwrap(), 1000, 5000).unwrap(), 1500);
+        assert!(matches!(observation.visible_shares(closing+chrono::Duration::days(1)), Err(CapacityError::WrongSession)));
+    }
+
+    #[test]
+    fn delayed_publication_and_invalid_bounds_are_not_treated_as_zero_volume() {
+        let at = NaiveDate::from_ymd_opt(2025,1,2).unwrap().and_hms_opt(10,18,0).unwrap();
+        let observation = VolumeObservation { kind:VolumeObservationKind::TradeIncrement, start:at, end:at, available_at:at+chrono::Duration::seconds(1), shares:0 };
+        assert!(matches!(observation.visible_shares(at), Err(CapacityError::NotVisible { .. })));
+        assert_eq!(VolumeObservation { available_at:at-chrono::Duration::seconds(1), ..observation }.visible_shares(at), Err(CapacityError::InvalidWindow));
+        assert_eq!(VolumeObservation { available_at:at, ..observation }.visible_shares(at).unwrap(), 0);
+    }
+
+    #[test]
+    fn session_audit_changes_verdict_not_executed_quantity() {
+        let day = NaiveDate::from_ymd_opt(2025,1,2).unwrap();
+        let rate = ParticipationRate::new(0.25).unwrap();
+        let a = SessionCapacityAudit::new(day,"TEST".into(),1000,3000,rate);
+        let b = SessionCapacityAudit::new(day,"TEST".into(),1000,5000,rate);
+        assert!(!a.passed); assert!(b.passed);
+        assert_eq!(a.filled_shares,b.filled_shares);
+    }
+}

crates/fidc-core/src/execution_schedule.rs

@@ -0,0 +1,61 @@
+use chrono::NaiveDateTime;
+
+use crate::engine::BacktestError;
+
+/// Cumulative TWAP entitlement depends on the frozen clock, not future quotes.
+pub(crate) struct TwapSchedule {
+    start: NaiveDateTime,
+    end: NaiveDateTime,
+    quantity: u32,
+}
+
+impl TwapSchedule {
+    pub(crate) fn new(
+        start: Option<NaiveDateTime>,
+        end: Option<NaiveDateTime>,
+        quantity: u32,
+    ) -> Result<Self, BacktestError> {
+        let (Some(start), Some(end)) = (start, end) else {
+            return Err(BacktestError::Execution("TWAP requires an explicit start and end clock".into()));
+        };
+        if end < start || start.date() != end.date() {
+            return Err(BacktestError::Execution("TWAP requires an ordered same-session clock window".into()));
+        }
+        Ok(Self { start, end, quantity })
+    }
+
+    pub(crate) fn due_quantity(&self, at: NaiveDateTime, filled: u32) -> u32 {
+        if at < self.start {
+            return 0;
+        }
+        let entitlement = if at >= self.end {
+            self.quantity
+        } else {
+            let elapsed = (at - self.start).num_microseconds().expect("same-day interval") as u128;
+            let duration = (self.end - self.start).num_microseconds().expect("same-day interval") as u128;
+            (u128::from(self.quantity) * elapsed / duration) as u32
+        };
+        entitlement.saturating_sub(filled)
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use chrono::{Duration, NaiveDate};
+
+    #[test]
+    fn clock_entitlements_are_exact_and_allow_backlog_without_future_quote_counts() {
+        let start = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap().and_hms_opt(10, 0, 0).unwrap();
+        let end = start + Duration::minutes(10);
+        let schedule = TwapSchedule::new(Some(start), Some(end), 1_000).unwrap();
+        assert_eq!(schedule.due_quantity(start, 0), 0);
+        assert_eq!(schedule.due_quantity(start + Duration::minutes(2), 0), 200);
+        assert_eq!(schedule.due_quantity(start + Duration::minutes(5), 100), 400);
+        assert_eq!(schedule.due_quantity(end, 100), 900);
+        assert_eq!(schedule.due_quantity(end, 1_000), 0);
+        assert!(TwapSchedule::new(Some(start), None, 1_000).is_err());
+        assert!(TwapSchedule::new(Some(end), Some(start), 1_000).is_err());
+        assert_eq!(TwapSchedule::new(Some(start), Some(start), 1_000).unwrap().due_quantity(start, 0), 1_000);
+    }
+}

crates/fidc-core/src/factor_event_catalog.rs

@@ -0,0 +1,52 @@
+//! Indicator metadata is versioned independently from the numerical kernel.
+use crate::factor_events::{CONTRACT, OPERATORS, TA_REV};
+use serde_json::{Value, json};
+use ta_lib::abstract_api::{self, OptInputType};
+
+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<_>>(),
+        "parameters":f.opt_inputs.iter().map(|p|json!({"name":p.param_name,"label":p.display_name,"description":p.hint,"domain":parameter_domain(p.kind)})).collect::<Vec<_>>(),
+        "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,"parameter_domain_contract":"fidc.indicator-parameter-domain/v1","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,
+        "market_event_kernel_sha256":crate::market_event_context::implementation_sha256(),
+        "market_event_common_fields":crate::market_event_context::COMMON_FIELDS,
+        "market_event_industry_fields":crate::market_event_context::INDUSTRY_FIELDS,
+        "session_events":crate::session_events::EVENTS,"session_event_contract":crate::session_events::CONTRACT,
+        "indicators":indicators,"operators":OPERATORS,"cross_section_operators":crate::factor_cross_section::OPERATORS,"read_only":true,"live_routing":false,
+        "policies":{"null":"unknown_not_false","warmup":"null_until_full_history","recursive_seed":"frozen_input_start",
+        "breakout":"previous_window_excludes_current","boolean":"three_valued_logic","daily_execution":"next_completed_session",
+        "minute_execution":"strictly_after_completed_bar","cross_section":"requires_separate_complete_universe_contract"}})
+}
+
+pub(crate) fn parameter_domain(kind: OptInputType) -> Value {
+    match kind {
+        OptInputType::IntegerRange { min, max, default, .. } => json!({
+            "value_type":"integer", "minimum":min, "maximum":max, "default":default,
+        }),
+        OptInputType::RealRange { min, max, default, precision, .. } => json!({
+            "value_type":"number", "minimum":min, "maximum":max,
+            "default":default, "display_precision":precision,
+        }),
+        OptInputType::IntegerList { values, default } => json!({
+            "value_type":"integer", "default":default,
+            "choices":values.iter().map(|(value,label)|json!({"value":value,"label":label})).collect::<Vec<_>>(),
+        }),
+        OptInputType::RealList { values, default } => json!({
+            "value_type":"number", "default":default,
+            "choices":values.iter().map(|(value,label)|json!({"value":value,"label":label})).collect::<Vec<_>>(),
+        }),
+    }
+}

crates/fidc-core/src/factor_events.rs

@@ -1,7 +1,7 @@
 //! Causal, typed indicator/event expressions shared by research and trading.
 use chrono::{DateTime, FixedOffset};
 use serde::{Deserialize, Serialize};
-use serde_json::{Value, json};
+use serde_json::Value;
 use std::collections::BTreeMap;
 use ta_lib::{
     Core,
@@ -82,7 +82,7 @@ pub struct Series {
     pub values: Vec<Option<f64>>,
 }
 
-const OPERATORS: &[&str] = &[
+pub(crate) const OPERATORS: &[&str] = &[
     "GT",
     "GTE",
     "LT",
@@ -168,33 +168,7 @@ const OPERATORS: &[&str] = &[
     "IF",
 ];
 
-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<_>>(),
-        "parameters":f.opt_inputs.iter().map(|p|json!({"name":p.param_name,"label":p.display_name,"description":p.hint,"domain":format!("{:?}",p.kind)})).collect::<Vec<_>>(),
-        "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,"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,
-        "market_event_kernel_sha256":crate::market_event_context::implementation_sha256(),
-        "market_event_common_fields":crate::market_event_context::COMMON_FIELDS,
-        "market_event_industry_fields":crate::market_event_context::INDUSTRY_FIELDS,
-        "session_events":crate::session_events::EVENTS,"session_event_contract":crate::session_events::CONTRACT,
-        "indicators":indicators,"operators":OPERATORS,"cross_section_operators":crate::factor_cross_section::OPERATORS,"read_only":true,"live_routing":false,
-        "policies":{"null":"unknown_not_false","warmup":"null_until_full_history","recursive_seed":"frozen_input_start",
-        "breakout":"previous_window_excludes_current","boolean":"three_valued_logic","daily_execution":"next_completed_session",
-        "minute_execution":"strictly_after_completed_bar","cross_section":"requires_separate_complete_universe_contract"}})
-}
+pub use crate::factor_event_catalog::catalog;
 
 impl Frame {
     pub fn validate(&self) -> Result<(), String> {
@@ -958,124 +932,5 @@ fn operator(
 }
 
 #[cfg(test)]
-mod tests {
-    use super::*;
-    fn frame(values: Vec<Option<f64>>) -> Frame {
-        let start = DateTime::parse_from_rfc3339("2026-09-01T15:30:00+08:00").unwrap();
-        let times = (0..values.len())
-            .map(|i| start + chrono::Duration::days(i as i64))
-            .collect::<Vec<_>>();
-        Frame {
-            symbol: "TEST".into(),
-            frequency: "1d".into(),
-            decision_at: *times.last().unwrap(),
-            available_at: times.clone(),
-            timestamps: times,
-            fields: BTreeMap::from([("close".into(), values)]),
-        }
-    }
-    fn expr(v: Value) -> Expr {
-        serde_json::from_value(v).unwrap()
-    }
-    #[test]
-    fn ta_sma_real_values_and_parameter_validation() {
-        let frame = frame(vec![Some(1.0), Some(2.0), Some(3.0), Some(4.0)]);
-        let e = expr(
-            json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"optInTimePeriod":3}}),
-        );
-        assert_eq!(
-            evaluate(&e, &frame).unwrap().values,
-            vec![None, None, Some(2.0), Some(3.0)]
-        );
-        let bad = expr(
-            json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"period":3}}),
-        );
-        assert!(
-            evaluate(&bad, &frame)
-                .unwrap_err()
-                .contains("parameter_unknown")
-        );
-    }
-    #[test]
-    fn cross_is_event_not_state_and_never_uses_future() {
-        let f = frame(vec![
-            Some(9.0),
-            Some(10.0),
-            Some(11.0),
-            Some(12.0),
-            Some(8.0),
-        ]);
-        let e = expr(
-            json!({"kind":"operator","name":"CROSS_ABOVE","args":[{"kind":"field","name":"close"},{"kind":"number","value":10.0}]}),
-        );
-        assert_eq!(
-            evaluate(&e, &f).unwrap().values,
-            vec![None, Some(0.0), Some(1.0), Some(0.0), Some(0.0)]
-        );
-        let mut invalid = f.clone();
-        invalid.available_at[4] = invalid.decision_at + chrono::Duration::seconds(1);
-        assert!(evaluate(&e, &invalid).is_err());
-    }
-    #[test]
-    fn missing_is_not_zero_and_breakout_excludes_current() {
-        let f = frame(vec![Some(1.0), Some(2.0), Some(3.0), None, Some(5.0)]);
-        let e = expr(
-            json!({"kind":"operator","name":"BREAK_HIGH","window":2,"args":[{"kind":"field","name":"close"}]}),
-        );
-        assert_eq!(
-            evaluate(&e, &f).unwrap().values,
-            vec![None, None, Some(1.0), None, None]
-        );
-        let zero = expr(
-            json!({"kind":"operator","name":"DIV","args":[{"kind":"field","name":"close"},{"kind":"number","value":0}]}),
-        );
-        assert!(
-            evaluate(&zero, &f)
-                .unwrap()
-                .values
-                .iter()
-                .all(Option::is_none)
-        );
-    }
-    #[test]
-    fn ta_rewarms_after_gap_and_const_zscore_is_unknown() {
-        let f = frame(vec![Some(1.0), Some(1.0), None, Some(2.0), Some(2.0)]);
-        let e = expr(
-            json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"optInTimePeriod":2}}),
-        );
-        assert_eq!(
-            evaluate(&e, &f).unwrap().values,
-            vec![None, Some(1.0), None, None, Some(2.0)]
-        );
-        let e = expr(
-            json!({"kind":"operator","name":"ZSCORE","window":2,"args":[{"kind":"field","name":"close"}]}),
-        );
-        assert!(evaluate(&e, &f).unwrap().values.iter().all(Option::is_none));
-    }
-    #[test]
-    fn no_event_has_no_bars_since_and_type_errors_reject() {
-        let f = frame(vec![Some(1.0), Some(1.0), Some(1.0)]);
-        let state = json!({"kind":"operator","name":"GT","args":[{"kind":"field","name":"close"},{"kind":"number","value":5}]});
-        let e = expr(json!({"kind":"operator","name":"BARS_SINCE","args":[state]}));
-        assert!(evaluate(&e, &f).unwrap().values.iter().all(Option::is_none));
-        assert!(
-            evaluate(
-                &expr(
-                    json!({"kind":"operator","name":"NOT","args":[{"kind":"field","name":"close"}]})
-                ),
-                &f
-            )
-            .is_err()
-        );
-    }
-    #[test]
-    fn literal_unknown_fields_reject_and_catalog_is_not_trading_permission() {
-        assert!(
-            serde_json::from_value::<Expr>(json!({"kind":"number","value":1,"account_id":2}))
-                .is_err()
-        );
-        let c = catalog();
-        assert!(c["indicators"].as_array().unwrap().len() > 190);
-        assert_eq!(c["live_routing"], false);
-    }
-}
+#[path = "factor_events_tests.rs"]
+mod tests;

crates/fidc-core/src/factor_events_tests.rs

@@ -0,0 +1,161 @@
+use super::*;
+use serde_json::json;
+use crate::factor_event_catalog::parameter_domain;
+
+#[test]
+fn every_parameter_domain_is_structured_and_matches_native_defaults() {
+    for function in abstract_api::funcs() {
+        let handle = abstract_api::get_func_handle(function.name).unwrap();
+        let core = Core::new();
+        let mut call = handle.new_call(&core);
+        for (index, parameter) in function.opt_inputs.iter().enumerate() {
+            let domain = parameter_domain(parameter.kind);
+            let default = domain["default"].as_f64().unwrap();
+            assert!(default.is_finite(), "{} {}", function.name, parameter.param_name);
+            if let Some(choices) = domain.get("choices") {
+                assert!(choices.as_array().unwrap().iter().any(|v| v["value"].as_f64() == Some(default)));
+            } else {
+                assert!(default >= domain["minimum"].as_f64().unwrap());
+                assert!(default <= domain["maximum"].as_f64().unwrap());
+            }
+            if domain["value_type"] == "integer" {
+                assert_eq!(default.fract(), 0.0);
+                call.set_opt(index, default as i32).unwrap();
+            } else {
+                call.set_opt(index, default).unwrap();
+            }
+        }
+        assert!(call.lookback().is_ok(), "{}", function.name);
+    }
+}
+
+#[test]
+fn parameter_domains_keep_enumeration_labels_without_debug_string_parsing() {
+    let catalog = catalog();
+    assert_eq!(catalog["parameter_domain_contract"], "fidc.indicator-parameter-domain/v1");
+    let indicators = catalog["indicators"].as_array().unwrap();
+    let rsi = indicators.iter().find(|v| v["name"] == "RSI").unwrap();
+    assert_eq!(rsi["parameters"][0]["domain"]["minimum"], 2);
+    let stoch = indicators.iter().find(|v| v["name"] == "STOCH").unwrap();
+    let ma_type = stoch["parameters"].as_array().unwrap().iter().find(|p| p["name"] == "optInSlowK_MAType").unwrap();
+    assert!(ma_type["domain"]["choices"].as_array().unwrap().iter().any(|v| v["label"] == "EMA" && v["value"] == 1));
+}
+
+fn frame(values: Vec<Option<f64>>) -> Frame {
+    let start = DateTime::parse_from_rfc3339("2026-09-01T15:30:00+08:00").unwrap();
+    let times = (0..values.len())
+        .map(|i| start + chrono::Duration::days(i as i64))
+        .collect::<Vec<_>>();
+    Frame {
+        symbol: "TEST".into(),
+        frequency: "1d".into(),
+        decision_at: *times.last().unwrap(),
+        available_at: times.clone(),
+        timestamps: times,
+        fields: BTreeMap::from([("close".into(), values)]),
+    }
+}
+fn expr(v: Value) -> Expr {
+    serde_json::from_value(v).unwrap()
+}
+#[test]
+fn ta_sma_real_values_and_parameter_validation() {
+    let frame = frame(vec![Some(1.0), Some(2.0), Some(3.0), Some(4.0)]);
+    let e = expr(
+        json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"optInTimePeriod":3}}),
+    );
+    assert_eq!(
+        evaluate(&e, &frame).unwrap().values,
+        vec![None, None, Some(2.0), Some(3.0)]
+    );
+    let bad = expr(
+        json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"period":3}}),
+    );
+    assert!(
+        evaluate(&bad, &frame)
+            .unwrap_err()
+            .contains("parameter_unknown")
+    );
+}
+#[test]
+fn cross_is_event_not_state_and_never_uses_future() {
+    let f = frame(vec![
+        Some(9.0),
+        Some(10.0),
+        Some(11.0),
+        Some(12.0),
+        Some(8.0),
+    ]);
+    let e = expr(
+        json!({"kind":"operator","name":"CROSS_ABOVE","args":[{"kind":"field","name":"close"},{"kind":"number","value":10.0}]}),
+    );
+    assert_eq!(
+        evaluate(&e, &f).unwrap().values,
+        vec![None, Some(0.0), Some(1.0), Some(0.0), Some(0.0)]
+    );
+    let mut invalid = f.clone();
+    invalid.available_at[4] = invalid.decision_at + chrono::Duration::seconds(1);
+    assert!(evaluate(&e, &invalid).is_err());
+}
+#[test]
+fn missing_is_not_zero_and_breakout_excludes_current() {
+    let f = frame(vec![Some(1.0), Some(2.0), Some(3.0), None, Some(5.0)]);
+    let e = expr(
+        json!({"kind":"operator","name":"BREAK_HIGH","window":2,"args":[{"kind":"field","name":"close"}]}),
+    );
+    assert_eq!(
+        evaluate(&e, &f).unwrap().values,
+        vec![None, None, Some(1.0), None, None]
+    );
+    let zero = expr(
+        json!({"kind":"operator","name":"DIV","args":[{"kind":"field","name":"close"},{"kind":"number","value":0}]}),
+    );
+    assert!(
+        evaluate(&zero, &f)
+            .unwrap()
+            .values
+            .iter()
+            .all(Option::is_none)
+    );
+}
+#[test]
+fn ta_rewarms_after_gap_and_const_zscore_is_unknown() {
+    let f = frame(vec![Some(1.0), Some(1.0), None, Some(2.0), Some(2.0)]);
+    let e = expr(
+        json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"optInTimePeriod":2}}),
+    );
+    assert_eq!(
+        evaluate(&e, &f).unwrap().values,
+        vec![None, Some(1.0), None, None, Some(2.0)]
+    );
+    let e = expr(
+        json!({"kind":"operator","name":"ZSCORE","window":2,"args":[{"kind":"field","name":"close"}]}),
+    );
+    assert!(evaluate(&e, &f).unwrap().values.iter().all(Option::is_none));
+}
+#[test]
+fn no_event_has_no_bars_since_and_type_errors_reject() {
+    let f = frame(vec![Some(1.0), Some(1.0), Some(1.0)]);
+    let state = json!({"kind":"operator","name":"GT","args":[{"kind":"field","name":"close"},{"kind":"number","value":5}]});
+    let e = expr(json!({"kind":"operator","name":"BARS_SINCE","args":[state]}));
+    assert!(evaluate(&e, &f).unwrap().values.iter().all(Option::is_none));
+    assert!(
+        evaluate(
+            &expr(
+                json!({"kind":"operator","name":"NOT","args":[{"kind":"field","name":"close"}]})
+            ),
+            &f
+        )
+        .is_err()
+    );
+}
+#[test]
+fn literal_unknown_fields_reject_and_catalog_is_not_trading_permission() {
+    assert!(
+        serde_json::from_value::<Expr>(json!({"kind":"number","value":1,"account_id":2}))
+            .is_err()
+    );
+    let c = catalog();
+    assert!(c["indicators"].as_array().unwrap().len() > 190);
+    assert_eq!(c["live_routing"], false);
+}

crates/fidc-core/src/finite_serialization.rs

@@ -0,0 +1,196 @@
+//! Check typed pending intent numbers before JSON could replace NaN/Inf with null.
+//! This traverses the original Serialize representation without materializing it.
+use serde::{Serialize, Serializer, ser};
+
+#[derive(Clone, Copy)]
+struct Finite;
+
+pub(crate) fn validate(value: &impl Serialize) -> Result<(), serde_json::Error> {
+    value.serialize(Finite)
+}
+
+macro_rules! scalar {
+    ($($method:ident: $ty:ty),* $(,)?) => {$(
+        fn $method(self, _: $ty) -> Result<(), Self::Error> { Ok(()) }
+    )*};
+}
+
+impl Serializer for Finite {
+    type Ok = ();
+    type Error = serde_json::Error;
+    type SerializeSeq = Self;
+    type SerializeTuple = Self;
+    type SerializeTupleStruct = Self;
+    type SerializeTupleVariant = Self;
+    type SerializeMap = Self;
+    type SerializeStruct = Self;
+    type SerializeStructVariant = Self;
+
+    scalar!(serialize_bool: bool, serialize_i8: i8, serialize_i16: i16,
+        serialize_i32: i32, serialize_i64: i64, serialize_i128: i128,
+        serialize_u8: u8, serialize_u16: u16, serialize_u32: u32,
+        serialize_u64: u64, serialize_u128: u128, serialize_char: char,
+        serialize_str: &str, serialize_bytes: &[u8]);
+    fn serialize_f32(self, value: f32) -> Result<(), Self::Error> {
+        self.serialize_f64(f64::from(value))
+    }
+    fn serialize_f64(self, value: f64) -> Result<(), Self::Error> {
+        if value.is_finite() {
+            Ok(())
+        } else {
+            Err(ser::Error::custom(
+                "pending strategy intent contains a non-finite number",
+            ))
+        }
+    }
+    fn serialize_none(self) -> Result<(), Self::Error> {
+        Ok(())
+    }
+    fn serialize_some<T: ?Sized + Serialize>(self, value: &T) -> Result<(), Self::Error> {
+        value.serialize(self)
+    }
+    fn serialize_unit(self) -> Result<(), Self::Error> {
+        Ok(())
+    }
+    fn serialize_unit_struct(self, _: &'static str) -> Result<(), Self::Error> {
+        Ok(())
+    }
+    fn serialize_unit_variant(
+        self,
+        _: &'static str,
+        _: u32,
+        _: &'static str,
+    ) -> Result<(), Self::Error> {
+        Ok(())
+    }
+    fn serialize_newtype_struct<T: ?Sized + Serialize>(
+        self,
+        _: &'static str,
+        value: &T,
+    ) -> Result<(), Self::Error> {
+        value.serialize(self)
+    }
+    fn serialize_newtype_variant<T: ?Sized + Serialize>(
+        self,
+        _: &'static str,
+        _: u32,
+        _: &'static str,
+        value: &T,
+    ) -> Result<(), Self::Error> {
+        value.serialize(self)
+    }
+    fn serialize_seq(self, _: Option<usize>) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_tuple(self, _: usize) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_tuple_struct(self, _: &'static str, _: usize) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_tuple_variant(
+        self,
+        _: &'static str,
+        _: u32,
+        _: &'static str,
+        _: usize,
+    ) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_map(self, _: Option<usize>) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_struct(self, _: &'static str, _: usize) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_struct_variant(
+        self,
+        _: &'static str,
+        _: u32,
+        _: &'static str,
+        _: usize,
+    ) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+}
+
+macro_rules! sequence {
+    ($trait:ident, $method:ident) => {
+        impl ser::$trait for Finite {
+            type Ok = ();
+            type Error = serde_json::Error;
+            fn $method<T: ?Sized + Serialize>(&mut self, value: &T) -> Result<(), Self::Error> {
+                value.serialize(*self)
+            }
+            fn end(self) -> Result<(), Self::Error> {
+                Ok(())
+            }
+        }
+    };
+}
+sequence!(SerializeSeq, serialize_element);
+sequence!(SerializeTuple, serialize_element);
+sequence!(SerializeTupleStruct, serialize_field);
+sequence!(SerializeTupleVariant, serialize_field);
+
+impl ser::SerializeMap for Finite {
+    type Ok = ();
+    type Error = serde_json::Error;
+    fn serialize_key<T: ?Sized + Serialize>(&mut self, value: &T) -> Result<(), Self::Error> {
+        value.serialize(*self)
+    }
+    fn serialize_value<T: ?Sized + Serialize>(&mut self, value: &T) -> Result<(), Self::Error> {
+        value.serialize(*self)
+    }
+    fn end(self) -> Result<(), Self::Error> {
+        Ok(())
+    }
+}
+
+macro_rules! structure {
+    ($trait:ident) => {
+        impl ser::$trait for Finite {
+            type Ok = ();
+            type Error = serde_json::Error;
+            fn serialize_field<T: ?Sized + Serialize>(
+                &mut self,
+                _: &'static str,
+                value: &T,
+            ) -> Result<(), Self::Error> {
+                value.serialize(*self)
+            }
+            fn end(self) -> Result<(), Self::Error> {
+                Ok(())
+            }
+        }
+    };
+}
+structure!(SerializeStruct);
+structure!(SerializeStructVariant);
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use crate::strategy::{OrderIntent, StrategyDecision};
+
+    #[test]
+    fn pending_numbers_cannot_be_silently_serialized_as_optional_nulls() {
+        for value in [f64::NAN, f64::INFINITY, f64::NEG_INFINITY] {
+            let decision = StrategyDecision {
+                order_intents: vec![
+                    OrderIntent::LimitTargetPercent {
+                        symbol: "000001.SZ".into(),
+                        target_percent: 0.5,
+                        limit_price: value,
+                        reason: "test".into(),
+                    }
+                    .with_time_in_force(crate::strategy::OrderTimeInForce::Day),
+                ],
+                ..Default::default()
+            };
+            assert!(validate(&decision).is_err());
+            assert!(validate(&vec![Some(value)]).is_err());
+        }
+        assert!(validate(&(None::<f64>, vec![0., -0., 0.123456789], "NaN")).is_ok());
+    }
+}

crates/fidc-core/src/fixed_point.rs

@@ -28,6 +28,17 @@ impl FixedMoney {
         self.0
     }
 
+    pub fn to_decimal_string(self) -> String {
+        let magnitude = self.0.unsigned_abs();
+        let scale = MONEY_SCALE as u128;
+        let sign = if self.0 < 0 { "-" } else { "" };
+        let width = MONEY_SCALE.ilog10() as usize;
+        format!("{sign}{}.{:0width$}", magnitude / scale, magnitude % scale)
+            .trim_end_matches('0')
+            .trim_end_matches('.')
+            .to_string()
+    }
+
     pub fn from_decimal_str(value: &str) -> Result<Self, String> {
         let value = value.trim();
         if value.is_empty() {

crates/fidc-core/src/futures.rs

@@ -26,7 +26,7 @@ fn sum_futures_money(values: impl IntoIterator<Item = FixedMoney>, label: &str)
     })
 }
 
-#[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord)]
+#[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord, Serialize)]
 pub enum FuturesDirection {
     Long,
     Short,
@@ -62,7 +62,7 @@ impl FuturesDirection {
     }
 }
 
-#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize)]
 pub enum FuturesPositionEffect {
     Open,
     Close,
@@ -81,7 +81,7 @@ impl FuturesPositionEffect {
     }
 }
 
-#[derive(Debug, Clone, Copy)]
+#[derive(Debug, Clone, Copy, Serialize)]
 pub struct FuturesContractSpec {
     pub contract_multiplier: f64,
     pub long_margin_rate: f64,
@@ -190,7 +190,7 @@ impl FuturesTransactionCostModel {
     }
 }
 
-#[derive(Debug, Clone)]
+#[derive(Debug, Clone, Serialize)]
 pub struct FuturesOrderIntent {
     pub symbol: String,
     pub direction: FuturesDirection,
@@ -1048,6 +1048,7 @@ impl FuturesAccountState {
                 )
                 .to_f64();
                 report.fill_events.push(FillEvent {
+                    origin: crate::events::FillOrigin::MarketExecution,
                     date,
                     decision_date: None,
                     order_created_date: None,

crates/fidc-core/src/holding_policy.rs

@@ -0,0 +1,384 @@
+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, Serialize)]
+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.evaluate_with_predecessors(symbol, execution_date, evidence, calendar, std::iter::empty())
+    }
+
+    /// Only accept predecessors from validated, actually applied holding
+    /// conversions. Catalog aliases or requested strategy symbols are not
+    /// evidence that a configured lock covers another security.
+    pub fn evaluate_with_predecessors<'a>(
+        &self,
+        symbol: &str,
+        execution_date: NaiveDate,
+        evidence: &HoldingLifecycleEvidence,
+        calendar: &TradingCalendar,
+        verified_predecessors: impl IntoIterator<Item = &'a str>,
+    ) -> Result<AutomaticTradePermission, String> {
+        self.validate()?;
+        let predecessors = verified_predecessors.into_iter().collect::<std::collections::BTreeSet<_>>();
+        if self.locks.iter().any(|lock| {
+            (lock.symbol == symbol || predecessors.contains(lock.symbol.as_str()))
+                && 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

@@ -27,6 +27,12 @@ pub struct Instrument {
 }
 
 impl Instrument {
+    /// Classification from the admitted security master, never a code prefix
+    /// or a name substring. This does not grant T+0 settlement eligibility.
+    pub fn is_exchange_traded_fund(&self) -> bool {
+        matches!(self.board.trim().to_ascii_uppercase().as_str(), "ETF" | "EXCHANGE_TRADED_FUND")
+    }
+
     pub fn effective_round_lot(&self) -> u32 {
         self.round_lot.max(1)
     }

crates/fidc-core/src/lib.rs

@@ -1,30 +1,49 @@
 pub mod broker;
 pub mod calendar;
 pub mod cost;
+mod corporate_book;
 pub mod data;
+mod numeric_factors;
 pub mod daily_patterns;
 pub mod pattern_context;
 pub mod session_events;
 pub mod factor_events;
+pub mod execution_capacity;
+mod etf_execution;
+mod execution_schedule;
+mod factor_event_catalog;
 pub mod factor_cross_section;
 pub mod market_event_context;
 pub mod engine;
 pub mod event_bus;
 pub mod events;
 pub mod fixed_point;
+mod finite_serialization;
 pub mod futures;
 pub mod instrument;
 pub mod metrics;
+pub mod manual_execution;
+mod manual_corporate_replay;
 mod numeric_expr_vm;
 pub mod platform_expr_strategy;
 pub mod platform_runtime_schema;
 pub mod platform_strategy_spec;
 pub mod portfolio;
 pub mod portfolio_loss;
+pub mod position_exposure;
 pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
+pub mod holding_policy;
+pub mod stock_pool_candidates;
+pub mod stock_pool_indicators;
+pub mod stock_pool_execution;
+pub mod stock_pool_index_policy;
+pub mod stock_pool_market_cap;
+pub mod stock_pool_state;
+pub mod stock_pool_quote_facts;
+pub mod signal_contract;
 pub mod strategy_ai;
 pub mod universe;
 
@@ -46,11 +65,11 @@ pub use engine::{
     AnalyzerTradeRow, BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError,
     BacktestResult, BacktestTerminalAssetClass, BacktestTerminalAudit, BacktestTerminalOpenOrder,
     BacktestTerminalStatus, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
-    ProcessEventRetention, backtest_execution_dates,
+    ProcessEventRetention, backtest_execution_dates, backtest_execution_dates_with_rules,
 };
 pub use event_bus::{BacktestProcessMod, BacktestProcessModLoader, ProcessEventBus};
 pub use events::{
-    AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
+    AccountEvent, FillEvent, FillOrigin, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
 pub use fixed_point::{

crates/fidc-core/src/manual_corporate_replay.rs

@@ -0,0 +1,434 @@
+use std::cell::{Cell, RefCell};
+use std::collections::{BTreeMap, BTreeSet};
+
+use chrono::{DateTime, FixedOffset, NaiveDate, NaiveDateTime, Utc};
+use sha2::{Digest, Sha256};
+
+use crate::manual_execution::{
+    AppliedManualFill, ManualCorporateActionReference, ManualCorporateAdjustment,
+    ManualCorporatePositionChange, ManualExecutionReplay, ManualFillObservation,
+};
+use crate::{DataSet, FillEvent, FixedMoney, MatchingType, OrderSide, PortfolioState, PriceField};
+
+#[derive(Debug, Clone)]
+struct CashEffect {
+    at: NaiveDateTime,
+    amount: FixedMoney,
+}
+
+/// Replays issued financial facts, never strategy callbacks or hypothetical orders.
+/// The ordinary book remains observable until an actual receipt is delivered.
+pub(crate) struct ManualCorporateReplay {
+    first_date: NaiveDate,
+    sessions: RefCell<BTreeSet<NaiveDate>>,
+    closed: RefCell<BTreeSet<NaiveDate>>,
+    cash: RefCell<Vec<CashEffect>>,
+    reconciled_count: Cell<usize>,
+    cash_dividends: bool,
+    adjust_cost: bool,
+    reinvest: bool,
+    matching: MatchingType,
+    daily_price: PriceField,
+    same_day_mark_at_fill: bool,
+}
+
+impl ManualCorporateReplay {
+    pub(crate) fn new(
+        first_date: NaiveDate,
+        cash_dividends: bool,
+        adjust_cost: bool,
+        reinvest: bool,
+        matching: MatchingType,
+        daily_price: PriceField,
+        same_day_mark_at_fill: bool,
+    ) -> Self {
+        Self {
+            first_date,
+            sessions: RefCell::new(BTreeSet::new()),
+            closed: RefCell::new(BTreeSet::new()),
+            cash: RefCell::new(Vec::new()),
+            reconciled_count: Cell::new(0),
+            cash_dividends,
+            adjust_cost,
+            reinvest,
+            matching,
+            daily_price,
+            same_day_mark_at_fill,
+        }
+    }
+
+    pub(crate) fn record_session(&self, date: NaiveDate) {
+        self.sessions.borrow_mut().insert(date);
+    }
+    pub(crate) fn record_close(&self, date: NaiveDate) {
+        self.closed.borrow_mut().insert(date);
+    }
+    pub(crate) fn committed(&self, count: usize) {
+        self.reconciled_count.set(count);
+    }
+
+    pub(crate) fn record_cash(
+        &self,
+        at: Option<NaiveDateTime>,
+        before: FixedMoney,
+        after: FixedMoney,
+    ) -> Result<(), String> {
+        let amount = after
+            .checked_sub(before)
+            .ok_or("manual corporate cash observation overflow")?;
+        if amount != FixedMoney::ZERO {
+            self.cash.borrow_mut().push(CashEffect {
+                at: at.ok_or("manual corporate cash observation has no execution clock")?,
+                amount,
+            });
+        }
+        Ok(())
+    }
+
+    fn action_references(
+        &self,
+        observation: ManualFillObservation<'_>,
+        data: &DataSet,
+    ) -> Result<Vec<ManualCorporateActionReference>, String> {
+        let mut symbols = BTreeSet::from([observation.order.symbol.clone()]);
+        let observed_date = local(observation.fill.observed_at).date();
+        let mut actions = Vec::new();
+        for date in self.sessions.borrow().range((
+            std::ops::Bound::Excluded(observation.fill.trade_date),
+            std::ops::Bound::Included(observed_date),
+        )) {
+            for action in data.corporate_actions_on(*date) {
+                if !symbols.contains(&action.symbol) {
+                    continue;
+                }
+                let successor_terms = crate::corporate_book::validate_action(action, data)?;
+                let effective = (action.split_ratio() - 1.).abs() > f64::EPSILON
+                    || action.has_successor_conversion()
+                    || (self.cash_dividends && action.share_cash.abs() > f64::EPSILON);
+                if !effective {
+                    continue;
+                }
+                if let Some((successor, _, _)) = successor_terms {
+                    symbols.insert(successor.to_owned());
+                }
+                actions.push(ManualCorporateActionReference {
+                    date: *date,
+                    symbol: action.symbol.clone(),
+                    successor_symbol: action.successor_symbol.clone(),
+                    share_cash: action.share_cash.to_string(),
+                    split_ratio: action.split_ratio().to_string(),
+                    successor_ratio: action.successor_ratio.map(|value| value.to_string()),
+                    successor_cash: action.successor_cash.map(|value| value.to_string()),
+                    sha256: digest(
+                        &serde_json::to_value(action).map_err(|error| error.to_string())?,
+                    )?,
+                });
+            }
+        }
+        Ok(actions)
+    }
+
+    pub(crate) fn required(
+        &self,
+        observation: ManualFillObservation<'_>,
+        data: &DataSet,
+    ) -> Result<bool, String> {
+        Ok(!self.action_references(observation, data)?.is_empty())
+    }
+
+    pub(crate) fn project(
+        &self,
+        source: &ManualExecutionReplay,
+        applied_count: usize,
+        observation: ManualFillObservation<'_>,
+        current: &mut PortfolioState,
+        data: &DataSet,
+        fills: &[FillEvent],
+        has_pending: bool,
+    ) -> Result<(AppliedManualFill, ManualCorporateAdjustment), String> {
+        if has_pending {
+            return Err("manual observation conflicts with pending shadow orders".into());
+        }
+        let all = source.observations()?;
+        if all.get(applied_count).is_none_or(|next| {
+            next.fill.observation_event_id != observation.fill.observation_event_id
+        }) {
+            return Err(
+                "manual corporate observation prefix differs from the immutable trace".into(),
+            );
+        }
+        let actions = self.action_references(observation, data)?;
+        if actions.is_empty() {
+            return Err("manual corporate projection has no processed corporate action".into());
+        }
+        let at = local(observation.fill.observed_at);
+        let reference = self.replay(
+            source,
+            current.initial_cash_fixed(),
+            &all[..applied_count],
+            self.reconciled_count.get(),
+            data,
+            fills,
+            at,
+        )?;
+        let expected = current.financial_replay_identity();
+        let reference_identity = reference.financial_replay_identity();
+        if reference_identity != expected {
+            return Err(format!(
+                "manual corporate ledger coverage mismatch: symbol={} observed_at={} expected={} replayed={}",
+                observation.order.symbol,
+                observation.fill.observed_at,
+                digest(&expected)?,
+                digest(&reference_identity)?
+            ));
+        }
+        let replayed = self.replay(
+            source,
+            current.initial_cash_fixed(),
+            &all[..=applied_count],
+            applied_count + 1,
+            data,
+            fills,
+            at,
+        )?;
+        let replayed_identity = replayed.financial_replay_identity();
+        let gross = FixedMoney::from_decimal_str(&observation.fill.gross_amount()?.to_string())?;
+        let fees = FixedMoney::from_decimal_str(&observation.fill.total_fees()?.to_string())?;
+        let cash_delta = match observation.order.side {
+            OrderSide::Buy => gross.checked_add(fees).and_then(FixedMoney::checked_neg),
+            OrderSide::Sell => gross.checked_sub(fees),
+        }
+        .ok_or("manual corporate trade cash overflow")?;
+        let before = current.cash_fixed();
+        let after = replayed.cash_fixed();
+        let corporate_cash = after
+            .checked_sub(before)
+            .and_then(|delta| delta.checked_sub(cash_delta))
+            .ok_or("manual corporate adjustment overflow")?;
+        let symbols = current
+            .positions()
+            .keys()
+            .chain(replayed.positions().keys())
+            .cloned()
+            .chain(std::iter::once(observation.order.symbol.clone()))
+            .collect::<BTreeSet<_>>();
+        let mut positions = BTreeMap::new();
+        for symbol in symbols {
+            let change = ManualCorporatePositionChange {
+                quantity_before: current
+                    .position(&symbol)
+                    .map_or(0, |position| position.quantity),
+                quantity_after: replayed
+                    .position(&symbol)
+                    .map_or(0, |position| position.quantity),
+                cost_basis_before: current
+                    .financial_position_basis(&symbol)
+                    .to_decimal_string(),
+                cost_basis_after: replayed
+                    .financial_position_basis(&symbol)
+                    .to_decimal_string(),
+            };
+            if change.quantity_before != change.quantity_after
+                || change.cost_basis_before != change.cost_basis_after
+            {
+                positions.insert(symbol, change);
+            }
+        }
+        let quantity_after = replayed
+            .position(&observation.order.symbol)
+            .map_or(0, |position| position.quantity);
+        let adjustment = ManualCorporateAdjustment {
+            schema: "fidc.manual-corporate-adjustment/v1".into(),
+            observed_at: observation.fill.observed_at,
+            cash_dividends_enabled: self.cash_dividends,
+            dividend_cost_basis_adjustment: self.adjust_cost,
+            dividend_reinvestment: self.reinvest,
+            actions,
+            cash_before: before.to_decimal_string(),
+            cash_after: after.to_decimal_string(),
+            corporate_cash_delta: corporate_cash.to_decimal_string(),
+            positions,
+            reference_sha256: digest(&reference_identity)?,
+            replayed_sha256: digest(&replayed_identity)?,
+        };
+        current.replace_replayed_financial_book(replayed)?;
+        Ok((
+            AppliedManualFill {
+                gross,
+                fees,
+                cash_delta,
+                quantity_after,
+            },
+            adjustment,
+        ))
+    }
+
+    fn replay(
+        &self,
+        runtime_input: &ManualExecutionReplay,
+        initial_cash: FixedMoney,
+        manual: &[ManualFillObservation<'_>],
+        economic_count: usize,
+        data: &DataSet,
+        fills: &[FillEvent],
+        at: NaiveDateTime,
+    ) -> Result<PortfolioState, String> {
+        enum Event<'a> {
+            Session,
+            Cash(&'a CashEffect),
+            Corporate(NaiveDate),
+            Settle(NaiveDate),
+            Manual(ManualFillObservation<'a>),
+            Simulated(&'a FillEvent),
+            Close(NaiveDate),
+        }
+        let mut events = Vec::new();
+        let sessions = self.sessions.borrow();
+        let closed = self.closed.borrow();
+        let cash = self.cash.borrow();
+        for date in &*sessions {
+            let clock = date.and_hms_opt(0, 0, 0).unwrap();
+            events.push((clock, 0, 0, Event::Session));
+            events.push((clock, 2, 0, Event::Corporate(*date)));
+            events.push((clock, 3, 0, Event::Settle(*date)));
+        }
+        for (index, effect) in cash.iter().enumerate() {
+            events.push((effect.at, 1, index, Event::Cash(effect)));
+        }
+        for (index, observation) in manual.iter().enumerate() {
+            let clock = if index < economic_count {
+                local(observation.fill.executed_at)
+            } else {
+                local(observation.fill.observed_at)
+            };
+            if clock.date() < self.first_date {
+                return Err("manual corporate execution precedes the represented initial ledger; opening facts are required".into());
+            }
+            events.push((clock, 4, fills.len() + index, Event::Manual(*observation)));
+        }
+        for (index, fill) in fills.iter().enumerate() {
+            fill.validate()?;
+            if fill.origin == crate::events::FillOrigin::DividendReinvestment {
+                // The declared accounting model is recalculated from the
+                // corrected entitlements; this was never a submitted order.
+                continue;
+            }
+            let date = fill.execution_date.unwrap_or(fill.date);
+            // This is the frozen daily matching model, not a broker timestamp.
+            // Intraday contracts must supply their actual execution clock.
+            let clock = match fill.execution_timestamp {
+                Some(clock) => clock,
+                None if matches!(
+                    self.matching,
+                    MatchingType::OpenAuction | MatchingType::NextBarOpen
+                ) =>
+                {
+                    date.and_hms_opt(9, 30, 0).unwrap()
+                }
+                None if self.matching == MatchingType::CurrentBarClose
+                    && self.daily_price == PriceField::Close =>
+                {
+                    date.and_hms_opt(15, 0, 0).unwrap()
+                }
+                None => {
+                    return Err(
+                        "manual corporate replay lacks an intraday fill execution clock".into(),
+                    );
+                }
+            };
+            events.push((clock, 4, index, Event::Simulated(fill)));
+        }
+        for date in &*closed {
+            events.push((
+                date.and_hms_nano_opt(23, 59, 59, 999_999_999)
+                    .unwrap()
+                    .min(at),
+                5,
+                0,
+                Event::Close(*date),
+            ));
+        }
+        events.sort_by_key(|(clock, priority, sequence, _)| (*clock, *priority, *sequence));
+        let mut book = PortfolioState::from_fixed_initial_cash(initial_cash);
+        for (clock, _, _, event) in events {
+            if clock > at {
+                return Err("manual corporate replay contains a future financial fact".into());
+            }
+            match event {
+                Event::Session => book.begin_trading_day(),
+                Event::Cash(effect) => {
+                    book.apply_cash_delta_fixed(effect.amount)?;
+                    if book.cash_fixed() < FixedMoney::ZERO {
+                        return Err(
+                            "manual corporate replay conflicts with prior cash facts".into()
+                        );
+                    }
+                }
+                Event::Corporate(date) => {
+                    crate::corporate_book::apply(
+                        date,
+                        data,
+                        &mut book,
+                        &mut Vec::new(),
+                        self.cash_dividends,
+                        self.adjust_cost,
+                    )
+                    .map_err(|error| error.to_string())?;
+                }
+                Event::Settle(date) => {
+                    crate::corporate_book::settle_receivables(date, data, &mut book, &mut Vec::new(), self.reinvest, Some(runtime_input))
+                        .map_err(|error| error.to_string())?;
+                }
+                Event::Manual(observation) => {
+                    observation.apply(&mut book, data, false)?;
+                }
+                Event::Simulated(fill) => {
+                    let gross = FixedMoney::from_f64(fill.gross_amount)
+                        .ok_or("invalid simulated gross amount")?;
+                    let fees = FixedMoney::checked_sum_f64([
+                        fill.commission,
+                        fill.stamp_tax,
+                        fill.transfer_fee,
+                    ])
+                    .ok_or("invalid simulated fee amount")?;
+                    book.apply_observed_manual_fill(
+                        fill.execution_date.unwrap_or(fill.date),
+                        &fill.symbol,
+                        fill.side,
+                        fill.quantity,
+                        fill.price,
+                        fill.price,
+                        gross,
+                        fees,
+                    )?;
+                    book.prune_flat_positions();
+                }
+                Event::Close(date) => {
+                    book.update_prices_with_options(
+                        date,
+                        data,
+                        PriceField::Close,
+                        self.same_day_mark_at_fill,
+                    )
+                    .map_err(|error| error.to_string())?;
+                }
+            }
+            if book.cash_fixed() < FixedMoney::ZERO {
+                return Err("manual corporate replay would borrow unobserved cash".into());
+            }
+        }
+        Ok(book)
+    }
+}
+
+fn local(value: DateTime<Utc>) -> NaiveDateTime {
+    value
+        .with_timezone(&FixedOffset::east_opt(8 * 3600).unwrap())
+        .naive_local()
+}
+fn digest(value: &serde_json::Value) -> Result<String, String> {
+    Ok(format!(
+        "{:x}",
+        Sha256::digest(serde_json::to_vec(value).map_err(|error| error.to_string())?)
+    ))
+}

crates/fidc-core/src/manual_execution.rs

@@ -0,0 +1,748 @@
+//! Confirmed manual fills are external observations, not simulated broker fills.
+//! The producer must bind these records to the runtime's durable order/audit facts.
+
+use std::collections::{BTreeMap, BTreeSet};
+
+use chrono::{DateTime, FixedOffset, NaiveDate, Timelike, Utc};
+use rust_decimal::Decimal;
+use serde::{Deserialize, Serialize};
+use sha2::{Digest, Sha256};
+
+use crate::events::OrderSide;
+use crate::{DataSet, FixedMoney, PortfolioState};
+use rust_decimal::prelude::ToPrimitive;
+
+pub const MANUAL_REPLAY_SCHEMA: &str = "fidc.observed-manual-executions/v3";
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualExecutionReplay {
+    pub schema: String,
+    pub runtime_id: String,
+    pub account_id: String,
+    pub source_contract_sha256: String,
+    pub content_sha256: String,
+    pub observation_cutoff: DateTime<Utc>,
+    pub actions: Vec<ManualExecutionAction>,
+    #[serde(default, skip_serializing_if = "Vec::is_empty")]
+    pub position_exposure_events: Vec<crate::position_exposure::PositionExposureEvent>,
+    #[serde(default, skip_serializing_if = "BTreeMap::is_empty")]
+    pub legacy_position_exposure_bps: BTreeMap<NaiveDate, i32>,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualExecutionAction {
+    pub action_id: String,
+    pub source: ManualExecutionSource,
+    pub audit_event_ids: Vec<String>,
+    pub confirmed_at: DateTime<Utc>,
+    pub confirmation_observed_at: DateTime<Utc>,
+    pub outcome: ManualActionOutcome,
+    pub orders: Vec<ManualExecutionOrder>,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum ManualActionOutcome {
+    NoOrdersNeeded,
+    NotExecuted,
+    OrdersTerminal,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum ManualExecutionSource {
+    ManualSecurityTrade,
+    ManualPositionAction,
+    ManualRebalance,
+    StockPoolAllocation,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualExecutionOrder {
+    pub order_id: String,
+    pub broker_order_id: Option<String>,
+    pub source_adapter: Option<String>,
+    pub symbol: String,
+    pub side: OrderSide,
+    pub quantity: u32,
+    pub order_created_at: DateTime<Utc>,
+    pub terminal_observed_at: DateTime<Utc>,
+    pub terminal_status: ManualOrderTerminalStatus,
+    pub fills: Vec<ManualExecutionFill>,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum ManualOrderTerminalStatus {
+    Filled,
+    Cancelled,
+    Rejected,
+    Expired,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualExecutionFill {
+    pub trade_id: String,
+    pub observation_event_id: String,
+    pub observation_sequence: u64,
+    pub fee_observation_event_id: String,
+    pub fee_observation_sequence: u64,
+    pub fee_observed_at: DateTime<Utc>,
+    pub trade_date: NaiveDate,
+    pub executed_at: DateTime<Utc>,
+    pub observed_at: DateTime<Utc>,
+    pub timestamp_precision: ManualTimestampPrecision,
+    pub quantity: u32,
+    #[serde(with = "rust_decimal::serde::str")]
+    pub price: Decimal,
+    #[serde(default, with = "rust_decimal::serde::str_option")]
+    pub commission: Option<Decimal>,
+    #[serde(default, with = "rust_decimal::serde::str_option")]
+    pub stamp_tax: Option<Decimal>,
+    #[serde(default, with = "rust_decimal::serde::str_option")]
+    pub transfer_fee: Option<Decimal>,
+    /// Full observed charge, including any venue fees not itemized above.
+    #[serde(with = "rust_decimal::serde::str")]
+    pub total_fee: Decimal,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum ManualTimestampPrecision {
+    Second,
+    Millisecond,
+    Microsecond,
+    Nanosecond,
+}
+
+impl ManualTimestampPrecision {
+    fn nanoseconds(self) -> i64 {
+        match self {
+            Self::Second => 1_000_000_000,
+            Self::Millisecond => 1_000_000,
+            Self::Microsecond => 1_000,
+            Self::Nanosecond => 1,
+        }
+    }
+}
+
+impl ManualExecutionFill {
+    pub fn gross_amount(&self) -> Result<Decimal, String> {
+        self.price
+            .checked_mul(Decimal::from(self.quantity))
+            .ok_or_else(|| "manual fill gross amount overflow".into())
+    }
+
+    pub fn total_fees(&self) -> Result<Decimal, String> {
+        let known = [self.commission, self.stamp_tax, self.transfer_fee]
+            .into_iter()
+            .flatten()
+            .try_fold(Decimal::ZERO, |sum, fee| {
+                if fee < Decimal::ZERO {
+                    return Err("manual fill fee component is negative");
+                }
+                sum.checked_add(fee).ok_or("manual fill fees overflow")
+            })?;
+        if self.total_fee < known {
+            return Err("manual total fee is below its known components".into());
+        }
+        Ok(self.total_fee)
+    }
+}
+
+fn identifier(value: &str) -> Result<(), String> {
+    if value.is_empty()
+        || value.trim() != value
+        || value.len() > 256
+        || value.chars().any(char::is_control)
+    {
+        return Err("manual execution identity is empty, untrimmed or invalid".into());
+    }
+    Ok(())
+}
+
+impl ManualExecutionReplay {
+    /// Market/indicator data is needed for securities whose observed fills
+    /// change the portfolio. A rejected, never-filled order is not data demand.
+    pub fn required_data_symbols(&self) -> Result<BTreeSet<String>, String> {
+        self.validate()?;
+        Ok(self
+            .actions
+            .iter()
+            .flat_map(|action| &action.orders)
+            .filter(|order| !order.fills.is_empty())
+            .map(|order| order.symbol.clone())
+            .collect())
+    }
+
+    pub fn observations(&self) -> Result<Vec<ManualFillObservation<'_>>, String> {
+        self.validate()?;
+        let mut observations = Vec::new();
+        for action in &self.actions {
+            for order in &action.orders {
+                for fill in &order.fills {
+                    observations.push(ManualFillObservation {
+                        action,
+                        order,
+                        fill,
+                    });
+                }
+            }
+        }
+        observations.sort_by_key(|entry| (entry.fill.observed_at, entry.fill.observation_sequence));
+        Ok(observations)
+    }
+    pub fn content_digest(&self) -> Result<String, String> {
+        let mut value = serde_json::to_value(self).map_err(|error| error.to_string())?;
+        value
+            .as_object_mut()
+            .ok_or("manual replay is not an object")?
+            .remove("contentSha256");
+        let bytes = serde_json::to_vec(&value).map_err(|error| error.to_string())?;
+        Ok(format!("{:x}", Sha256::digest(bytes)))
+    }
+
+    pub fn validate(&self) -> Result<(), String> {
+        if self.schema != MANUAL_REPLAY_SCHEMA
+            && self.schema != "fidc.observed-manual-executions/v2"
+        {
+            return Err("unsupported manual replay schema".into());
+        }
+        if self.schema == "fidc.observed-manual-executions/v2"
+            && (!self.position_exposure_events.is_empty()
+                || !self.legacy_position_exposure_bps.is_empty())
+        {
+            return Err("runtime configuration requires manual replay v3".into());
+        }
+        crate::position_exposure::PositionExposureTimeline::from_events(
+            &self.position_exposure_events,
+        )?;
+        if self.position_exposure_events.iter().any(|event| event.effective_at > self.observation_cutoff) {
+            return Err("observed runtime position event is after the evidence cutoff".into());
+        }
+        if self
+            .legacy_position_exposure_bps
+            .values()
+            .any(|value| !(0..=10000).contains(value))
+        {
+            return Err("legacy manual exposure is outside 0..10000 bps".into());
+        }
+        identifier(&self.runtime_id)?;
+        identifier(&self.account_id)?;
+        if self.source_contract_sha256.len() != 64
+            || !self
+                .source_contract_sha256
+                .bytes()
+                .all(|v| v.is_ascii_hexdigit())
+        {
+            return Err("manual replay source contract hash is invalid".into());
+        }
+        if self.content_digest()? != self.content_sha256 {
+            return Err("manual replay content digest mismatch".into());
+        }
+        if self.actions.len() > 100_000 {
+            return Err("manual replay action limit exceeded; trace was not truncated".into());
+        }
+        let shanghai = FixedOffset::east_opt(8 * 3600).unwrap();
+        let mut actions = BTreeSet::new();
+        let mut audits = BTreeSet::new();
+        let mut orders = BTreeSet::new();
+        let mut broker_orders = BTreeSet::new();
+        let mut trades = BTreeSet::new();
+        let mut observation_events = BTreeSet::new();
+        let mut observation_sequences = BTreeSet::new();
+        let mut fee_observations = BTreeSet::new();
+        let mut receipt_ids = BTreeMap::new();
+        let mut receipt_sequences = BTreeMap::new();
+        for action in &self.actions {
+            identifier(&action.action_id)?;
+            if !actions.insert(action.action_id.as_str())
+                || action.confirmed_at > self.observation_cutoff
+                || action.confirmation_observed_at < action.confirmed_at
+                || action.confirmation_observed_at > self.observation_cutoff
+            {
+                return Err("duplicate manual action or confirmation after cutoff".into());
+            }
+            if action.audit_event_ids.is_empty() {
+                return Err("manual action has no immutable audit binding".into());
+            }
+            if (action.outcome != ManualActionOutcome::OrdersTerminal) != action.orders.is_empty() {
+                return Err("manual action outcome does not prove its order coverage".into());
+            }
+            for id in &action.audit_event_ids {
+                identifier(id)?;
+                if !audits.insert(id.as_str()) {
+                    return Err("manual audit event is bound more than once".into());
+                }
+            }
+            for order in &action.orders {
+                identifier(&order.order_id)?;
+                if let Some(adapter) = &order.source_adapter {
+                    identifier(adapter)?;
+                }
+                identifier(&order.symbol)?;
+                if let Some(id) = &order.broker_order_id {
+                    identifier(id)?;
+                    if !broker_orders.insert((
+                        order
+                            .source_adapter
+                            .as_deref()
+                            .ok_or("broker identity requires its source adapter")?,
+                        order.order_created_at.with_timezone(&shanghai).date_naive(),
+                        id.as_str(),
+                    )) {
+                        return Err("manual local orders share one broker order identity".into());
+                    }
+                }
+                if !order.fills.is_empty() && order.source_adapter.is_none() {
+                    return Err("manual fills require a known source adapter".into());
+                }
+                if !order.fills.is_empty()
+                    && order.source_adapter.as_deref() != Some("paper")
+                    && order.broker_order_id.is_none()
+                {
+                    return Err(
+                        "manual broker fills require their original broker order identity".into(),
+                    );
+                }
+                if !orders.insert(order.order_id.as_str())
+                    || order.quantity == 0
+                    || order.quantity > i32::MAX as u32
+                {
+                    return Err("duplicate manual order or invalid quantity".into());
+                }
+                if order.order_created_at < action.confirmed_at
+                    || order.terminal_observed_at < order.order_created_at
+                    || order.terminal_observed_at > self.observation_cutoff
+                {
+                    return Err(
+                        "manual order confirmation/submission/terminal time is inconsistent".into(),
+                    );
+                }
+                let mut filled = 0_u32;
+                for fill in &order.fills {
+                    identifier(&fill.trade_id)?;
+                    identifier(&fill.observation_event_id)?;
+                    identifier(&fill.fee_observation_event_id)?;
+                    if fill.observation_sequence == 0
+                        || fill.observation_sequence > i64::MAX as u64
+                        || !observation_events.insert(fill.observation_event_id.as_str())
+                        || !observation_sequences.insert(fill.observation_sequence)
+                    {
+                        return Err(
+                            "manual fill requires a unique durable observation event and sequence"
+                                .into(),
+                        );
+                    }
+                    if fill.fee_observation_sequence == 0
+                        || fill.fee_observation_sequence > i64::MAX as u64
+                        || fill.fee_observed_at < fill.observed_at
+                        || fill.fee_observed_at > self.observation_cutoff
+                        || !fee_observations.insert((
+                            fill.fee_observation_event_id.as_str(),
+                            fill.fee_observation_sequence,
+                        ))
+                    {
+                        return Err("manual finalized fees require their own unique observation within the cutoff".into());
+                    }
+                    if (fill.fee_observation_event_id == fill.observation_event_id)
+                        != (fill.fee_observation_sequence == fill.observation_sequence)
+                        || (fill.fee_observation_event_id == fill.observation_event_id
+                            && fill.fee_observed_at != fill.observed_at)
+                    {
+                        return Err("manual fill and fee observation identities disagree".into());
+                    }
+                    if !trades.insert((fill.trade_date, fill.trade_id.as_str()))
+                        || fill.quantity == 0
+                    {
+                        return Err("duplicate manual trade or zero fill quantity".into());
+                    }
+                    for (id, sequence) in [
+                        (&fill.observation_event_id, fill.observation_sequence),
+                        (
+                            &fill.fee_observation_event_id,
+                            fill.fee_observation_sequence,
+                        ),
+                    ] {
+                        if receipt_ids
+                            .insert(id, (&fill.trade_id, sequence))
+                            .is_some_and(|owner| owner != (&fill.trade_id, sequence))
+                            || receipt_sequences
+                                .insert(sequence, (&fill.trade_id, id))
+                                .is_some_and(|owner| owner != (&fill.trade_id, id))
+                        {
+                            return Err("manual observation identity is reused by a different trade or sequence".into());
+                        }
+                    }
+                    if fill.executed_at.with_timezone(&shanghai).date_naive() != fill.trade_date
+                        || fill.observed_at > self.observation_cutoff
+                        || fill.observed_at < order.order_created_at
+                        || fill.observed_at < action.confirmation_observed_at
+                        || fill.observed_at < fill.executed_at
+                        || fill.executed_at > order.terminal_observed_at
+                    {
+                        return Err("manual fill execution/observation time is inconsistent".into());
+                    }
+                    if i64::from(fill.executed_at.nanosecond())
+                        % fill.timestamp_precision.nanoseconds()
+                        != 0
+                    {
+                        return Err(
+                            "broker timestamp contains digits finer than its declared precision"
+                                .into(),
+                        );
+                    }
+                    let upper = fill
+                        .executed_at
+                        .checked_add_signed(chrono::Duration::nanoseconds(
+                            fill.timestamp_precision.nanoseconds(),
+                        ))
+                        .ok_or("manual execution timestamp overflow")?;
+                    let earliest = order.order_created_at.max(action.confirmation_observed_at);
+                    if fill.executed_at < earliest && earliest >= upper {
+                        return Err("manual fill predates its order or durable confirmation".into());
+                    }
+                    if fill.price <= Decimal::ZERO {
+                        return Err("manual fill requires a positive price".into());
+                    }
+                    fill.gross_amount()?
+                        .checked_add(fill.total_fees()?)
+                        .ok_or("manual fill cash amount overflow")?;
+                    filled = filled
+                        .checked_add(fill.quantity)
+                        .ok_or("manual cumulative fill quantity overflow")?;
+                }
+                if filled > order.quantity
+                    || (order.terminal_status == ManualOrderTerminalStatus::Filled
+                        && filled != order.quantity)
+                    || (order.terminal_status == ManualOrderTerminalStatus::Rejected && filled != 0)
+                    || (matches!(
+                        order.terminal_status,
+                        ManualOrderTerminalStatus::Cancelled | ManualOrderTerminalStatus::Expired
+                    ) && filled == order.quantity)
+                {
+                    return Err("manual terminal status disagrees with cumulative fills".into());
+                }
+            }
+        }
+        Ok(())
+    }
+}
+
+#[derive(Debug, Clone, Copy)]
+pub struct ManualFillObservation<'a> {
+    pub action: &'a ManualExecutionAction,
+    pub order: &'a ManualExecutionOrder,
+    pub fill: &'a ManualExecutionFill,
+}
+
+#[derive(Debug, Clone, PartialEq)]
+pub struct AppliedManualFill {
+    pub gross: FixedMoney,
+    pub fees: FixedMoney,
+    pub cash_delta: FixedMoney,
+    pub quantity_after: u32,
+}
+
+/// One replay owns its immutable trace and progress. Advancing is atomic even
+/// if a later receipt in the same step disagrees with the shadow account.
+pub struct ManualReplayCursor {
+    replay: std::sync::Arc<ManualExecutionReplay>,
+    indices: Vec<(usize, usize, usize)>,
+    cursor: usize,
+    clock: Option<DateTime<Utc>>,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(rename_all = "camelCase")]
+pub struct ManualReplayApplication {
+    pub action_id: String,
+    pub order_id: String,
+    pub trade_id: String,
+    pub observation_event_id: String,
+    pub observation_sequence: u64,
+    pub observed_at: DateTime<Utc>,
+    pub fee_observation_event_id: String,
+    pub fee_observed_at: DateTime<Utc>,
+    pub executed_at: DateTime<Utc>,
+    pub symbol: String,
+    pub side: OrderSide,
+    pub quantity: u32,
+    pub quantity_after: u32,
+    pub price: String,
+    pub commission: Option<String>,
+    pub stamp_tax: Option<String>,
+    pub transfer_fee: Option<String>,
+    pub source_total_fee: String,
+    pub source_gross_amount: String,
+    pub ledger_gross_amount: String,
+    pub ledger_fees: String,
+    pub cash_delta: String,
+    #[serde(default, skip_serializing_if = "Option::is_none")]
+    pub corporate_adjustment: Option<ManualCorporateAdjustment>,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualCorporateAdjustment {
+    pub schema: String,
+    pub observed_at: DateTime<Utc>,
+    pub cash_dividends_enabled: bool,
+    pub dividend_cost_basis_adjustment: bool,
+    #[serde(default, skip_serializing_if = "disabled_flag")]
+    pub dividend_reinvestment: bool,
+    pub actions: Vec<ManualCorporateActionReference>,
+    pub cash_before: String,
+    pub cash_after: String,
+    pub corporate_cash_delta: String,
+    pub positions: BTreeMap<String, ManualCorporatePositionChange>,
+    pub reference_sha256: String,
+    pub replayed_sha256: String,
+}
+
+fn disabled_flag(value: &bool) -> bool { !value }
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualCorporateActionReference {
+    pub date: NaiveDate,
+    pub symbol: String,
+    pub successor_symbol: Option<String>,
+    pub share_cash: String,
+    pub split_ratio: String,
+    pub successor_ratio: Option<String>,
+    pub successor_cash: Option<String>,
+    pub sha256: String,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualCorporatePositionChange {
+    pub quantity_before: u32,
+    pub quantity_after: u32,
+    pub cost_basis_before: String,
+    pub cost_basis_after: String,
+}
+
+impl ManualReplayCursor {
+    pub(crate) fn frozen_source(&self) -> std::sync::Arc<ManualExecutionReplay> {
+        self.replay.clone()
+    }
+
+    pub(crate) fn next_observation(&self) -> Option<ManualFillObservation<'_>> {
+        self.indices.get(self.cursor).map(|&(a, o, f)| ManualFillObservation {
+            action: &self.replay.actions[a], order: &self.replay.actions[a].orders[o],
+            fill: &self.replay.actions[a].orders[o].fills[f],
+        })
+    }
+
+    pub(crate) fn advance_next_projected<F>(
+        &mut self, portfolio: &mut PortfolioState, project: F,
+    ) -> Result<Option<ManualReplayApplication>, String>
+    where F: FnOnce(ManualFillObservation<'_>, &mut PortfolioState) -> Result<(AppliedManualFill, ManualCorporateAdjustment), String> {
+        let Some(observation) = self.next_observation() else { return Ok(None); };
+        let at = observation.fill.observed_at;
+        if at > self.replay.observation_cutoff || self.clock.is_some_and(|clock| at < clock) {
+            return Err("manual projected observation clock violates the frozen trace".into());
+        }
+        let mut next = portfolio.clone();
+        let (applied, adjustment) = project(observation, &mut next)?;
+        let mut application = observation.application(applied)?;
+        application.corporate_adjustment = Some(adjustment);
+        crate::finite_serialization::validate(&application).map_err(|error| error.to_string())?;
+        *portfolio = next;
+        self.cursor += 1;
+        self.clock = Some(at);
+        Ok(Some(application))
+    }
+
+    pub fn new(replay: ManualExecutionReplay) -> Result<Self, String> {
+        Self::from_shared(std::sync::Arc::new(replay))
+    }
+
+    pub fn from_shared(replay: std::sync::Arc<ManualExecutionReplay>) -> Result<Self, String> {
+        replay.validate()?;
+        let mut indices = Vec::new();
+        for (a, action) in replay.actions.iter().enumerate() {
+            for (o, order) in action.orders.iter().enumerate() {
+                for f in 0..order.fills.len() {
+                    indices.push((a, o, f));
+                }
+            }
+        }
+        indices.sort_by_key(|&(a, o, f)| {
+            let fill = &replay.actions[a].orders[o].fills[f];
+            (fill.observed_at, fill.observation_sequence)
+        });
+        Ok(Self {
+            replay,
+            indices,
+            cursor: 0,
+            clock: None,
+        })
+    }
+
+    pub fn next_observation_at(&self) -> Option<DateTime<Utc>> {
+        self.indices
+            .get(self.cursor)
+            .map(|&(a, o, f)| self.replay.actions[a].orders[o].fills[f].observed_at)
+    }
+
+    pub fn applied_count(&self) -> usize {
+        self.cursor
+    }
+
+    pub fn advance(
+        &mut self,
+        at: DateTime<Utc>,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        has_pending_orders: bool,
+    ) -> Result<Vec<ManualReplayApplication>, String> {
+        let end = self.cursor
+            + self.indices[self.cursor..].iter().take_while(|&&(a, o, f)| {
+                self.replay.actions[a].orders[o].fills[f].observed_at <= at
+            }).count();
+        self.advance_through(at, end, portfolio, data, has_pending_orders)
+    }
+
+    /// One receipt at a time lets callbacks observe the intermediate state
+    /// when multiple fills share a timestamp but have distinct durable sequences.
+    pub fn advance_next(
+        &mut self, portfolio: &mut PortfolioState, data: &DataSet, has_pending_orders: bool,
+    ) -> Result<Option<ManualReplayApplication>, String> {
+        let Some(at) = self.next_observation_at() else { return Ok(None); };
+        let mut applications = self.advance_through(at, self.cursor + 1, portfolio, data, has_pending_orders)?;
+        Ok(applications.pop())
+    }
+
+    fn advance_through(
+        &mut self, at: DateTime<Utc>, end: usize, portfolio: &mut PortfolioState,
+        data: &DataSet, has_pending_orders: bool,
+    ) -> Result<Vec<ManualReplayApplication>, String> {
+        if at > self.replay.observation_cutoff {
+            return Err("manual observation clock exceeds the frozen evidence cutoff".into());
+        }
+        if self.clock.is_some_and(|clock| at < clock) {
+            return Err("manual observation clock moved backwards".into());
+        }
+        if end == self.cursor {
+            self.clock = Some(at);
+            return Ok(vec![]);
+        }
+        let mut next = portfolio.clone();
+        let mut applications = Vec::with_capacity(end - self.cursor);
+        for &(a, o, f) in &self.indices[self.cursor..end] {
+            let action = &self.replay.actions[a];
+            let order = &action.orders[o];
+            let fill = &order.fills[f];
+            let applied = ManualFillObservation {
+                action,
+                order,
+                fill,
+            }
+            .apply(&mut next, data, has_pending_orders)?;
+            applications.push(ManualReplayApplication {
+                action_id: action.action_id.clone(),
+                order_id: order.order_id.clone(),
+                trade_id: fill.trade_id.clone(),
+                observation_event_id: fill.observation_event_id.clone(),
+                observation_sequence: fill.observation_sequence,
+                observed_at: fill.observed_at,
+                fee_observation_event_id: fill.fee_observation_event_id.clone(),
+                fee_observed_at: fill.fee_observed_at,
+                executed_at: fill.executed_at,
+                symbol: order.symbol.clone(),
+                side: order.side,
+                quantity: fill.quantity,
+                quantity_after: applied.quantity_after,
+                price: fill.price.to_string(),
+                commission: fill.commission.map(|fee| fee.to_string()),
+                stamp_tax: fill.stamp_tax.map(|fee| fee.to_string()),
+                transfer_fee: fill.transfer_fee.map(|fee| fee.to_string()),
+                source_total_fee: fill.total_fee.to_string(),
+                source_gross_amount: fill.gross_amount()?.to_string(),
+                ledger_gross_amount: applied.gross.to_decimal_string(),
+                ledger_fees: applied.fees.to_decimal_string(),
+                cash_delta: applied.cash_delta.to_decimal_string(),
+                corporate_adjustment: None,
+            });
+        }
+        *portfolio = next;
+        self.cursor = end;
+        self.clock = Some(at);
+        Ok(applications)
+    }
+}
+
+impl ManualFillObservation<'_> {
+    fn application(&self, applied: AppliedManualFill) -> Result<ManualReplayApplication, String> {
+        Ok(ManualReplayApplication {
+            action_id: self.action.action_id.clone(), order_id: self.order.order_id.clone(),
+            trade_id: self.fill.trade_id.clone(), observation_event_id: self.fill.observation_event_id.clone(),
+            observation_sequence: self.fill.observation_sequence, observed_at: self.fill.observed_at,
+            fee_observation_event_id: self.fill.fee_observation_event_id.clone(), fee_observed_at: self.fill.fee_observed_at,
+            executed_at: self.fill.executed_at, symbol: self.order.symbol.clone(), side: self.order.side,
+            quantity: self.fill.quantity, quantity_after: applied.quantity_after, price: self.fill.price.to_string(),
+            commission: self.fill.commission.map(|fee| fee.to_string()), stamp_tax: self.fill.stamp_tax.map(|fee| fee.to_string()),
+            transfer_fee: self.fill.transfer_fee.map(|fee| fee.to_string()), source_total_fee: self.fill.total_fee.to_string(),
+            source_gross_amount: self.fill.gross_amount()?.to_string(), ledger_gross_amount: applied.gross.to_decimal_string(),
+            ledger_fees: applied.fees.to_decimal_string(), cash_delta: applied.cash_delta.to_decimal_string(), corporate_adjustment: None,
+        })
+    }
+
+    pub(crate) fn apply(
+        &self,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        has_pending_orders: bool,
+    ) -> Result<AppliedManualFill, String> {
+        if has_pending_orders {
+            return Err("manual observation conflicts with pending shadow orders".into());
+        }
+        let instrument = data
+            .instrument(&self.order.symbol)
+            .ok_or("manual observation instrument is absent from frozen source data")?;
+        if instrument
+            .dated_market_absence_reason(self.fill.trade_date)
+            .is_some()
+        {
+            return Err("manual execution contradicts the frozen instrument lifecycle".into());
+        }
+        let gross = FixedMoney::from_decimal_str(&self.fill.gross_amount()?.to_string())?;
+        let fees = FixedMoney::from_decimal_str(&self.fill.total_fees()?.to_string())?;
+        let price = self
+            .fill
+            .price
+            .to_f64()
+            .filter(|price| price.is_finite() && *price > 0.)
+            .ok_or("manual execution price cannot be represented for valuation")?;
+        // This is the real observed trade price, not a fabricated quote. The
+        // normal market clock remains responsible for subsequent marks.
+        let cash_delta = portfolio.apply_observed_manual_fill(
+            self.fill.trade_date,
+            &self.order.symbol,
+            self.order.side,
+            self.fill.quantity,
+            price,
+            price,
+            gross,
+            fees,
+        )?;
+        Ok(AppliedManualFill {
+            gross,
+            fees,
+            cash_delta,
+            quantity_after: portfolio
+                .position(&self.order.symbol)
+                .map_or(0, |position| position.quantity),
+        })
+    }
+}
+
+#[cfg(test)]
+mod tests;

crates/fidc-core/src/manual_execution/tests.rs

@@ -0,0 +1,761 @@
+use super::*;
+use serde_json::{Value, json};
+
+fn sample() -> ManualExecutionReplay {
+    let fill = json!({"tradeId":"trade-1","observationEventId":"received-1","observationSequence":1,"tradeDate":"2026-09-14","executedAt":"2026-09-14T01:30:00Z",
+        "feeObservationEventId":"received-1","feeObservationSequence":1,"feeObservedAt":"2026-09-14T01:30:01Z",
+        "observedAt":"2026-09-14T01:30:01Z","timestampPrecision":"second","quantity":100,
+        "price":"10.1234567891","commission":"0.1000001","stampTax":"0","transferFee":"0.02","totalFee":"0.1200001"});
+    let mut input:ManualExecutionReplay=serde_json::from_value(json!({
+        "schema":MANUAL_REPLAY_SCHEMA,"runtimeId":"runtime-1","accountId":"account-1",
+        "sourceContractSha256":"a".repeat(64),"contentSha256":"", "observationCutoff":"2026-09-14T08:00:00Z",
+        "actions":[{"actionId":"action-1","source":"manual_security_trade","auditEventIds":["audit-1"],
+            "confirmedAt":"2026-09-14T01:30:00.500Z","confirmationObservedAt":"2026-09-14T01:30:00.550Z","outcome":"orders_terminal","orders":[{
+                "orderId":"order-1","brokerOrderId":"broker-1","sourceAdapter":"gt-api","symbol":"000001.SZ","side":"Buy","quantity":100,
+                "orderCreatedAt":"2026-09-14T01:30:00.600Z","terminalObservedAt":"2026-09-14T01:30:00.900Z","terminalStatus":"filled",
+                "fills":[fill]
+            }]}]
+    })).unwrap();
+    reseal(&mut input);
+    input
+}
+
+fn reseal(input: &mut ManualExecutionReplay) {
+    input.content_sha256 = input.content_digest().unwrap();
+}
+
+#[test]
+fn a_failed_corporate_projection_does_not_change_the_book_or_receipt_cursor() {
+    let mut cursor = ManualReplayCursor::new(sample()).unwrap();
+    let mut portfolio = PortfolioState::new(10000.);
+    let before = portfolio.financial_replay_identity();
+    let error = cursor.advance_next_projected(&mut portfolio, |_, next| {
+        next.apply_cash_delta(-50.)?;
+        next.position_mut("000001.SZ").buy(NaiveDate::from_ymd_opt(2026, 9, 11).unwrap(), 100, 10.);
+        Err("financial coverage mismatch".into())
+    }).unwrap_err();
+    assert_eq!(error, "financial coverage mismatch");
+    assert_eq!(portfolio.financial_replay_identity(), before);
+    assert_eq!(cursor.applied_count(), 0);
+}
+
+fn delayed_buy_replay() -> ManualExecutionReplay {
+    let mut input = sample();
+    let template = input.actions[0].clone();
+    input.actions.clear();
+    for (index, side, executed, observed, price, fee) in [
+        (
+            0,
+            OrderSide::Buy,
+            "2026-09-14T01:30:00Z",
+            "2026-09-14T01:30:01Z",
+            "20",
+            "0.25",
+        ),
+        (
+            1,
+            OrderSide::Buy,
+            "2026-09-11T06:00:00Z",
+            "2026-09-14T01:30:02Z",
+            "10",
+            "0.75",
+        ),
+        (
+            2,
+            OrderSide::Sell,
+            "2026-09-14T01:31:00Z",
+            "2026-09-14T01:31:01Z",
+            "10",
+            "0.5",
+        ),
+        (
+            3,
+            OrderSide::Sell,
+            "2026-09-14T01:32:00Z",
+            "2026-09-14T01:32:01Z",
+            "10",
+            "0.5",
+        ),
+    ] {
+        let executed: DateTime<Utc> = executed.parse().unwrap();
+        let observed: DateTime<Utc> = observed.parse().unwrap();
+        let mut action = template.clone();
+        action.action_id = format!("action-{index}");
+        action.audit_event_ids = vec![format!("audit-{index}")];
+        action.confirmed_at = executed - chrono::Duration::seconds(2);
+        action.confirmation_observed_at = action.confirmed_at;
+        let order = &mut action.orders[0];
+        order.order_id = format!("order-{index}");
+        order.broker_order_id = Some(format!("broker-{index}"));
+        order.side = side;
+        order.order_created_at = executed - chrono::Duration::seconds(1);
+        order.terminal_observed_at = observed;
+        let fill = &mut order.fills[0];
+        fill.trade_id = format!("trade-{index}");
+        fill.observation_event_id = format!("receipt-{index}");
+        fill.observation_sequence = index + 1;
+        fill.fee_observation_event_id = fill.observation_event_id.clone();
+        fill.fee_observation_sequence = fill.observation_sequence;
+        fill.trade_date = executed
+            .with_timezone(&FixedOffset::east_opt(8 * 3600).unwrap())
+            .date_naive();
+        fill.executed_at = executed;
+        fill.observed_at = observed;
+        fill.fee_observed_at = observed;
+        fill.price = price.parse().unwrap();
+        fill.commission = None;
+        fill.stamp_tax = None;
+        fill.transfer_fee = None;
+        fill.total_fee = fee.parse().unwrap();
+        input.actions.push(action);
+    }
+    reseal(&mut input);
+    input.validate().unwrap();
+    input
+}
+
+#[test]
+fn late_buy_retains_the_earliest_opening_and_latest_buy_dates() {
+    let mut cursor = ManualReplayCursor::new(delayed_buy_replay()).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut portfolio = PortfolioState::new(10000.);
+    let applications = cursor
+        .advance(
+            "2026-09-14T01:30:02Z".parse().unwrap(),
+            &mut portfolio,
+            &data,
+            false,
+        )
+        .unwrap();
+    assert_eq!(
+        applications
+            .iter()
+            .map(|row| row.trade_id.as_str())
+            .collect::<Vec<_>>(),
+        ["trade-0", "trade-1"]
+    );
+    let position = portfolio.position("000001.SZ").unwrap();
+    assert_eq!(position.opened_date(), NaiveDate::from_ymd_opt(2026, 9, 11));
+    assert_eq!(
+        position.last_buy_date(),
+        NaiveDate::from_ymd_opt(2026, 9, 14)
+    );
+    assert_eq!(position.quantity, 200);
+    let calendar = crate::TradingCalendar::new(
+        [11, 14, 15, 16, 17, 18]
+            .map(|day| NaiveDate::from_ymd_opt(2026, 9, day).unwrap())
+            .into(),
+    );
+    let evidence = crate::holding_policy::HoldingLifecycleEvidence {
+        has_position: true,
+        opened_date: position.opened_date(),
+        last_buy_date: position.last_buy_date(),
+        last_sell_date: None,
+    };
+    let mut policy = crate::holding_policy::AutomaticTradeProtection {
+        max_holding_days: 1,
+        ..Default::default()
+    };
+    assert!(
+        policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, 14).unwrap(),
+                &evidence,
+                &calendar
+            )
+            .unwrap()
+            .max_holding_exit
+    );
+    policy.buy_protection_days = 3;
+    for day in [14, 15, 16, 17] {
+        let permission = policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, day).unwrap(),
+                &evidence,
+                &calendar,
+            )
+            .unwrap();
+        assert_eq!(permission.sell_denial, Some("buy_fill_protection"));
+        assert!(!permission.max_holding_exit);
+    }
+    assert!(
+        policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, 18).unwrap(),
+                &evidence,
+                &calendar
+            )
+            .unwrap()
+            .max_holding_exit
+    );
+}
+
+#[test]
+fn late_buy_fifo_depletion_preserves_costs_and_cannot_unlock_today_lots() {
+    let mut cursor = ManualReplayCursor::new(delayed_buy_replay()).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut portfolio = PortfolioState::new(10000.);
+    let applications = cursor
+        .advance(
+            "2026-09-14T01:31:01Z".parse().unwrap(),
+            &mut portfolio,
+            &data,
+            false,
+        )
+        .unwrap();
+    assert_eq!(applications.len(), 3);
+    let position = portfolio.position("000001.SZ").unwrap();
+    assert_eq!(position.quantity, 100);
+    assert_eq!(position.unrealized_pnl(), -1000.25);
+    assert_eq!(
+        position.sellable_qty(NaiveDate::from_ymd_opt(2026, 9, 14).unwrap()),
+        0
+    );
+    assert_eq!(position.realized_pnl(), -0.75);
+    assert_eq!(portfolio.cash(), 7998.5);
+    assert_eq!(portfolio.external_cash_flow_total(), 0.);
+    assert!(
+        cursor
+            .advance(
+                "2026-09-14T01:32:01Z".parse().unwrap(),
+                &mut portfolio,
+                &data,
+                false
+            )
+            .unwrap_err()
+            .contains("T+1")
+    );
+    assert_eq!(cursor.applied_count(), 3);
+    assert_eq!(portfolio.cash(), 7998.5);
+    assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 100);
+}
+fn semantic_result(input: &ManualExecutionReplay) -> Result<(), String> {
+    let mut input = input.clone();
+    reseal(&mut input);
+    input.validate()
+}
+
+#[test]
+fn complete_exact_decimal_evidence_allows_later_observation_and_retains_source_digits() {
+    let input = sample();
+    input.validate().unwrap();
+    let fill = &input.actions[0].orders[0].fills[0];
+    assert_eq!(fill.gross_amount().unwrap().to_string(), "1012.3456789100");
+    assert_eq!(fill.total_fees().unwrap().to_string(), "0.1200001");
+    assert_eq!(
+        serde_json::to_value(&input).unwrap()["actions"][0]["orders"][0]["fills"][0]["price"],
+        "10.1234567891"
+    );
+}
+
+#[test]
+fn data_scope_only_contains_actual_filled_securities_and_validates_the_source() {
+    let mut input = sample();
+    let mut rejected = input.actions[0].orders[0].clone();
+    rejected.order_id = "rejected-order".into();
+    rejected.broker_order_id = None;
+    rejected.source_adapter = None;
+    rejected.symbol = "510300.SH".into();
+    rejected.terminal_status = ManualOrderTerminalStatus::Rejected;
+    rejected.fills.clear();
+    input.actions[0].orders.push(rejected);
+    reseal(&mut input);
+    assert_eq!(
+        input.required_data_symbols().unwrap(),
+        BTreeSet::from(["000001.SZ".into()])
+    );
+    input.actions[0].orders[0].symbol = "600000.SH".into();
+    assert!(input.required_data_symbols().is_err());
+}
+
+#[test]
+fn v2_facts_keep_their_encoding_but_cannot_silently_carry_new_runtime_settings() {
+    let mut input = sample();
+    input.schema = "fidc.observed-manual-executions/v2".into();
+    reseal(&mut input);
+    input.validate().unwrap();
+    let old = serde_json::to_value(&input).unwrap();
+    assert!(old.get("positionExposureEvents").is_none());
+    assert!(old.get("legacyPositionExposureBps").is_none());
+    input
+        .legacy_position_exposure_bps
+        .insert(NaiveDate::from_ymd_opt(2026, 9, 14).unwrap(), 5000);
+    reseal(&mut input);
+    assert!(input.validate().is_err());
+    input.schema = MANUAL_REPLAY_SCHEMA.into();
+    reseal(&mut input);
+    input.validate().unwrap();
+}
+
+#[test]
+fn runtime_position_events_cannot_claim_observations_after_the_source_cutoff() {
+    let mut input = sample();
+    input.position_exposure_events.push(serde_json::from_value(json!({
+        "eventId": "position-event", "sequence": 1, "effectiveAt": input.observation_cutoff,
+        "action": "scale", "requestedBps": 5000
+    })).unwrap());
+    semantic_result(&input).unwrap();
+    input.position_exposure_events[0].effective_at += chrono::Duration::nanoseconds(1);
+    assert!(semantic_result(&input).unwrap_err().contains("after the evidence cutoff"));
+}
+
+#[test]
+fn all_required_money_and_binding_fields_reject_missing_or_wrong_values() {
+    let original = serde_json::to_value(sample()).unwrap();
+    for field in ["price", "totalFee"] {
+        let mut missing = original.clone();
+        missing["actions"][0]["orders"][0]["fills"][0]
+            .as_object_mut()
+            .unwrap()
+            .remove(field);
+        assert!(
+            serde_json::from_value::<ManualExecutionReplay>(missing).is_err(),
+            "{field}"
+        );
+        let mut numeric = original.clone();
+        numeric["actions"][0]["orders"][0]["fills"][0][field] = json!(1.1);
+        assert!(
+            serde_json::from_value::<ManualExecutionReplay>(numeric).is_err(),
+            "numeric {field}"
+        );
+    }
+    for mutate in [
+        ("schema", json!("unknown")),
+        ("sourceContractSha256", json!("broken")),
+        ("accountId", json!(" ")),
+    ] {
+        let mut value = original.clone();
+        value[mutate.0] = mutate.1;
+        assert!(
+            semantic_result(&serde_json::from_value::<ManualExecutionReplay>(value).unwrap())
+                .is_err()
+        );
+    }
+}
+
+#[test]
+fn inconsistent_counts_terminals_audits_and_duplicate_facts_are_rejected() {
+    let original = sample();
+    let mut invalid = original.clone();
+    invalid.actions[0].orders[0].quantity = 200;
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    invalid.actions[0].orders[0].terminal_status = ManualOrderTerminalStatus::Rejected;
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    invalid.actions[0].audit_event_ids.clear();
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    invalid.actions.push(invalid.actions[0].clone());
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    let duplicate = invalid.actions[0].orders[0].fills[0].clone();
+    invalid.actions[0].orders[0].fills.push(duplicate);
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    invalid.actions[0].orders[0].broker_order_id = None;
+    assert!(semantic_result(&invalid).is_err());
+    invalid.actions[0].orders[0].source_adapter = Some("paper".into());
+    reseal(&mut invalid);
+    invalid.validate().unwrap();
+}
+
+#[test]
+fn source_time_precision_is_not_invented_and_submitted_time_must_fit_the_interval() {
+    let mut input = sample();
+    input.actions[0].orders[0].order_created_at = "2026-09-14T01:30:00.999999Z".parse().unwrap();
+    input.actions[0].orders[0].terminal_observed_at = "2026-09-14T01:30:01.500Z".parse().unwrap();
+    input.actions[0].orders[0].fills[0].observed_at = "2026-09-14T01:30:02Z".parse().unwrap();
+    input.actions[0].orders[0].fills[0].fee_observed_at =
+        input.actions[0].orders[0].fills[0].observed_at;
+    reseal(&mut input);
+    input.validate().unwrap();
+    input.actions[0].orders[0].order_created_at = "2026-09-14T01:30:01Z".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+    let mut input = sample();
+    input.actions[0].orders[0].fills[0].executed_at = "2026-09-14T01:30:00.800Z".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+    input.actions[0].orders[0].fills[0].timestamp_precision = ManualTimestampPrecision::Millisecond;
+    reseal(&mut input);
+    input.validate().unwrap();
+    input.actions[0].orders[0].fills[0].executed_at =
+        "2026-09-14T01:30:00.800001Z".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+}
+
+#[test]
+fn confirmed_no_order_outcome_is_distinct_from_unconfirmed_or_unknown_work() {
+    let mut input = sample();
+    input.actions[0].orders.clear();
+    assert!(semantic_result(&input).is_err());
+    input.actions[0].outcome = ManualActionOutcome::NoOrdersNeeded;
+    reseal(&mut input);
+    input.validate().unwrap();
+    input.actions[0].outcome = ManualActionOutcome::NotExecuted;
+    reseal(&mut input);
+    input.validate().unwrap();
+    let mut value = serde_json::to_value(input).unwrap();
+    value["actions"][0]["outcome"] = json!("result_unknown");
+    assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
+}
+
+#[test]
+fn raw_timezone_and_cutoff_are_required() {
+    let mut value = serde_json::to_value(sample()).unwrap();
+    value["actions"][0]["orders"][0]["fills"][0]["executedAt"] = json!("2026-09-14T09:30:00");
+    assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
+    let mut input = sample();
+    input.observation_cutoff = "2026-09-14T01:30:00.700Z".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+    let mut value = serde_json::to_value(sample()).unwrap();
+    value["actions"][0]["orders"][0]["fills"][0]["totalFee"] = Value::Null;
+    assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
+}
+
+#[test]
+fn authoritative_total_fee_does_not_require_inventing_unknown_components() {
+    let mut input = sample();
+    let fill = &mut input.actions[0].orders[0].fills[0];
+    fill.commission = None;
+    fill.stamp_tax = None;
+    fill.transfer_fee = None;
+    assert_eq!(
+        fill.total_fees().unwrap(),
+        "0.1200001".parse::<Decimal>().unwrap()
+    );
+    assert!(semantic_result(&input).is_ok());
+    let value = serde_json::to_value(&input).unwrap();
+    assert!(value["actions"][0]["orders"][0]["fills"][0]["commission"].is_null());
+    assert_eq!(
+        value["actions"][0]["orders"][0]["fills"][0]["totalFee"],
+        "0.1200001"
+    );
+    for field in ["commission", "stampTax", "transferFee"] {
+        let mut numeric = value.clone();
+        numeric["actions"][0]["orders"][0]["fills"][0][field] = json!(0.1);
+        assert!(serde_json::from_value::<ManualExecutionReplay>(numeric).is_err());
+    }
+}
+
+#[test]
+fn manual_fee_total_includes_extra_charges_and_rejects_inconsistent_components() {
+    let mut input = sample();
+    input.actions[0].orders[0].fills[0].total_fee = "0.15".parse().unwrap();
+    assert!(semantic_result(&input).is_ok());
+    assert_eq!(
+        input.actions[0].orders[0].fills[0]
+            .total_fees()
+            .unwrap()
+            .to_string(),
+        "0.15"
+    );
+    input.actions[0].orders[0].fills[0].total_fee = "0.1".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+    input.actions[0].orders[0].fills[0].total_fee = "0.15".parse().unwrap();
+    input.actions[0].orders[0].fills[0].commission = Some(Decimal::NEGATIVE_ONE);
+    assert!(semantic_result(&input).is_err());
+}
+
+#[test]
+fn late_fee_evidence_keeps_the_original_fill_observation_clock() {
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut input = sample();
+    let fill = &mut input.actions[0].orders[0].fills[0];
+    let original = fill.observed_at;
+    fill.fee_observation_event_id = "fee-receipt-1".into();
+    fill.fee_observation_sequence = 2;
+    fill.fee_observed_at = original + chrono::Duration::hours(1);
+    let fee_time = fill.fee_observed_at;
+    reseal(&mut input);
+    let mut cursor = ManualReplayCursor::new(input).unwrap();
+    assert_eq!(cursor.next_observation_at(), Some(original));
+    let mut portfolio = PortfolioState::new(10_000.);
+    let result = cursor
+        .advance(original, &mut portfolio, &data, false)
+        .unwrap();
+    assert_eq!(result.len(), 1);
+    assert_eq!(result[0].observed_at, original);
+    assert_eq!(result[0].fee_observed_at, fee_time);
+    assert_eq!(result[0].source_total_fee, "0.1200001");
+    assert!(
+        cursor
+            .advance(fee_time, &mut portfolio, &data, false)
+            .unwrap()
+            .is_empty()
+    );
+}
+
+#[test]
+fn changing_any_external_price_or_identity_invalidates_the_frozen_trace() {
+    let input = sample();
+    let original = input.content_sha256.clone();
+    let mut changed = input.clone();
+    changed.actions[0].orders[0].fills[0].price += Decimal::ONE;
+    assert_ne!(changed.content_digest().unwrap(), original);
+    assert_eq!(
+        changed.validate().unwrap_err(),
+        "manual replay content digest mismatch"
+    );
+    let mut changed = input;
+    changed.account_id = "another-account".into();
+    assert_ne!(changed.content_digest().unwrap(), original);
+    assert!(changed.validate().is_err());
+}
+
+fn identity_data(listed: NaiveDate) -> DataSet {
+    DataSet::from_components(
+        vec![crate::Instrument {
+            symbol: "000001.SZ".into(),
+            name: "test".into(),
+            board: "SZ".into(),
+            round_lot: 100,
+            listed_at: Some(listed),
+            delisted_at: None,
+            status: "active".into(),
+        }],
+        vec![],
+        vec![],
+        vec![],
+        vec![crate::BenchmarkSnapshot {
+            date: listed,
+            benchmark: "000300.SH".into(),
+            open: 100.,
+            close: 100.,
+            prev_close: 100.,
+            volume: 0,
+        }],
+    )
+    .unwrap()
+}
+
+#[test]
+fn confirmed_manual_fill_changes_cash_and_lots_but_not_external_cash_flow_units() {
+    let input = sample();
+    let observations = input.observations().unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut account = PortfolioState::new(10_000.);
+    let applied = observations[0].apply(&mut account, &data, false).unwrap();
+    assert_eq!(
+        applied.gross,
+        FixedMoney::from_decimal_str("1012.345679").unwrap()
+    );
+    assert_eq!(applied.fees, FixedMoney::from_decimal_str("0.12").unwrap());
+    assert_eq!(account.cash(), 8987.534321);
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+    assert_eq!(
+        account
+            .position("000001.SZ")
+            .unwrap()
+            .sellable_qty(input.actions[0].orders[0].fills[0].trade_date),
+        0
+    );
+    assert_eq!(account.external_cash_flow_total(), 0.);
+    assert_eq!(account.starting_cash(), 10_000.);
+}
+
+#[test]
+fn manual_mismatches_are_atomic_and_do_not_borrow_shares_cash_or_override_pending_orders() {
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let input = sample();
+    let observations = input.observations().unwrap();
+    let mut poor = PortfolioState::new(10.);
+    assert!(observations[0].apply(&mut poor, &data, false).is_err());
+    assert_eq!(poor.cash(), 10.);
+    assert!(poor.positions().is_empty());
+    let mut account = PortfolioState::new(10_000.);
+    assert!(observations[0].apply(&mut account, &data, true).is_err());
+    assert_eq!(account.cash(), 10_000.);
+    assert!(account.positions().is_empty());
+    observations[0].apply(&mut account, &data, false).unwrap();
+    let before = account.cash();
+    let mut sell = input.clone();
+    sell.actions[0].orders[0].side = OrderSide::Sell;
+    reseal(&mut sell);
+    assert!(
+        sell.observations().unwrap()[0]
+            .apply(&mut account, &data, false)
+            .unwrap_err()
+            .contains("T+1")
+    );
+    assert_eq!(account.cash(), before);
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+    let unlisted = identity_data(NaiveDate::from_ymd_opt(2027, 1, 1).unwrap());
+    assert!(
+        observations[0]
+            .apply(&mut account, &unlisted, false)
+            .unwrap_err()
+            .contains("lifecycle")
+    );
+    assert_eq!(account.cash(), before);
+}
+
+#[test]
+fn the_next_day_manual_sale_keeps_the_actual_quantity_and_fee_contract() {
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let input = sample();
+    let mut account = PortfolioState::new(10_000.);
+    input.observations().unwrap()[0]
+        .apply(&mut account, &data, false)
+        .unwrap();
+    let mut sell = input.clone();
+    let order = &mut sell.actions[0].orders[0];
+    order.side = OrderSide::Sell;
+    order.order_created_at += chrono::Duration::days(1);
+    order.terminal_observed_at += chrono::Duration::days(1);
+    order.fills[0].trade_date = order.fills[0].trade_date.succ_opt().unwrap();
+    order.fills[0].executed_at += chrono::Duration::days(1);
+    order.fills[0].observed_at += chrono::Duration::days(1);
+    order.fills[0].fee_observed_at += chrono::Duration::days(1);
+    sell.observation_cutoff += chrono::Duration::days(1);
+    reseal(&mut sell);
+    let applied = sell.observations().unwrap()[0]
+        .apply(&mut account, &data, false)
+        .unwrap();
+    assert_eq!(applied.quantity_after, 0);
+    assert_eq!(account.cash(), 9999.76);
+    assert_eq!(account.external_cash_flow_total(), 0.);
+}
+
+#[test]
+fn observations_follow_durable_receipt_order_and_not_input_array_order() {
+    let mut input = sample();
+    let mut second = input.actions[0].orders[0].fills[0].clone();
+    second.trade_id = "trade-2".into();
+    second.observation_event_id = "received-2".into();
+    second.observation_sequence = 2;
+    second.fee_observation_event_id = "received-2".into();
+    second.fee_observation_sequence = 2;
+    input.actions[0].orders[0].quantity = 200;
+    input.actions[0].orders[0].fills.insert(0, second);
+    reseal(&mut input);
+    assert_eq!(
+        input
+            .observations()
+            .unwrap()
+            .iter()
+            .map(|row| row.fill.observation_sequence)
+            .collect::<Vec<_>>(),
+        vec![1, 2]
+    );
+    let mut invalid = input.clone();
+    invalid.actions[0].orders[0].fills[0].observation_sequence = 1;
+    assert!(
+        semantic_result(&invalid)
+            .unwrap_err()
+            .contains("observation")
+    );
+    let mut invalid = input;
+    invalid.actions[0].orders[0].fills[0].observation_event_id = "received-1".into();
+    assert!(
+        semantic_result(&invalid)
+            .unwrap_err()
+            .contains("observation")
+    );
+}
+
+#[test]
+fn partial_cancel_is_valid_but_full_fill_cannot_be_reported_as_cancelled() {
+    let mut input = sample();
+    input.actions[0].orders[0].quantity = 200;
+    input.actions[0].orders[0].terminal_status = ManualOrderTerminalStatus::Cancelled;
+    semantic_result(&input).unwrap();
+    input.actions[0].orders[0].quantity = 100;
+    assert!(
+        semantic_result(&input)
+            .unwrap_err()
+            .contains("terminal status")
+    );
+}
+
+#[test]
+fn cursor_waits_for_observation_and_never_reapplies_or_rewinds() {
+    let input = sample();
+    let at = input.actions[0].orders[0].fills[0].observed_at;
+    let mut replay = ManualReplayCursor::new(input).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut account = PortfolioState::new(10_000.);
+    assert_eq!(replay.next_observation_at(), Some(at));
+    assert!(
+        replay
+            .advance(
+                at - chrono::Duration::milliseconds(1),
+                &mut account,
+                &data,
+                false
+            )
+            .unwrap()
+            .is_empty()
+    );
+    assert_eq!(account.cash(), 10_000.);
+    let records = replay.advance(at, &mut account, &data, false).unwrap();
+    assert_eq!(records.len(), 1);
+    assert_eq!(records[0].cash_delta, "-1012.465679");
+    assert_eq!(replay.applied_count(), 1);
+    assert_eq!(replay.next_observation_at(), None);
+    let cash = account.cash();
+    assert!(
+        replay
+            .advance(at, &mut account, &data, false)
+            .unwrap()
+            .is_empty()
+    );
+    assert_eq!(account.cash(), cash);
+    assert!(
+        replay
+            .advance(
+                at - chrono::Duration::seconds(1),
+                &mut account,
+                &data,
+                false
+            )
+            .unwrap_err()
+            .contains("backwards")
+    );
+}
+
+#[test]
+fn failed_multi_receipt_advance_keeps_both_progress_and_portfolio_unchanged() {
+    let mut input = sample();
+    let mut next = input.actions[0].orders[0].fills[0].clone();
+    next.trade_id = "trade-2".into();
+    next.observation_event_id = "received-2".into();
+    next.observation_sequence = 2;
+    next.fee_observation_event_id = "received-2".into();
+    next.fee_observation_sequence = 2;
+    input.actions[0].orders[0].quantity = 200;
+    input.actions[0].orders[0].fills.push(next);
+    reseal(&mut input);
+    let at = input.actions[0].orders[0].fills[0].observed_at;
+    let mut replay = ManualReplayCursor::new(input).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut account = PortfolioState::new(1_500.);
+    assert!(replay.advance(at, &mut account, &data, false).is_err());
+    assert_eq!(account.cash(), 1_500.);
+    assert!(account.positions().is_empty());
+    assert_eq!(replay.applied_count(), 0);
+    assert_eq!(replay.next_observation_at(), Some(at));
+}
+
+#[test]
+fn fixed_money_decimal_text_preserves_micro_units_without_float_conversion() {
+    for text in [
+        "0",
+        "100",
+        "-100",
+        "0.000001",
+        "-0.000001",
+        "12345678901234567890123456.123456",
+    ] {
+        assert_eq!(
+            FixedMoney::from_decimal_str(text)
+                .unwrap()
+                .to_decimal_string(),
+            text
+        );
+    }
+    let min = FixedMoney::from_raw(i128::MIN);
+    assert!(min.to_decimal_string().starts_with('-'));
+}

crates/fidc-core/src/metrics.rs

@@ -93,6 +93,15 @@ pub fn compute_backtest_metrics(
     account_events: &[AccountEvent],
     initial_cash: f64,
     risk_free_contract: Option<&RiskFreeRateContract>,
+) -> Result<BacktestMetrics, String> {
+    compute_backtest_metrics_with_manual(equity_curve, fills, &[], daily_holdings, account_events, initial_cash, risk_free_contract)
+}
+
+pub fn compute_backtest_metrics_with_manual(
+    equity_curve: &[DailyEquityPoint], fills: &[FillEvent],
+    manual_executions: &[crate::manual_execution::ManualReplayApplication],
+    daily_holdings: &[HoldingSummary], account_events: &[AccountEvent], initial_cash: f64,
+    risk_free_contract: Option<&RiskFreeRateContract>,
 ) -> Result<BacktestMetrics, String> {
     let Some(first_point) = equity_curve.first() else {
         return Ok(BacktestMetrics {
@@ -229,12 +238,20 @@ pub fn compute_backtest_metrics(
     );
     let monthly_volatility = annualized_std(&monthly_portfolio_returns, MONTHS_PER_YEAR);
 
-    let turnover_by_date = fills
+    let mut turnover_by_date = fills
         .iter()
         .fold(BTreeMap::<NaiveDate, f64>::new(), |mut acc, fill| {
             *acc.entry(fill.date).or_default() += fill.gross_amount.abs();
             acc
         });
+    for execution in manual_executions {
+        use rust_decimal::prelude::ToPrimitive;
+        let gross = execution.ledger_gross_amount.parse::<rust_decimal::Decimal>()
+            .ok().and_then(|value| value.to_f64()).filter(|value| value.is_finite() && *value >= 0.)
+            .ok_or("manual turnover requires its validated ledger gross amount")?;
+        let date = execution.observed_at.with_timezone(&chrono::FixedOffset::east_opt(8 * 3600).unwrap()).date_naive();
+        *turnover_by_date.entry(date).or_default() += gross;
+    }
     let equity_by_date = equity_curve
         .iter()
         .map(|point| (point.date, point.total_equity))
@@ -558,7 +575,9 @@ fn alpha_beta(
 }
 
 fn drawdown_stats(nav: &[f64]) -> (f64, usize) {
-    let mut peak = 0.0_f64;
+    // NAV is measured against the pre-period capital. The first real loss
+    // must not become a new zero-drawdown baseline.
+    let mut peak = 1.0_f64;
     let mut max_drawdown = 0.0_f64;
     let mut duration = 0_usize;
     let mut max_duration = 0_usize;
@@ -767,6 +786,28 @@ fn safe_div(numerator: f64, denominator: f64, fallback: f64) -> f64 {
 mod tests {
     use super::*;
 
+    #[test]
+    fn drawdown_includes_initial_nav_without_adding_a_trading_day() {
+        let (drawdown, duration) = drawdown_stats(&[0.9, 0.99]);
+        assert!((drawdown + 0.1).abs() < 1e-12);
+        assert_eq!(duration, 2);
+        assert_eq!(drawdown_stats(&[1.0, 1.1, 1.1]), (0.0, 0));
+        assert_eq!(drawdown_stats(&[0.0]), (-1.0, 1));
+        assert_eq!(drawdown_stats(&[]), (0.0, 0));
+    }
+
+    #[test]
+    fn first_day_loss_is_preserved_in_shared_backtest_metrics() {
+        let curve = vec![
+            equity_point("2025-01-03", 99.16648349337, 98.81608059815, 100.0),
+            equity_point("2025-01-06", 99.68551588547, 98.65392198168, 98.81608059815),
+        ];
+        let metrics = compute_backtest_metrics(&curve, &[], &[], &[], 100.0, None).unwrap();
+        assert!((metrics.max_drawdown + 0.0083351650663).abs() < 1e-12);
+        assert_eq!(metrics.total_trade_days, 2);
+        assert_eq!(metrics.max_drawdown_duration_days, 2);
+    }
+
     fn equity_point(
         date: &str,
         total_equity: f64,

crates/fidc-core/src/numeric_factors.rs

@@ -0,0 +1,415 @@
+use std::borrow::Cow;
+use std::collections::BTreeMap;
+use std::fmt;
+use std::ops::Index;
+
+use compact_str::CompactString;
+use serde::de::{MapAccess, Visitor};
+use serde::ser::SerializeMap;
+use serde::{Deserialize, Deserializer, Serialize, Serializer};
+
+/// Sorted numeric fields stored contiguously, without a tree node per snapshot.
+#[derive(Clone, Default, PartialEq)]
+pub struct NumericFactorMap {
+    entries: Vec<(CompactString, f64)>,
+}
+
+fn compact_key(key: Cow<'static, str>) -> CompactString {
+    match key {
+        Cow::Borrowed(value) => CompactString::const_new(value),
+        Cow::Owned(value) => CompactString::from(value),
+    }
+}
+
+impl NumericFactorMap {
+    pub const fn new() -> Self {
+        Self {
+            entries: Vec::new(),
+        }
+    }
+
+    pub fn len(&self) -> usize {
+        self.entries.len()
+    }
+    pub fn is_empty(&self) -> bool {
+        self.entries.is_empty()
+    }
+    pub fn clear(&mut self) {
+        self.entries.clear();
+    }
+
+    /// Reserve known new fields without geometric spare capacity per snapshot.
+    pub fn reserve_exact(&mut self, additional: usize) {
+        self.entries.reserve_exact(additional);
+    }
+
+    pub fn get(&self, key: &str) -> Option<&f64> {
+        self.entries
+            .binary_search_by(|(name, _)| name.as_str().cmp(key))
+            .ok()
+            .map(|index| &self.entries[index].1)
+    }
+
+    pub fn get_mut(&mut self, key: &str) -> Option<&mut f64> {
+        self.entries
+            .binary_search_by(|(name, _)| name.as_str().cmp(key))
+            .ok()
+            .map(|index| &mut self.entries[index].1)
+    }
+
+    pub fn contains_key(&self, key: &str) -> bool {
+        self.get(key).is_some()
+    }
+
+    pub fn insert(&mut self, key: Cow<'static, str>, value: f64) -> Option<f64> {
+        self.insert_compact(compact_key(key), value)
+    }
+
+    pub fn insert_compact(&mut self, key: CompactString, value: f64) -> Option<f64> {
+        if self
+            .entries
+            .last()
+            .is_none_or(|(last, _)| last.as_str() < key.as_str())
+        {
+            self.entries.push((key, value));
+            return None;
+        }
+        match self
+            .entries
+            .binary_search_by(|(name, _)| name.as_str().cmp(key.as_str()))
+        {
+            Ok(index) => Some(std::mem::replace(&mut self.entries[index].1, value)),
+            Err(index) => {
+                self.entries.insert(index, (key, value));
+                None
+            }
+        }
+    }
+
+    pub fn remove(&mut self, key: &str) -> Option<f64> {
+        self.entries
+            .binary_search_by(|(name, _)| name.as_str().cmp(key))
+            .ok()
+            .map(|index| self.entries.remove(index).1)
+    }
+
+    pub fn retain(&mut self, mut keep: impl FnMut(&CompactString, &mut f64) -> bool) {
+        self.entries.retain_mut(|(key, value)| keep(key, value));
+    }
+
+    pub fn iter(&self) -> Iter<'_> {
+        Iter(self.entries.iter())
+    }
+    pub fn keys(&self) -> impl DoubleEndedIterator<Item = &CompactString> + ExactSizeIterator {
+        self.entries.iter().map(|(key, _)| key)
+    }
+    pub fn values(&self) -> impl DoubleEndedIterator<Item = &f64> + ExactSizeIterator {
+        self.entries.iter().map(|(_, value)| value)
+    }
+}
+
+impl fmt::Debug for NumericFactorMap {
+    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
+        f.debug_map().entries(self).finish()
+    }
+}
+
+impl Index<&str> for NumericFactorMap {
+    type Output = f64;
+    fn index(&self, key: &str) -> &Self::Output {
+        self.get(key).expect("numeric factor key not found")
+    }
+}
+
+pub struct Iter<'a>(std::slice::Iter<'a, (CompactString, f64)>);
+impl<'a> Iterator for Iter<'a> {
+    type Item = (&'a CompactString, &'a f64);
+    fn next(&mut self) -> Option<Self::Item> {
+        self.0.next().map(|(k, v)| (k, v))
+    }
+    fn size_hint(&self) -> (usize, Option<usize>) {
+        self.0.size_hint()
+    }
+}
+impl DoubleEndedIterator for Iter<'_> {
+    fn next_back(&mut self) -> Option<Self::Item> {
+        self.0.next_back().map(|(k, v)| (k, v))
+    }
+}
+impl ExactSizeIterator for Iter<'_> {}
+impl<'a> IntoIterator for &'a NumericFactorMap {
+    type Item = (&'a CompactString, &'a f64);
+    type IntoIter = Iter<'a>;
+    fn into_iter(self) -> Self::IntoIter {
+        self.iter()
+    }
+}
+impl IntoIterator for NumericFactorMap {
+    type Item = (CompactString, f64);
+    type IntoIter = std::vec::IntoIter<Self::Item>;
+    fn into_iter(self) -> Self::IntoIter {
+        self.entries.into_iter()
+    }
+}
+
+impl FromIterator<(Cow<'static, str>, f64)> for NumericFactorMap {
+    fn from_iter<T: IntoIterator<Item = (Cow<'static, str>, f64)>>(iter: T) -> Self {
+        iter.into_iter().map(|(key, value)| (compact_key(key), value)).collect()
+    }
+}
+impl FromIterator<(CompactString, f64)> for NumericFactorMap {
+    fn from_iter<T: IntoIterator<Item = (CompactString, f64)>>(iter: T) -> Self {
+        let mut entries: Vec<_> = iter.into_iter().collect();
+        // Stable sorting preserves last-value-wins for repeated input keys.
+        if !entries.windows(2).all(|pair| pair[0].0 <= pair[1].0) {
+            entries.sort_by(|left, right| left.0.cmp(&right.0));
+        }
+        entries.dedup_by(|later, earlier| {
+            if later.0 == earlier.0 {
+                earlier.1 = later.1;
+                true
+            } else {
+                false
+            }
+        });
+        Self { entries }
+    }
+}
+impl Extend<(Cow<'static, str>, f64)> for NumericFactorMap {
+    fn extend<T: IntoIterator<Item = (Cow<'static, str>, f64)>>(&mut self, iter: T) {
+        self.extend(iter.into_iter().map(|(key, value)| (compact_key(key), value)));
+    }
+}
+impl Extend<(CompactString, f64)> for NumericFactorMap {
+    fn extend<T: IntoIterator<Item = (CompactString, f64)>>(&mut self, iter: T) {
+        let mut incoming: Self = iter.into_iter().collect();
+        if incoming.is_empty() {
+            return;
+        }
+        if self.is_empty() {
+            *self = incoming;
+            return;
+        }
+        if self.entries.last().unwrap().0 < incoming.entries[0].0 {
+            self.entries.append(&mut incoming.entries);
+            return;
+        }
+        // Merge sorted sets in linear time; wide factor batches must not shift
+        // the existing vector once per field. Existing keys keep their identity.
+        let mut merged = Vec::with_capacity(self.len() + incoming.len());
+        let mut old = std::mem::take(&mut self.entries).into_iter().peekable();
+        let mut new = incoming.entries.into_iter().peekable();
+        while let (Some(left), Some(right)) = (old.peek(), new.peek()) {
+            match left.0.cmp(&right.0) {
+                std::cmp::Ordering::Less => merged.push(old.next().unwrap()),
+                std::cmp::Ordering::Greater => merged.push(new.next().unwrap()),
+                std::cmp::Ordering::Equal => {
+                    let (key, _) = old.next().unwrap();
+                    merged.push((key, new.next().unwrap().1));
+                }
+            }
+        }
+        merged.extend(old);
+        merged.extend(new);
+        self.entries = merged;
+    }
+}
+impl<const N: usize> From<[(Cow<'static, str>, f64); N]> for NumericFactorMap {
+    fn from(entries: [(Cow<'static, str>, f64); N]) -> Self {
+        entries.into_iter().collect()
+    }
+}
+impl From<BTreeMap<Cow<'static, str>, f64>> for NumericFactorMap {
+    fn from(entries: BTreeMap<Cow<'static, str>, f64>) -> Self {
+        entries.into_iter().collect()
+    }
+}
+
+impl Serialize for NumericFactorMap {
+    fn serialize<S: Serializer>(&self, serializer: S) -> Result<S::Ok, S::Error> {
+        let mut map = serializer.serialize_map(Some(self.len()))?;
+        for (key, value) in self {
+            map.serialize_entry(key, value)?;
+        }
+        map.end()
+    }
+}
+impl<'de> Deserialize<'de> for NumericFactorMap {
+    fn deserialize<D: Deserializer<'de>>(deserializer: D) -> Result<Self, D::Error> {
+        struct Fields;
+        impl<'de> Visitor<'de> for Fields {
+            type Value = NumericFactorMap;
+            fn expecting(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
+                f.write_str("a numeric factor map")
+            }
+            fn visit_map<A: MapAccess<'de>>(self, mut map: A) -> Result<Self::Value, A::Error> {
+                let mut entries = Vec::new();
+                while let Some((key, value)) = map.next_entry::<CompactString, f64>()? {
+                    entries.push((key, value));
+                }
+                Ok(entries.into_iter().collect())
+            }
+        }
+        deserializer.deserialize_map(Fields)
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn exact_reservation_preserves_values_and_avoids_growth_during_known_inserts() {
+        let mut map = NumericFactorMap::from([
+            (Cow::Borrowed("amount"), 125.25),
+            (Cow::Borrowed("nullable_value"), f64::from_bits(0x7ff8000000000042)),
+            (Cow::Borrowed("signal"), -0.0),
+        ]);
+        let original = map.iter().map(|(key, value)| (key.to_string(), value.to_bits())).collect::<Vec<_>>();
+        map.reserve_exact(2);
+        assert_eq!(map.iter().map(|(key, value)| (key.to_string(), value.to_bits())).collect::<Vec<_>>(), original);
+        let buffer = map.entries.as_ptr();
+        map.insert(Cow::Borrowed("pre_close"), 12.5);
+        map.insert(Cow::Borrowed("no_limit"), 0.0);
+        assert_eq!(map.entries.as_ptr(), buffer);
+        assert_eq!(map.len(), 5);
+        assert_eq!(map["signal"].to_bits(), (-0.0_f64).to_bits());
+        assert_eq!(map["nullable_value"].to_bits(), 0x7ff8000000000042);
+        let before = map.entries.as_ptr();
+        map.reserve_exact(0);
+        assert_eq!(map.entries.as_ptr(), before);
+    }
+
+    #[test]
+    fn compact_keys_inline_dynamic_names_and_keep_long_static_storage() {
+        const LONG: &str = "a_long_static_factor_identifier_that_must_remain_borrowed";
+        let map = NumericFactorMap::from([
+            (Cow::Owned("dynamic_factor_20".to_owned()), -0.0),
+            (Cow::Borrowed(LONG), 1.0),
+        ]);
+        let cloned = map.clone();
+        let short = cloned.keys().find(|key| key.as_str() == "dynamic_factor_20").unwrap();
+        assert!(!short.is_heap_allocated());
+        let long = cloned.keys().find(|key| key.as_str() == LONG).unwrap();
+        assert_eq!(long.as_static_str(), Some(LONG));
+        assert_eq!(cloned["dynamic_factor_20"].to_bits(), (-0.0_f64).to_bits());
+        assert_eq!(std::mem::size_of::<(CompactString, f64)>(), std::mem::size_of::<(Cow<'static, str>, f64)>());
+    }
+
+    #[test]
+    fn long_dynamic_unicode_and_short_keys_keep_the_same_json_map() {
+        let entries = ["", "a", "a_field_longer_than_the_inline_string_capacity", "价格因子", "ths_up_days_stock"]
+            .into_iter().enumerate().map(|(index, key)| (Cow::Owned(key.to_string()), index as f64 + 0.25))
+            .collect::<BTreeMap<_, _>>();
+        let map = NumericFactorMap::from(entries.clone());
+        assert_eq!(serde_json::to_string(&map).unwrap(), serde_json::to_string(&entries).unwrap());
+        let decoded: NumericFactorMap = serde_json::from_str(&serde_json::to_string(&map).unwrap()).unwrap();
+        assert_eq!(decoded, map);
+        assert!(!decoded.keys().find(|key| key.as_str() == "ths_up_days_stock").unwrap().is_heap_allocated());
+    }
+
+    #[test]
+    fn updates_order_removal_and_values_match_tree_map() {
+        let mut flat = NumericFactorMap::new();
+        let mut tree = BTreeMap::new();
+        let mut seed = 71_u64;
+        for index in 0..10000 {
+            seed = seed.wrapping_mul(6364136223846793005).wrapping_add(1);
+            let key: Cow<'static, str> = Cow::Owned(format!("factor_{:04}", (seed >> 32) % 1000));
+            let value = (index as f64 - 5000.0) / 7.0;
+            if index % 11 == 0 {
+                assert_eq!(flat.remove(key.as_ref()), tree.remove(key.as_ref()));
+            } else {
+                assert_eq!(flat.insert(key.clone(), value), tree.insert(key, value));
+            }
+        }
+        assert_eq!(
+            flat.iter().map(|(key, value)| (key.as_str(), value)).collect::<Vec<_>>(),
+            tree.iter().map(|(key, value)| (key.as_ref(), value)).collect::<Vec<_>>()
+        );
+        flat.retain(|_, value| *value > 100.0);
+        tree.retain(|_, value| *value > 100.0);
+        assert_eq!(
+            flat.iter().map(|(key, value)| (key.as_str(), value)).collect::<Vec<_>>(),
+            tree.iter().map(|(key, value)| (key.as_ref(), value)).collect::<Vec<_>>()
+        );
+        assert_eq!(
+            std::mem::size_of::<NumericFactorMap>(),
+            std::mem::size_of_val(&tree)
+        );
+    }
+
+    #[test]
+    fn bulk_load_is_sorted_and_keeps_last_value_for_each_field() {
+        let input = vec![
+            (Cow::Borrowed("z"), 2.0),
+            (Cow::Borrowed("a"), 1.0),
+            (Cow::Borrowed("z"), 3.0),
+            (Cow::Borrowed("z"), 4.0),
+        ];
+        let flat: NumericFactorMap = input.clone().into_iter().collect();
+        let tree: BTreeMap<_, _> = input.into_iter().collect();
+        assert_eq!(
+            flat.iter().map(|(key, value)| (key.as_str(), value)).collect::<Vec<_>>(),
+            tree.iter().map(|(key, value)| (key.as_ref(), value)).collect::<Vec<_>>()
+        );
+        assert_eq!(flat["z"], 4.0);
+    }
+
+    #[test]
+    fn serialization_keeps_the_map_contract_and_precise_numbers() {
+        let input = [
+            (Cow::Borrowed("zero"), -0.0),
+            (Cow::Borrowed("tiny"), 1.0000000000000002),
+            (Cow::Borrowed("large"), 9.123456789123456e20),
+        ];
+        let flat = NumericFactorMap::from(input.clone());
+        let tree = BTreeMap::from(input);
+        let json = serde_json::to_string(&flat).unwrap();
+        assert_eq!(json, serde_json::to_string(&tree).unwrap());
+        let decoded: NumericFactorMap = serde_json::from_str(&json).unwrap();
+        for (key, value) in &flat {
+            assert_eq!(value.to_bits(), decoded[key.as_ref()].to_bits());
+        }
+        let duplicate: NumericFactorMap = serde_json::from_str(r#"{"x":1,"x":2}"#).unwrap();
+        assert_eq!(duplicate["x"], 2.0);
+    }
+
+    #[test]
+    fn clone_does_not_share_mutable_values() {
+        let original = NumericFactorMap::from([(Cow::Borrowed("signal"), 1.0)]);
+        let mut copy = original.clone();
+        *copy.get_mut("signal").unwrap() = 0.0;
+        copy.insert(Cow::Borrowed("other"), 2.0);
+        assert_eq!(original["signal"], 1.0);
+        assert!(!original.contains_key("other"));
+    }
+
+    #[test]
+    fn wide_batch_merge_matches_tree_and_preserves_old_key_ownership() {
+        let entries = (0..4096)
+            .map(|index| (Cow::Owned(format!("f_{index:05}")), index as f64))
+            .collect::<Vec<_>>();
+        let mut flat: NumericFactorMap = entries.clone().into_iter().collect();
+        let mut tree = BTreeMap::from_iter(entries);
+        flat.insert(Cow::Borrowed("shared"), -0.0);
+        tree.insert(Cow::Borrowed("shared"), -0.0);
+        let incoming = (2048..8192)
+            .rev()
+            .map(|index| (Cow::Owned(format!("f_{index:05}")), -(index as f64)))
+            .chain([(Cow::Owned("shared".to_owned()), 1.0)])
+            .collect::<Vec<_>>();
+        flat.extend(incoming.clone());
+        tree.extend(incoming);
+        assert_eq!(
+            flat.iter().map(|(key, value)| (key.as_str(), value)).collect::<Vec<_>>(),
+            tree.iter().map(|(key, value)| (key.as_ref(), value)).collect::<Vec<_>>()
+        );
+        assert_eq!(flat.keys().last().map(CompactString::as_str), Some("shared"));
+        assert!(!flat.keys().last().unwrap().is_heap_allocated());
+        flat.extend([(Cow::Borrowed("zz"), f64::NAN)]);
+        assert!(flat["zz"].is_nan());
+        flat.extend(std::iter::empty::<(CompactString, f64)>());
+        assert_eq!(flat.len(), tree.len() + 1);
+    }
+}

crates/fidc-core/src/pattern_context.rs

@@ -212,6 +212,11 @@ pub fn build_dataset_context(
 }
 
 pub fn specs_in_value(value: &Value) -> Result<Vec<PatternSpec>, String> {
+    // A runner bundle also contains source/extract copies. Follow the same
+    // authoritative spec selection as the execution loader, not those copies.
+    if let Some(spec) = value.get("strategySpec").or_else(|| value.get("strategy_spec")) {
+        return specs_in_value(spec);
+    }
     let mut specs = Vec::new();
     match value {
         Value::String(text) => specs.extend(crate::daily_patterns::expression_specs(text)?),
@@ -221,7 +226,15 @@ pub fn specs_in_value(value: &Value) -> Result<Vec<PatternSpec>, String> {
             }
         }
         Value::Object(items) => {
-            for v in items.values() {
+            let typed_pool = items.get("stockPool").or_else(|| items.get("stock_pool"))
+                .is_some_and(Value::is_object);
+            for (key, v) in items {
+                // The executable pool already supplies decoded expressions.
+                // Its display/source serialization escapes those expressions
+                // one more time and is not another executable program.
+                if typed_pool && matches!(key.as_str(), "sourceCode" | "source_code") {
+                    continue;
+                }
                 specs.extend(specs_in_value(v)?);
             }
         }
@@ -248,6 +261,31 @@ mod tests {
     use super::*;
     use crate::{BenchmarkSnapshot, DailyFactorSnapshot, DailyMarketSnapshot, Instrument};
     use serde_json::json;
+    #[test]
+    fn structured_pool_conditions_are_not_rescanned_inside_serialized_source_code() {
+        let pattern = json!({"template":"expression","parameters":{"history_window":20},
+            "expression":{"kind":"operator","name":"GT","args":[{"kind":"field","name":"amount"},{"kind":"number","value":0}]}});
+        let expr = format!("pattern_signal({})", serde_json::to_string(&pattern.to_string()).unwrap());
+        let pool = json!({"schema_version":1,"pool_id":"fixture","version_id":"v1","members":[],
+            "allocation_policy":{},"timing_policy":{},"stop_take_policy":{},"out_of_pool_policy":"hold",
+            "exit_signals":[{"role":"risk_exit","when_expr":expr,"remaining_position_bps":5000,"reason":"fixture"}]});
+        let source = format!("stock_pool.config({pool})");
+        for (pool_key, source_key) in [("stockPool", "sourceCode"), ("stock_pool", "source_code")] {
+            let value = json!({pool_key:pool,source_key:source,"runtimeExpressions":{"trading":{"buyFilterExpr":expr}}});
+            assert_eq!(specs_in_value(&value).unwrap().len(), 2);
+            for wrapper in ["strategySpec", "strategy_spec"] {
+                let bundle = json!({wrapper:value,"strategy_source":{"source_code":source},
+                    "strategy_extract":{"parameters":{"source_code":source}}});
+                assert_eq!(specs_in_value(&bundle).unwrap().len(), 2);
+            }
+            let mut invalid = value.clone();
+            invalid[pool_key]["exit_signals"][0]["when_expr"] = json!("pattern_signal(not-json)");
+            assert!(specs_in_value(&invalid).is_err(), "invalid actual conditions must still fail");
+            assert!(specs_in_value(&json!({"strategySpec":invalid})).is_err());
+        }
+        assert_eq!(specs_in_value(&json!({"sourceCode":format!("risk.stop_loss({expr})")})).unwrap().len(),1);
+    }
+
     #[test]
     fn normalized_rule_does_not_turn_an_omitted_window_into_explicit_null() {
         let expression:Expr=serde_json::from_value(json!({"kind":"operator","name":"GT","args":[{"kind":"field","name":"close"},{"kind":"number","value":1}]})).unwrap();
@@ -298,7 +336,7 @@ mod tests {
                 ][n][i];
                 market.push(DailyMarketSnapshot {
                     date: *d,
-                    symbol: s.to_string(),
+                    symbol: (*s).into(),
                     timestamp: None,
                     day_open: c,
                     open: c,
@@ -321,7 +359,7 @@ mod tests {
                 });
                 factors.push(DailyFactorSnapshot {
                     date: *d,
-                    symbol: s.to_string(),
+                    symbol: (*s).into(),
                     market_cap_bn: 1.,
                     free_float_cap_bn: 1.,
                     pe_ttm: 10.,

crates/fidc-core/src/platform_stock_pool.rs

@@ -0,0 +1,273 @@
+//! Stock pools emit one frozen framework intent, not a lossy code-strategy translation.
+use super::*;
+use crate::stock_pool_execution as pool;
+use rust_decimal::Decimal;
+
+impl PlatformExprStrategy {
+    pub(super) fn stock_pool_decision(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, BacktestError> {
+        let program = self
+            .config
+            .stock_pool
+            .as_ref()
+            .ok_or_else(|| BacktestError::Execution("stock_pool_program_missing".into()))?
+            .clone();
+        if !self.config.stop_loss_expr.trim().is_empty() || !self.config.take_profit_expr.trim().is_empty()
+            || self.config.position_target_rules.len() != program.exit_signals.len()
+            || self.config.position_target_rules.iter().zip(&program.exit_signals).any(|(compiled, frozen)|
+                compiled.when_expr != frozen.when_expr || compiled.remaining_position_bps != frozen.remaining_position_bps
+                    || compiled.reason != frozen.reason || compiled.stock_pool_role != frozen.role)
+        {
+            return Err(BacktestError::Execution("stock_pool_exit_roles_required: exit rules must remain bound to the frozen stock_pool program".into()));
+        }
+        let mut constraints = pool::stock_pool_constraints_from_configuration(
+            &program.allocation_policy,
+            &program.stop_take_policy,
+        )
+        .map_err(BacktestError::Execution)?;
+        if let Some(policy) = constraints
+            .market_timing_policy
+            .as_ref()
+            .filter(|policy| policy.enabled)
+        {
+            let before_close = !ctx.is_lagged_execution()
+                && ctx
+                    .active_datetime
+                    .is_some_and(|at| at.time() < NaiveTime::from_hms_opt(15, 0, 0).unwrap());
+            let as_of = if before_close {
+                ctx.data
+                    .previous_trading_date(ctx.decision_date, 1)
+                    .ok_or_else(|| {
+                        BacktestError::Execution(
+                            "market_timing_previous_completed_session_missing".into(),
+                        )
+                    })?
+            } else {
+                ctx.decision_date
+            };
+            let required = policy
+                .required_history()
+                .map_err(BacktestError::Execution)?;
+            let mut dates = ctx
+                .data
+                .calendar()
+                .iter()
+                .filter(|date| *date <= as_of)
+                .collect::<Vec<_>>();
+            if dates.len() < required {
+                return Err(BacktestError::Execution(format!(
+                    "market_timing_official_calendar_incomplete:required={required}:available={}",
+                    dates.len()
+                )));
+            }
+            dates = dates.split_off(dates.len() - required);
+            let index = policy.index_code.as_ref().expect("validated index policy");
+            let closes = dates
+                .iter()
+                .map(|date| {
+                    let row = ctx.data.market(*date, index).ok_or_else(|| {
+                        BacktestError::Execution(format!(
+                            "market_timing_completed_index_row_missing:{index}:{date}"
+                        ))
+                    })?;
+                    Ok(crate::stock_pool_index_policy::IndexClose {
+                        date: *date,
+                        close: row.close,
+                    })
+                })
+                .collect::<Result<Vec<_>, BacktestError>>()?;
+            constraints.market_timing_input =
+                Some(crate::stock_pool_index_policy::MarketTimingInput {
+                    index_code: index.clone(),
+                    as_of_date: as_of,
+                    official_dates: dates,
+                    closes,
+                });
+        }
+        let rule = pool::normalize_stock_pool_execution_rule_with_exit_roles(
+            Some(&program.timing_policy),
+            !self.config.buy_filter_expr.trim().is_empty(),
+            self.config.position_target_rules.iter().any(|rule| rule.stock_pool_role == pool::StockPoolExitRole::OrdinarySell),
+            self.config.position_target_rules.iter().any(|rule| rule.stock_pool_role == pool::StockPoolExitRole::RiskExit),
+        )
+        .map_err(BacktestError::Execution)?;
+        if self.config.in_skip_window(ctx.decision_date) {
+            return Ok(StrategyDecision::default());
+        }
+        let explicit_quote_condition = self.selection_quote_usage != StockFilterQuoteUsage::DailyOnly
+            || [self.config.buy_filter_expr.as_str(), self.config.stop_loss_expr.as_str(), self.config.take_profit_expr.as_str()]
+                .into_iter().chain(self.config.position_target_rules.iter().map(|rule|rule.when_expr.as_str()))
+                .any(|expression|Self::stock_filter_quote_usage_for_expr(expression)!=StockFilterQuoteUsage::DailyOnly);
+        if explicit_quote_condition && ctx.active_datetime.is_some_and(|at|at.time()<NaiveTime::from_hms_opt(15,0,0).unwrap()) {
+            for symbol in program.members.iter().map(|member|&member.symbol).chain(ctx.portfolio.positions().keys()) {
+                if ctx.data.instrument(symbol).is_some_and(|instrument|instrument.is_exchange_traded_fund()&&instrument.dated_market_absence_reason(ctx.execution_date).is_none())
+                    && self.scheduled_quote_at_time(ctx,ctx.execution_date,symbol,None).is_none()
+                {
+                    return Err(BacktestError::Execution(format!("etf_intraday_condition_evidence_missing:{symbol}; completed daily references cannot make minute/tick conditions true")));
+                }
+            }
+        }
+        let day = self.day_state(ctx, ctx.decision_date)?;
+        let (market_date, universe_date, factor_date) = self.selection_dates(ctx);
+        let (low, high) = self.market_cap_band(ctx, &day)?;
+        let (ranked, mut diagnostics, risk_decisions) = self.select_symbols(
+            ctx,
+            market_date,
+            universe_date,
+            factor_date,
+            &day,
+            low,
+            high,
+            usize::MAX,
+        )?;
+        let held = ctx
+            .portfolio
+            .positions()
+            .values()
+            .filter(|p| p.quantity > 0)
+            .map(|p| p.symbol.clone())
+            .collect::<BTreeSet<_>>();
+        if !self.config.buy_filter_expr.trim().is_empty() {
+            for symbol in &ranked {
+                let stock =
+                    self.stock_state_with_factor_date(ctx, market_date, factor_date, symbol)?;
+                if !self.eval_bool(ctx, &self.config.buy_filter_expr, &day, Some(&stock), None)? {
+                    constraints
+                        .buy_denials
+                        .insert(symbol.clone(), vec!["frozen_buy_condition_not_met".into()]);
+                }
+            }
+        }
+        for (role, targets) in self.current_position_target_rules_by_role(ctx, ctx.decision_date, factor_date, &day)? {
+            let output = match role { pool::StockPoolExitRole::OrdinarySell => &mut constraints.position_target_bps, pool::StockPoolExitRole::RiskExit => &mut constraints.independent_position_target_bps };
+            for (symbol, (bps, _)) in targets { output.insert(symbol, bps); }
+        }
+        let limit = constraints.target_holding_count.unwrap_or(ranked.len());
+        let final_symbols = ranked
+            .iter()
+            .take(limit)
+            .cloned()
+            .collect();
+        let generation = format!(
+            "stock-pool:{}:{}:{}",
+            program.pool_id,
+            program.version_id,
+            ctx.active_datetime
+                .map(|date| date.to_string())
+                .unwrap_or_else(|| ctx.decision_date.to_string())
+        );
+        let selection = pool::StockPoolSelection {
+            trade_date: ctx.decision_date,
+            requested_symbols: ranked.clone(),
+            normal_trading_symbols: ranked.clone(),
+            risk_eligible_symbols: ranked.clone(),
+            final_symbols,
+            exclusion_reasons: BTreeMap::new(),
+            inherited_from_generation: None,
+            explicit_empty: program.members.is_empty()
+                && self.config.candidate_symbols_by_date.is_empty(),
+            generation: Some(generation.clone()),
+        };
+        let by_symbol = program
+            .members
+            .iter()
+            .map(|member| (member.symbol.as_str(), member))
+            .collect::<BTreeMap<_, _>>();
+        let mut scope = ranked.clone();
+        // Kept rules are execution metadata, not additional selection candidates.
+        for symbol in held {
+            if by_symbol.contains_key(symbol.as_str()) && !scope.contains(&symbol) {
+                scope.push(symbol)
+            }
+        }
+        let allocation_weights = self
+            .config
+            .runtime_position_exposure_timeline
+            .allocation_weights_at(portfolio_loss_decision_at(ctx))
+            .or_else(|| {
+                self.config
+                    .position_exposure_timeline
+                    .allocation_weights_at(portfolio_loss_decision_at(ctx))
+            });
+        let members = scope
+            .iter()
+            .enumerate()
+            .map(|(index, symbol)| {
+                let mut member = by_symbol
+                    .get(symbol.as_str())
+                    .map(|member| (*member).clone())
+                    .unwrap_or_else(|| pool::StockPoolMemberSpec {
+                        symbol: symbol.clone(),
+                        requested_order: index as i32,
+                        recommendation_reason: String::new(),
+                        target_weight_bps: None,
+                        stop_loss: constraints.default_stop_loss,
+                        take_profit: constraints.default_take_profit,
+                    });
+                member.requested_order = index as i32;
+                if let Some(weights) = allocation_weights {
+                    member.target_weight_bps = Some(*weights.get(symbol).unwrap_or(&0));
+                }
+                member
+            })
+            .collect();
+        let (base_ratio, reserve_cash) =
+            pool::stock_pool_funding_from_configuration(&program.allocation_policy)
+                .map_err(BacktestError::Execution)?;
+        let base_exposure = self
+            .config
+            .position_exposure_timeline
+            .exposure_at(
+                portfolio_loss_decision_at(ctx),
+                ctx.execution_date,
+                &self.config.position_exposure_schedule,
+                f64::from(base_ratio) / 10000.,
+            )
+            .unwrap_or(f64::from(base_ratio) / 10000.);
+        let ratio = self
+            .config
+            .runtime_position_exposure_timeline
+            .exposure_at(
+                portfolio_loss_decision_at(ctx),
+                ctx.execution_date,
+                &self.config.runtime_position_exposure_schedule,
+                base_exposure,
+            )
+            .or(Some(base_exposure))
+            .map(|value| (value * 10000.).round() as i64)
+            .unwrap_or(i64::from(base_ratio));
+        let invest_ratio_bps = i32::try_from(ratio)
+            .ok()
+            .filter(|ratio| (0..=10000).contains(ratio))
+            .ok_or_else(|| BacktestError::Execution("stock_pool_invest_ratio_invalid".into()))?;
+        let signal_equity =
+            self.signal_visible_total_value(ctx, ctx.decision_date, ctx.is_lagged_execution());
+        let frozen_equity = signal_equity
+            .to_string()
+            .parse::<Decimal>()
+            .map_err(|_| BacktestError::Execution("stock_pool_signal_equity_invalid".into()))?;
+        diagnostics.push(format!("stock_pool_signal_frozen generation={generation} candidate_count={} frozen_equity={frozen_equity}",ranked.len()));
+        Ok(StrategyDecision {
+            order_intents: vec![OrderIntent::StockPool {
+                contract: Box::new(pool::FrozenStockPoolIntent {
+                    pool_id:program.pool_id.clone(),
+                    signal_date: ctx.decision_date,
+                    frozen_equity,
+                    selection,
+                    members,
+                    rule,
+                    constraints,
+                    invest_ratio_bps,
+                    reserve_cash,
+                    out_of_pool_policy: program.out_of_pool_policy,
+                    generation,
+                }),
+            }],
+            diagnostics,
+            risk_decisions,
+            ..Default::default()
+        })
+    }
+}

crates/fidc-core/src/platform_strategy_spec.rs

@@ -17,6 +17,12 @@ use crate::{
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyRuntimeSpec {
+    #[serde(default,alias="stock_pool")]
+    pub stock_pool:Option<crate::stock_pool_execution::StockPoolProgram>,
+    #[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)]
@@ -85,6 +91,8 @@ pub struct StrategyRebalanceSpec {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExecutionSpec {
+    #[serde(default, alias = "volume_capacity_mode")]
+    pub volume_capacity_mode: Option<crate::execution_capacity::VolumeCapacityMode>,
     #[serde(default)]
     pub frequency: Option<String>,
     #[serde(default, alias = "matching_type")]
@@ -158,9 +166,22 @@ pub struct StrategyExecutionSpec {
     pub sell_then_buy_delay_slippage_rate: Option<f64>,
 }
 
+impl StrategyRuntimeSpec {
+    pub fn volume_capacity_mode(&self) -> Result<crate::execution_capacity::VolumeCapacityMode, String> {
+        let engine = self.engine_config.as_ref().and_then(|config| config.volume_capacity_mode);
+        let execution = self.execution.as_ref().and_then(|config| config.volume_capacity_mode);
+        if engine.zip(execution).is_some_and(|(a, b)| a != b) {
+            return Err("conflicting engine/execution volumeCapacityMode".into());
+        }
+        Ok(execution.or(engine).unwrap_or_default())
+    }
+}
+
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyEngineConfig {
+    #[serde(default, alias = "volume_capacity_mode")]
+    pub volume_capacity_mode: Option<crate::execution_capacity::VolumeCapacityMode>,
     #[serde(default)]
     pub frequency: Option<String>,
     #[serde(default, alias = "template_id")]
@@ -644,7 +665,7 @@ 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 +681,7 @@ 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 +696,14 @@ 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 +738,8 @@ 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 +763,16 @@ 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
@@ -897,6 +929,10 @@ pub struct StrategyExpressionSelectionConfig {
     pub current_day_precomputed_factors: Option<bool>,
     #[serde(default, alias = "candidate_symbols_by_date")]
     pub candidate_symbols_by_date: BTreeMap<String, Vec<String>>,
+    #[serde(default, alias = "preserve_candidate_order")]
+    pub preserve_candidate_order: bool,
+    #[serde(default, alias = "candidate_source_book")]
+    pub candidate_source_book: Option<crate::stock_pool_candidates::CandidateSourceBook>,
 }
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -913,6 +949,8 @@ pub struct StrategyExpressionRiskConfig {
     pub exposure_expr: Option<String>,
     #[serde(default, alias = "position_exposure_schedule")]
     pub position_exposure_schedule: Vec<StrategyPositionExposureSchedulePoint>,
+    #[serde(default, alias = "position_exposure_events")]
+    pub position_exposure_events: Vec<crate::position_exposure::PositionExposureEvent>,
     #[serde(default)]
     pub portfolio_drawdown_control: Option<StrategyPortfolioDrawdownControlConfig>,
     #[serde(default)]
@@ -990,6 +1028,8 @@ 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)]
@@ -1511,7 +1551,6 @@ fn normalize_slippage_model_name(value: &str) -> String {
         | "price_rate"
         | "price_ratio_slippage"
         | "priceratioslippage" => "price_ratio".to_string(),
-        "dynamic_volume_volatility" => "dynamic".to_string(),
         other => other.to_string(),
     }
 }
@@ -1556,11 +1595,13 @@ fn parse_slippage_model(
     impact_coefficient: Option<f64>,
     volatility_coefficient: Option<f64>,
     max_value: Option<f64>,
-) -> Option<SlippageModel> {
-    let value = valid_non_negative(value);
-    let impact_coefficient = valid_non_negative(impact_coefficient);
-    let volatility_coefficient = valid_non_negative(volatility_coefficient);
-    let max_value = valid_non_negative(max_value);
+) -> Result<SlippageModel, String> {
+    for (name, parameter) in [("slippageValue", value), ("slippageImpactCoefficient", impact_coefficient),
+        ("slippageVolatilityCoefficient", volatility_coefficient), ("slippageMaxValue", max_value)] {
+        if parameter.is_some_and(|number| !number.is_finite() || number < 0.0) {
+            return Err(format!("{name} must be finite and non-negative"));
+        }
+    }
     let model = model
         .map(normalize_slippage_model_name)
         .filter(|item| !item.is_empty())
@@ -1573,16 +1614,23 @@ fn parse_slippage_model(
         });
 
     match model.as_str() {
-        "none" => Some(SlippageModel::None),
-        "price_ratio" => Some(SlippageModel::PriceRatio(value.unwrap_or(0.0))),
-        "tick_size" => Some(SlippageModel::TickSize(value.unwrap_or(0.0))),
-        "limit_price" => Some(SlippageModel::LimitPrice),
-        "dynamic" => Some(SlippageModel::Dynamic(DynamicSlippageConfig::new(
-            impact_coefficient.unwrap_or(0.5),
-            volatility_coefficient.unwrap_or(0.3),
-            max_value.or(value).unwrap_or(0.01),
-        ))),
-        _ => None,
+        "none" => Ok(SlippageModel::None),
+        "price_ratio" => Ok(SlippageModel::PriceRatio(value.unwrap_or(0.0))),
+        "tick_size" => Ok(SlippageModel::TickSize(value.unwrap_or(0.0))),
+        "limit_price" => Ok(SlippageModel::LimitPrice),
+        "historical_volume_volatility" => {
+            let max_ratio = max_value.or(value).unwrap_or(0.01);
+            if max_ratio >= 1.0 {
+                return Err("historical slippage maximum must be less than 1".into());
+            }
+            Ok(SlippageModel::HistoricalVolumeVolatility(DynamicSlippageConfig::new(
+                impact_coefficient.unwrap_or(0.5), volatility_coefficient.unwrap_or(0.3), max_ratio,
+            )))
+        },
+        "dynamic" | "dynamic_volume_volatility" => Err(
+            "retired_slippage_model: dynamic used unfinished daily data; explicitly select historical_volume_volatility or another supported model".into()
+        ),
+        _ => Err(format!("unsupported slippageModel: {model}")),
     }
 }
 
@@ -1613,20 +1661,19 @@ fn apply_execution_behavior_overrides(
         || slippage_volatility_coefficient.is_some()
         || slippage_max_value.is_some()
     {
-        if let Some(parsed) = parse_slippage_model(
+        cfg.slippage_model = parse_slippage_model(
             slippage_model,
             slippage_value,
             slippage_impact_coefficient,
             slippage_volatility_coefficient,
             slippage_max_value,
-        ) {
-            cfg.slippage_model = parsed;
-        }
+        )?;
     }
     if strict_value_budget == Some(false) {
         return Err("strictValueBudget=false is not supported".to_string());
     }
     cfg.strict_value_budget = true;
+
     if let Some(rate) = sell_then_buy_delay_slippage_rate {
         if !rate.is_finite() || !(0.0..1.0).contains(&rate) {
             return Err(
@@ -1792,6 +1839,7 @@ pub fn platform_expr_config_from_spec(
     strategy_spec: Option<&StrategyRuntimeSpec>,
 ) -> Result<PlatformExprStrategyConfig, String> {
     let mut cfg = PlatformExprStrategyConfig::generic();
+    cfg.volume_capacity_mode = strategy_spec.map(StrategyRuntimeSpec::volume_capacity_mode).transpose()?.unwrap_or_default();
     cfg.strategy_name = strategy_id.to_string();
     if !signal_symbol.trim().is_empty() {
         cfg.signal_symbol = signal_symbol.trim().to_string();
@@ -2110,12 +2158,29 @@ pub fn platform_expr_config_from_spec(
             if let Some(enabled) = selection.current_day_precomputed_factors {
                 cfg.current_day_precomputed_factors = enabled;
             }
+            if selection.preserve_candidate_order && selection.candidate_symbols_by_date.is_empty() {
+                return Err("preserveCandidateOrder requires a dated candidate book".to_string());
+            }
+            if let Some(book) = &selection.candidate_source_book {
+                if !selection.preserve_candidate_order {
+                    return Err("candidateSourceBook requires preserveCandidateOrder=true".into());
+                }
+                let expected = book.resolved_symbols()?.into_iter()
+                    .map(|(date, symbols)| (date.to_string(), symbols)).collect::<BTreeMap<_, _>>();
+                if expected != selection.candidate_symbols_by_date {
+                    return Err("candidateSourceBook differs from resolved candidateSymbolsByDate".into());
+                }
+                if cfg.selection_limit_expr.trim() == "pool_candidate_count" {
+                    cfg.max_positions = expected.values().map(Vec::len).max().unwrap_or(0).max(1);
+                }
+            }
             for (raw_date, raw_symbols) in &selection.candidate_symbols_by_date {
                 let trade_date = NaiveDate::parse_from_str(raw_date, "%Y-%m-%d").map_err(|_| {
                     format!("candidateSymbolsByDate contains invalid date: {raw_date}")
                 })?;
                 let mut symbols = BTreeSet::new();
-                for raw_symbol in raw_symbols {
+                let mut order = BTreeMap::new();
+                for (index, raw_symbol) in raw_symbols.iter().enumerate() {
                     let symbol = normalize_symbol(raw_symbol, None);
                     let valid = symbol.rsplit_once('.').is_some_and(|(code, exchange)| {
                         code.len() == 6
@@ -2132,8 +2197,12 @@ pub fn platform_expr_config_from_spec(
                             "candidateSymbolsByDate contains duplicate date/symbol: {raw_date} {symbol}"
                         ));
                     }
+                    order.insert(symbol, index);
                 }
                 cfg.candidate_symbols_by_date.insert(trade_date, symbols);
+                if selection.preserve_candidate_order {
+                    cfg.candidate_order_by_date.insert(trade_date, order);
+                }
             }
         }
         if let Some(allocation) = runtime_expr.allocation.as_ref()
@@ -2161,6 +2230,7 @@ pub fn platform_expr_config_from_spec(
                     expr.clone()
                 };
             }
+            cfg.position_exposure_timeline = crate::position_exposure::PositionExposureTimeline::from_events(&risk.position_exposure_events)?;
             for point in &risk.position_exposure_schedule {
                 let effective_date = NaiveDate::parse_from_str(
                     point.effective_date.trim(),
@@ -2272,6 +2342,7 @@ pub fn platform_expr_config_from_spec(
                     ));
                 }
                 cfg.position_target_rules.push(PlatformPositionTargetRule {
+                    stock_pool_role: crate::stock_pool_execution::StockPoolExitRole::OrdinarySell,
                     when_expr: when_expr.to_string(),
                     remaining_position_bps: rule.remaining_position_bps,
                     reason: rule
@@ -2316,6 +2387,10 @@ 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 +2674,62 @@ pub fn platform_expr_config_from_spec(
     }
     cfg.strict_value_budget = true;
 
+    if spec.runtime_expressions.as_ref().and_then(|runtime| runtime.selection.as_ref())
+        .is_some_and(|selection| selection.candidate_source_book.is_some())
+        && (cfg.matching_type != MatchingType::NextBarOpen || !cfg.current_day_precomputed_factors) {
+        return Err("daily candidate source book requires completed signal-day factors and next_bar_open".into());
+    }
+
+    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);
+    }
+    if let Some(pool)=&spec.stock_pool {
+        if cfg.signal_book.is_some() || spec.signal_book_ref.is_some() || !cfg.explicit_actions.is_empty(){return Err("stock_pool_program_cannot_mix_other_order_programs".into())}
+        let legacy_exit = !cfg.stop_loss_expr.trim().is_empty() || !cfg.take_profit_expr.trim().is_empty() || !cfg.position_target_rules.is_empty();
+        if legacy_exit { return Err("stock_pool_exit_roles_required: regenerate this historical stock-pool strategy from its saved configuration; legacy risk expressions do not preserve ordinary/risk exit roles".into()); }
+        let secondary_buy=!cfg.buy_filter_expr.trim().is_empty();
+        pool.validate(secondary_buy,false)?;
+        cfg.position_target_rules.extend(pool.exit_signals.iter().map(|signal| PlatformPositionTargetRule {
+            when_expr: signal.when_expr.clone(), remaining_position_bps: signal.remaining_position_bps,
+            reason: signal.reason.clone(), stock_pool_role: signal.role,
+        }));
+        cfg.stock_pool=Some(pool.clone());
+        cfg.hold_until_exit_enabled=false;
+        cfg.daily_top_up_enabled=false;
+        cfg.daily_position_target_adjust_enabled=false;
+        cfg.target_portfolio_daily_enabled=false;
+    }
     Ok(cfg)
 }
 
@@ -2751,6 +2882,7 @@ 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 +3281,16 @@ 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!({
@@ -3263,6 +3405,25 @@ mod tests {
         );
     }
 
+    #[test]
+    fn frozen_candidate_order_is_explicit_and_preserves_source_positions() {
+        let mut spec = serde_json::json!({"runtimeExpressions": {"selection": {
+            "candidateSymbolsByDate": {
+                "2025-01-02": ["600000.SH", "000001.SZ"], "2025-01-03": []
+            }
+        }}});
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let legacy = platform_expr_config_from_value("", "", &spec).unwrap();
+        assert!(legacy.candidate_order_by_date.is_empty());
+        spec["runtimeExpressions"]["selection"]["preserveCandidateOrder"] = serde_json::json!(true);
+        let ordered = platform_expr_config_from_value("", "", &spec).unwrap();
+        assert_eq!(ordered.candidate_order_by_date[&date]["600000.SH"], 0);
+        assert_eq!(ordered.candidate_order_by_date[&date]["000001.SZ"], 1);
+        assert!(ordered.candidate_order_by_date[&NaiveDate::from_ymd_opt(2025, 1, 3).unwrap()].is_empty());
+        spec["runtimeExpressions"]["selection"]["candidateSymbolsByDate"] = serde_json::json!({});
+        assert!(platform_expr_config_from_value("", "", &spec).unwrap_err().to_string().contains("dated candidate book"));
+    }
+
     #[test]
     fn rejects_invalid_or_duplicate_static_universe_symbols() {
         let invalid = serde_json::json!({
@@ -3304,6 +3465,7 @@ mod tests {
         assert_eq!(
             cfg.position_target_rules,
             vec![PlatformPositionTargetRule {
+                stock_pool_role: crate::stock_pool_execution::StockPoolExitRole::OrdinarySell,
                 when_expr: "factors[\"reduce_signal\"] == 1".to_string(),
                 remaining_position_bps: 5000,
                 reason: "factor_reduce_position".to_string(),
@@ -4066,6 +4228,28 @@ 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!({
@@ -4249,10 +4433,10 @@ mod tests {
     }
 
     #[test]
-    fn parses_dynamic_slippage_into_platform_config() {
+    fn parses_explicit_historical_slippage_into_platform_config() {
         let spec = serde_json::json!({
             "execution": {
-                "slippageModel": "dynamic",
+                "slippageModel": "historical_volume_volatility",
                 "slippageImpactCoefficient": 0.6,
                 "slippageVolatilityCoefficient": 0.2,
                 "slippageMaxValue": 0.015
@@ -4263,10 +4447,20 @@ mod tests {
 
         assert_eq!(
             cfg.slippage_model,
-            SlippageModel::Dynamic(DynamicSlippageConfig::new(0.6, 0.2, 0.015))
+            SlippageModel::HistoricalVolumeVolatility(DynamicSlippageConfig::new(0.6, 0.2, 0.015))
         );
     }
 
+    #[test]
+    fn retired_or_unknown_slippage_models_do_not_fall_back_to_fixed_or_none() {
+        for model in ["dynamic", "dynamic_volume_volatility", "dynamic-volume-volatility", "unknown"] {
+            let spec = serde_json::json!({"execution": {"slippageModel": model, "slippageValue": 0.002}});
+            assert!(platform_expr_config_from_value("", "", &spec).is_err(), "{model}");
+        }
+        let spec = serde_json::json!({"execution": {"slippageModel": "historical_volume_volatility", "slippageImpactCoefficient": -1}});
+        assert!(platform_expr_config_from_value("", "", &spec).is_err());
+    }
+
     #[test]
     fn engine_stock_ma_filter_generates_price_and_volume_expr() {
         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);
     }
@@ -128,14 +138,30 @@ impl Position {
         if quantity == 0 {
             return;
         }
+        let gross_amount = fixed_money_or_panic(execution_price * quantity as f64, "position buy gross amount");
+        self.buy_with_fixed_gross(date,quantity,execution_price,mark_price,gross_amount);
+    }
 
+    fn buy_with_fixed_gross(
+        &mut self,
+        date: NaiveDate,
+        quantity: u32,
+        execution_price: f64,
+        mark_price: f64,
+        gross_amount: FixedMoney,
+    ) {
         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);
+        } else if let Some(opened) = self.opened_date {
+            self.opened_date = Some(opened.min(date));
+        }
         let previous_average_price = self.average_price;
         let previous_average_cost = self.average_cost;
-        let gross_amount = fixed_money_or_panic(
-            execution_price * quantity as f64,
-            "position buy gross amount",
-        );
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
@@ -186,6 +212,20 @@ impl Position {
         quantity: u32,
         execution_price: f64,
         mark_price: f64,
+    ) -> Result<f64, String> {
+        if quantity > self.quantity {
+            return Err(format!("sell quantity {} exceeds current quantity {} for {}",quantity,self.quantity,self.symbol));
+        }
+        let total_proceeds = fixed_money(execution_price * quantity as f64,"position sell gross amount")?;
+        self.sell_with_fixed_gross(quantity,execution_price,mark_price,total_proceeds)
+    }
+
+    fn sell_with_fixed_gross(
+        &mut self,
+        quantity: u32,
+        execution_price: f64,
+        mark_price: f64,
+        total_proceeds: FixedMoney,
     ) -> Result<f64, String> {
         if quantity > self.quantity {
             return Err(format!(
@@ -194,10 +234,17 @@ impl Position {
             ));
         }
 
-        let total_proceeds = fixed_money(
-            execution_price * quantity as f64,
-            "position sell gross amount",
-        )?;
+        // A delayed receipt or a successor conversion can append an older
+        // acquisition after a newer lot. Deplete by actual acquisition date;
+        // stable ordering preserves same-day receipts and their attached fees.
+        if quantity > 0
+            && self
+                .lots
+                .windows(2)
+                .any(|pair| pair[0].acquired_date > pair[1].acquired_date)
+        {
+            self.lots.sort_by_key(|lot| lot.acquired_date);
+        }
         let mut remaining = quantity;
         let mut remaining_proceeds = total_proceeds;
         let mut realized = FixedMoney::ZERO;
@@ -267,6 +314,7 @@ 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 {
@@ -661,6 +709,31 @@ pub struct PortfolioState {
     cash_receivables: Vec<CashReceivable>,
     pending_cash_flows: Vec<PendingCashFlow>,
     day_sold_symbols: BTreeSet<String>,
+    // Observed holding conversions, never a catalog alias or a new target.
+    // Kept after a position becomes flat so an active date lock is not lost.
+    corporate_predecessors: BTreeMap<String, BTreeSet<String>>,
+    stock_pool_states: std::collections::BTreeMap<String,crate::stock_pool_state::StockPoolExecutionState>,
+}
+
+pub(crate) struct PortfolioCheckpoint {
+    saved: PortfolioState,
+    position_order: Option<Vec<String>>,
+}
+
+impl PortfolioCheckpoint {
+    pub(crate) fn restore(mut self, current: &mut PortfolioState) {
+        if let Some(order) = self.position_order.take() {
+            let mut positions = IndexMap::with_capacity(order.len());
+            for symbol in order {
+                let position = self.saved.positions.shift_remove(&symbol)
+                    .or_else(|| current.positions.shift_remove(&symbol))
+                    .expect("unchanged checkpoint position must remain present");
+                positions.insert(symbol, position);
+            }
+            self.saved.positions = positions;
+        }
+        *current = self.saved;
+    }
 }
 
 #[derive(Debug, Clone)]
@@ -682,9 +755,36 @@ pub(crate) struct SuccessorConversionOutcome {
 }
 
 impl PortfolioState {
+    /// Ordinary single-security orders need not duplicate every other lot.
+    /// Complex portfolio intents request the complete checkpoint instead.
+    pub(crate) fn checkpoint(&self, symbols: Option<&BTreeSet<String>>) -> PortfolioCheckpoint {
+        let Some(symbols) = symbols else {
+            return PortfolioCheckpoint { saved: self.clone(), position_order: None };
+        };
+        PortfolioCheckpoint {
+            saved: Self {
+                initial_cash: self.initial_cash, units: self.units, cash: self.cash,
+                external_cash_flow_total: self.external_cash_flow_total,
+                cash_liabilities: self.cash_liabilities, management_fee_rate: self.management_fee_rate,
+                management_fees: self.management_fees,
+                // prune_flat_positions can remove an unrelated zero row.
+                positions: self.positions.iter().filter(|(symbol, position)| position.quantity == 0 || symbols.contains(*symbol))
+                    .map(|(symbol, position)| (symbol.clone(), position.clone())).collect(),
+                cash_receivables: self.cash_receivables.clone(), pending_cash_flows: self.pending_cash_flows.clone(),
+                day_sold_symbols: self.day_sold_symbols.clone(), corporate_predecessors: self.corporate_predecessors.clone(),
+                stock_pool_states: self.stock_pool_states.clone(),
+            },
+            position_order: Some(self.positions.keys().cloned().collect()),
+        }
+    }
+
     pub fn new(initial_cash: f64) -> Self {
         let initial_cash = fixed_money(initial_cash, "initial cash")
             .expect("initial cash must be finite fixed-point money");
+        Self::from_fixed_initial_cash(initial_cash)
+    }
+
+    pub(crate) fn from_fixed_initial_cash(initial_cash: FixedMoney) -> Self {
         Self {
             initial_cash,
             units: initial_cash,
@@ -697,6 +797,8 @@ impl PortfolioState {
             cash_receivables: Vec::new(),
             pending_cash_flows: Vec::new(),
             day_sold_symbols: BTreeSet::new(),
+            corporate_predecessors: BTreeMap::new(),
+            stock_pool_states: std::collections::BTreeMap::new(),
         }
     }
 
@@ -706,6 +808,35 @@ impl PortfolioState {
         self.initial_cash.to_f64()
     }
 
+    pub(crate) fn initial_cash_fixed(&self) -> FixedMoney { self.initial_cash }
+
+    pub(crate) fn corporate_predecessors(&self, symbol: &str) -> impl Iterator<Item = &str> {
+        self.corporate_predecessors.get(symbol).into_iter().flatten().map(String::as_str)
+    }
+
+    pub(crate) fn observed_successor_symbols(&self) -> impl Iterator<Item = &str> {
+        self.corporate_predecessors.keys().map(String::as_str)
+    }
+
+    pub(crate) fn stock_pool_execution_state(&self,pool_id:&str)->crate::stock_pool_state::StockPoolExecutionState{
+        self.stock_pool_states.get(pool_id).cloned().unwrap_or_default()
+    }
+
+    pub(crate) fn set_stock_pool_execution_state(&mut self,pool_id:&str,state:crate::stock_pool_state::StockPoolExecutionState)->Result<(),String>{
+        if pool_id.trim().is_empty(){return Err("stock_pool_state_identity_missing".into())}
+        state.validate()?;self.stock_pool_states.insert(pool_id.into(),state);Ok(())
+    }
+
+    pub(crate) fn adjust_stock_pool_split(&mut self, symbol: &str, ratio: f64) -> Result<(), String> {
+        let ratio = rust_decimal::Decimal::from_str_exact(&ratio.to_string())
+            .map_err(|_| "stock_pool_execution_state_split_invalid".to_string())?;
+        let adjusted = self.stock_pool_states.iter()
+            .map(|(pool, state)| Ok((pool.clone(), state.adjust_for_split(symbol, ratio)?)))
+            .collect::<Result<BTreeMap<_, _>, String>>()?;
+        self.stock_pool_states = adjusted;
+        Ok(())
+    }
+
     pub fn initial_cash(&self) -> f64 {
         self.initial_cash.to_f64()
     }
@@ -718,6 +849,53 @@ impl PortfolioState {
         self.cash.to_f64()
     }
 
+    pub(crate) fn cash_fixed(&self) -> FixedMoney { self.cash }
+
+    pub(crate) fn financial_replay_identity(&self) -> serde_json::Value {
+        let positions = self.positions.iter().filter(|(_, position)| position.quantity > 0)
+            .map(|(symbol, position)| {
+                let mut lots = position.lots.iter().map(|lot| (lot.acquired_date, lot.quantity,
+                    lot.entry_value.to_decimal_string(), lot.cost_basis.to_decimal_string())).collect::<Vec<_>>();
+                lots.sort();
+                (symbol.clone(), serde_json::json!({"quantity":position.quantity,"lots":lots,
+                    "openedDate":position.opened_date,"lastBuyDate":position.last_buy_date}))
+            }).collect::<std::collections::BTreeMap<_, _>>();
+        let mut receivables = self.cash_receivables.iter().map(|row| (row.symbol.clone(), row.ex_date,
+            row.payable_date, fixed_money_or_panic(row.amount, "receivable identity").to_decimal_string(), row.reason.clone())).collect::<Vec<_>>();
+        receivables.sort();
+        let mut identity = serde_json::json!({"cash":self.cash.to_decimal_string(),"positions":positions,"receivables":receivables});
+        if !self.corporate_predecessors.is_empty() {
+            identity["corporatePredecessors"] = serde_json::json!(self.corporate_predecessors);
+        }
+        identity
+    }
+
+    pub(crate) fn financial_position_basis(&self, symbol: &str) -> FixedMoney {
+        self.positions.get(symbol).map_or(FixedMoney::ZERO, Position::total_cost_basis)
+    }
+
+    pub(crate) fn replace_replayed_financial_book(&mut self, mut replayed: PortfolioState) -> Result<(), String> {
+        if replayed.cash < FixedMoney::ZERO || replayed.initial_cash != self.initial_cash {
+            return Err("manual corporate replay changed initial capital or borrowed cash".into());
+        }
+        for (symbol, position) in &mut replayed.positions {
+            if let Some(current) = self.positions.get(symbol).filter(|current| current.quantity > 0) {
+                position.last_price = current.last_price;
+                position.refresh_day_pnl();
+            }
+        }
+        self.cash = replayed.cash;
+        self.positions = replayed.positions;
+        self.cash_receivables = replayed.cash_receivables;
+        self.day_sold_symbols = replayed.day_sold_symbols;
+        // Corrected actual receipts can prove a position was fully sold
+        // before conversion. Do not retain a now-disproved financial link.
+        self.corporate_predecessors = replayed.corporate_predecessors;
+        // Existing issued units, explicit cash-flow/financing facts, and task
+        // target state are observed controls, not counterfactual new orders.
+        Ok(())
+    }
+
     pub fn external_cash_flow_total(&self) -> f64 {
         self.external_cash_flow_total.to_f64()
     }
@@ -753,13 +931,117 @@ impl PortfolioState {
     }
 
     pub fn apply_cash_delta(&mut self, delta: f64) -> Result<(), String> {
+        self.apply_cash_delta_fixed(fixed_money(delta, "cash delta")?)
+    }
+
+    pub(crate) fn apply_cash_delta_fixed(&mut self, delta: FixedMoney) -> Result<(), String> {
         self.cash = self
             .cash
-            .checked_add(fixed_money(delta, "cash delta")?)
+            .checked_add(delta)
             .ok_or_else(|| "fixed-point cash overflow".to_string())?;
         Ok(())
     }
 
+    /// Apply one fully observed external fill atomically. Its money is already
+    /// quantized from the original decimal amounts, not from a float product.
+    pub(crate) fn apply_observed_manual_fill(
+        &mut self,
+        trade_date: NaiveDate,
+        symbol: &str,
+        side: crate::events::OrderSide,
+        quantity: u32,
+        price: f64,
+        mark_price: f64,
+        gross: FixedMoney,
+        fees: FixedMoney,
+    ) -> Result<FixedMoney, String> {
+        use crate::events::OrderSide;
+        if symbol.trim().is_empty()
+            || quantity == 0
+            || quantity > i32::MAX as u32
+            || !price.is_finite()
+            || price <= 0.
+            || !mark_price.is_finite()
+            || mark_price <= 0.
+            || gross <= FixedMoney::ZERO
+            || fees < FixedMoney::ZERO
+        {
+            return Err("invalid observed manual fill".into());
+        }
+        let mut position = self
+            .positions
+            .get(symbol)
+            .cloned()
+            .unwrap_or_else(|| Position::new(symbol));
+        let delta = match side {
+            OrderSide::Buy => gross.checked_add(fees).and_then(FixedMoney::checked_neg),
+            OrderSide::Sell => gross.checked_sub(fees),
+        }
+        .ok_or("manual fill cash delta overflow")?;
+        let next_cash = self
+            .cash
+            .checked_add(delta)
+            .filter(|cash| *cash >= FixedMoney::ZERO)
+            .ok_or("manual fill disagrees with shadow available cash")?;
+        let next_cost = position
+            .day_trade_cost
+            .checked_add(fees)
+            .ok_or("manual trade cost overflow")?;
+        match side {
+            OrderSide::Buy => {
+                let total_quantity = position
+                    .quantity
+                    .checked_add(quantity)
+                    .ok_or("manual position quantity overflow")?;
+                FixedMoney::from_f64(mark_price * f64::from(total_quantity))
+                    .ok_or("manual marked position value overflow")?;
+                position
+                    .day_buy_quantity
+                    .checked_add(quantity)
+                    .ok_or("manual daily buy quantity overflow")?;
+                position
+                    .day_trade_quantity_delta
+                    .checked_add(quantity as i32)
+                    .ok_or("manual daily quantity delta overflow")?;
+                position
+                    .day_buy_value
+                    .checked_add(gross)
+                    .ok_or("manual daily buy value overflow")?;
+                let total_basis = gross.checked_add(fees).ok_or("manual lot basis overflow")?;
+                position
+                    .total_cost_basis()
+                    .checked_add(total_basis)
+                    .ok_or("manual aggregate position basis overflow")?;
+                position.buy_with_fixed_gross(trade_date, quantity, price, mark_price, gross);
+                position
+                    .lots
+                    .last_mut()
+                    .ok_or("manual buy produced no lot")?
+                    .cost_basis = total_basis;
+                position.average_cost += fees.to_f64() / f64::from(position.quantity);
+            }
+            OrderSide::Sell => {
+                if quantity > position.sellable_qty(trade_date) {
+                    return Err("manual fill disagrees with shadow sellable holdings or T+1".into());
+                }
+                position
+                    .day_sell_quantity
+                    .checked_add(quantity)
+                    .ok_or("manual daily sell quantity overflow")?;
+                position
+                    .day_trade_quantity_delta
+                    .checked_sub(quantity as i32)
+                    .ok_or("manual daily quantity delta overflow")?;
+                position.sell_with_fixed_gross(quantity, price, mark_price, gross)?;
+            }
+        }
+        position.day_trade_cost = next_cost;
+        position.refresh_day_pnl();
+        self.positions.insert(symbol.to_string(), position);
+        self.cash = next_cash;
+        Ok(delta)
+    }
+
     pub fn prune_flat_positions(&mut self) {
         let mut sold_symbols = Vec::new();
         self.positions.retain(|symbol, position| {
@@ -1224,6 +1506,8 @@ 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 +1547,14 @@ 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);
@@ -1328,7 +1620,7 @@ impl PortfolioState {
         }
         successor.refresh_day_pnl();
 
-        Some(SuccessorConversionOutcome {
+        let outcome = SuccessorConversionOutcome {
             old_symbol: old_symbol_owned,
             new_symbol: new_symbol.to_string(),
             old_quantity,
@@ -1340,7 +1632,14 @@ impl PortfolioState {
             } else {
                 0.0
             },
-        })
+        };
+        if converted_quantity > 0 {
+            let mut predecessors = self.corporate_predecessors.get(old_symbol).cloned().unwrap_or_default();
+            predecessors.insert(old_symbol.to_owned());
+            predecessors.remove(new_symbol);
+            self.corporate_predecessors.entry(new_symbol.to_owned()).or_default().extend(predecessors);
+        }
+        Some(outcome)
     }
 
     fn sum_fixed_money(
@@ -1392,7 +1691,34 @@ mod tests {
         BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
         PriceField,
     };
-    use std::collections::BTreeMap;
+
+    #[test]
+    fn scoped_checkpoint_restores_order_flat_rows_and_progress_without_copying_untouched_lots() {
+        let date = NaiveDate::from_ymd_opt(2026,9,15).unwrap();
+        let mut portfolio = PortfolioState::new(10000.);
+        portfolio.position_mut("000001.SZ").buy(date,100,10.);
+        portfolio.position_mut("000002.SZ").buy(date,200,10.);
+        portfolio.position_mut("000003.SZ").buy(date,100,10.);
+        portfolio.position_mut("000003.SZ").sell(100,11.).unwrap();
+        let flat_realized = portfolio.position("000003.SZ").unwrap().realized_pnl;
+        let untouched_lots = portfolio.position("000002.SZ").unwrap().lots.as_ptr();
+        let before = portfolio.financial_replay_identity();
+        let order = portfolio.positions.keys().cloned().collect::<Vec<_>>();
+        let checkpoint = portfolio.checkpoint(Some(&BTreeSet::from(["000001.SZ".into(), "000004.SZ".into()])));
+        assert!(!checkpoint.saved.positions.contains_key("000002.SZ"));
+        portfolio.position_mut("000001.SZ").sell(100,11.).unwrap();
+        portfolio.prune_flat_positions();
+        portfolio.position_mut("000004.SZ").buy(date,100,12.);
+        portfolio.apply_cash_delta(100.).unwrap();
+        portfolio.stock_pool_states.insert("changed".into(), Default::default());
+        checkpoint.restore(&mut portfolio);
+        assert_eq!(portfolio.financial_replay_identity(), before);
+        assert_eq!(portfolio.positions.keys().cloned().collect::<Vec<_>>(), order);
+        assert_eq!(portfolio.position("000002.SZ").unwrap().lots.as_ptr(), untouched_lots);
+        assert_eq!(portfolio.position("000003.SZ").unwrap().realized_pnl, flat_realized);
+        assert!(portfolio.stock_pool_states.is_empty());
+        assert!(portfolio.position("000004.SZ").is_none());
+    }
 
     #[test]
     fn cash_ledger_accumulates_micro_yuan_exactly() {
@@ -1595,7 +1921,7 @@ mod tests {
                     vec![
                         DailyMarketSnapshot {
                             date: prev_date,
-                            symbol: "000001.SZ".to_string(),
+                            symbol: "000001.SZ".into(),
                             timestamp: None,
                             day_open: 10.0,
                             open: 10.0,
@@ -1618,7 +1944,7 @@ mod tests {
                         },
                         DailyMarketSnapshot {
                             date,
-                            symbol: "000001.SZ".to_string(),
+                            symbol: "000001.SZ".into(),
                             timestamp: None,
                             day_open: 10.5,
                             open: 10.5,
@@ -1642,18 +1968,18 @@ mod tests {
                     ],
                     vec![DailyFactorSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         market_cap_bn: 50.0,
                         free_float_cap_bn: 45.0,
                         pe_ttm: 10.0,
                         turnover_ratio: Some(1.0),
                         effective_turnover_ratio: Some(1.0),
                         adjustment_factor_backward1: None,
-                        extra_factors: BTreeMap::new(),
+                        extra_factors: Default::default(),
                     }],
                     vec![CandidateEligibility {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         is_st: false,
                         is_star_st: false,
                         is_new_listing: false,
@@ -1708,7 +2034,7 @@ mod tests {
                     }],
                     vec![DailyMarketSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         timestamp: None,
                         day_open: 10.5,
                         open: 10.5,
@@ -1731,18 +2057,18 @@ mod tests {
                     }],
                     vec![DailyFactorSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         market_cap_bn: 50.0,
                         free_float_cap_bn: 45.0,
                         pe_ttm: 10.0,
                         turnover_ratio: Some(1.0),
                         effective_turnover_ratio: Some(1.0),
                         adjustment_factor_backward1: None,
-                        extra_factors: BTreeMap::new(),
+                        extra_factors: Default::default(),
                     }],
                     vec![CandidateEligibility {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         is_st: false,
                         is_star_st: false,
                         is_new_listing: false,
@@ -1794,7 +2120,7 @@ mod tests {
             }],
             vec![DailyMarketSnapshot {
                 date: prev_date,
-                symbol: "601028.SH".to_string(),
+                symbol: "601028.SH".into(),
                 timestamp: None,
                 day_open: 10.2,
                 open: 10.2,
@@ -1877,7 +2203,7 @@ mod tests {
             vec![
                 DailyMarketSnapshot {
                     date: buy_date,
-                    symbol: symbol.to_string(),
+                    symbol: symbol.into(),
                     timestamp: None,
                     day_open: 2.99,
                     open: 2.99,
@@ -1900,7 +2226,7 @@ mod tests {
                 },
                 DailyMarketSnapshot {
                     date: next_date,
-                    symbol: symbol.to_string(),
+                    symbol: symbol.into(),
                     timestamp: None,
                     day_open: 3.03,
                     open: 3.03,

crates/fidc-core/src/position_exposure.rs

@@ -0,0 +1,536 @@
+//! Dated manual adjustments are ordered facts; restoring is not a 100% target.
+use chrono::{DateTime, NaiveDate, Utc};
+use serde::{Deserialize, Serialize};
+use std::collections::{BTreeMap, BTreeSet};
+
+#[derive(Debug, Clone, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(tag = "action", rename_all = "snake_case", deny_unknown_fields)]
+pub enum PositionExposureAction {
+    Scale {
+        #[serde(rename = "requestedBps", alias = "requested_bps")]
+        requested_bps: i32,
+    },
+    Set {
+        #[serde(rename = "targetExposureBps", alias = "target_exposure_bps")]
+        target_exposure_bps: i32,
+    },
+    Restore,
+}
+
+#[derive(Debug, Clone, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase")]
+pub struct PositionExposureEvent {
+    #[serde(alias = "event_id")]
+    pub event_id: String,
+    pub sequence: u64,
+    #[serde(alias = "effective_at")]
+    pub effective_at: DateTime<Utc>,
+    #[serde(
+        default,
+        skip_serializing_if = "Option::is_none",
+        alias = "allocation_weights_bps"
+    )]
+    pub allocation_weights_bps: Option<BTreeMap<String, i32>>,
+    #[serde(flatten)]
+    pub action: PositionExposureAction,
+}
+
+#[derive(Debug, Clone, Default)]
+pub struct PositionExposureTimeline {
+    events: BTreeMap<(DateTime<Utc>, u64), (PositionExposureAction, Option<BTreeMap<String, i32>>)>,
+}
+
+impl PositionExposureTimeline {
+    pub fn from_events(events: &[PositionExposureEvent]) -> Result<Self, String> {
+        let mut result = Self::default();
+        let mut ids = BTreeSet::new();
+        let mut sequences = BTreeSet::new();
+        for event in events {
+            if event.event_id.trim().is_empty() || !ids.insert(event.event_id.as_str()) {
+                return Err("position exposure event id is missing or duplicated".into());
+            }
+            if event.sequence == 0 || !sequences.insert(event.sequence) {
+                return Err("position exposure event sequence must be positive and unique".into());
+            }
+            if let PositionExposureAction::Scale { requested_bps } = event.action
+                && !(0..=10000).contains(&requested_bps)
+            {
+                return Err("position exposure scale must be between 0 and 10000 bps".into());
+            }
+            if let PositionExposureAction::Set {
+                target_exposure_bps,
+            } = event.action
+                && !(0..=10_000).contains(&target_exposure_bps)
+            {
+                return Err("position exposure target must be between 0 and 10000 bps".into());
+            }
+            if let Some(weights) = &event.allocation_weights_bps {
+                let target = match event.action {
+                    PositionExposureAction::Set {
+                        target_exposure_bps,
+                    } => target_exposure_bps,
+                    PositionExposureAction::Scale { requested_bps } => requested_bps,
+                    PositionExposureAction::Restore => {
+                        return Err(
+                            "restoring strategy allocation cannot carry manual weights".into()
+                        );
+                    }
+                };
+                validate_allocation_weights(weights, target)?;
+            }
+            result.events.insert(
+                (event.effective_at, event.sequence),
+                (event.action.clone(), event.allocation_weights_bps.clone()),
+            );
+        }
+        Ok(result)
+    }
+
+    /// Legacy day-level contracts remain day-level; never invent intraday times.
+    pub fn exposure_at(
+        &self,
+        at: DateTime<Utc>,
+        execution_date: NaiveDate,
+        legacy: &BTreeMap<NaiveDate, f64>,
+        strategy_exposure: f64,
+    ) -> Option<f64> {
+        match self
+            .events
+            .range(..=(at, u64::MAX))
+            .next_back()
+            .map(|(_, (action, _))| action)
+        {
+            Some(PositionExposureAction::Scale { requested_bps }) => {
+                Some(strategy_exposure * f64::from(*requested_bps) / 10000.)
+            }
+            Some(PositionExposureAction::Set {
+                target_exposure_bps,
+            }) => Some(f64::from(*target_exposure_bps) / 10_000.),
+            Some(PositionExposureAction::Restore) => None,
+            None => legacy
+                .range(..=execution_date)
+                .next_back()
+                .map(|(_, value)| *value),
+        }
+    }
+
+    pub fn scale_at(&self, at: DateTime<Utc>) -> Option<i32> {
+        match self
+            .events
+            .range(..=(at, u64::MAX))
+            .next_back()
+            .map(|(_, (action, _))| action)
+        {
+            Some(PositionExposureAction::Scale { requested_bps }) => Some(*requested_bps),
+            _ => None,
+        }
+    }
+
+    pub fn allocation_weights_at(&self, at: DateTime<Utc>) -> Option<&BTreeMap<String, i32>> {
+        self.events
+            .range(..=(at, u64::MAX))
+            .next_back()
+            .and_then(|(_, (_, weights))| weights.as_ref())
+    }
+}
+
+pub fn validate_allocation_weights(
+    weights: &BTreeMap<String, i32>,
+    exposure_bps: i32,
+) -> Result<(), String> {
+    if !(0..=10000).contains(&exposure_bps) || weights.len() > 10000 {
+        return Err("invalid allocation exposure or weight count".into());
+    }
+    for (symbol, weight) in weights {
+        if !(0..=10000).contains(weight)
+            || !symbol.rsplit_once('.').is_some_and(|(code, exchange)| {
+                code.len() == 6
+                    && code.bytes().all(|byte| byte.is_ascii_digit())
+                    && matches!(exchange, "SH" | "SZ" | "BJ")
+            })
+        {
+            return Err(
+                "allocation weights require canonical stock/ETF symbols and 0..10000 bps".into(),
+            );
+        }
+    }
+    if (weights.is_empty() && exposure_bps != 0)
+        || (!weights.is_empty() && weights.values().sum::<i32>() != 10000)
+    {
+        return Err("manual allocation weights must total 10000 bps; only a zero exposure may have no weights".into());
+    }
+    Ok(())
+}
+
+/// Scale new buys and desired targets without weakening sell/reduction or
+/// cancellation instructions. Prices, subscriptions and cash flows are intact.
+pub fn scale_explicit_intent(
+    mut intent: crate::OrderIntent,
+    bps: i32,
+    open_orders: &[crate::OpenOrderView],
+) -> Result<Option<crate::OrderIntent>, String> {
+    use crate::OrderIntent as I;
+    if !(0..=10000).contains(&bps) {
+        return Err("position scale out of range".into());
+    }
+    if bps == 10000 {
+        return Ok(Some(intent));
+    }
+    if let I::WithTimeInForce {
+        intent: inner,
+        time_in_force,
+    } = intent
+    {
+        return Ok(
+            scale_explicit_intent(*inner, bps, open_orders)?.map(|intent| I::WithTimeInForce {
+                intent: Box::new(intent),
+                time_in_force,
+            }),
+        );
+    }
+    let integer = |value: i32| ((i64::from(value) * i64::from(bps)) / 10000) as i32;
+    let amount = |value: f64, target: bool| -> Result<f64, String> {
+        if !value.is_finite() || (target && value < 0.) {
+            return Err("position override received an invalid original amount".into());
+        }
+        Ok(if value > 0. {
+            value * f64::from(bps) / 10000.
+        } else {
+            value
+        })
+    };
+    match &mut intent {
+        I::Shares { quantity, .. }
+        | I::LimitShares { quantity, .. }
+        | I::Lots { lots: quantity, .. }
+        | I::LimitLots { lots: quantity, .. } => {
+            if *quantity > 0 {
+                *quantity = integer(*quantity);
+                if *quantity == 0 {
+                    return Ok(None);
+                }
+            }
+        }
+        I::TargetShares {
+            target_quantity, ..
+        }
+        | I::LimitTargetShares {
+            target_quantity, ..
+        } => {
+            if *target_quantity < 0 {
+                return Err("position override received a negative target quantity".into());
+            }
+            *target_quantity = integer(*target_quantity);
+        }
+        I::Value { value, .. }
+        | I::LimitValue { value, .. }
+        | I::AlgoValue { value, .. }
+        | I::Percent { percent: value, .. }
+        | I::LimitPercent { percent: value, .. }
+        | I::AlgoPercent { percent: value, .. } => {
+            *value = amount(*value, false)?;
+            if *value == 0. {
+                return Ok(None);
+            }
+        }
+        I::TargetValue { target_value, .. }
+        | I::LimitTargetValue { target_value, .. }
+        | I::TimedTargetValue { target_value, .. }
+        | I::TargetPercent {
+            target_percent: target_value,
+            ..
+        }
+        | I::LimitTargetPercent {
+            target_percent: target_value,
+            ..
+        } => {
+            *target_value = amount(*target_value, true)?;
+        }
+        I::TargetPortfolioSmart { target_weights, .. } => {
+            for value in target_weights.values_mut() {
+                *value = amount(*value, true)?;
+            }
+        }
+        I::ModifyOrder {
+            order_id,
+            new_total_quantity: Some(quantity),
+            ..
+        } => {
+            let order = open_orders
+                .iter()
+                .find(|order| order.order_id == *order_id)
+                .ok_or("position override cannot resolve the order being modified")?;
+            if order.side == crate::OrderSide::Buy && *quantity > order.requested_quantity {
+                let extra = u64::from(*quantity - order.requested_quantity) * bps as u64 / 10000;
+                *quantity = order.requested_quantity + extra as u32;
+            }
+        }
+        I::Futures { .. } | I::StockPool { .. } => {
+            return Err("manual equity scaling cannot transform this intent kind".into());
+        }
+        I::ModifyOrder { .. }
+        | I::CancelOrder { .. }
+        | I::CancelSymbol { .. }
+        | I::CancelAll { .. }
+        | I::UpdateUniverse { .. }
+        | I::Subscribe { .. }
+        | I::Unsubscribe { .. }
+        | I::DepositWithdraw { .. }
+        | I::FinanceRepay { .. }
+        | I::SetManagementFeeRate { .. } => {}
+        I::WithTimeInForce { .. } => unreachable!("wrapper handled first"),
+    }
+    Ok(Some(intent))
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use serde_json::json;
+
+    #[test]
+    fn scalar_preserves_strategy_risk_off_and_restore_keeps_original_exposure() {
+        let at = DateTime::parse_from_rfc3339("2026-01-05T09:30:00+08:00")
+            .unwrap()
+            .with_timezone(&Utc);
+        let event = PositionExposureEvent {
+            event_id: "scale".into(),
+            sequence: 1,
+            effective_at: at,
+            allocation_weights_bps: None,
+            action: PositionExposureAction::Scale {
+                requested_bps: 5000,
+            },
+        };
+        let timeline = PositionExposureTimeline::from_events(&[event.clone()]).unwrap();
+        assert_eq!(
+            timeline.exposure_at(at, at.date_naive(), &BTreeMap::new(), 0.),
+            Some(0.)
+        );
+        assert_eq!(
+            timeline.exposure_at(at, at.date_naive(), &BTreeMap::new(), 0.2),
+            Some(0.1)
+        );
+        let restored = PositionExposureEvent {
+            event_id: "restore".into(),
+            sequence: 2,
+            effective_at: at,
+            allocation_weights_bps: None,
+            action: PositionExposureAction::Restore,
+        };
+        let timeline = PositionExposureTimeline::from_events(&[event, restored]).unwrap();
+        assert_eq!(
+            timeline
+                .exposure_at(
+                    at,
+                    at.date_naive(),
+                    &BTreeMap::from([(at.date_naive(), 1.)]),
+                    0.2
+                )
+                .unwrap_or(0.2),
+            0.2
+        );
+    }
+
+    #[test]
+    fn allocation_is_dated_and_any_later_scalar_or_restore_clears_it() {
+        let at = DateTime::parse_from_rfc3339("2026-09-14T10:00:00+08:00")
+            .unwrap()
+            .with_timezone(&Utc);
+        let weights = BTreeMap::from([("000001.SZ".into(), 3000), ("510300.SH".into(), 7000)]);
+        let event = PositionExposureEvent {
+            event_id: "allocation".into(),
+            sequence: 1,
+            effective_at: at,
+            action: PositionExposureAction::Set {
+                target_exposure_bps: 8000,
+            },
+            allocation_weights_bps: Some(weights.clone()),
+        };
+        let timeline = PositionExposureTimeline::from_events(&[event.clone()]).unwrap();
+        assert!(
+            timeline
+                .allocation_weights_at(at - chrono::Duration::seconds(1))
+                .is_none()
+        );
+        assert_eq!(timeline.allocation_weights_at(at), Some(&weights));
+        for action in [
+            PositionExposureAction::Set {
+                target_exposure_bps: 5000,
+            },
+            PositionExposureAction::Restore,
+        ] {
+            let next = PositionExposureEvent {
+                event_id: "new".into(),
+                sequence: 2,
+                effective_at: at + chrono::Duration::seconds(1),
+                action,
+                allocation_weights_bps: None,
+            };
+            assert!(
+                PositionExposureTimeline::from_events(&[event.clone(), next])
+                    .unwrap()
+                    .allocation_weights_at(at + chrono::Duration::seconds(1))
+                    .is_none()
+            );
+        }
+        assert!(
+            validate_allocation_weights(&BTreeMap::from([("000001.SZ".into(), 9000)]), 5000)
+                .is_err()
+        );
+        assert!(validate_allocation_weights(&BTreeMap::new(), 1).is_err());
+        assert!(validate_allocation_weights(&BTreeMap::new(), 0).is_ok());
+    }
+
+    #[test]
+    fn explicit_equity_targets_and_buys_scale_but_sales_cashflows_and_prices_do_not() {
+        use crate::OrderIntent as I;
+        let symbol = "000001.SZ".to_string();
+        let reason = "fixture".to_string();
+        for bps in [0, 3000, 5000, 10000] {
+            let ratio = f64::from(bps) / 10000.;
+            let buy = I::LimitShares {
+                symbol: symbol.clone(),
+                quantity: 1000,
+                limit_price: 12.345,
+                reason: reason.clone(),
+            };
+            let scaled = scale_explicit_intent(buy, bps, &[]).unwrap();
+            if bps == 0 {
+                assert!(scaled.is_none())
+            } else if let Some(I::LimitShares {
+                quantity,
+                limit_price,
+                ..
+            }) = scaled
+            {
+                assert_eq!(quantity, (1000. * ratio) as i32);
+                assert_eq!(limit_price, 12.345);
+            } else {
+                panic!("wrong intent")
+            }
+            let sell = I::Shares {
+                symbol: symbol.clone(),
+                quantity: -1000,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(sell, bps, &[]).unwrap(),
+                Some(I::Shares {
+                    quantity: -1000,
+                    ..
+                })
+            ));
+            let clear = I::TargetShares {
+                symbol: symbol.clone(),
+                target_quantity: 0,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(clear, bps, &[]).unwrap(),
+                Some(I::TargetShares {
+                    target_quantity: 0,
+                    ..
+                })
+            ));
+            let target = I::TargetPercent {
+                symbol: symbol.clone(),
+                target_percent: 0.2,
+                reason: reason.clone(),
+            };
+            if let Some(I::TargetPercent { target_percent, .. }) =
+                scale_explicit_intent(target, bps, &[]).unwrap()
+            {
+                assert!((target_percent - 0.2 * ratio).abs() < 1e-12)
+            } else {
+                panic!("wrong target")
+            }
+            let deposit = I::DepositWithdraw {
+                amount: 123.456,
+                receiving_days: 2,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(deposit, bps, &[]).unwrap(),
+                Some(I::DepositWithdraw {
+                    amount: 123.456,
+                    receiving_days: 2,
+                    ..
+                })
+            ));
+        }
+        assert!(
+            scale_explicit_intent(
+                I::TargetValue {
+                    symbol,
+                    target_value: f64::NAN,
+                    reason
+                },
+                0,
+                &[]
+            )
+            .is_err()
+        );
+    }
+
+    #[test]
+    fn same_day_adjustments_restore_and_future_events_keep_their_own_times() {
+        let events: Vec<PositionExposureEvent> = serde_json::from_value(json!([
+            {"eventId":"first","sequence":1,"effectiveAt":"2026-09-10T10:00:00+08:00","action":"set","targetExposureBps":0},
+            {"eventId":"second","sequence":2,"effectiveAt":"2026-09-10T13:00:00+08:00","action":"set","targetExposureBps":5000},
+            {"eventId":"restore","sequence":3,"effectiveAt":"2026-09-10T14:00:00+08:00","action":"restore"},
+            {"eventId":"future","sequence":4,"effectiveAt":"2026-09-11T10:00:00+08:00","action":"set","targetExposureBps":1000}
+        ])).unwrap();
+        let timeline = PositionExposureTimeline::from_events(&events).unwrap();
+        let date = NaiveDate::from_ymd_opt(2026, 9, 10).unwrap();
+        let legacy = BTreeMap::from([(date.pred_opt().unwrap(), 0.8)]);
+        for (time, expected) in [
+            ("09:30:00", Some(0.8)),
+            ("10:00:00", Some(0.)),
+            ("12:59:59", Some(0.)),
+            ("13:00:00", Some(0.5)),
+            ("14:00:00", None),
+            ("15:00:00", None),
+        ] {
+            let at = DateTime::parse_from_rfc3339(&format!("2026-09-10T{time}+08:00"))
+                .unwrap()
+                .with_timezone(&Utc);
+            assert_eq!(
+                timeline.exposure_at(at, date, &legacy, 0.2),
+                expected,
+                "{time}"
+            );
+        }
+        let next_open = DateTime::parse_from_rfc3339("2026-09-11T09:30:00+08:00")
+            .unwrap()
+            .with_timezone(&Utc);
+        assert_eq!(
+            timeline.exposure_at(next_open, date.succ_opt().unwrap(), &legacy, 0.2),
+            None
+        );
+    }
+
+    #[test]
+    fn rejects_unknown_actions_duplicate_identity_and_invalid_bps() {
+        let valid = json!({"eventId":"one","sequence":1,"effectiveAt":"2026-09-10T09:30:00+08:00","action":"set","targetExposureBps":5000});
+        for (key, value) in [
+            ("action", json!("other")),
+            ("effectiveAt", json!("2026-09-10 09:30:00")),
+            ("targetExposureBps", json!(null)),
+        ] {
+            let mut invalid = valid.clone();
+            invalid[key] = value;
+            assert!(serde_json::from_value::<PositionExposureEvent>(invalid).is_err());
+        }
+        let event: PositionExposureEvent = serde_json::from_value(valid).unwrap();
+        assert!(PositionExposureTimeline::from_events(&[event.clone(), event.clone()]).is_err());
+        let mut invalid = event.clone();
+        invalid.action = PositionExposureAction::Set {
+            target_exposure_bps: 10001,
+        };
+        assert!(PositionExposureTimeline::from_events(&[invalid]).is_err());
+        let mut duplicate = event.clone();
+        duplicate.event_id = "two".into();
+        assert!(PositionExposureTimeline::from_events(&[event, duplicate]).is_err());
+    }
+}

crates/fidc-core/src/risk_control.rs

@@ -76,6 +76,26 @@ impl Default for StaticRiskRuleConfig {
     }
 }
 
+impl StaticRiskRuleConfig {
+    pub(crate) fn selection_checks_enabled(&self) -> bool {
+        (self.blacklist_enabled && !self.blacklisted_symbols.is_empty())
+            || self.selection_state_checks_enabled()
+    }
+
+    fn selection_state_checks_enabled(&self) -> bool {
+        self.reject_st_selection
+            || self.reject_star_st_selection
+            || self.reject_paused_selection
+            || self.reject_inactive_selection
+            || self.reject_new_listing_selection
+            || self.reject_kcb_selection
+            || self.reject_bjse_selection
+            || self.reject_one_yuan_selection
+            || self.reject_upper_limit_selection
+            || self.reject_lower_limit_selection
+    }
+}
+
 #[derive(Debug, Clone, Copy, PartialEq, Serialize, Deserialize)]
 pub struct TradingConstraintConfig {
     /// Shared execution limits.  These fields intentionally use the same
@@ -138,6 +158,16 @@ 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>,
@@ -404,10 +434,11 @@ 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
+            && !instrument.is_some_and(Instrument::is_exchange_traded_fund)
             && (candidate.is_one_yuan
                 || (market.day_open.is_finite() && market.day_open > 0.0 && market.day_open <= 1.0))
         {
@@ -477,6 +508,15 @@ 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
+            && !instrument.is_some_and(Instrument::is_exchange_traded_fund) {
+            return Some("one_yuan");
+        }
         if config.static_rules.respect_allow_buy_sell && !candidate.allow_buy {
             return Some("buy_disabled");
         }
@@ -634,16 +674,7 @@ fn missing_risk_state_fields(code: &str) -> Vec<String> {
 fn missing_selection_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -> bool {
     let fields = missing_risk_state_fields(code);
     if fields.is_empty() {
-        return config.static_rules.reject_st_selection
-            || config.static_rules.reject_star_st_selection
-            || config.static_rules.reject_paused_selection
-            || config.static_rules.reject_inactive_selection
-            || config.static_rules.reject_new_listing_selection
-            || config.static_rules.reject_kcb_selection
-            || config.static_rules.reject_bjse_selection
-            || config.static_rules.reject_one_yuan_selection
-            || config.static_rules.reject_upper_limit_selection
-            || config.static_rules.reject_lower_limit_selection;
+        return config.static_rules.selection_state_checks_enabled();
     }
     missing_field_rejected(&fields, config, RiskCheckScope::Selection)
 }
@@ -658,7 +689,6 @@ 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;
     }
@@ -735,7 +765,7 @@ 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 {
@@ -759,18 +789,7 @@ fn missing_single_field_rejected(
             RiskCheckScope::Sell => config.static_rules.reject_lower_limit_sell,
         },
         _ => match scope {
-            RiskCheckScope::Selection => {
-                config.static_rules.reject_st_selection
-                    || config.static_rules.reject_star_st_selection
-                    || config.static_rules.reject_paused_selection
-                    || config.static_rules.reject_inactive_selection
-                    || config.static_rules.reject_new_listing_selection
-                    || config.static_rules.reject_kcb_selection
-                    || config.static_rules.reject_bjse_selection
-                    || config.static_rules.reject_one_yuan_selection
-                    || config.static_rules.reject_upper_limit_selection
-                    || config.static_rules.reject_lower_limit_selection
-            }
+            RiskCheckScope::Selection => config.static_rules.selection_state_checks_enabled(),
             RiskCheckScope::Buy => {
                 config.static_rules.reject_st_buy
                     || config.static_rules.reject_star_st_buy
@@ -779,7 +798,6 @@ 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
             }
@@ -851,7 +869,7 @@ mod tests {
     fn candidate(date: NaiveDate) -> CandidateEligibility {
         CandidateEligibility {
             date,
-            symbol: "002633.SZ".to_string(),
+            symbol: "002633.SZ".into(),
             is_st: false,
             is_star_st: false,
             is_new_listing: false,
@@ -867,7 +885,7 @@ mod tests {
     fn market(date: NaiveDate, last_price: f64, lower_limit: f64) -> DailyMarketSnapshot {
         DailyMarketSnapshot {
             date,
-            symbol: "002633.SZ".to_string(),
+            symbol: "002633.SZ".into(),
             timestamp: Some(format!("{date} 10:18:00")),
             day_open: last_price,
             open: last_price,
@@ -896,6 +914,138 @@ mod tests {
         position
     }
 
+    #[test]
+    fn selection_check_activation_covers_every_configured_flag_and_blacklist_state() {
+        let fields = [
+            "reject_st_selection", "reject_star_st_selection", "reject_paused_selection",
+            "reject_inactive_selection", "reject_new_listing_selection", "reject_kcb_selection",
+            "reject_bjse_selection", "reject_one_yuan_selection", "reject_upper_limit_selection",
+            "reject_lower_limit_selection",
+        ];
+        let base = serde_json::to_value(StaticRiskRuleConfig::default()).unwrap();
+        let declared = base.as_object().unwrap().keys()
+            .filter(|key| key.ends_with("_selection"))
+            .map(String::as_str).collect::<BTreeSet<_>>();
+        assert_eq!(declared, fields.into_iter().collect());
+        for mask in 0..(1_u32 << fields.len()) {
+            for (blacklist_enabled, populated) in [(false, false), (false, true), (true, false), (true, true)] {
+                let mut value = base.clone();
+                for (bit, field) in fields.iter().enumerate() {
+                    value[*field] = serde_json::json!(mask & (1 << bit) != 0);
+                }
+                value["blacklist_enabled"] = serde_json::json!(blacklist_enabled);
+                value["blacklisted_symbols"] = if populated {
+                    serde_json::json!(["002633.SZ"])
+                } else { serde_json::json!([]) };
+                let config: StaticRiskRuleConfig = serde_json::from_value(value).unwrap();
+                assert_eq!(config.selection_checks_enabled(), mask != 0 || (blacklist_enabled && populated));
+            }
+        }
+    }
+
+    #[test]
+    fn inactive_selection_checks_preserve_missing_facts_and_execution_rejections() {
+        let date = d(2025, 2, 6);
+        let mut candidate = candidate(date);
+        candidate.is_st = true;
+        candidate.is_star_st = true;
+        candidate.is_paused = true;
+        candidate.is_new_listing = true;
+        candidate.is_kcb = true;
+        candidate.is_one_yuan = true;
+        candidate.allow_buy = false;
+        let snapshot = market(date, 0.9, 0.9);
+        let config = FidcRiskControlConfig::default();
+        assert!(!config.static_rules.selection_checks_enabled());
+        let instrument = instrument("delisted", Some(date));
+        for code in [None, Some("not_listed"), Some("inactive_or_delisted"),
+            Some("missing_risk_state"), Some("missing_risk_state:is_st;is_kcb|allow_buy"),
+            Some("missing_risk_state:unknown_fact"), Some("missing_risk_state:IS_PAUSED")] {
+            candidate.risk_level_code = code.map(str::to_owned);
+            assert_eq!(ChinaAShareRiskControl::selection_rejection_decision_with_config(
+                date, &candidate, &snapshot, Some(&instrument), &config), None);
+        }
+        candidate.risk_level_code = None;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, 0.9, &config), Some("paused"));
+        assert_eq!(ChinaAShareRiskControl::sell_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, None, 0.9, &config), Some("paused"));
+        let mut blacklist_only = config;
+        blacklist_only.static_rules.blacklisted_symbols.insert(candidate.symbol.to_string());
+        assert!(blacklist_only.static_rules.selection_checks_enabled());
+        assert_eq!(ChinaAShareRiskControl::selection_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, &blacklist_only), Some("blacklisted"));
+    }
+
+    #[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 fund_identity_excludes_stock_one_yuan_rule_but_not_actual_price_and_pause_checks() {
+        let day=d(2025,2,6);
+        let mut candidate=candidate(day);
+        let mut snapshot=market(day,1.2,0.5);
+        snapshot.lower_limit=0.01;snapshot.upper_limit=10.;
+        let instrument=Instrument{symbol:candidate.symbol.to_string(),name:"fixture fund".into(),board:"ETF".into(),round_lot:100,listed_at:Some(d(2024,1,2)),delisted_at:None,status:"active".into()};
+        let config=FidcRiskControlConfig::default();
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(day,&candidate,&snapshot,Some(&instrument),0.9,&config),None);
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(day,&candidate,&snapshot,Some(&instrument),0.,&config),Some("invalid execution price"));
+        candidate.is_paused=true;snapshot.paused=true;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(day,&candidate,&snapshot,Some(&instrument),0.9,&config),Some("paused"));
+    }
+
+    #[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);
@@ -960,7 +1110,7 @@ mod tests {
         config
             .static_rules
             .blacklisted_symbols
-            .insert(candidate.symbol.clone());
+            .insert(candidate.symbol.to_string());
 
         let selection_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
             date, &candidate, &market, None, &config,
@@ -1005,7 +1155,7 @@ mod tests {
         let mut candidate = candidate(date);
         let config = FidcRiskControlConfig::default();
         for symbol in ["688001.SH", "689001.SH", "000001.SZ"] {
-            candidate.symbol = symbol.to_string();
+            candidate.symbol = symbol.into();
             for is_kcb in [false, true] {
                 candidate.is_kcb = is_kcb;
                 let reason = ChinaAShareRiskControl::buy_rejection_reason_with_config(
@@ -1113,7 +1263,7 @@ mod tests {
     fn configurable_bjse_filter_can_be_disabled() {
         let date = d(2025, 1, 2);
         let mut candidate = candidate(date);
-        candidate.symbol = "430047.BJ".to_string();
+        candidate.symbol = "430047.BJ".into();
         candidate.allow_sell = true;
         let market = market(date, 6.27, 5.63);
         let default_selection =
@@ -1145,7 +1295,7 @@ mod tests {
     fn concrete_kcb_reason_wins_over_generic_missing_risk_state() {
         let date = d(2025, 1, 2);
         let mut candidate = candidate(date);
-        candidate.symbol = "688506.SH".to_string();
+        candidate.symbol = "688506.SH".into();
         candidate.is_kcb = true;
         candidate.risk_level_code = Some("missing_risk_state".to_string());
         let market = market(date, 6.27, 5.63);

crates/fidc-core/src/scheduler.rs

@@ -233,7 +233,7 @@ impl<'a> Scheduler<'a> {
 pub fn default_stage_time(stage: ScheduleStage) -> Option<NaiveTime> {
     match stage {
         ScheduleStage::BeforeTrading => Some(NaiveTime::from_hms_opt(9, 0, 0).expect("valid time")),
-        ScheduleStage::OpenAuction => Some(NaiveTime::from_hms_opt(9, 31, 0).expect("valid time")),
+        ScheduleStage::OpenAuction => Some(NaiveTime::from_hms_opt(9, 25, 0).expect("valid time")),
         ScheduleStage::Bar => Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid time")),
         ScheduleStage::Minute => None,
         ScheduleStage::OnDay => Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid time")),

crates/fidc-core/src/series_columns.rs

@@ -0,0 +1,191 @@
+use std::ops::Index;
+
+use super::prefix_sums;
+
+#[derive(Debug, Clone)]
+pub(super) enum ReferenceMatchedValues {
+    Identical,
+    Owned(Vec<f64>),
+}
+
+impl ReferenceMatchedValues {
+    pub(super) fn push(&mut self, value: f64, reference: &[f64], capacity: usize) {
+        let previous_len = reference.len().checked_sub(1).expect("reference row is missing");
+        match self {
+            Self::Identical if value.to_bits() == reference[previous_len].to_bits() => {}
+            Self::Identical => {
+                let mut values = Vec::with_capacity(capacity);
+                values.extend_from_slice(&reference[..previous_len]);
+                values.push(value);
+                *self = Self::Owned(values);
+            }
+            Self::Owned(values) => {
+                debug_assert_eq!(values.len(), previous_len);
+                values.push(value);
+            }
+        }
+    }
+
+    pub(super) fn values<'a>(&'a self, reference: &'a [f64]) -> &'a [f64] {
+        match self {
+            Self::Identical => reference,
+            Self::Owned(values) => {
+                debug_assert_eq!(values.len(), reference.len());
+                values
+            }
+        }
+    }
+
+    pub(super) fn set(&mut self, index: usize, value: f64, reference: &[f64]) {
+        assert!(index < reference.len(), "series index out of bounds");
+        match self {
+            Self::Owned(values) => values[index] = value,
+            Self::Identical if value.to_bits() == reference[index].to_bits() => {}
+            Self::Identical => {
+                let mut values = reference.to_vec();
+                values[index] = value;
+                *self = Self::Owned(values);
+            }
+        }
+    }
+
+    pub(super) fn prefix(&self) -> Self {
+        match self {
+            Self::Identical => Self::Identical,
+            Self::Owned(values) => Self::Owned(prefix_sums(values)),
+        }
+    }
+}
+
+#[derive(Debug, Clone)]
+pub(super) struct RepeatedValues<T> {
+    repeated: T,
+    values: Option<Vec<T>>,
+    len: usize,
+}
+
+impl<T: Default + Clone + Eq> RepeatedValues<T> {
+    pub(super) fn new() -> Self {
+        Self { repeated: T::default(), values: None, len: 0 }
+    }
+
+    pub(super) fn push(&mut self, value: &T, capacity: usize) {
+        if let Some(values) = &mut self.values {
+            values.push(value.clone());
+        } else if self.len == 0 {
+            self.repeated = value.clone();
+        } else if *value != self.repeated {
+            let mut values = Vec::with_capacity(capacity);
+            values.resize(self.len, std::mem::take(&mut self.repeated));
+            values.push(value.clone());
+            self.values = Some(values);
+        }
+        self.len += 1;
+    }
+
+    pub(super) fn set(&mut self, index: usize, value: T) {
+        assert!(index < self.len, "series index out of bounds");
+        if let Some(values) = &mut self.values {
+            values[index] = value;
+        } else if value != self.repeated {
+            let mut values = vec![std::mem::take(&mut self.repeated); self.len];
+            values[index] = value;
+            self.values = Some(values);
+        }
+    }
+}
+
+impl<T> Index<usize> for RepeatedValues<T> {
+    type Output = T;
+
+    fn index(&self, index: usize) -> &T {
+        assert!(index < self.len, "series index out of bounds");
+        match &self.values {
+            Some(values) => &values[index],
+            None => &self.repeated,
+        }
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    fn bits(values: &[f64]) -> Vec<u64> {
+        values.iter().map(|value| value.to_bits()).collect()
+    }
+
+    #[test]
+    fn identical_prices_share_only_after_exact_bit_comparison() {
+        let reference = [10., -0., f64::from_bits(0x7ff8_0000_0000_0042), f64::INFINITY];
+        let mut column = ReferenceMatchedValues::Identical;
+        for (index, value) in reference.iter().copied().enumerate() {
+            column.push(value, &reference[..=index], reference.len());
+        }
+        assert!(matches!(column, ReferenceMatchedValues::Identical));
+        assert_eq!(column.values(&reference).as_ptr(), reference.as_ptr());
+        let prefix = prefix_sums(&reference);
+        assert_eq!(bits(column.prefix().values(&prefix)), bits(&prefix));
+
+        let original = column.clone();
+        column.set(1, 0., &reference);
+        assert!(matches!(column, ReferenceMatchedValues::Owned(_)));
+        assert_eq!(column.values(&reference)[1].to_bits(), 0_f64.to_bits());
+        assert_eq!(bits(original.values(&reference)), bits(&reference));
+        assert_eq!(bits(column.prefix().values(&prefix)), bits(&prefix_sums(column.values(&reference))));
+    }
+
+    #[test]
+    fn differing_prices_preserve_zero_nan_payloads_and_prior_rows() {
+        let reference = [10., 11., f64::from_bits(0x7ff8_0000_0000_0042), 13.];
+        for actual in [
+            [10., 0., reference[2], 13.],
+            [10., 11., f64::from_bits(0x7ff8_0000_0000_0043), 13.],
+        ] {
+            let mut column = ReferenceMatchedValues::Identical;
+            for (index, value) in actual.iter().copied().enumerate() {
+                column.push(value, &reference[..=index], actual.len());
+            }
+            assert!(matches!(column, ReferenceMatchedValues::Owned(_)));
+            assert_eq!(bits(column.values(&reference)), bits(&actual));
+        }
+    }
+
+    #[test]
+    fn repeated_values_preserve_nonzero_values_and_copy_on_change() {
+        let mut column = RepeatedValues::new();
+        for _ in 0..128 { column.push(&7_u64, 128); }
+        assert!(column.values.is_none());
+        assert_eq!(column[127], 7);
+        column.set(0, 7);
+        assert!(column.values.is_none());
+        let mut changed = column.clone();
+        changed.set(64, 9);
+        assert_eq!(changed[64], 9);
+        assert_eq!(changed[63], 7);
+        assert_eq!(column[64], 7);
+    }
+
+    #[test]
+    fn optional_values_keep_none_distinct_from_empty_and_repeated_text() {
+        for repeated in [None, Some(String::new()), Some("continuous".to_string())] {
+            let mut column = RepeatedValues::new();
+            for _ in 0..12 { column.push(&repeated, 16); }
+            assert!(column.values.is_none());
+            assert_eq!(column[0], repeated);
+            column.push(&Some("closing".to_string()), 16);
+            assert_eq!(column[11], repeated);
+            assert_eq!(column[12].as_deref(), Some("closing"));
+            column.set(5, None);
+            assert_eq!(column[5], None);
+            assert_eq!(column[4], repeated);
+        }
+    }
+
+    #[test]
+    #[should_panic(expected = "series index out of bounds")]
+    fn repeated_values_reject_out_of_range_access() {
+        let column = RepeatedValues::<u64>::new();
+        let _ = column[0];
+    }
+}

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/stock_pool_candidates.rs

@@ -0,0 +1,229 @@
+//! Candidate provenance and ordering; contains no market-data or broker I/O.
+use std::collections::{BTreeMap, BTreeSet};
+
+use chrono::NaiveDate;
+use serde::{Deserialize, Serialize};
+
+pub const CANDIDATE_SOURCES_SCHEMA: u32 = 1;
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(rename_all = "snake_case")]
+pub enum CandidateSourceMode {
+    Manual,
+    FilteredManual,
+    Automatic,
+    Mixed,
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Default, Serialize, Deserialize)]
+#[serde(rename_all = "snake_case")]
+pub enum CandidateSourcePriority {
+    #[default]
+    ManualFirst,
+    AutomaticFirst,
+    ListOrder,
+}
+
+#[derive(Debug, Clone, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct CandidateSourcePolicy {
+    pub schema_version: u32,
+    pub mode: CandidateSourceMode,
+    #[serde(default)]
+    pub priority: CandidateSourcePriority,
+    #[serde(default)]
+    pub merged_order: Vec<String>,
+}
+
+#[derive(Debug, Clone, PartialEq, Eq, Serialize, Deserialize)]
+pub struct CandidateMember {
+    pub symbol: String,
+    pub manual: bool,
+    pub automatic: bool,
+}
+
+fn symbols(values: &[String], label: &str) -> Result<Vec<String>, String> {
+    let mut seen = BTreeSet::new();
+    values.iter().map(|value| {
+        let symbol = value.trim().to_ascii_uppercase();
+        if !symbol.rsplit_once('.').is_some_and(|(code, exchange)| {
+            code.len() == 6 && code.bytes().all(|byte| byte.is_ascii_digit())
+                && matches!(exchange, "SH" | "SZ" | "BJ")
+        }) {
+            return Err(format!("{label}: invalid qualified security code {value}"));
+        }
+        if !seen.insert(symbol.clone()) {
+            return Err(format!("{label}: duplicate security {symbol}"));
+        }
+        Ok(symbol)
+    }).collect()
+}
+
+impl CandidateSourcePolicy {
+    pub fn validate(&self) -> Result<(), String> {
+        if self.schema_version != CANDIDATE_SOURCES_SCHEMA {
+            return Err("candidate_sources schema_version must be 1".into());
+        }
+        symbols(&self.merged_order, "candidate_sources.merged_order")?;
+        if self.mode != CandidateSourceMode::Mixed && self.priority != CandidateSourcePriority::ManualFirst {
+            return Err("candidate source priority only applies to mixed sources".into());
+        }
+        if self.priority != CandidateSourcePriority::ListOrder && !self.merged_order.is_empty() {
+            return Err("merged_order requires list_order priority".into());
+        }
+        Ok(())
+    }
+
+    pub fn uses_screen(&self) -> bool {
+        self.mode != CandidateSourceMode::Manual
+    }
+
+    pub fn validate_screen_binding(&self, manual: &[String], has_screen: bool) -> Result<(), String> {
+        self.validate()?;
+        symbols(manual, "manual candidates")?;
+        if self.uses_screen() != has_screen {
+            return Err("candidate source mode and screen contract must agree".into());
+        }
+        if self.mode == CandidateSourceMode::FilteredManual && manual.is_empty() {
+            return Err("filtered_manual requires manual members; an empty scope must not become all-market".into());
+        }
+        Ok(())
+    }
+}
+
+/// Overlap between two valid sources denotes one member with both provenance
+/// flags. Duplicates *within* a source are invalid evidence, not fixed by dedup.
+pub fn resolve_candidates(
+    policy: &CandidateSourcePolicy,
+    manual: &[String],
+    automatic: Option<&[String]>,
+) -> Result<Vec<CandidateMember>, String> {
+    policy.validate_screen_binding(manual, automatic.is_some())?;
+    let manual = symbols(manual, "manual candidates")?;
+    let automatic = automatic.map(|values| symbols(values, "automatic candidates")).transpose()?.unwrap_or_default();
+    let manual_set = manual.iter().cloned().collect::<BTreeSet<_>>();
+    let auto_set = automatic.iter().cloned().collect::<BTreeSet<_>>();
+    if policy.mode == CandidateSourceMode::FilteredManual && !auto_set.is_subset(&manual_set) {
+        return Err("filtered_manual snapshot contains a security outside the manual scope".into());
+    }
+    let mut ordered = match policy.mode {
+        CandidateSourceMode::Manual => manual.clone(),
+        CandidateSourceMode::FilteredManual | CandidateSourceMode::Automatic => automatic.clone(),
+        CandidateSourceMode::Mixed => {
+            let (first, second) = if policy.priority == CandidateSourcePriority::AutomaticFirst {
+                (&automatic, &manual)
+            } else { (&manual, &automatic) };
+            let mut union = first.clone();
+            let mut seen = first.iter().cloned().collect::<BTreeSet<_>>();
+            union.extend(second.iter().filter(|symbol| seen.insert((*symbol).clone())).cloned());
+            union
+        }
+    };
+    if policy.priority == CandidateSourcePriority::ListOrder {
+        let present = ordered.iter().cloned().collect::<BTreeSet<_>>();
+        let prefix = symbols(&policy.merged_order, "candidate_sources.merged_order")?
+            .into_iter().filter(|symbol| present.contains(symbol)).collect::<Vec<_>>();
+        let selected = prefix.iter().cloned().collect::<BTreeSet<_>>();
+        let tail = ordered.into_iter().filter(|symbol| !selected.contains(symbol));
+        ordered = prefix.into_iter().chain(tail).collect();
+    }
+    Ok(ordered.into_iter().map(|symbol| CandidateMember {
+        manual: manual_set.contains(&symbol), automatic: auto_set.contains(&symbol), symbol,
+    }).collect())
+}
+
+/// Raw daily automatic candidates remain unchanged. Every resolved list is
+/// derived by the shared kernel; absent dates never inherit yesterday's list.
+#[derive(Debug, Clone, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct CandidateSourceBook {
+    pub schema_version: u32,
+    pub policy: CandidateSourcePolicy,
+    pub manual_symbols: Vec<String>,
+    pub automatic_symbols_by_date: BTreeMap<NaiveDate, Vec<String>>,
+    pub source_snapshot_sha256: String,
+    pub source_coverage_sha256: String,
+    #[serde(default, skip_serializing_if = "Option::is_none")]
+    pub execution_symbols: Option<Vec<String>>,
+}
+
+impl CandidateSourceBook {
+    pub fn resolve(&self) -> Result<BTreeMap<NaiveDate, Vec<CandidateMember>>, String> {
+        if self.schema_version != CANDIDATE_SOURCES_SCHEMA || !self.policy.uses_screen() {
+            return Err("candidate source book requires schema 1 and a screened source".into());
+        }
+        for value in [&self.source_snapshot_sha256, &self.source_coverage_sha256] {
+            if value.len() != 64 || !value.bytes().all(|byte| byte.is_ascii_hexdigit()) {
+                return Err("candidate source book requires snapshot and coverage SHA256".into());
+            }
+        }
+        if self.automatic_symbols_by_date.is_empty() {
+            return Err("candidate source book requires explicit covered trading dates".into());
+        }
+        let scope = self.execution_symbols.as_ref().map(|values| symbols(values, "candidate execution scope")
+            .map(|values| values.into_iter().collect::<BTreeSet<_>>())).transpose()?;
+        self.automatic_symbols_by_date.iter().map(|(day, values)| {
+            resolve_candidates(&self.policy, &self.manual_symbols, Some(values))
+                .map(|members| (*day, members.into_iter().filter(|member| scope.as_ref().is_none_or(|scope| scope.contains(&member.symbol))).collect()))
+        }).collect()
+    }
+
+    pub fn resolved_symbols(&self) -> Result<BTreeMap<NaiveDate, Vec<String>>, String> {
+        Ok(self.resolve()?.into_iter().map(|(date, values)|
+            (date, values.into_iter().map(|member| member.symbol).collect())).collect())
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn list(values: &[&str]) -> Vec<String> { values.iter().map(|value| value.to_string()).collect() }
+    fn policy(mode: CandidateSourceMode, priority: CandidateSourcePriority) -> CandidateSourcePolicy {
+        CandidateSourcePolicy { schema_version: 1, mode, priority, merged_order: vec![] }
+    }
+    #[test]
+    fn mixed_sources_preserve_priority_and_both_provenances() {
+        let manual = list(&["600000.SH", "000001.SZ"]);
+        let automatic = list(&["000002.SZ", "000001.SZ"]);
+        for (priority, expected) in [
+            (CandidateSourcePriority::ManualFirst, list(&["600000.SH", "000001.SZ", "000002.SZ"])),
+            (CandidateSourcePriority::AutomaticFirst, list(&["000002.SZ", "000001.SZ", "600000.SH"])),
+        ] {
+            let result = resolve_candidates(&policy(CandidateSourceMode::Mixed, priority), &manual, Some(&automatic)).unwrap();
+            assert_eq!(result.iter().map(|value| value.symbol.clone()).collect::<Vec<_>>(), expected);
+            let overlap = result.iter().find(|value| value.symbol == "000001.SZ").unwrap();
+            assert!(overlap.manual && overlap.automatic);
+        }
+    }
+    #[test]
+    fn list_order_reuses_explicit_prefix_and_appends_new_candidates() {
+        let mut p = policy(CandidateSourceMode::Mixed, CandidateSourcePriority::ListOrder);
+        p.merged_order = list(&["000002.SZ", "600036.SH", "600000.SH"]);
+        let result = resolve_candidates(&p, &list(&["600000.SH", "000001.SZ"]), Some(&list(&["000002.SZ", "000003.SZ"]))).unwrap();
+        assert_eq!(result.into_iter().map(|row| row.symbol).collect::<Vec<_>>(), list(&["000002.SZ", "600000.SH", "000001.SZ", "000003.SZ"]));
+    }
+    #[test]
+    fn missing_snapshot_duplicate_input_and_empty_filtered_scope_fail() {
+        let p = policy(CandidateSourceMode::Mixed, CandidateSourcePriority::ManualFirst);
+        assert!(resolve_candidates(&p, &[], None).is_err());
+        assert!(resolve_candidates(&p, &[], Some(&list(&["000001.SZ", "000001.sz"]))).is_err());
+        let p = policy(CandidateSourceMode::FilteredManual, CandidateSourcePriority::ManualFirst);
+        assert!(resolve_candidates(&p, &[], Some(&[])).unwrap_err().contains("all-market"));
+        assert!(resolve_candidates(&p, &list(&["000001.SZ"]), Some(&list(&["600000.SH"]))).is_err());
+    }
+    #[test]
+    fn zero_automatic_day_keeps_manual_members_without_inheriting_old_auto_targets() {
+        let day1 = NaiveDate::from_ymd_opt(2026, 9, 9).unwrap();
+        let day2 = NaiveDate::from_ymd_opt(2026, 9, 10).unwrap();
+        let book = CandidateSourceBook { schema_version: 1,
+            policy: policy(CandidateSourceMode::Mixed, CandidateSourcePriority::AutomaticFirst),
+            manual_symbols: list(&["510300.SH"]),
+            automatic_symbols_by_date: BTreeMap::from([(day1, list(&["000001.SZ"])), (day2, vec![])]),
+            source_snapshot_sha256: "a".repeat(64), source_coverage_sha256: "b".repeat(64), execution_symbols:None };
+        let result = book.resolved_symbols().unwrap();
+        assert_eq!(result[&day1], list(&["000001.SZ", "510300.SH"]));
+        assert_eq!(result[&day2], list(&["510300.SH"]));
+        let mut auto = book; auto.policy = policy(CandidateSourceMode::Automatic, CandidateSourcePriority::ManualFirst);
+        assert!(auto.resolved_symbols().unwrap()[&day2].is_empty());
+    }
+}

crates/fidc-core/src/stock_pool_frozen.rs

@@ -0,0 +1,150 @@
+//! Dated non-tradability and valuation are separate from execution quotations.
+use super::*;
+
+pub(super) fn validate(
+    signal_date: NaiveDate,
+    constraints: &StockPoolDecisionConstraints,
+    current: &BTreeMap<String, (Decimal, Decimal, Decimal)>,
+) -> Result<(), String> {
+    for (symbol, fact) in &constraints.frozen_positions {
+        if constraints.execution_date != Some(fact.trade_date)
+            || fact.trade_date < signal_date
+            || fact.reason != "paused"
+            || fact.valuation_price <= Decimal::ZERO
+            || current.get(symbol).is_none_or(|row| row.0 <= Decimal::ZERO)
+        {
+            return Err(format!("stock_pool_frozen_position_invalid:{symbol}"));
+        }
+    }
+    if constraints
+        .prior_target_weights
+        .iter()
+        .any(|(symbol, weight)| {
+            normalize_stock_symbol(symbol).as_ref() != Some(symbol)
+                || !(0..=10_000).contains(weight)
+        })
+    {
+        return Err("stock_pool_prior_target_weights_invalid".into());
+    }
+    Ok(())
+}
+
+pub(super) fn valuation(
+    symbol: &str,
+    quotes: &HashMap<String, &MarketSnapshot>,
+    frozen: &BTreeMap<String, FrozenStockPoolPosition>,
+) -> Result<Decimal, String> {
+    frozen
+        .get(symbol)
+        .map(|fact| fact.valuation_price)
+        .or_else(|| quotes.get(symbol).map(|quote| quote.last_price))
+        .filter(|price| *price > Decimal::ZERO)
+        .ok_or_else(|| format!("{symbol} confirmed holding valuation missing"))
+}
+
+pub(super) fn weights(
+    original: &[String],
+    active: &[String],
+    members: &[StockPoolMemberSpec],
+    explicit: &BTreeMap<String, i32>,
+    constraints: &StockPoolDecisionConstraints,
+    reserved_slots: usize,
+    target_count: usize,
+) -> Result<BTreeMap<String, i32>, String> {
+    let count = original.len() + reserved_slots;
+    let order = members
+        .iter()
+        .map(|member| (&member.symbol, member.requested_order))
+        .collect::<BTreeMap<_, _>>();
+    let mut original_budget_symbols = original.to_vec();
+    for symbol in constraints.frozen_positions.keys() {
+        if order.contains_key(symbol) && !original_budget_symbols.contains(symbol) {
+            original_budget_symbols.push(symbol.clone());
+        }
+    }
+    if original_budget_symbols.len() != original.len() {
+        original_budget_symbols
+            .sort_by_key(|symbol| order.get(symbol).copied().unwrap_or(i32::MAX));
+    }
+    let initial = original_budget_symbols
+        .iter()
+        .enumerate()
+        .map(|(index, symbol)| {
+            let weight = if explicit.is_empty() {
+                if count == 0 {
+                    0
+                } else {
+                    10_000 / count as i32 + i32::from(index < 10_000 % count)
+                }
+            } else {
+                *explicit.get(symbol).unwrap_or(&0)
+            };
+            (symbol.clone(), weight)
+        })
+        .collect::<Vec<_>>();
+    let mut frozen = BTreeMap::new();
+    for symbol in constraints.frozen_positions.keys() {
+        let weight = explicit
+            .get(symbol)
+            .copied()
+            .or_else(|| constraints.prior_target_weights.get(symbol).copied())
+            .or_else(|| {
+                initial
+                    .iter()
+                    .find(|(key, _)| key == symbol)
+                    .map(|(_, weight)| *weight)
+            })
+            .ok_or_else(|| format!("stock_pool_frozen_position_target_weight_missing:{symbol}"))?;
+        frozen.insert(symbol.clone(), weight);
+    }
+    let frozen_total = frozen.values().copied().sum::<i32>();
+    if frozen_total > 10_000 {
+        return Err("stock_pool_frozen_position_weights_exceed_budget".into());
+    }
+    let mut free = initial
+        .into_iter()
+        .filter(|(symbol, _)| !frozen.contains_key(symbol))
+        .map(|(symbol, weight)| (symbol, weight as u32))
+        .collect::<Vec<_>>();
+    let total = free.iter().map(|(_, weight)| *weight).sum::<u32>();
+    let available = (10_000 - frozen_total) as u32;
+    // A paused holding removed from today's candidates still owns its prior
+    // budget. Scale only the new tradable allocation, never the frozen leg.
+    if total > available {
+        let mut remainder = available;
+        for (_, weight) in &mut free {
+            *weight = (u64::from(*weight) * u64::from(available) / u64::from(total)) as u32;
+            remainder -= *weight;
+        }
+        for (_, weight) in free.iter_mut().take(remainder as usize) {
+            *weight += 1;
+        }
+    }
+    let excluded = free
+        .iter()
+        .filter(|(symbol, _)| !active.contains(symbol))
+        .map(|(symbol, _)| symbol.clone())
+        .collect();
+    let candidates = active
+        .iter()
+        .filter(|symbol| !frozen.contains_key(*symbol))
+        .cloned()
+        .collect::<Vec<_>>();
+    let allocated = crate::platform_expr_strategy::replenish_target_weight_bps(
+        &free,
+        &candidates,
+        &excluded,
+        target_count.saturating_sub(
+            frozen
+                .keys()
+                .filter(|symbol| original.contains(symbol))
+                .count(),
+        ),
+    );
+    frozen.extend(
+        allocated
+            .into_iter()
+            .map(|(symbol, weight)| (symbol, weight as i32)),
+    );
+    Ok(frozen)
+}

crates/fidc-core/src/stock_pool_index_cap.rs

@@ -0,0 +1,93 @@
+//! Index exposure is independent of relative-weight maintenance. Reduce the
+//! existing proportions only when the portfolio exceeds its index budget.
+use super::*;
+
+pub(super) struct IndexCapTarget {
+    pub quantity: Decimal,
+    pub blocked_by_t1: bool,
+}
+
+pub(super) fn remaining_index_targets(
+    current: &BTreeMap<String, (Decimal, Decimal, Decimal)>,
+    members: &HashMap<String, &StockPoolMemberSpec>,
+    automatic: &BTreeMap<String, crate::holding_policy::AutomaticTradePermission>,
+    already_planned: &[StockPoolPlanRow],
+    quotes: &HashMap<String, &MarketSnapshot>,
+    frozen: &BTreeMap<String, FrozenStockPoolPosition>,
+    budget: Decimal,
+) -> Result<BTreeMap<String, IndexCapTarget>, String> {
+    struct Entry {
+        symbol: String,
+        quantity: Decimal,
+        minimum: Decimal,
+        price: Decimal,
+    }
+    let other = already_planned
+        .iter()
+        .map(|row| (&row.symbol, row))
+        .collect::<BTreeMap<_, _>>();
+    let mut fixed = Decimal::ZERO;
+    let mut entries = Vec::new();
+    for (symbol, (quantity, closable, _)) in current.iter().filter(|(_, row)| row.0 > Decimal::ZERO)
+    {
+        let price = super::frozen::valuation(symbol, quotes, frozen)?;
+        let minimum = (*quantity - *closable).max(Decimal::ZERO);
+        let remaining = other
+            .get(symbol)
+            .map(|row| row.target_quantity.min(*quantity))
+            .unwrap_or(*quantity)
+            .max(minimum);
+        if frozen.contains_key(symbol)
+            || automatic
+                .get(symbol)
+                .is_some_and(|permission| permission.sell_denial.is_some())
+        {
+            fixed += *quantity * price;
+        } else if members.contains_key(symbol) && remaining > Decimal::ZERO {
+            entries.push(Entry {
+                symbol: symbol.clone(),
+                quantity: remaining,
+                minimum,
+                price,
+            });
+        } else {
+            fixed += remaining * price;
+        }
+    }
+    let mut remaining = entries
+        .iter()
+        .map(|row| row.quantity * row.price)
+        .sum::<Decimal>();
+    let mut available = (budget - fixed).max(Decimal::ZERO);
+    if remaining <= available {
+        return Ok(BTreeMap::new());
+    }
+    // The highest non-sellable proportions are fixed first; the remainder
+    // keeps its existing relative weights. No planned sale funds a new buy.
+    entries.sort_by(|left, right| {
+        (right.minimum / right.quantity)
+            .cmp(&(left.minimum / left.quantity))
+            .then_with(|| left.symbol.cmp(&right.symbol))
+    });
+    let mut result = BTreeMap::new();
+    for row in entries {
+        let scale = if remaining > Decimal::ZERO {
+            (available / remaining).min(Decimal::ONE)
+        } else {
+            Decimal::ZERO
+        };
+        let desired = (row.quantity * scale).floor();
+        let blocked = desired < row.minimum;
+        let target = desired.max(row.minimum).min(row.quantity);
+        remaining -= row.quantity * row.price;
+        available = (available - target * row.price).max(Decimal::ZERO);
+        result.insert(
+            row.symbol,
+            IndexCapTarget {
+                quantity: target,
+                blocked_by_t1: blocked,
+            },
+        );
+    }
+    Ok(result)
+}

crates/fidc-core/src/stock_pool_index_policy.rs

@@ -0,0 +1,344 @@
+//! Explicit index timing, shared by historical and online stock-pool planners.
+//! Inputs are completed official sessions, not a shortened available-row window.
+use chrono::NaiveDate;
+use serde::{Deserialize, Serialize};
+use sha2::{Digest, Sha256};
+
+#[derive(Debug, Clone, Default, PartialEq, Serialize, Deserialize)]
+#[serde(default, deny_unknown_fields)]
+pub struct MarketTimingPolicy {
+    pub enabled: bool,
+    pub index_code: Option<String>,
+    pub fast_window: Option<usize>,
+    pub slow_window: Option<usize>,
+    pub volatility_window: Option<usize>,
+    pub drawdown_window: Option<usize>,
+    pub bull_exposure: Option<f64>,
+    pub bear_exposure: Option<f64>,
+    pub volatility_threshold: Option<f64>,
+    pub volatility_cap: Option<f64>,
+    pub drawdown_threshold: Option<f64>,
+    pub drawdown_cap: Option<f64>,
+}
+
+impl MarketTimingPolicy {
+    pub fn from_allocation(value: &serde_json::Value) -> Result<Self, String> {
+        let raw = value.get("market_timing").filter(|value| !value.is_null());
+        let policy = raw
+            .map(|raw| serde_json::from_value::<Self>(raw.clone()))
+            .transpose()
+            .map_err(|error| format!("market_timing_invalid:{error}"))?
+            .unwrap_or_default();
+        policy.validate()?;
+        Ok(policy)
+    }
+
+    pub fn validate(&self) -> Result<(), String> {
+        if let Some(index) = &self.index_code {
+            let valid = index.split_once('.').is_some_and(|(code, exchange)| {
+                (6..=12).contains(&code.len())
+                    && code
+                        .bytes()
+                        .all(|v| v.is_ascii_uppercase() || v.is_ascii_digit())
+                    && matches!(exchange, "SH" | "SZ" | "CSI" | "CNI")
+            });
+            if !valid {
+                return Err("market_timing_index_code_invalid".into());
+            }
+        } else if self.enabled {
+            return Err("market_timing_index_code_required".into());
+        }
+        for (key, value) in [
+            ("fast_window", self.fast_window),
+            ("slow_window", self.slow_window),
+            ("volatility_window", self.volatility_window),
+            ("drawdown_window", self.drawdown_window),
+        ] {
+            match value {
+                Some(value) if !(2..=250).contains(&value) => {
+                    return Err(format!("market_timing_{key}_must_be_2_to_250"));
+                }
+                None if self.enabled => return Err(format!("market_timing_{key}_required")),
+                _ => {}
+            }
+        }
+        if let (Some(fast), Some(slow)) = (self.fast_window, self.slow_window) {
+            if fast >= slow {
+                return Err("market_timing_fast_window_must_be_less_than_slow_window".into());
+            }
+        }
+        for (key, value) in [
+            ("bull_exposure", self.bull_exposure),
+            ("bear_exposure", self.bear_exposure),
+            ("volatility_threshold", self.volatility_threshold),
+            ("volatility_cap", self.volatility_cap),
+            ("drawdown_threshold", self.drawdown_threshold),
+            ("drawdown_cap", self.drawdown_cap),
+        ] {
+            match value {
+                Some(value) if !value.is_finite() || !(0.0..=1.0).contains(&value) => {
+                    return Err(format!("market_timing_{key}_must_be_in_0_to_1"));
+                }
+                None if self.enabled => return Err(format!("market_timing_{key}_required")),
+                _ => {}
+            }
+        }
+        Ok(())
+    }
+
+    pub fn required_history(&self) -> Result<usize, String> {
+        self.validate()?;
+        if !self.enabled {
+            return Ok(0);
+        }
+        Ok(self
+            .slow_window
+            .unwrap()
+            .max(self.volatility_window.unwrap() + 1)
+            .max(self.drawdown_window.unwrap()))
+    }
+}
+
+#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct IndexClose {
+    pub date: NaiveDate,
+    pub close: f64,
+}
+
+#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct MarketTimingInput {
+    pub index_code: String,
+    pub as_of_date: NaiveDate,
+    pub official_dates: Vec<NaiveDate>,
+    pub closes: Vec<IndexClose>,
+}
+
+#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
+pub struct MarketTimingEvaluation {
+    pub index_code: String,
+    pub as_of_date: NaiveDate,
+    pub window_start: NaiveDate,
+    pub session_count: usize,
+    pub fast_ma: f64,
+    pub slow_ma: f64,
+    pub volatility: f64,
+    pub drawdown: f64,
+    pub exposure: f64,
+    pub reason_codes: Vec<String>,
+    pub policy_sha256: String,
+    pub input_sha256: String,
+    pub kernel_sha256: String,
+}
+
+pub fn implementation_sha256() -> String {
+    format!(
+        "{:x}",
+        Sha256::digest(include_bytes!("stock_pool_index_policy.rs"))
+    )
+}
+
+pub fn evaluate(
+    policy: &MarketTimingPolicy,
+    input: &MarketTimingInput,
+    decision_date: NaiveDate,
+) -> Result<MarketTimingEvaluation, String> {
+    let needed = policy.required_history()?;
+    if needed == 0 {
+        return Err("market_timing_disabled_has_no_evaluation".into());
+    }
+    if policy.index_code.as_deref() != Some(input.index_code.as_str()) {
+        return Err("market_timing_input_index_mismatch".into());
+    }
+    if input.as_of_date > decision_date {
+        return Err("market_timing_future_input".into());
+    }
+    if input.official_dates.len() != needed
+        || input.closes.len() != needed
+        || input.official_dates.last() != Some(&input.as_of_date)
+        || input
+            .official_dates
+            .windows(2)
+            .any(|pair| pair[0] >= pair[1])
+    {
+        return Err("market_timing_official_calendar_incomplete".into());
+    }
+    if input
+        .closes
+        .iter()
+        .zip(&input.official_dates)
+        .any(|(row, date)| row.date != *date || !row.close.is_finite() || row.close <= 0.)
+    {
+        return Err("market_timing_completed_index_rows_incomplete".into());
+    }
+    let closes = input.closes.iter().map(|row| row.close).collect::<Vec<_>>();
+    let mean = |window: usize| closes[needed - window..].iter().sum::<f64>() / window as f64;
+    let fast_ma = mean(policy.fast_window.unwrap());
+    let slow_ma = mean(policy.slow_window.unwrap());
+    let returns = closes[needed - policy.volatility_window.unwrap() - 1..]
+        .windows(2)
+        .map(|pair| pair[1] / pair[0] - 1.)
+        .collect::<Vec<_>>();
+    let average = returns.iter().sum::<f64>() / returns.len() as f64;
+    let volatility = (returns
+        .iter()
+        .map(|value| (value - average).powi(2))
+        .sum::<f64>()
+        / (returns.len() - 1) as f64)
+        .sqrt();
+    let peak = closes[needed - policy.drawdown_window.unwrap()..]
+        .iter()
+        .copied()
+        .fold(f64::NEG_INFINITY, f64::max);
+    let drawdown = 1. - closes[needed - 1] / peak;
+    let bullish = fast_ma > slow_ma;
+    let mut exposure = if bullish {
+        policy.bull_exposure.unwrap()
+    } else {
+        policy.bear_exposure.unwrap()
+    };
+    let mut reason_codes = vec![
+        if bullish {
+            "fast_above_slow"
+        } else {
+            "fast_not_above_slow"
+        }
+        .into(),
+    ];
+    if volatility >= policy.volatility_threshold.unwrap() {
+        exposure = exposure.min(policy.volatility_cap.unwrap());
+        reason_codes.push("volatility_cap".into());
+    }
+    if drawdown >= policy.drawdown_threshold.unwrap() {
+        exposure = exposure.min(policy.drawdown_cap.unwrap());
+        reason_codes.push("drawdown_cap".into());
+    }
+    if [fast_ma, slow_ma, volatility, drawdown, exposure]
+        .iter()
+        .any(|value| !value.is_finite())
+    {
+        return Err("market_timing_nonfinite_result".into());
+    }
+    let hash = |value: &serde_json::Value| -> Result<String, String> {
+        Ok(format!(
+            "{:x}",
+            Sha256::digest(serde_json::to_vec(value).map_err(|error| error.to_string())?)
+        ))
+    };
+    Ok(MarketTimingEvaluation {
+        index_code: input.index_code.clone(),
+        as_of_date: input.as_of_date,
+        window_start: input.official_dates[0],
+        session_count: needed,
+        fast_ma,
+        slow_ma,
+        volatility,
+        drawdown,
+        exposure,
+        reason_codes,
+        policy_sha256: hash(&serde_json::to_value(policy).map_err(|error| error.to_string())?)?,
+        input_sha256: hash(&serde_json::to_value(input).map_err(|error| error.to_string())?)?,
+        kernel_sha256: implementation_sha256(),
+    })
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn policy() -> MarketTimingPolicy {
+        serde_json::from_value(serde_json::json!({"enabled":true,"index_code":"000300.SH","fast_window":10,"slow_window":30,
+        "volatility_window":20,"drawdown_window":60,"bull_exposure":1.0,"bear_exposure":0.3,"volatility_threshold":0.025,
+        "volatility_cap":0.3,"drawdown_threshold":0.08,"drawdown_cap":0.2})).unwrap()
+    }
+    fn input(values: Vec<f64>) -> MarketTimingInput {
+        let dates = (0..values.len())
+            .map(|i| {
+                NaiveDate::from_ymd_opt(2026, 1, 1).unwrap() + chrono::Duration::days(i as i64)
+            })
+            .collect::<Vec<_>>();
+        MarketTimingInput {
+            index_code: "000300.SH".into(),
+            as_of_date: *dates.last().unwrap(),
+            closes: dates
+                .iter()
+                .zip(values)
+                .map(|(date, close)| IndexClose { date: *date, close })
+                .collect(),
+            official_dates: dates,
+        }
+    }
+    #[test]
+    fn trend_and_caps_match_the_declared_math_and_keep_zero_meaningful() {
+        for (prices, expected) in [
+            ((0..60).map(|i| 100. + i as f64).collect(), 1.),
+            ((0..60).map(|i| 200. - i as f64).collect(), 0.2),
+            (
+                (0..59)
+                    .map(|i| 100. + i as f64 * 0.1)
+                    .chain([150.])
+                    .collect(),
+                0.3,
+            ),
+        ] {
+            let input = input(prices);
+            let result = evaluate(&policy(), &input, input.as_of_date).unwrap();
+            assert_eq!(result.exposure, expected);
+            assert_eq!(result.session_count, 60);
+            assert_eq!(result.input_sha256.len(), 64);
+        }
+        let input = input(vec![100.; 60]);
+        let mut zero = policy();
+        zero.bear_exposure = Some(0.);
+        assert_eq!(
+            evaluate(&zero, &input, input.as_of_date).unwrap().exposure,
+            0.
+        );
+    }
+    #[test]
+    fn missing_or_duplicate_or_future_rows_never_shorten_the_window() {
+        let base = input(vec![100.; 60]);
+        let mut invalid = base.clone();
+        invalid.closes.remove(5);
+        assert!(evaluate(&policy(), &invalid, base.as_of_date).is_err());
+        let mut invalid = base.clone();
+        invalid.closes[5].date = invalid.closes[4].date;
+        assert!(evaluate(&policy(), &invalid, base.as_of_date).is_err());
+        let mut invalid = base.clone();
+        invalid.closes[5].close = f64::NAN;
+        assert!(evaluate(&policy(), &invalid, base.as_of_date).is_err());
+        assert!(
+            evaluate(
+                &policy(),
+                &base,
+                base.as_of_date - chrono::Duration::days(1)
+            )
+            .is_err()
+        );
+        let mut invalid = base.clone();
+        invalid.index_code = "000852.SH".into();
+        assert!(evaluate(&policy(), &invalid, base.as_of_date).is_err());
+    }
+    #[test]
+    fn disabled_is_optional_but_enabled_parameters_are_not_invented() {
+        assert_eq!(
+            MarketTimingPolicy::from_allocation(&serde_json::Value::Null)
+                .unwrap()
+                .required_history()
+                .unwrap(),
+            0
+        );
+        assert!(
+            MarketTimingPolicy::from_allocation(
+                &serde_json::json!({"market_timing":{"enabled":true}})
+            )
+            .is_err()
+        );
+        let mut invalid = policy();
+        invalid.fast_window = invalid.slow_window;
+        assert!(invalid.validate().is_err());
+        let mut invalid = policy();
+        invalid.volatility_window = Some(250);
+        assert_eq!(invalid.required_history().unwrap(), 251);
+    }
+}

crates/fidc-core/src/stock_pool_indicators.rs

@@ -0,0 +1,179 @@
+//! Shared causal indicator calculation for stock-pool screening.
+use std::collections::{BTreeMap, BTreeSet};
+use chrono::NaiveDate;
+use serde::{Deserialize, Serialize};
+use serde_json::json;
+
+use crate::factor_events::{self, Expr, Frame};
+
+pub fn implementation_sha256() -> String {
+    use sha2::{Digest,Sha256};
+    let mut identity=Sha256::new();
+    identity.update(include_bytes!("stock_pool_indicators.rs"));
+    identity.update(factor_events::catalog()["expression_kernel_sha256"].as_str().expect("native kernel identity"));
+    format!("{:x}",identity.finalize())
+}
+
+#[derive(Debug, Clone, Deserialize, Serialize)]
+#[serde(deny_unknown_fields)]
+pub struct IndicatorSpec {
+    pub indicator: String,
+    pub field: String,
+    pub window: usize,
+    #[serde(default)]
+    pub output: Option<String>,
+}
+
+#[derive(Debug, Clone, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct InputSeries {
+    pub frame: Frame,
+    /// Source-admitted historical suspension/lifecycle gaps, not guessed from
+    /// missing prices. The pure endpoint never certifies those source facts.
+    #[serde(default)]
+    pub admitted_missing_dates: BTreeSet<NaiveDate>,
+}
+
+#[derive(Debug, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct Request {
+    pub specs: BTreeMap<String, IndicatorSpec>,
+    pub series: Vec<InputSeries>,
+    pub output_start_date: NaiveDate,
+    pub output_end_date: NaiveDate,
+}
+
+#[derive(Debug, Serialize)]
+pub struct OutputSeries {
+    pub symbol: String,
+    pub indices: Vec<usize>,
+    pub values: BTreeMap<String, Vec<Option<f64>>>,
+}
+
+pub fn evaluate(request: Request) -> Result<Vec<OutputSeries>, String> {
+    let row_count: usize = request.series.iter().map(|series| series.frame.timestamps.len()).sum();
+    if request.specs.is_empty() || request.specs.len() > 64 || row_count > 60_000
+        || row_count.saturating_mul(request.specs.len()) > 1_000_000
+        || request.output_start_date > request.output_end_date {
+        return Err("stock_pool_indicator_request_budget_or_range_invalid".into());
+    }
+    for spec in request.specs.values() {
+        if !matches!(spec.indicator.as_str(), "ma" | "ema" | "kdj") || !(2..=10_000).contains(&spec.window)
+            || !matches!(spec.field.as_str(), "close" | "volume" | "high" | "low")
+            || (spec.indicator == "kdj" && !matches!(spec.output.as_deref(), Some("k" | "d" | "j"))) {
+            return Err("stock_pool_indicator_spec_invalid".into());
+        }
+    }
+    let mut seen = BTreeSet::new();
+    let mut result = Vec::new();
+    for series in request.series {
+        let frame = series.frame;
+        frame.validate()?;
+        if frame.frequency != "1d" { return Err("stock_pool_indicators_require_daily_source".into()); }
+        if series.admitted_missing_dates.iter().any(|day| !frame.timestamps.iter().any(|stamp| stamp.date_naive() == *day)) {
+            return Err("admitted_missing_date_is_outside_the_input_frame".into());
+        }
+        if !seen.insert(frame.symbol.clone()) { return Err("stock_pool_indicator_duplicate_symbol".into()); }
+        let indices = frame.timestamps.iter().enumerate().filter(|(_, stamp)| {
+            let day = stamp.date_naive(); request.output_start_date <= day && day <= request.output_end_date
+        }).map(|(index, _)| index).collect::<Vec<_>>();
+        let mut values = BTreeMap::new();
+        for (key, spec) in &request.specs {
+            let fields: Vec<&str> = if spec.indicator == "kdj" { vec!["high", "low", "close"] } else { vec![&spec.field] };
+            for field in &fields {
+                let raw = frame.fields.get(*field).ok_or_else(|| format!("indicator_field_missing:{field}"))?;
+                if raw.len() != frame.timestamps.len() { return Err("indicator_field_length_mismatch".into()); }
+            }
+            for index in 0..frame.timestamps.len() {
+                let valid = fields.iter().all(|field| frame.fields[*field][index].is_some_and(f64::is_finite));
+                if valid {
+                    if fields.iter().any(|field| frame.fields[*field][index].is_some_and(|value| if *field == "volume" { value < 0.0 } else { value <= 0.0 })) {
+                        return Err(format!("indicator_input_value_invalid:{}:{}", frame.symbol, frame.timestamps[index]));
+                    }
+                    if spec.indicator == "kdj" {
+                        let (hi, lo, close) = (frame.fields["high"][index].unwrap(), frame.fields["low"][index].unwrap(), frame.fields["close"][index].unwrap());
+                        if hi < lo || close < lo || close > hi { return Err(format!("indicator_ohlc_invalid:{}:{}", frame.symbol, frame.timestamps[index])); }
+                    }
+                }
+                else if !series.admitted_missing_dates.contains(&frame.timestamps[index].date_naive()) {
+                    return Err(format!("unclassified_indicator_input_gap:{}:{}", frame.symbol, frame.timestamps[index]));
+                }
+            }
+            let native_values = {
+                // The native KDJ has its own initialisation and lookback. Do
+                // not recreate it as STOCH or an independently seeded loop.
+                // Preserve admitted NULL rows too: the shared kernel defines
+                // gap/warmup semantics; compressing the calendar changes them.
+                let expression: Expr = serde_json::from_value(if spec.indicator == "kdj" {
+                    json!({"kind":"indicator","name":"KDJ","inputs":[],
+                        "parameters":{"optInFastK_Period":spec.window,"optInSlowK_Period":3,
+                            "optInSlowK_MAType":13,"optInSlowD_Period":3,"optInSlowD_MAType":13},
+                        "output":match spec.output.as_deref() { Some("k") => 0, Some("d") => 1, _ => 2 }})
+                } else {
+                    json!({"kind":"indicator","name":if spec.indicator == "ma" {"SMA"} else {"EMA"},
+                        "inputs":[{"kind":"field","name":spec.field}],"parameters":{"optInTimePeriod":spec.window}})
+                }).map_err(|error| error.to_string())?;
+                factor_events::evaluate(&expression, &frame)?.values
+            };
+            values.insert(key.clone(), indices.iter().map(|index| native_values[*index]).collect());
+        }
+        result.push(OutputSeries { symbol: frame.symbol, indices, values });
+    }
+    Ok(result)
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn request() -> Request {
+        serde_json::from_value(json!({"specs":{"ma":{"indicator":"ma","field":"close","window":3},"ema":{"indicator":"ema","field":"close","window":3},"j":{"indicator":"kdj","field":"close","window":3,"output":"j"}},
+            "series":[{"frame":{"symbol":"000001.SZ","frequency":"1d","decision_at":"2026-09-10T17:00:00+08:00",
+                "timestamps":["2026-09-07T15:00:00+08:00","2026-09-08T15:00:00+08:00","2026-09-09T15:00:00+08:00","2026-09-10T15:00:00+08:00"],
+                "available_at":["2026-09-07T16:00:00+08:00","2026-09-08T16:00:00+08:00","2026-09-09T16:00:00+08:00","2026-09-10T16:00:00+08:00"],
+                "fields":{"close":[1.,2.,3.,4.],"high":[2.,3.,4.,5.],"low":[0.5,1.,2.,3.]}}}],
+            "output_start_date":"2026-09-09","output_end_date":"2026-09-10"})).unwrap()
+    }
+    #[test]
+    fn uses_shared_ma_ema_and_preserves_recursive_prefix_before_output_window() {
+        let rows = evaluate(request()).unwrap();
+        assert_eq!(rows[0].indices,vec![2,3]);
+        assert_eq!(rows[0].values["ma"],vec![Some(2.),Some(3.)]);
+        assert_eq!(rows[0].values["ema"],vec![Some(2.),Some(3.)]);
+        assert_eq!(rows[0].values["j"], vec![None, None]); // KDJ has a longer native lookback.
+        let mut later = request(); later.output_start_date = NaiveDate::from_ymd_opt(2026,9,10).unwrap();
+        assert_eq!(evaluate(later).unwrap()[0].values["ema"],vec![rows[0].values["ema"][1]]);
+    }
+    #[test]
+    fn kdj_uses_the_same_frozen_native_kernel_as_event_conditions() {
+        let mut data = request();
+        let frame = &mut data.series[0].frame;
+        for i in 4..16 {
+            let day = NaiveDate::from_ymd_opt(2026,9,7).unwrap() + chrono::Duration::days(i);
+            frame.timestamps.push(chrono::DateTime::parse_from_rfc3339(&format!("{day}T15:00:00+08:00")).unwrap());
+            frame.available_at.push(chrono::DateTime::parse_from_rfc3339(&format!("{day}T16:00:00+08:00")).unwrap());
+            frame.fields.get_mut("close").unwrap().push(Some(i as f64 + 1.));
+            frame.fields.get_mut("high").unwrap().push(Some(i as f64 + 2.));
+            frame.fields.get_mut("low").unwrap().push(Some(i as f64));
+        }
+        frame.decision_at = chrono::DateTime::parse_from_rfc3339("2026-09-23T17:00:00+08:00").unwrap();
+        data.output_start_date=NaiveDate::from_ymd_opt(2026,9,7).unwrap();
+        data.output_end_date=NaiveDate::from_ymd_opt(2026,9,22).unwrap();
+        let native:Expr=serde_json::from_value(json!({"kind":"indicator","name":"KDJ","inputs":[],"parameters":{"optInFastK_Period":3},"output":2})).unwrap();
+        let expected=factor_events::evaluate(&native,frame).unwrap().values;
+        assert!(expected.iter().any(Option::is_some));
+        assert_eq!(evaluate(data).unwrap()[0].values["j"],expected);
+    }
+    #[test]
+    fn missing_inputs_require_source_admission_and_future_inputs_fail() {
+        let mut data = request(); data.series[0].frame.fields.get_mut("close").unwrap()[1] = None;
+        assert!(evaluate(data).unwrap_err().contains("unclassified_indicator_input_gap"));
+        let mut data = request(); data.series[0].frame.available_at[3] = chrono::DateTime::parse_from_rfc3339("2026-09-11T16:00:00+08:00").unwrap();
+        assert!(evaluate(data).is_err());
+        let mut data=request();data.series[0].frame.fields.get_mut("close").unwrap()[1]=None;
+        data.series[0].admitted_missing_dates.insert(NaiveDate::from_ymd_opt(2026,9,8).unwrap());
+        let native:Expr=serde_json::from_value(json!({"kind":"indicator","name":"EMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"optInTimePeriod":3}})).unwrap();
+        let expected=factor_events::evaluate(&native,&data.series[0].frame).unwrap().values;
+        assert_eq!(expected[2..], [None,None]);
+        assert_eq!(evaluate(data).unwrap()[0].values["ema"],expected[2..]);
+    }
+}

crates/fidc-core/src/stock_pool_market_cap.rs

@@ -0,0 +1,108 @@
+//! Configurable index-to-market-cap band. Values are CNY, not implicit yi.
+use chrono::NaiveDate;
+use serde::{Deserialize, Serialize};
+use sha2::{Digest, Sha256};
+
+#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct IndexMarketCapPolicy {
+    pub schema_version: u32,
+    pub index_code: String,
+    pub field: String,
+    pub value_unit: String,
+    pub index_low: f64,
+    pub index_high: f64,
+    pub lower_at_low: f64,
+    pub lower_at_high: f64,
+    pub upper_at_low: f64,
+    pub upper_at_high: f64,
+}
+
+impl IndexMarketCapPolicy {
+    pub fn validate(&self) -> Result<(), String> {
+        if self.schema_version != 1 || self.value_unit != "CNY"
+            || !matches!(self.field.as_str(), "market_cap" | "float_market_cap")
+        { return Err("index_market_cap_contract_invalid".into()); }
+        let index = self.index_code.split_once('.').is_some_and(|(code, exchange)| {
+            (6..=12).contains(&code.len())
+                && code.bytes().all(|byte| byte.is_ascii_uppercase() || byte.is_ascii_digit())
+                && matches!(exchange, "SH" | "SZ" | "CSI" | "CNI")
+        });
+        if !index { return Err("index_market_cap_index_invalid".into()); }
+        if [self.index_low,self.index_high,self.lower_at_low,self.lower_at_high,self.upper_at_low,self.upper_at_high]
+            .iter().any(|value| !value.is_finite() || *value <= 0.)
+            || self.index_low >= self.index_high || self.lower_at_low > self.upper_at_low
+            || self.lower_at_high > self.upper_at_high
+        { return Err("index_market_cap_bounds_invalid".into()); }
+        Ok(())
+    }
+    pub fn band(&self, close: f64) -> Result<(f64, f64), String> {
+        self.validate()?;
+        if !close.is_finite() || close <= 0. { return Err("index_market_cap_close_invalid".into()); }
+        let t = (close.clamp(self.index_low,self.index_high) - self.index_low) / (self.index_high-self.index_low);
+        Ok((self.lower_at_low + t*(self.lower_at_high-self.lower_at_low),
+            self.upper_at_low + t*(self.upper_at_high-self.upper_at_low)))
+    }
+}
+
+#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct IndexMarketCapRow { pub date: NaiveDate, pub close: f64 }
+
+#[derive(Debug, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct Request {
+    pub policy: IndexMarketCapPolicy,
+    pub official_dates: Vec<NaiveDate>,
+    pub index_code: String,
+    pub closes: Vec<IndexMarketCapRow>,
+}
+
+#[derive(Debug, Clone, PartialEq, Serialize)]
+pub struct Band { pub date: NaiveDate, pub index_close: f64, pub lower: f64, pub upper: f64 }
+
+pub fn implementation_sha256() -> String { format!("{:x}", Sha256::digest(include_bytes!("stock_pool_market_cap.rs"))) }
+
+pub fn evaluate(input: &Request) -> Result<Vec<Band>, String> {
+    input.policy.validate()?;
+    if input.index_code != input.policy.index_code || input.official_dates.is_empty()
+        || input.official_dates.len() > 4000 || input.official_dates.len() != input.closes.len()
+        || input.official_dates.windows(2).any(|pair| pair[0]>=pair[1])
+        || input.closes.iter().zip(&input.official_dates).any(|(row, day)| row.date != *day)
+    { return Err("index_market_cap_calendar_or_identity_mismatch".into()); }
+    input.closes.iter().map(|row| {
+        let (lower,upper)=input.policy.band(row.close)?;
+        Ok(Band{date:row.date,index_close:row.close,lower,upper})
+    }).collect()
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn policy()->IndexMarketCapPolicy {
+        serde_json::from_value(serde_json::json!({"schema_version":1,"index_code":"000300.SH","field":"market_cap","value_unit":"CNY",
+            "index_low":4000,"index_high":6000,"lower_at_low":2000000000_f64,"lower_at_high":3000000000_f64,
+            "upper_at_low":5000000000_f64,"upper_at_high":8000000000_f64})).unwrap()
+    }
+    #[test]
+    fn interpolates_declared_endpoints_and_clamps_without_business_defaults(){
+        assert_eq!(policy().band(3000.).unwrap(),(2e9,5e9));
+        assert_eq!(policy().band(5000.).unwrap(),(2.5e9,6.5e9));
+        assert_eq!(policy().band(7000.).unwrap(),(3e9,8e9));
+        let mut decreasing=policy();decreasing.lower_at_low=3e9;decreasing.lower_at_high=2e9;
+        assert_eq!(decreasing.band(5000.).unwrap(),(2.5e9,6.5e9));
+        assert!(policy().band(f64::NAN).is_err());
+        let mut invalid=policy();invalid.value_unit="亿元".into();assert!(invalid.validate().is_err());
+        invalid=policy();invalid.index_high=4000.;assert!(invalid.validate().is_err());
+        invalid=policy();invalid.lower_at_low=9e9;assert!(invalid.validate().is_err());
+    }
+    #[test]
+    fn missing_duplicate_or_mismatched_index_inputs_do_not_shrink_the_calendar(){
+        let day=NaiveDate::from_ymd_opt(2026,9,11).unwrap();
+        let mut input=Request{policy:policy(),official_dates:vec![day],index_code:"000300.SH".into(),closes:vec![IndexMarketCapRow{date:day,close:5000.}]};
+        assert_eq!(evaluate(&input).unwrap()[0].lower,2.5e9);
+        input.official_dates.push(day);assert!(evaluate(&input).is_err());input.official_dates.pop();
+        input.index_code="932000.CSI".into();assert!(evaluate(&input).is_err());
+        input.index_code="000300.SH".into();input.closes.clear();assert!(evaluate(&input).is_err());
+    }
+}

crates/fidc-core/src/stock_pool_quote_facts.rs

@@ -0,0 +1,148 @@
+//! Condition facts are distinct from the quote's per-observation fill capacity.
+//! Only a complete, declared raw-minute prefix can prove a session total.
+use std::collections::BTreeMap;
+use chrono::{NaiveDate, NaiveDateTime, NaiveTime, Timelike};
+use rust_decimal::Decimal;
+use crate::data::IntradayExecutionQuote;
+use crate::stock_pool_execution::{parse_stock_pool_condition, StockPoolExecutionRule};
+
+pub fn requires_session_totals(rule: &StockPoolExecutionRule) -> bool {
+    [rule.buy_condition.as_str(), if rule.sell_trigger_mode == "condition" { rule.sell_condition.as_str() } else { "" }].into_iter().any(|condition| {
+        parse_stock_pool_condition(condition).is_some_and(|(_, field, _, _)| matches!(field.as_str(), "volume" | "amount"))
+    })
+}
+
+/// The cash-equity minute feed includes the opening observation and a separate
+/// post-close segment. Trading eligibility remains owned by the dated rules.
+fn next_minute(time: NaiveTime) -> Option<NaiveTime> {
+    let minute = time.hour() * 60 + time.minute();
+    let next = match minute {
+        570..=689 | 781..=899 | 906..=929 => minute + 1,
+        690 => 781,
+        900 => 906,
+        _ => return None,
+    };
+    NaiveTime::from_hms_opt(next / 60, next % 60, 0)
+}
+
+#[derive(Debug, Default)]
+pub(crate) struct SessionTotalsCache {
+    pub date: Option<NaiveDate>,
+    pub symbols: BTreeMap<String, MinutePrefix>,
+}
+
+#[derive(Debug)]
+pub(crate) struct MinutePrefix {
+    values: BTreeMap<NaiveTime, (Decimal, Decimal)>,
+    failure: String,
+}
+
+impl MinutePrefix {
+    pub fn build(date: NaiveDate, symbol: &str, quotes: &[IntradayExecutionQuote]) -> Self {
+        let mut values = BTreeMap::new();
+        let mut expected = NaiveTime::from_hms_opt(9, 30, 0).unwrap();
+        let mut volume = 0_u64;
+        let mut amount = Decimal::ZERO;
+        let mut failure = format!("stock_pool_session_prefix_missing:{symbol}:{date}:{expected}");
+        for quote in quotes {
+            let time = quote.timestamp.time();
+            if quote.date != date || quote.timestamp.date() != date || quote.symbol != symbol {
+                failure = format!("stock_pool_session_prefix_identity_invalid:{symbol}:{date}");
+                break;
+            }
+            if time != expected {
+                failure = format!("stock_pool_session_prefix_missing:{symbol}:{date}:expected={expected}:observed={time}");
+                break;
+            }
+            if quote.observation_kind != crate::data::QuoteObservationKind::MinuteBar {
+                failure = format!("stock_pool_session_prefix_basis_unverified:{symbol}:{date}:{time}");
+                break;
+            }
+            let Some(next_volume) = volume.checked_add(quote.volume_delta) else {
+                failure = format!("stock_pool_session_volume_overflow:{symbol}:{date}:{time}");
+                break;
+            };
+            let delta = if quote.amount_delta.is_finite() && quote.amount_delta >= 0.0 {
+                quote.amount_delta.to_string().parse::<Decimal>().ok()
+            } else { None };
+            let Some(next_amount) = delta.and_then(|delta| amount.checked_add(delta)) else {
+                failure = format!("stock_pool_session_amount_invalid:{symbol}:{date}:{time}");
+                break;
+            };
+            volume = next_volume;
+            amount = next_amount;
+            values.insert(time, (Decimal::from(volume), amount));
+            let Some(next) = next_minute(time) else { break };
+            expected = next;
+            failure = format!("stock_pool_session_prefix_missing:{symbol}:{date}:{expected}");
+        }
+        Self { values, failure }
+    }
+
+    pub fn at(&self, at: NaiveDateTime) -> Result<(Decimal, Decimal), String> {
+        let time = at.time().with_second(0).unwrap().with_nanosecond(0).unwrap();
+        self.values.get(&time).copied().ok_or_else(|| self.failure.clone())
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn quote(hour: u32, minute: u32, volume: u64, amount: f64) -> IntradayExecutionQuote {
+        let date = NaiveDate::from_ymd_opt(2026, 9, 11).unwrap();
+        IntradayExecutionQuote { observation_kind: crate::data::QuoteObservationKind::MinuteBar, date, symbol: "000001.SZ".into(), timestamp: date.and_hms_opt(hour, minute, 0).unwrap(),
+            last_price: 10., bid1: 0., ask1: 0., bid1_volume: 0, ask1_volume: 0,
+            volume_delta: volume, amount_delta: amount, trading_phase: Some("minute_execution_prices:raw-minute".into()) }
+    }
+    #[test]
+    fn totals_use_only_the_complete_observed_prefix_and_keep_decimal_amounts() {
+        let mut rows = vec![quote(9,30,100,10.01), quote(9,31,0,0.), quote(9,32,200,20.02)];
+        let prefix = MinutePrefix::build(rows[0].date, "000001.SZ", &rows);
+        assert_eq!(prefix.at(rows[1].timestamp).unwrap(), (100.into(), Decimal::new(1001,2)));
+        assert_eq!(prefix.at(rows[2].timestamp).unwrap(), (300.into(), Decimal::new(3003,2)));
+        rows[2].volume_delta = 999999;
+        rows[2].amount_delta = f64::NAN;
+        let changed = MinutePrefix::build(rows[0].date, "000001.SZ", &rows);
+        assert_eq!(changed.at(rows[1].timestamp).unwrap(), prefix.at(rows[1].timestamp).unwrap());
+        assert!(changed.at(rows[2].timestamp).unwrap_err().contains("amount_invalid"));
+    }
+    #[test]
+    fn sparse_unverified_and_overflowing_quotes_cannot_be_called_session_totals() {
+        let first = quote(9,30,100,1000.);
+        for rows in [vec![quote(9,31,100,1000.)], vec![first.clone(), quote(9,32,100,1000.)]] {
+            let prefix = MinutePrefix::build(first.date, "000001.SZ", &rows);
+            assert!(prefix.at(rows.last().unwrap().timestamp).unwrap_err().contains("prefix_missing"));
+        }
+        let mut unknown = first.clone(); unknown.observation_kind = Default::default();
+        assert!(MinutePrefix::build(first.date, "000001.SZ", &[unknown]).at(first.timestamp).unwrap_err().contains("basis_unverified"));
+        let rows = [quote(9,30,u64::MAX,0.), quote(9,31,1,0.)];
+        assert!(MinutePrefix::build(first.date, "000001.SZ", &rows).at(rows[1].timestamp).unwrap_err().contains("volume_overflow"));
+    }
+    #[test]
+    fn lunch_and_post_close_gaps_follow_the_minute_feed_segments() {
+        let mut rows = Vec::new(); let mut time = NaiveTime::from_hms_opt(9,30,0).unwrap();
+        loop {
+            rows.push(quote(time.hour(), time.minute(), 1, 0.01));
+            let Some(next) = next_minute(time) else { break }; time=next;
+        }
+        let prefix=MinutePrefix::build(rows[0].date,"000001.SZ",&rows);
+        assert_eq!(prefix.at(rows.last().unwrap().timestamp).unwrap(), (Decimal::from(rows.len()), Decimal::new(rows.len() as i64,2)));
+        assert!(!rows.iter().any(|row| row.timestamp.time().hour()==12));
+        assert!(!rows.iter().any(|row| row.timestamp.time()==NaiveTime::from_hms_opt(13,0,0).unwrap()));
+        assert!(!rows.iter().any(|row| row.timestamp.time().hour()==15 && (1..6).contains(&row.timestamp.time().minute())));
+    }
+
+    #[test]
+    #[ignore = "requires FIDC_SESSION_PREFIX_SOURCE_JSON from the frozen Source minute response"]
+    fn real_source_session_prefix_matches_observed_checkpoints() {
+        let path=std::env::var("FIDC_SESSION_PREFIX_SOURCE_JSON").expect("explicit Source evidence path");
+        let rows:Vec<IntradayExecutionQuote>=serde_json::from_slice(&std::fs::read(path).unwrap()).unwrap();
+        let date=NaiveDate::from_ymd_opt(2026,9,8).unwrap();
+        assert_eq!(rows.len(),242);
+        let prefix=MinutePrefix::build(date,"000063.SZ",&rows);
+        for (hour,minute,volume,amount) in [(9,30,512700,17103672),(9,31,2296631,76576756),(9,32,2983531,99471024),(11,30,27868847,928167630),(13,1,28495518,948994890),(15,0,45625008,1518115100)] {
+            assert_eq!(prefix.at(date.and_hms_opt(hour,minute,0).unwrap()).unwrap(),(Decimal::from(volume),Decimal::from(amount)));
+        }
+        assert!(prefix.at(date.and_hms_opt(15,30,0).unwrap()).unwrap_err().contains("prefix_missing"),"one final aggregate is not a verified intraday prefix");
+    }
+}

crates/fidc-core/src/stock_pool_state.rs

@@ -0,0 +1,345 @@
+//! Durable intent progress, deliberately separate from actual-fill holding
+//! protection. A published target starts no holding/protection timer.
+use std::collections::{BTreeMap, BTreeSet};
+
+use chrono::NaiveDate;
+use rust_decimal::Decimal;
+use serde::{Deserialize, Serialize};
+
+use crate::stock_pool_execution::{
+    Position, StockPoolMemberSpec, StockPoolPlan, normalize_stock_symbol,
+};
+
+#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct StockPoolEntryProgress {
+    pub pending: bool,
+    pub observed_holding: bool,
+    pub first_decision_date: NaiveDate,
+    pub latest_generation: String,
+    pub latest_target_value: Decimal,
+    /// Fully funded entry goal, fixed at the last plan. Reconcile against
+    /// actual holdings before repricing, never against today's market value.
+    #[serde(default, skip_serializing_if = "Option::is_none")]
+    pub completion_quantity: Option<Decimal>,
+}
+
+#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct StockPoolPositionActionBasis {
+    pub generation: String,
+    pub first_execution_date: NaiveDate,
+    pub quantity: Decimal,
+}
+
+#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
+#[serde(deny_unknown_fields)]
+pub struct StockPoolExecutionState {
+    pub schema_version: u32,
+    pub last_execution_date: Option<NaiveDate>,
+    pub entries: BTreeMap<String, StockPoolEntryProgress>,
+    #[serde(default)]
+    pub last_target_weights: BTreeMap<String, i32>,
+    /// First signal excluding an actually held member; not an acquisition date.
+    pub removed_since: BTreeMap<String, NaiveDate>,
+    /// Signal progress, not a fill or holding-period fact. Kept across retries
+    /// and later execution sessions until a new generation supersedes it.
+    #[serde(default, skip_serializing_if = "BTreeMap::is_empty")]
+    pub position_action_bases: BTreeMap<String, StockPoolPositionActionBasis>,
+}
+
+pub struct StockPoolGoalObservation<'a> {
+    pub symbol: &'a str,
+    pub target_weight_bps: i32,
+    pub target_value: Decimal,
+    pub current_quantity: Decimal,
+    pub target_quantity: Decimal,
+    pub status: &'a str,
+}
+
+impl Default for StockPoolExecutionState {
+    fn default() -> Self {
+        Self {
+            schema_version: 1,
+            last_execution_date: None,
+            entries: BTreeMap::new(),
+            last_target_weights: BTreeMap::new(),
+            removed_since: BTreeMap::new(),
+            position_action_bases: BTreeMap::new(),
+        }
+    }
+}
+
+impl StockPoolExecutionState {
+    pub fn validate(&self) -> Result<(), String> {
+        if self.schema_version != 1
+            || self.entries.len() > 10000
+            || self.removed_since.len() > 10000
+            || self.position_action_bases.len() > 10000
+        {
+            return Err("stock_pool_execution_state_invalid_schema_or_size".into());
+        }
+        for symbol in self
+            .entries
+            .keys()
+            .chain(self.removed_since.keys())
+            .chain(self.last_target_weights.keys())
+            .chain(self.position_action_bases.keys())
+        {
+            if normalize_stock_symbol(symbol).as_ref() != Some(symbol) {
+                return Err("stock_pool_execution_state_invalid_symbol".into());
+            }
+        }
+        if self.last_target_weights.len() > 10000
+            || self
+                .last_target_weights
+                .values()
+                .any(|value| !(0..=10000).contains(value))
+        {
+            return Err("stock_pool_execution_state_invalid_weights".into());
+        }
+        if self.entries.values().any(|entry| {
+            entry.latest_target_value < Decimal::ZERO
+                || entry.completion_quantity.is_some_and(|quantity| quantity <= Decimal::ZERO)
+                || entry.latest_generation.is_empty()
+                || self
+                    .last_execution_date
+                    .is_none_or(|last| entry.first_decision_date > last)
+        }) || self
+            .removed_since
+            .values()
+            .any(|day| self.last_execution_date.is_none_or(|last| *day > last))
+        {
+            return Err("stock_pool_execution_state_invalid_goal_or_clock".into());
+        }
+        if self.position_action_bases.values().any(|basis| {
+            basis.generation.trim().is_empty() || basis.quantity <= Decimal::ZERO
+                || self.last_execution_date.is_none_or(|date| basis.first_execution_date > date)
+        }) {
+            return Err("stock_pool_execution_state_invalid_action_basis".into());
+        }
+        Ok(())
+    }
+
+    pub fn observe(
+        &self,
+        decision_date: NaiveDate,
+        execution_date: NaiveDate,
+        official_dates: &[NaiveDate],
+        members: &[StockPoolMemberSpec],
+        positions: &[Position],
+    ) -> Result<Self, String> {
+        self.validate()?;
+        if decision_date > execution_date
+            || !official_dates.contains(&execution_date)
+            || !official_dates.contains(&decision_date)
+            || official_dates.windows(2).any(|pair| pair[0] >= pair[1])
+            || self
+                .last_execution_date
+                .is_some_and(|last| last > execution_date)
+        {
+            return Err("stock_pool_execution_state_requires_monotone_official_clock".into());
+        }
+        let mut next = self.clone();
+        next.last_execution_date = Some(execution_date);
+        let members = members
+            .iter()
+            .map(|member| member.symbol.clone())
+            .collect::<BTreeSet<_>>();
+        let held = positions
+            .iter()
+            .filter(|position| position.quantity > Decimal::ZERO)
+            .map(|position| position.symbol.clone())
+            .collect::<BTreeSet<_>>();
+        next.entries.retain(|symbol, entry| {
+            // Confirmed flat starts a new cycle. A still-unfilled fresh target
+            // may remain pending while the latest pool still requests it.
+            !(entry.observed_holding && !held.contains(symbol))
+                && (members.contains(symbol) || held.contains(symbol))
+        });
+        next.last_target_weights
+            .retain(|symbol, _| members.contains(symbol) || held.contains(symbol));
+        for (symbol, entry) in &mut next.entries {
+            entry.observed_holding |= held.contains(symbol);
+            if entry.pending
+                && entry.completion_quantity.is_some_and(|goal| {
+                    positions.iter().any(|position| {
+                        &position.symbol == symbol && position.quantity >= goal
+                    })
+                })
+            {
+                entry.pending = false;
+            }
+        }
+        next.removed_since
+            .retain(|symbol, _| held.contains(symbol) && !members.contains(symbol));
+        for symbol in held.difference(&members) {
+            next.removed_since
+                .entry(symbol.clone())
+                .or_insert(decision_date);
+        }
+        next.validate()?;
+        Ok(next)
+    }
+
+    pub fn pending_symbols(&self) -> BTreeSet<String> {
+        self.entries
+            .iter()
+            .filter(|(_, entry)| entry.pending)
+            .map(|(symbol, _)| symbol.clone())
+            .collect()
+    }
+
+    pub fn next_day_exit_symbols(&self, execution_date: NaiveDate) -> BTreeSet<String> {
+        self.removed_since
+            .iter()
+            .filter(|(_, removed)| **removed < execution_date)
+            .map(|(symbol, _)| symbol.clone())
+            .collect()
+    }
+
+    pub fn record_plan(
+        &self,
+        decision_date: NaiveDate,
+        generation: &str,
+        plan: &StockPoolPlan,
+    ) -> Result<Self, String> {
+        self.record_targets(
+            decision_date,
+            generation,
+            plan.rows.iter().filter(|row| !plan.position_action_bases.contains_key(&row.symbol)).map(|row| StockPoolGoalObservation {
+                symbol: &row.symbol,
+                target_weight_bps: row.target_weight_bps,
+                target_value: row.target_value,
+                current_quantity: row.current_quantity,
+                target_quantity: row.target_quantity,
+                status: &row.status,
+            }),
+        )?.record_position_action_bases(generation, &plan.position_action_bases)
+    }
+
+    pub fn position_action_bases_for(&self, generation: &str) -> BTreeMap<String, Decimal> {
+        self.position_action_bases.iter()
+            .filter(|(_, basis)| basis.generation == generation)
+            .map(|(symbol, basis)| (symbol.clone(), basis.quantity))
+            .collect()
+    }
+
+    /// A verified split changes the share unit, not the intended reduction or
+    /// entry completion. Never infer a split from a changed holding quantity.
+    pub fn adjust_for_split(&self, symbol: &str, ratio: Decimal) -> Result<Self, String> {
+        self.validate()?;
+        if ratio <= Decimal::ZERO || normalize_stock_symbol(symbol).as_deref() != Some(symbol) {
+            return Err("stock_pool_execution_state_split_invalid".into());
+        }
+        let scale = |quantity: Decimal| quantity.checked_mul(ratio)
+            .map(|value| value.round_dp_with_strategy(0, rust_decimal::RoundingStrategy::MidpointAwayFromZero))
+            .ok_or_else(|| "stock_pool_execution_state_split_overflow".to_string());
+        let mut next = self.clone();
+        if let Some(entry) = next.entries.get_mut(symbol) {
+            if let Some(quantity) = entry.completion_quantity {
+                let quantity = scale(quantity)?;
+                entry.completion_quantity = (quantity > Decimal::ZERO).then_some(quantity);
+            }
+        }
+        if let Some(basis) = next.position_action_bases.get_mut(symbol) {
+            basis.quantity = scale(basis.quantity)?;
+            if basis.quantity == Decimal::ZERO { next.position_action_bases.remove(symbol); }
+        }
+        next.validate()?;
+        Ok(next)
+    }
+
+    pub fn record_position_action_bases(
+        &self,
+        generation: &str,
+        quantities: &BTreeMap<String, Decimal>,
+    ) -> Result<Self, String> {
+        self.validate()?;
+        if generation.trim().is_empty() {
+            return Err("stock_pool_execution_state_action_generation_missing".into());
+        }
+        let first_execution_date = self.last_execution_date
+            .ok_or("stock_pool_execution_state_action_clock_missing")?;
+        let mut next = self.clone();
+        next.position_action_bases.retain(|_, basis| basis.generation == generation);
+        for (symbol, quantity) in quantities {
+            if let Some(basis) = next.position_action_bases.get(symbol) {
+                if basis.quantity != *quantity {
+                    return Err(format!("stock_pool_execution_state_action_basis_changed:{symbol}"));
+                }
+            } else {
+                next.position_action_bases.insert(symbol.clone(), StockPoolPositionActionBasis {
+                    generation: generation.into(), first_execution_date, quantity: *quantity,
+                });
+            }
+        }
+        next.validate()?;
+        Ok(next)
+    }
+
+    pub fn record_targets<'a>(
+        &self,
+        decision_date: NaiveDate,
+        generation: &str,
+        rows: impl IntoIterator<Item = StockPoolGoalObservation<'a>>,
+    ) -> Result<Self, String> {
+        self.validate()?;
+        if generation.is_empty()
+            || self
+                .last_execution_date
+                .is_none_or(|date| decision_date > date)
+        {
+            return Err("stock_pool_execution_state_plan_clock_invalid".into());
+        }
+        let mut next = self.clone();
+        for row in rows {
+            if row.status == "AUTOMATIC_TRADE_PROTECTED" {
+                continue;
+            }
+            if row.target_weight_bps > 0 {
+                next.last_target_weights
+                    .insert(row.symbol.into(), row.target_weight_bps);
+            }
+            let eligible = row.target_weight_bps > 0 && row.target_value > Decimal::ZERO;
+            let completion_quantity = (row.status == "READY"
+                && row.target_quantity > row.current_quantity)
+                .then_some(row.target_quantity);
+            let satisfied = matches!(
+                row.status,
+                "ALREADY_SATISFIED"
+                    | "ENTRY_TARGET_ALREADY_SATISFIED"
+                    | "BELOW_MINIMUM_TRADE_UNIT_ALREADY_SATISFIED"
+            );
+            if row.current_quantity == Decimal::ZERO && eligible && satisfied {
+                next.entries.remove(row.symbol);
+                continue;
+            }
+            if let Some(entry) = next.entries.get_mut(row.symbol) {
+                entry.latest_generation = generation.into();
+                entry.latest_target_value = row.target_value;
+                if entry.pending && completion_quantity.is_some() {
+                    entry.completion_quantity = completion_quantity;
+                }
+                entry.observed_holding |= row.current_quantity > Decimal::ZERO;
+                if entry.pending && eligible && satisfied {
+                    entry.pending = false;
+                }
+            } else if eligible && row.current_quantity == Decimal::ZERO && !satisfied {
+                next.entries.insert(
+                    row.symbol.into(),
+                    StockPoolEntryProgress {
+                        pending: true,
+                        observed_holding: false,
+                        first_decision_date: decision_date,
+                        latest_generation: generation.into(),
+                        latest_target_value: row.target_value,
+                        completion_quantity,
+                    },
+                );
+            }
+        }
+        next.validate()?;
+        Ok(next)
+    }
+}

crates/fidc-core/src/strategy.rs

@@ -20,6 +20,18 @@ use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSe
 
 pub trait Strategy {
     fn name(&self) -> &str;
+    fn bind_runtime_position_configuration(
+        &mut self,
+        events: &[crate::position_exposure::PositionExposureEvent],
+        legacy: &BTreeMap<NaiveDate, i32>,
+    ) -> Result<(), BacktestError> {
+        if !events.is_empty() || !legacy.is_empty() {
+            return Err(BacktestError::Execution(
+                "strategy does not implement runtime position configuration".into(),
+            ));
+        }
+        Ok(())
+    }
     fn initial_subscriptions(&self) -> BTreeSet<String> {
         BTreeSet::new()
     }
@@ -40,6 +52,12 @@ pub trait Strategy {
     ) -> Result<(), BacktestError> {
         Ok(())
     }
+    /// External, already executed manual activity. It is not a new strategy
+    /// order and must not be run through order generation or transaction costs.
+    fn on_observed_manual_execution(
+        &mut self,
+        _execution: &crate::manual_execution::ManualReplayApplication,
+    ) -> Result<(), BacktestError> { Ok(()) }
     fn schedule_rules(&self) -> Vec<ScheduleRule> {
         Vec::new()
     }
@@ -102,6 +120,7 @@ pub struct OpenOrderView {
     pub avg_price: f64,
     pub transaction_cost: f64,
     pub limit_price: f64,
+    pub reserved_cash: Option<f64>,
     pub reason: String,
 }
 
@@ -497,6 +516,7 @@ impl StrategyContext<'_> {
             .iter()
             .filter(|order| order.side == OrderSide::Buy)
             .map(|order| {
+                if let Some(reserved) = order.reserved_cash { return reserved; }
                 let price = if order.limit_price.is_finite() {
                     order.limit_price.max(0.0)
                 } else {
@@ -975,7 +995,7 @@ fn safe_ratio(numerator: f64, denominator: f64) -> f64 {
     }
 }
 
-#[derive(Debug, Clone, Default)]
+#[derive(Debug, Clone, Default, serde::Serialize)]
 pub struct StrategyDecision {
     pub buy_denials: BTreeMap<String, String>,
     pub rebalance: bool,
@@ -988,6 +1008,15 @@ pub struct StrategyDecision {
 }
 
 impl StrategyDecision {
+    pub(crate) fn is_portfolio_target_only(&self) -> bool {
+        (self.rebalance && self.order_intents.is_empty())
+            || (self.order_intents.len() == 1
+                && matches!(
+                    self.order_intents[0].unwrapped(),
+                    OrderIntent::StockPool { .. } | OrderIntent::TargetPortfolioSmart { .. }
+                ))
+    }
+
     pub fn potential_buy_symbols(&self, open_orders: &[OpenOrderView]) -> BTreeSet<String> {
         let mut symbols = BTreeSet::new();
         if self.rebalance {
@@ -1001,9 +1030,24 @@ impl StrategyDecision {
     }
 
     pub fn merge_from(&mut self, mut other: StrategyDecision) {
+        if self.is_portfolio_target_only() && other.is_portfolio_target_only() {
+            let mut previous = std::mem::replace(self, other);
+            previous
+                .diagnostics
+                .push("unsubmitted_portfolio_target_superseded".into());
+            self.notes.splice(0..0, previous.notes);
+            self.diagnostics.splice(0..0, previous.diagnostics);
+            return;
+        }
         self.buy_denials.append(&mut other.buy_denials);
-        self.rebalance |= other.rebalance;
-        self.target_weights.append(&mut other.target_weights);
+        if other.rebalance {
+            // Rebalance targets are a complete portfolio, not an additive
+            // list. A newer unsent target replaces the earlier allocation.
+            self.rebalance = true;
+            self.target_weights = std::mem::take(&mut other.target_weights);
+        } else {
+            self.target_weights.append(&mut other.target_weights);
+        }
         self.exit_symbols.append(&mut other.exit_symbols);
         self.order_intents.append(&mut other.order_intents);
         self.notes.append(&mut other.notes);
@@ -1023,13 +1067,59 @@ impl StrategyDecision {
     }
 }
 
-#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+#[cfg(test)]
+mod decision_merge_tests {
+    use super::*;
+
+    #[test]
+    fn newer_complete_target_replaces_old_symbols_without_discarding_explicit_actions() {
+        let mut earlier = StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("A".into(), 0.5), ("B".into(), 0.5)]),
+            exit_symbols: BTreeSet::from(["risk_exit".into()]),
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "explicit".into(),
+                quantity: 100,
+                reason: "explicit action".into(),
+            }],
+            ..Default::default()
+        };
+        earlier.merge_from(StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("C".into(), 1.)]),
+            ..Default::default()
+        });
+        assert_eq!(earlier.target_weights, BTreeMap::from([("C".into(), 1.)]));
+        assert!(earlier.rebalance);
+        assert!(earlier.exit_symbols.contains("risk_exit"));
+        assert_eq!(earlier.order_intents.len(), 1);
+    }
+
+    #[test]
+    fn explicit_empty_complete_target_replaces_old_allocation_but_empty_callback_does_not() {
+        let mut decision = StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("A".into(), 1.)]),
+            ..Default::default()
+        };
+        decision.merge_from(StrategyDecision::default());
+        assert_eq!(decision.target_weights.len(), 1);
+        decision.merge_from(StrategyDecision {
+            rebalance: true,
+            ..Default::default()
+        });
+        assert!(decision.target_weights.is_empty());
+        assert!(decision.rebalance);
+    }
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, serde::Serialize)]
 pub enum AlgoOrderStyle {
     Vwap,
     Twap,
 }
 
-#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+#[derive(Debug, Clone, Copy, PartialEq, Eq, serde::Serialize)]
 pub enum OrderTimeInForce {
     Day,
     Ioc,
@@ -1058,7 +1148,7 @@ impl OrderTimeInForce {
     }
 }
 
-#[derive(Debug, Clone)]
+#[derive(Debug, Clone, serde::Serialize)]
 pub enum TargetPortfolioOrderPricing {
     LimitPrices(BTreeMap<String, f64>),
     AlgoOrder {
@@ -1068,8 +1158,11 @@ pub enum TargetPortfolioOrderPricing {
     },
 }
 
-#[derive(Debug, Clone)]
+#[derive(Debug, Clone, serde::Serialize)]
 pub enum OrderIntent {
+    StockPool {
+        contract: Box<crate::stock_pool_execution::FrozenStockPoolIntent>,
+    },
     WithTimeInForce {
         intent: Box<OrderIntent>,
         time_in_force: OrderTimeInForce,
@@ -1231,6 +1324,7 @@ pub enum OrderIntent {
 impl OrderIntent {
     fn collect_potential_buy_symbols(&self, open_orders: &[OpenOrderView], symbols: &mut BTreeSet<String>) {
         match self.unwrapped() {
+            Self::StockPool { contract } => { symbols.extend(contract.selection.requested_symbols.iter().cloned()); }
             Self::Shares { symbol, quantity, .. } | Self::LimitShares { symbol, quantity, .. } if *quantity > 0 => { symbols.insert(symbol.clone()); }
             Self::Lots { symbol, lots, .. } | Self::LimitLots { symbol, lots, .. } if *lots > 0 => { symbols.insert(symbol.clone()); }
             Self::TargetShares { symbol, target_quantity, .. } | Self::LimitTargetShares { symbol, target_quantity, .. } if *target_quantity > 0 => { symbols.insert(symbol.clone()); }
@@ -1311,6 +1405,7 @@ impl OrderIntent {
 
     pub fn supports_time_in_force(&self, time_in_force: OrderTimeInForce) -> bool {
         let intent = self.unwrapped();
+        if matches!(intent, Self::StockPool { .. }) { return time_in_force == OrderTimeInForce::Day; }
         if matches!(
             intent,
             Self::CancelOrder { .. }
@@ -3179,7 +3274,7 @@ mod tests {
             .enumerate()
             .map(|(index, date)| DailyMarketSnapshot {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 timestamp: Some(format!("{date} 10:18:00")),
                 day_open: 10.0 + index as f64,
                 open: 10.0 + index as f64,
@@ -3205,21 +3300,21 @@ mod tests {
             .iter()
             .map(|date| DailyFactorSnapshot {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 9.0,
                 pe_ttm: 12.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             })
             .collect::<Vec<_>>();
         let candidate_rows = dates
             .iter()
             .map(|date| CandidateEligibility {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,

crates/fidc-core/src/strategy_ai.rs

@@ -254,7 +254,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             },
             ManualSection {
                 title: "corporate_actions.dividend_reinvestment".to_string(),
-                detail: "支持 corporate_actions.dividend_reinvestment(true)。开启后，现金分红到账会优先按 round lot 回补成同一只股票，零头保留为现金。".to_string(),
+                detail: "历史兼容的回测账务再投模型：corporate_actions.dividend_reinvestment(true) 在分红结算时按调整后的参考价分配整手股数，零头留现金，费用为0；来源标记为 dividend_reinvestment，不是交易所委托或真实自动买入。新策略不应手工处理公司行为。".to_string(),
             },
             ManualSection {
                 title: "execution.matching_type / execution.slippage".to_string(),
@@ -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/src/universe.rs

@@ -83,7 +83,7 @@ impl SelectionContext<'_> {
         for factor in self.data.factor_snapshot_rows_on(self.decision_date) {
             if self
                 .dynamic_universe
-                .is_some_and(|symbols| !symbols.is_empty() && !symbols.contains(&factor.symbol))
+                .is_some_and(|symbols| !symbols.is_empty() && !symbols.contains(factor.symbol.as_str()))
             {
                 continue;
             }
@@ -307,7 +307,7 @@ mod tests {
     fn market(symbol: &str, price: f64) -> DailyMarketSnapshot {
         DailyMarketSnapshot {
             date: d(),
-            symbol: symbol.to_string(),
+            symbol: symbol.into(),
             timestamp: Some("2025-01-02 10:00:00".to_string()),
             day_open: price,
             open: price,
@@ -333,7 +333,7 @@ mod tests {
     fn factor(symbol: &str, market_cap_bn: f64) -> DailyFactorSnapshot {
         DailyFactorSnapshot {
             date: d(),
-            symbol: symbol.to_string(),
+            symbol: symbol.into(),
             market_cap_bn,
             free_float_cap_bn: market_cap_bn,
             pe_ttm: 10.0,
@@ -347,7 +347,7 @@ mod tests {
     fn candidate(symbol: &str, is_st: bool, is_kcb: bool) -> CandidateEligibility {
         CandidateEligibility {
             date: d(),
-            symbol: symbol.to_string(),
+            symbol: symbol.into(),
             is_st,
             is_star_st: false,
             is_new_listing: false,

crates/fidc-core/tests/automatic_trade_protection.rs

@@ -0,0 +1,490 @@
+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(),
+    }
+}
+
+#[test]
+fn observed_manual_trades_then_split_keep_real_fill_protection_and_lock_dates() {
+    for sell_during_lock in [false, true] {
+    let sale = if sell_during_lock {
+        ("manual-sell", "Sell", "2026-09-16T01:31:00Z", "2026-09-16T01:31:01Z", "5", "0.5", 200)
+    } else {
+        ("manual-sell", "Sell", "2026-09-14T01:31:00Z", "2026-09-14T01:31:01Z", "10", "0.5", 100)
+    };
+    let actions = [
+        ("new-buy", "Buy", "2026-09-14T01:30:00Z", "2026-09-14T01:30:01Z", "10", "0.25", 100),
+        ("late-buy", "Buy", "2026-09-11T06:00:00Z", "2026-09-14T01:30:02Z", "10", "0.75", 100),
+        sale,
+    ].into_iter().enumerate().map(|(index, (id, side, executed, observed, price, fee, quantity))| {
+        let executed: chrono::DateTime<chrono::Utc> = executed.parse().unwrap();
+        let observed: chrono::DateTime<chrono::Utc> = observed.parse().unwrap();
+        let created = executed - chrono::Duration::seconds(1);
+        serde_json::json!({"actionId":id,"source":"manual_security_trade","auditEventIds":[format!("audit-{id}")],
+            "confirmedAt":created,"confirmationObservedAt":created,"outcome":"orders_terminal","orders":[{
+                "orderId":id,"brokerOrderId":id,"sourceAdapter":"paper","symbol":"000001.SZ","side":side,"quantity":quantity,
+                "orderCreatedAt":created,"terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
+                    "tradeId":id,"observationEventId":id,"observationSequence":index+1,
+                    "tradeDate":executed.date_naive(),"executedAt":executed,"observedAt":observed,
+                    "feeObservationEventId":id,"feeObservationSequence":index+1,"feeObservedAt":observed,
+                    "timestampPrecision":"second","quantity":quantity,"price":price,"totalFee":fee
+                }]
+            }]})
+    }).collect::<Vec<_>>();
+    let mut replay: fidc_core::manual_execution::ManualExecutionReplay = serde_json::from_value(serde_json::json!({
+        "schema":fidc_core::manual_execution::MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a",
+        "sourceContractSha256":"a".repeat(64),"contentSha256":"","observationCutoff":"2026-09-18T08:00:00Z","actions":actions,
+    })).unwrap();
+    replay.content_sha256 = replay.content_digest().unwrap();
+    let mut parts = data().snapshot_components();
+    for row in &mut parts.market {
+        if row.date >= d(15) {
+            row.day_open = 5.;
+            row.open = 5.;
+            row.high = 5.;
+            row.low = 5.;
+            row.close = 5.;
+            row.last_price = 5.;
+            row.bid1 = 5.;
+            row.ask1 = 5.;
+            row.prev_close = 5.;
+            row.upper_limit = 5.5;
+            row.lower_limit = 4.5;
+        }
+    }
+    parts.corporate_actions.push(fidc_core::CorporateAction {
+        date: d(15),
+        symbol: "000001.SZ".into(),
+        payable_date: None,
+        share_cash: 0.,
+        share_bonus: 1.,
+        share_gift: 0.,
+        issue_quantity: 0.,
+        issue_price: 0.,
+        reform: false,
+        adjust_factor: None,
+        successor_symbol: None,
+        successor_ratio: None,
+        successor_cash: None,
+    });
+    let data = DataSet::from_components_with_actions(
+        parts.instruments,
+        parts.market,
+        parts.factors,
+        parts.candidates,
+        parts.benchmarks,
+        parts.corporate_actions,
+    )
+    .unwrap();
+    let mut config = PlatformExprStrategyConfig::generic();
+    config.signal_symbol = "000001.SZ".into();
+    config.benchmark_symbol = "000300.SH".into();
+    config.rotation_enabled = false;
+    config.matching_type = MatchingType::CurrentBarClose;
+    config.volume_capacity_mode =
+        fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
+    config.automatic_trade_protection = AutomaticTradeProtection {
+        buy_protection_days: 3,
+        sell_cooldown_days: 3,
+        max_holding_days: 1,
+        locks: vec![AutomaticTradeLock {
+            symbol: "000001.SZ".into(),
+            start_date: d(16),
+            end_date: Some(d(17)),
+        }],
+    };
+    config.explicit_actions = vec![action("-200", "decision_date >= \"2026-09-14\"")];
+    let result = BacktestEngine::new(
+        data,
+        PlatformExprStrategy::new(config),
+        BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_volume_capacity_mode(
+                fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit,
+            ),
+        BacktestConfig {
+            initial_cash: 10000.,
+            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,
+        },
+    )
+    .with_observed_manual_executions(replay)
+    .unwrap()
+    .run()
+    .unwrap();
+    assert_eq!(result.manual_executions.len(), 3);
+    assert_eq!(result.manual_executions[2].quantity_after, if sell_during_lock { 200 } else { 100 });
+    assert_eq!(result.fills.len(), 1, "{:?}", result.fills);
+    assert_eq!(
+        (
+            result.fills[0].date,
+            result.fills[0].side,
+            result.fills[0].quantity,
+            result.fills[0].price
+        ),
+        (d(18), OrderSide::Sell, 200, 5.)
+    );
+    assert!(result.fills[0].reason.contains("max_holding_days_exit"));
+    for day in [14, 15] {
+        for rule in ["buy_fill_protection", "sell_fill_cooldown"] {
+            if rule == "sell_fill_cooldown" && sell_during_lock { continue; }
+            assert!(result.risk_decisions.iter().any(|audit| audit.date == d(day)
+                && audit.symbol == "000001.SZ" && audit.rule_code == rule && !audit.accepted), "day={day} rule={rule}");
+        }
+    }
+    for day in [16, 17] {
+        assert!(result.risk_decisions.iter().any(|audit| audit.date == d(day)
+            && audit.symbol == "000001.SZ" && audit.rule_code == "automatic_trade_locked" && !audit.accepted));
+    }
+    assert!(
+        result
+            .daily_holdings
+            .iter()
+            .any(|row| row.date == d(15) && row.quantity == if sell_during_lock { 400 } else { 200 })
+    );
+    assert!(result.holdings_summary.is_empty());
+    assert!(
+        result
+            .equity_curve
+            .iter()
+            .all(|point| point.external_cash_flow == 0.)
+    );
+    }
+}
+
+fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
+    let mut config = PlatformExprStrategyConfig::generic();
+    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
+    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_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
+        .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.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
+    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_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
+        .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/core_rules.rs

@@ -15,7 +15,7 @@ fn d(year: i32, month: u32, day: u32) -> NaiveDate {
 fn candidate() -> CandidateEligibility {
     CandidateEligibility {
         date: d(2024, 1, 3),
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         is_st: false,
         is_star_st: false,
         is_new_listing: false,
@@ -31,7 +31,7 @@ fn candidate() -> CandidateEligibility {
 fn snapshot(open: f64, upper_limit: f64, lower_limit: f64) -> DailyMarketSnapshot {
     DailyMarketSnapshot {
         date: d(2024, 1, 3),
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         timestamp: Some("2024-01-03 10:18:00".to_string()),
         day_open: open,
         open,
@@ -256,7 +256,7 @@ fn china_rule_hooks_allow_sell_when_last_price_is_above_lower_limit() {
 
     let snapshot = DailyMarketSnapshot {
         date: d(2024, 4, 7),
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         timestamp: Some("2024-04-07 10:18:00".to_string()),
         day_open: 2.53,
         open: 2.53,

crates/fidc-core/tests/corporate_actions.rs

@@ -113,7 +113,7 @@ impl Strategy for BuyAndHoldStrategy {
 fn stock_market_snapshot(date: NaiveDate) -> DailyMarketSnapshot {
     DailyMarketSnapshot {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         timestamp: Some(format!("{date} 10:18:00")),
         day_open: 10.0,
         open: 10.0,
@@ -139,21 +139,21 @@ fn stock_market_snapshot(date: NaiveDate) -> DailyMarketSnapshot {
 fn stock_factor_snapshot(date: NaiveDate) -> DailyFactorSnapshot {
     DailyFactorSnapshot {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         market_cap_bn: 20.0,
         free_float_cap_bn: 18.0,
         pe_ttm: 10.0,
         turnover_ratio: Some(1.0),
         effective_turnover_ratio: Some(1.0),
         adjustment_factor_backward1: None,
-        extra_factors: BTreeMap::new(),
+        extra_factors: Default::default(),
     }
 }
 
 fn stock_candidate(date: NaiveDate) -> CandidateEligibility {
     CandidateEligibility {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         is_st: false,
         is_star_st: false,
         is_new_listing: false,
@@ -177,6 +177,157 @@ fn benchmark_snapshot(date: NaiveDate) -> BenchmarkSnapshot {
     }
 }
 
+#[test]
+fn successor_conversion_depletes_older_source_lots_before_newer_successor_buys() {
+    struct ConvertedSale {
+        dates: [NaiveDate; 3],
+        seen: std::rc::Rc<std::cell::RefCell<Option<(Option<NaiveDate>, Option<NaiveDate>)>>>,
+    }
+    impl Strategy for ConvertedSale {
+        fn name(&self) -> &str {
+            "successor FIFO"
+        }
+        fn on_day(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+        ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            let (symbol, quantity) = if ctx.execution_date == self.dates[0] {
+                ("000001.SZ", 100)
+            } else if ctx.execution_date == self.dates[1] {
+                ("000002.SZ", 100)
+            } else {
+                let holding = ctx.portfolio.position("000002.SZ").unwrap();
+                *self.seen.borrow_mut() = Some((holding.opened_date(), holding.last_buy_date()));
+                ("000002.SZ", -200)
+            };
+            Ok(StrategyDecision {
+                order_intents: vec![fidc_core::OrderIntent::Shares {
+                    symbol: symbol.into(),
+                    quantity,
+                    reason: "dated lot test".into(),
+                }],
+                ..Default::default()
+            })
+        }
+    }
+    let dates = [d(2026, 9, 11), d(2026, 9, 14), d(2026, 9, 15)];
+    let symbols = ["000001.SZ", "000002.SZ"];
+    let mut market = Vec::new();
+    let mut factors = Vec::new();
+    let mut candidates = Vec::new();
+    for date in dates {
+        for symbol in symbols {
+            let price = if symbol == symbols[0] {
+                10.
+            } else if date == dates[2] {
+                6.
+            } else {
+                20.
+            };
+            let mut quote = stock_market_snapshot(date);
+            quote.symbol = symbol.into();
+            quote.day_open = price;
+            quote.open = price;
+            quote.high = price;
+            quote.low = price;
+            quote.close = price;
+            quote.last_price = price;
+            quote.bid1 = price;
+            quote.ask1 = price;
+            quote.prev_close = price;
+            quote.upper_limit = price * 1.1;
+            quote.lower_limit = price * 0.9;
+            market.push(quote);
+            let mut factor = stock_factor_snapshot(date);
+            factor.symbol = symbol.into();
+            factors.push(factor);
+            let mut candidate = stock_candidate(date);
+            candidate.symbol = symbol.into();
+            candidates.push(candidate);
+        }
+    }
+    let data = DataSet::from_components_with_actions(
+        symbols
+            .into_iter()
+            .map(|symbol| Instrument {
+                symbol: symbol.into(),
+                name: symbol.into(),
+                board: "SZ".into(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".into(),
+            })
+            .collect(),
+        market,
+        factors,
+        candidates,
+        dates.map(benchmark_snapshot).into(),
+        vec![CorporateAction {
+            date: dates[2],
+            symbol: symbols[0].into(),
+            payable_date: None,
+            share_cash: 0.,
+            share_bonus: 0.,
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: Some(symbols[1].into()),
+            successor_ratio: Some(2.),
+            successor_cash: Some(0.),
+        }],
+    )
+    .unwrap();
+    let seen = std::rc::Rc::new(std::cell::RefCell::new(None));
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks,
+        PriceField::Open,
+    )
+    .with_matching_type(fidc_core::MatchingType::NextBarOpen)
+    .with_volume_limit(false)
+    .with_liquidity_limit(false);
+    let result = BacktestEngine::new(
+        data,
+        ConvertedSale {
+            dates,
+            seen: seen.clone(),
+        },
+        broker,
+        BacktestConfig {
+            initial_cash: 10000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(dates[0]),
+            end_date: Some(dates[2]),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .run()
+    .unwrap();
+    assert_eq!(*seen.borrow(), Some((Some(dates[0]), Some(dates[1]))));
+    assert_eq!(result.fills.len(), 3);
+    assert_eq!(result.fills[2].quantity, 200);
+    assert_eq!(result.fills[2].symbol, symbols[1]);
+    let remaining = result
+        .holdings_summary
+        .iter()
+        .find(|row| row.symbol == symbols[1])
+        .unwrap();
+    assert_eq!(remaining.quantity, 100);
+    assert_eq!(remaining.realized_pnl, 200.);
+    assert!(
+        result
+            .position_events
+            .iter()
+            .any(|event| event.symbol == symbols[0]
+                && event.quantity_after == 0
+                && event.reason.starts_with("successor_conversion"))
+    );
+}
+
 #[test]
 fn engine_reinvests_dividend_receivable_in_round_lots() {
     let buy_date = d(2025, 1, 1);
@@ -195,7 +346,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
         vec![
             DailyMarketSnapshot {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-01 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -218,7 +369,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             DailyMarketSnapshot {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-02 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -241,7 +392,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             DailyMarketSnapshot {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-03 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -266,42 +417,42 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
         vec![
             DailyFactorSnapshot {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
         ],
         vec![
             CandidateEligibility {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -314,7 +465,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             CandidateEligibility {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -327,7 +478,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             CandidateEligibility {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -394,7 +545,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 .with_minimum_commission(0.0),
             ChinaEquityRuleHooks::default(),
             PriceField::Open,
-        ),
+        ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
         BacktestConfig {
             initial_cash: 11_008.0,
             benchmark_code: "000300.SH".to_string(),
@@ -475,7 +626,7 @@ fn engine_settles_same_day_dividend_after_split_for_aiquant_semantics() {
             ChinaAShareCostModel::default(),
             ChinaEquityRuleHooks::default(),
             PriceField::Open,
-        ),
+        ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
         BacktestConfig {
             initial_cash: 11_008.0,
             benchmark_code: "000300.SH".to_string(),

crates/fidc-core/tests/decision_quote_preload.rs

@@ -2,10 +2,10 @@ 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};
+use std::collections::BTreeSet;
 use std::sync::{Arc, Mutex};
 
 fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -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,
@@ -90,10 +102,10 @@ 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(),
+            symbol: "000001.SZ".into(),
             timestamp: Some(format!("{date} 15:00:00")),
             day_open: 10.0,
             open: 10.0,
@@ -116,7 +128,7 @@ fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
         }],
         vec![DailyFactorSnapshot {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             market_cap_bn: 10.0,
             free_float_cap_bn: 10.0,
             pe_ttm: 10.0,
@@ -127,7 +139,7 @@ fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
         }],
         vec![CandidateEligibility {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             is_st: false,
             is_star_st: false,
             is_new_listing: false,
@@ -151,14 +163,55 @@ fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
 }
 
 #[test]
-fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
+fn runtime_account_dependent_quote_scope_uses_the_actual_account() {
+    struct AccountDependentQuoteReader;
+    impl Strategy for AccountDependentQuoteReader {
+        fn name(&self) -> &str { "account_dependent_quote_reader" }
+        fn decision_quote_times(&self) -> Vec<NaiveTime> { vec![t(10, 18, 0)] }
+        fn decision_quote_symbols(&mut self, ctx: &StrategyContext<'_>) -> Result<BTreeSet<String>, fidc_core::BacktestError> {
+            Ok(if ctx.portfolio.cash() < 50_000.0 {
+                BTreeSet::from(["000001.SZ".into()])
+            } else { BTreeSet::new() })
+        }
+        fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            let loaded = ctx.data.execution_quotes_on(ctx.execution_date, "000001.SZ").iter().any(|quote|
+                quote.timestamp.time()==t(10,17,59) && quote.last_price==10.0);
+            assert_eq!(loaded, ctx.portfolio.cash() < 50_000.0,
+                "quote scope must match this account, not a fixed-capital planning account");
+            Ok(StrategyDecision::default())
+        }
+    }
+    let date = d(2026, 1, 5);
+    for initial_cash in [10_000.0, 100_000.0] {
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(), ChinaEquityRuleHooks, PriceField::Close,
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
+        .with_matching_type(MatchingType::CurrentBarClose);
+    let config = BacktestConfig {
+        initial_cash, benchmark_code:"000852.SH".into(),
+        start_date:Some(date), end_date:Some(date), decision_lag_trading_days:0,
+        execution_price_field:PriceField::Close,
+    };
+    let mut engine = BacktestEngine::new(single_day_quote_plan_data(date), AccountDependentQuoteReader, broker, config)
+        .with_execution_quote_loader(move |request| Ok(request.symbols.into_iter().map(|symbol| IntradayExecutionQuote {
+            observation_kind:Default::default(), date:request.date, symbol,
+            timestamp:request.date.and_time(t(10,17,59)), last_price:10.0,bid1:10.0,ask1:10.0,
+            bid1_volume:10_000,ask1_volume:10_000,volume_delta:10_000,amount_delta:100_000.0,
+            trading_phase:Some("continuous".into()),
+        }).collect()));
+    engine.run().expect("account-dependent quote planning");
+    }
+}
+
+#[test]
+fn engine_resolves_the_runtime_strategy_scope_when_a_loader_exists() {
     let date = d(2026, 1, 5);
     let data = single_day_quote_plan_data(date);
     let broker = BrokerSimulator::new_with_execution_price(
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Close,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::CurrentBarClose);
     let config = BacktestConfig {
         initial_cash: 10_000.0,
@@ -174,17 +227,13 @@ fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
         symbol_plan_calls: Arc::clone(&symbol_plan_calls),
     };
     let captured_loader_calls = Arc::clone(&loader_calls);
-    let preplanned = Arc::new(BTreeMap::from([(
-        date,
-        BTreeSet::from(["000001.SZ".to_string()]),
-    )]));
     let mut engine = BacktestEngine::new(data, strategy, broker, config)
         .with_execution_quote_loader(move |request| {
             *captured_loader_calls.lock().expect("loader counter mutex") += 1;
             Ok(request
                 .symbols
                 .into_iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date: request.date,
                     symbol,
                     timestamp: request.date.and_time(t(10, 17, 59)),
@@ -198,20 +247,19 @@ fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
                     trading_phase: Some("continuous".to_string()),
                 })
                 .collect())
-        })
-        .with_preplanned_decision_quote_symbols_by_date(preplanned);
+        });
 
     engine.run().expect("backtest should run");
 
     assert_eq!(
         *symbol_plan_calls.lock().expect("symbol plan counter mutex"),
-        0,
-        "the strategy plan must not be recomputed after a complete plan is supplied"
+        1,
+        "quote planning must use the actual run context"
     );
     assert_eq!(
         *loader_calls.lock().expect("loader counter mutex"),
-        1,
-        "the supplied symbols must still pass through the normal quote loader"
+        0,
+        "an empty runtime scope must not fetch unrequested symbols"
     );
 }
 
@@ -223,7 +271,7 @@ fn engine_skips_decision_quote_symbol_plan_without_loader() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Close,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::CurrentBarClose);
     let config = BacktestConfig {
         initial_cash: 10_000.0,
@@ -253,11 +301,11 @@ 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,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-05 15:00:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -280,7 +328,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
             },
             DailyMarketSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-06 15:00:00".to_string()),
                 day_open: 10.5,
                 open: 10.5,
@@ -305,7 +353,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
         vec![
             DailyFactorSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -316,7 +364,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
             },
             DailyFactorSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -329,7 +377,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
         vec![
             CandidateEligibility {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -342,7 +390,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
             },
             CandidateEligibility {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -379,7 +427,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
@@ -399,7 +447,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
             Ok(request
                 .symbols
                 .into_iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date: request.date,
                     symbol,
                     timestamp: request.date.and_time(t(10, 39, 59)),
@@ -423,11 +471,11 @@ 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,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-05 15:00:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -450,7 +498,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
             },
             DailyMarketSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-06 15:00:00".to_string()),
                 day_open: 10.5,
                 open: 10.5,
@@ -475,7 +523,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         vec![
             DailyFactorSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -486,7 +534,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
             },
             DailyFactorSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -499,7 +547,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         vec![
             CandidateEligibility {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -512,7 +560,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
             },
             CandidateEligibility {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -544,7 +592,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         ],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date: first,
                 symbol: "000001.SZ".to_string(),
                 timestamp: first.and_time(t(10, 39, 59)),
@@ -557,7 +605,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
                 amount_delta: 100_000.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date: second,
                 symbol: "000001.SZ".to_string(),
                 timestamp: second.and_time(t(10, 39, 59)),
@@ -578,7 +626,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
@@ -658,11 +706,11 @@ 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,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-05 15:00:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -685,7 +733,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
             },
             DailyMarketSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-06 15:00:00".to_string()),
                 day_open: 10.5,
                 open: 10.5,
@@ -710,7 +758,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         vec![
             DailyFactorSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -721,7 +769,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
             },
             DailyFactorSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -734,7 +782,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         vec![
             CandidateEligibility {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -747,7 +795,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
             },
             CandidateEligibility {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -784,7 +832,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
@@ -814,7 +862,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         Ok(request
             .symbols
             .into_iter()
-            .map(|symbol| IntradayExecutionQuote {
+            .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                 date: request.date,
                 symbol,
                 timestamp: request.date.and_time(start_time) - Duration::seconds(1),

crates/fidc-core/tests/delisting.rs

@@ -71,7 +71,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
         vec![
             DailyMarketSnapshot {
                 date: date1,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-02 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -94,7 +94,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
             },
             DailyMarketSnapshot {
                 date: date1,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 timestamp: Some("2025-01-02 10:18:00".to_string()),
                 day_open: 5.0,
                 open: 5.0,
@@ -117,7 +117,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
             },
             DailyMarketSnapshot {
                 date: delist_date,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 timestamp: Some("2025-01-03 10:18:00".to_string()),
                 day_open: 5.05,
                 open: 5.05,
@@ -140,7 +140,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
             },
             DailyMarketSnapshot {
                 date: date2,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 timestamp: Some("2025-01-06 10:18:00".to_string()),
                 day_open: 5.1,
                 open: 5.1,
@@ -165,53 +165,53 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
         vec![
             DailyFactorSnapshot {
                 date: date1,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: date1,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 market_cap_bn: 30.0,
                 free_float_cap_bn: 28.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: delist_date,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 market_cap_bn: 30.5,
                 free_float_cap_bn: 28.5,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: date2,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 market_cap_bn: 31.0,
                 free_float_cap_bn: 29.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
         ],
         vec![
             CandidateEligibility {
                 date: date1,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -224,7 +224,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
             },
             CandidateEligibility {
                 date: date1,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -237,7 +237,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
             },
             CandidateEligibility {
                 date: delist_date,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -250,7 +250,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
             },
             CandidateEligibility {
                 date: date2,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -295,7 +295,7 @@ fn engine_keeps_unresolved_delisted_position_without_fabricating_a_fill() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks::default(),
         PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
     let mut engine = BacktestEngine::new(
         data,
         BuyThenHoldStrategy,
@@ -364,7 +364,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
         vec![
             DailyMarketSnapshot {
                 date: date1,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-02 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -387,7 +387,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
             },
             DailyMarketSnapshot {
                 date: date1,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 timestamp: Some("2025-01-02 10:18:00".to_string()),
                 day_open: 20.0,
                 open: 20.0,
@@ -410,7 +410,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
             },
             DailyMarketSnapshot {
                 date: date2,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 timestamp: Some("2025-01-03 10:18:00".to_string()),
                 day_open: 21.0,
                 open: 21.0,
@@ -435,42 +435,42 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
         vec![
             DailyFactorSnapshot {
                 date: date1,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: date1,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 market_cap_bn: 30.0,
                 free_float_cap_bn: 28.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: date2,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 market_cap_bn: 31.0,
                 free_float_cap_bn: 29.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
         ],
         vec![
             CandidateEligibility {
                 date: date1,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -483,7 +483,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
             },
             CandidateEligibility {
                 date: date1,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -496,7 +496,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
             },
             CandidateEligibility {
                 date: date2,
-                symbol: "000002.SZ".to_string(),
+                symbol: "000002.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -548,7 +548,7 @@ fn engine_applies_successor_conversion_before_unresolved_delisting_audit() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks::default(),
         PriceField::Open,
-    );
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit);
     let mut engine = BacktestEngine::new(
         data,
         BuyThenHoldStrategy,

crates/fidc-core/tests/dividend_reinvestment_contract.rs

@@ -0,0 +1,475 @@
+use chrono::{NaiveDate, NaiveTime};
+use fidc_core::{
+    BacktestConfig, BacktestEngine, BrokerSimulator, ChinaAShareCostModel, ChinaEquityRuleHooks,
+    DataSet, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext, StrategyDecision,
+};
+use std::{cell::RefCell, collections::BTreeSet, rc::Rc};
+
+const SYMBOL: &str = "000001.SZ";
+fn day(value: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(2026, 9, value).unwrap()
+}
+
+fn data() -> DataSet {
+    let days = [11, 14, 15].map(day);
+    DataSet::from_components_with_actions_and_quotes(
+        vec![fidc_core::Instrument {
+            symbol: SYMBOL.into(),
+            name: "fixture".into(),
+            board: "SZ".into(),
+            round_lot: 100,
+            listed_at: Some(day(1)),
+            delisted_at: None,
+            status: "active".into(),
+        }],
+        days.iter()
+            .map(|&date| {
+                let price = if date == day(11) { 10. } else { 8.95 };
+                fidc_core::DailyMarketSnapshot {
+                    date,
+                    symbol: SYMBOL.into(),
+                    timestamp: Some(format!("{date} 15:00:00")),
+                    day_open: price,
+                    open: price,
+                    high: price,
+                    low: price,
+                    close: price,
+                    last_price: price,
+                    bid1: price,
+                    ask1: price,
+                    prev_close: price,
+                    volume: 100000,
+                    minute_volume: 100000,
+                    bid1_volume: 100000,
+                    ask1_volume: 100000,
+                    trading_phase: Some("continuous".into()),
+                    paused: false,
+                    upper_limit: price * 1.1,
+                    lower_limit: price * 0.9,
+                    price_tick: 0.01,
+                }
+            })
+            .collect(),
+        days.iter()
+            .map(|&date| fidc_core::DailyFactorSnapshot {
+                date,
+                symbol: SYMBOL.into(),
+                market_cap_bn: 10.,
+                free_float_cap_bn: 10.,
+                pe_ttm: 10.,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                adjustment_factor_backward1: Some(1.),
+                extra_factors: Default::default(),
+            })
+            .collect(),
+        days.iter()
+            .map(|&date| fidc_core::CandidateEligibility {
+                date,
+                symbol: SYMBOL.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(),
+        days.iter()
+            .map(|&date| fidc_core::BenchmarkSnapshot {
+                date,
+                benchmark: "000300.SH".into(),
+                open: 100.,
+                close: 100.,
+                prev_close: 100.,
+                volume: 100000,
+            })
+            .collect(),
+        vec![fidc_core::CorporateAction {
+            date: day(14),
+            symbol: SYMBOL.into(),
+            payable_date: Some(day(14)),
+            share_cash: 1.05,
+            share_bonus: 0.,
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: None,
+            successor_ratio: None,
+            successor_cash: None,
+        }],
+        [(9, 15), (9, 31)]
+            .into_iter()
+            .map(|(hour, minute)| fidc_core::IntradayExecutionQuote {
+                observation_kind: fidc_core::data::QuoteObservationKind::MinuteBar,
+                date: day(14),
+                symbol: SYMBOL.into(),
+                timestamp: day(14).and_hms_opt(hour, minute, 0).unwrap(),
+                last_price: 8.95,
+                bid1: 8.95,
+                ask1: 8.95,
+                bid1_volume: 100000,
+                ask1_volume: 100000,
+                volume_delta: 10000,
+                amount_delta: 89500.,
+                trading_phase: Some("continuous".into()),
+            })
+            .collect(),
+    )
+    .unwrap()
+}
+
+struct Hold {
+    seen: Rc<RefCell<Vec<(NaiveTime, u32)>>>,
+}
+impl Strategy for Hold {
+    fn name(&self) -> &str {
+        "accounting reinvestment contract"
+    }
+    fn initial_subscriptions(&self) -> BTreeSet<String> {
+        [SYMBOL.into()].into()
+    }
+    fn on_day(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        Ok(if ctx.execution_date == day(11) {
+            StrategyDecision {
+                order_intents: vec![OrderIntent::Shares {
+                    symbol: SYMBOL.into(),
+                    quantity: 1000,
+                    reason: "initial".into(),
+                }],
+                ..Default::default()
+            }
+        } else {
+            StrategyDecision::default()
+        })
+    }
+    fn on_minute(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+        _: &fidc_core::IntradayExecutionQuote,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        self.seen.borrow_mut().push((
+            ctx.current_time().unwrap(),
+            ctx.portfolio
+                .position(SYMBOL)
+                .map_or(0, |position| position.quantity),
+        ));
+        Ok(Default::default())
+    }
+}
+
+fn engine() -> BacktestEngine<Hold, ChinaAShareCostModel, ChinaEquityRuleHooks> {
+    BacktestEngine::new(
+        data(),
+        Hold {
+            seen: Rc::new(RefCell::new(Vec::new())),
+        },
+        BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default()
+                .with_commission_rate(0.0008)
+                .with_minimum_commission(0.),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false),
+        BacktestConfig {
+            initial_cash: 50000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(day(11)),
+            end_date: Some(day(15)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_dividend_reinvestment(true)
+}
+
+#[test]
+fn accounting_reinvestment_has_an_explicit_origin_clock_and_progress_delivery() {
+    let mut progress = Vec::new();
+    let result = engine()
+        .run_with_progress(|event| progress.push(event.clone()))
+        .unwrap();
+    let reinvest = result
+        .fills
+        .iter()
+        .find(|fill| fill.reason == "dividend_reinvestment")
+        .unwrap();
+    assert_eq!(
+        (
+            reinvest.quantity,
+            reinvest.price,
+            reinvest.commission,
+            reinvest.order_id
+        ),
+        (100, 8.95, 0., None)
+    );
+    assert_eq!(
+        serde_json::to_value(reinvest).unwrap()["origin"],
+        "dividend_reinvestment"
+    );
+    assert_eq!(reinvest.execution_timestamp, day(14).and_hms_opt(0, 0, 0));
+    let received = progress.iter().find(|event| event.date == day(14)).unwrap();
+    assert!(
+        received
+            .fills
+            .iter()
+            .any(|fill| fill.reason == "dividend_reinvestment")
+    );
+    assert_eq!(
+        progress
+            .iter()
+            .map(|event| event.daily_fill_count)
+            .sum::<usize>(),
+        result.fills.len()
+    );
+}
+
+fn manual_source(delayed: bool) -> fidc_core::manual_execution::ManualExecutionReplay {
+    let observed = if delayed {
+        "2026-09-14T01:15:00Z"
+    } else {
+        "2026-09-11T06:00:01Z"
+    };
+    let mut source: fidc_core::manual_execution::ManualExecutionReplay = serde_json::from_value(serde_json::json!({
+        "schema":fidc_core::manual_execution::MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a","sourceContractSha256":"a".repeat(64),"contentSha256":"",
+        "observationCutoff":"2026-09-15T08:00:00Z","actions":[{"actionId":"manual","source":"manual_security_trade","auditEventIds":["audit"],
+            "confirmedAt":"2026-09-11T05:59:59Z","confirmationObservedAt":"2026-09-11T05:59:59Z","outcome":"orders_terminal","orders":[{
+                "orderId":"manual-order","sourceAdapter":"paper","symbol":SYMBOL,"side":"Buy","quantity":1000,
+                "orderCreatedAt":"2026-09-11T05:59:59Z","terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
+                    "tradeId":"manual-fill","observationEventId":"receipt","observationSequence":1,"feeObservationEventId":"receipt","feeObservationSequence":1,
+                    "feeObservedAt":observed,"tradeDate":"2026-09-11","executedAt":"2026-09-11T06:00:00Z","observedAt":observed,
+                    "timestampPrecision":"second","quantity":1000,"price":"10","totalFee":"1"
+                }]
+            }]}]
+    })).unwrap();
+    source.content_sha256 = source.content_digest().unwrap();
+    source
+}
+
+#[test]
+fn delayed_receipt_before_market_open_reconciles_accounting_not_future_market_fills() {
+    let timely = engine()
+        .with_observed_manual_executions(manual_source(false))
+        .unwrap()
+        .run()
+        .unwrap();
+    let delayed = engine()
+        .with_observed_manual_executions(manual_source(true))
+        .unwrap()
+        .run()
+        .unwrap();
+    assert_eq!(delayed.holdings_summary[0].quantity, 2200);
+    assert_eq!(
+        delayed.holdings_summary[0].quantity,
+        timely.holdings_summary[0].quantity
+    );
+    assert_eq!(
+        delayed.equity_curve.last().unwrap().cash,
+        timely.equity_curve.last().unwrap().cash
+    );
+    assert_eq!(
+        delayed.manual_executions[0]
+            .corporate_adjustment
+            .as_ref()
+            .unwrap()
+            .corporate_cash_delta,
+        "155"
+    );
+}
+
+#[test]
+fn weekend_receipts_and_morning_allocations_are_in_the_next_progress_batch() {
+    let mut source = manual_source(true);
+    let observed = "2026-09-12T02:00:00Z".parse().unwrap();
+    let order = &mut source.actions[0].orders[0];
+    order.terminal_observed_at = observed;
+    order.fills[0].observed_at = observed;
+    order.fills[0].fee_observed_at = observed;
+    source.content_sha256 = source.content_digest().unwrap();
+    let mut progress = Vec::new();
+    let result = engine()
+        .with_observed_manual_executions(source)
+        .unwrap()
+        .run_with_progress(|event| progress.push(event.clone()))
+        .unwrap();
+    let monday = progress.iter().find(|event| event.date == day(14)).unwrap();
+    assert_eq!(monday.daily_manual_fill_count, 1);
+    assert_eq!(monday.manual_executions[0].observed_at, observed);
+    assert!(
+        monday
+            .fills
+            .iter()
+            .any(|fill| fill.origin == fidc_core::FillOrigin::DividendReinvestment)
+    );
+    assert!(
+        monday
+            .process_events
+            .iter()
+            .any(|event| event.kind == fidc_core::ProcessEventKind::ManualExecutionObserved)
+    );
+    assert_eq!(
+        progress
+            .iter()
+            .map(|event| event.daily_fill_count)
+            .sum::<usize>(),
+        result.fills.len() + result.manual_executions.len()
+    );
+}
+
+fn exposure_event(id: &str, sequence: u64, at: &str, action: fidc_core::position_exposure::PositionExposureAction)
+    -> fidc_core::position_exposure::PositionExposureEvent {
+    fidc_core::position_exposure::PositionExposureEvent {
+        event_id: id.into(), sequence, effective_at: at.parse().unwrap(), allocation_weights_bps: None, action,
+    }
+}
+
+fn cleared_reinvestment_case(
+    events: Vec<fidc_core::position_exposure::PositionExposureEvent>,
+    legacy: std::collections::BTreeMap<NaiveDate, i32>,
+    extra_buy_delayed: Option<bool>,
+) -> fidc_core::BacktestResult {
+    let mut parts = data().snapshot_components();
+    parts.corporate_actions[0].payable_date = Some(day(15));
+    let data = DataSet::from_components_with_actions_and_quotes(parts.instruments, parts.market,
+        parts.factors, parts.candidates, parts.benchmarks, parts.corporate_actions, parts.execution_quotes).unwrap();
+    let mut source = manual_source(false);
+    let mut sale = source.actions[0].clone();
+    sale.action_id = "clear".into(); sale.audit_event_ids = vec!["clear-audit".into()];
+    sale.confirmed_at = "2026-09-14T05:59:59Z".parse().unwrap();
+    sale.confirmation_observed_at = sale.confirmed_at;
+    let order = &mut sale.orders[0];
+    order.order_id = "clear-order".into(); order.side = fidc_core::OrderSide::Sell;
+    order.order_created_at = sale.confirmed_at;
+    order.terminal_observed_at = "2026-09-14T06:00:01Z".parse().unwrap();
+    let fill = &mut order.fills[0];
+    fill.trade_id = "clear-fill".into(); fill.observation_event_id = "clear-receipt".into();
+    fill.observation_sequence = 2; fill.fee_observation_event_id = "clear-receipt".into();
+    fill.fee_observation_sequence = 2; fill.trade_date = day(14);
+    fill.executed_at = "2026-09-14T06:00:00Z".parse().unwrap();
+    fill.observed_at = order.terminal_observed_at; fill.fee_observed_at = order.terminal_observed_at;
+    fill.price = "8.95".parse().unwrap();
+    source.actions.push(sale);
+    if let Some(delayed) = extra_buy_delayed {
+        let mut extra = source.actions[0].clone();
+        extra.action_id = "extra".into(); extra.audit_event_ids = vec!["extra-audit".into()];
+        extra.confirmed_at = "2026-09-11T06:00:59Z".parse().unwrap();
+        extra.confirmation_observed_at = extra.confirmed_at;
+        let order = &mut extra.orders[0];
+        order.order_id = "extra-order".into(); order.order_created_at = extra.confirmed_at;
+        order.terminal_observed_at = if delayed { "2026-09-15T01:15:00Z" } else { "2026-09-11T06:01:01Z" }.parse().unwrap();
+        let fill = &mut order.fills[0];
+        fill.trade_id = "extra-fill".into(); fill.observation_event_id = "extra-receipt".into();
+        fill.observation_sequence = if delayed { 3 } else { 2 };
+        fill.fee_observation_event_id = "extra-receipt".into(); fill.fee_observation_sequence = fill.observation_sequence;
+        fill.executed_at = "2026-09-11T06:01:00Z".parse().unwrap(); fill.observed_at = order.terminal_observed_at;
+        fill.fee_observed_at = order.terminal_observed_at;
+        if !delayed {
+            source.actions[1].orders[0].fills[0].observation_sequence = 3;
+            source.actions[1].orders[0].fills[0].fee_observation_sequence = 3;
+        }
+        source.actions.push(extra);
+    }
+    source.position_exposure_events = events;
+    source.legacy_position_exposure_bps = legacy;
+    source.content_sha256 = source.content_digest().unwrap();
+    let mut config = fidc_core::PlatformExprStrategyConfig::generic();
+    config.signal_symbol = SYMBOL.into(); config.benchmark_symbol = "000300.SH".into();
+    config.rotation_enabled = false; config.matching_type = MatchingType::CurrentBarClose;
+    BacktestEngine::new(data, fidc_core::PlatformExprStrategy::new(config),
+        BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose).with_volume_limit(false).with_liquidity_limit(false),
+        BacktestConfig { initial_cash: 50000., benchmark_code: "000300.SH".into(), start_date: Some(day(11)),
+            end_date: Some(day(15)), decision_lag_trading_days: 0, execution_price_field: PriceField::Close })
+        .with_dividend_reinvestment(true).with_observed_manual_executions(source).unwrap().run().unwrap()
+}
+
+#[test]
+fn an_effective_manual_zero_must_not_recreate_a_cleared_position_on_dividend_payment() {
+    use fidc_core::position_exposure::PositionExposureAction as Action;
+    let zero = exposure_event("zero", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 0 });
+    let result = cleared_reinvestment_case(vec![zero], Default::default(), None);
+    assert!(result.fills.is_empty(), "{:?}", result.fills);
+    assert!(result.holdings_summary.is_empty());
+    assert_eq!(result.equity_curve.last().unwrap().cash, 49998.);
+    assert!(result.equity_curve.last().unwrap().notes.contains("runtime_zero_exposure"));
+}
+
+#[test]
+fn a_clear_without_a_manual_zero_keeps_the_declared_legacy_reinvestment_model() {
+    let result = cleared_reinvestment_case(vec![], Default::default(), None);
+    assert_eq!(result.fills.len(), 1);
+    assert_eq!((result.fills[0].quantity, result.fills[0].price, result.fills[0].commission), (100, 8.95, 0.));
+    assert_eq!(result.fills[0].gross_amount, 895.);
+    assert_eq!(result.fills[0].net_cash_flow, -895.);
+    assert!(result.order_events.is_empty());
+}
+
+#[test]
+fn reinvestment_respects_zero_restore_same_instant_sequence_and_legacy_granularity() {
+    use fidc_core::position_exposure::PositionExposureAction as Action;
+    let before = "2026-09-14T07:00:00Z";
+    let settlement = "2026-09-14T16:00:00Z";
+    let later = "2026-09-15T01:31:00Z";
+    let zero = || exposure_event("zero", 1, before, Action::Scale { requested_bps: 0 });
+    let cases = vec![
+        (vec![zero()], Default::default(), false),
+        (vec![exposure_event("zero-at-settlement", 1, settlement, Action::Set { target_exposure_bps: 0 })], Default::default(), false),
+        (vec![exposure_event("later-zero", 1, later, Action::Set { target_exposure_bps: 0 })], Default::default(), true),
+        (vec![zero(), exposure_event("restore", 2, before, Action::Restore)], Default::default(), true),
+        (vec![exposure_event("restore", 1, before, Action::Restore), exposure_event("last-zero", 2, before, Action::Set { target_exposure_bps: 0 })], Default::default(), false),
+        (vec![exposure_event("restore", 2, before, Action::Restore), zero()], Default::default(), true),
+        (vec![zero(), exposure_event("later-restore", 2, later, Action::Restore)], Default::default(), false),
+        (vec![], std::collections::BTreeMap::from([(day(14), 0)]), false),
+        (vec![exposure_event("restore-legacy", 1, before, Action::Restore)], std::collections::BTreeMap::from([(day(14), 0)]), true),
+        (vec![exposure_event("positive", 1, before, Action::Set { target_exposure_bps: 3000 })], Default::default(), true),
+    ];
+    for (events, legacy, allowed) in cases {
+        let result = cleared_reinvestment_case(events, legacy, None);
+        assert_eq!(result.fills.len(), usize::from(allowed));
+        assert_eq!(result.equity_curve.last().unwrap().cash, if allowed { 49103. } else { 49998. });
+        assert_eq!(result.holdings_summary.iter().map(|holding| holding.quantity).sum::<u32>(), if allowed {100} else {0});
+        assert!(result.order_events.is_empty());
+    }
+}
+
+#[test]
+fn an_explicit_zero_member_weight_or_omission_blocks_only_that_reinvestment() {
+    use fidc_core::position_exposure::PositionExposureAction as Action;
+    for included in [false, true] {
+        for weight in [0, 10000] {
+            let mut event = exposure_event("allocation", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 5000 });
+            let mut weights = std::collections::BTreeMap::from([("000002.SZ".into(), if included {10000-weight} else {10000})]);
+            if included { weights.insert(SYMBOL.into(), weight); }
+            event.allocation_weights_bps = Some(weights);
+            let allowed = included && weight > 0;
+            let result = cleared_reinvestment_case(vec![event], Default::default(), None);
+            assert_eq!(result.fills.len(), usize::from(allowed));
+            if !allowed { assert!(result.equity_curve.last().unwrap().notes.contains("runtime_zero_allocation")); }
+        }
+    }
+}
+
+#[test]
+fn late_corporate_replay_uses_the_same_zero_policy_and_retains_actual_manual_shares() {
+    use fidc_core::position_exposure::PositionExposureAction as Action;
+    let event = exposure_event("zero", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 0 });
+    let timely = cleared_reinvestment_case(vec![event.clone()], Default::default(), Some(false));
+    let late = cleared_reinvestment_case(vec![event], Default::default(), Some(true));
+    assert!(timely.fills.is_empty()); assert!(late.fills.is_empty());
+    assert_eq!(timely.equity_curve.last().unwrap().cash, 41047.);
+    assert_eq!(late.equity_curve.last().unwrap().cash, timely.equity_curve.last().unwrap().cash);
+    assert_eq!(late.holdings_summary[0].quantity, 1000);
+    assert_eq!(late.holdings_summary[0].quantity, timely.holdings_summary[0].quantity);
+    assert_eq!(late.manual_executions.last().unwrap().corporate_adjustment.as_ref().unwrap().corporate_cash_delta, "1050");
+}

crates/fidc-core/tests/fixtures/stock_pool_disabled_stops_compiled.json

@@ -0,0 +1,275 @@
+{
+  "strategyId": "fixture_hold_without_stops_backtest",
+  "version": "1.0.0",
+  "market": "CN_A",
+  "benchmark": {
+    "instrumentId": "000300.SH",
+    "fallbackInstrumentId": "000300.SH",
+    "note": "必须使用真实指数链路；若 000852.SH 不可用，应直接报错而不是退化到其他标的。"
+  },
+  "universe": {
+    "exclude": [],
+    "implementationNotes": [
+      "ST、停牌、退市、新股、科创、一元、涨跌停、同日卖出禁买、成交量和费用由 riskPolicy / RiskLimits 统一执行",
+      "上市日期与退市日期取自 instrument 结构化字段，不再使用股票名称做 ST/退市判断",
+      "盘中 current_price / last_price 由策略交易时刻批量 tick 查询驱动"
+    ],
+    "include": [
+      "000001.SZ",
+      "000002.SZ"
+    ]
+  },
+  "selectors": [
+    {
+      "type": "dynamicRange",
+      "field": "market_cap",
+      "lowerExpr": "0",
+      "upperExpr": "1000000000000",
+      "mapping": "close -> strategy_factory_source_lake.runtime_fields.close"
+    },
+    {
+      "type": "filter",
+      "expr": "(close > 0)"
+    },
+    {
+      "type": "rank",
+      "orderBy": [
+        "market_cap asc"
+      ],
+      "limitExpr": "2"
+    }
+  ],
+  "rebalance": {
+    "frequencyDays": 1,
+    "tradeTimes": [],
+    "dailyApproximation": "日线回测按 matching_type 撮合；分钟线回测按交易时刻分钟价格撮合",
+    "schedule": {
+      "frequency": "daily"
+    }
+  },
+  "risk": {
+    "takeProfitExpr": "",
+    "stopLossExpr": "",
+    "indexThrottleExpr": "max(0.0, 1.0000000000 - 0.0000 / max(total_equity, 1.0))",
+    "stopTakeReferencePriceMode": "position_average_entry_price"
+  },
+  "seasonality": {
+    "skipWindows": []
+  },
+  "execution": {
+    "selectionGranularity": "strategy_factory_source_lake.daily_source_rows_v1",
+    "executionGranularity": "daily_or_minute_bar",
+    "priceSource": "current_bar_close_or_next_bar_open_or_minute_bar",
+    "matchingType": "current_bar_close",
+    "rebalanceCashMode": "sell_then_buy",
+    "slippageModel": "none",
+    "slippageValue": 0,
+    "riskPolicy": {
+      "rejectStSelection": false,
+      "rejectStarStSelection": false,
+      "rejectPausedSelection": false,
+      "rejectInactiveSelection": false,
+      "rejectNewListingSelection": false,
+      "rejectKcbSelection": false,
+      "rejectBjseSelection": false,
+      "rejectOneYuanSelection": false,
+      "rejectUpperLimitSelection": false,
+      "rejectLowerLimitSelection": false,
+      "rejectStBuy": true,
+      "rejectStarStBuy": true,
+      "rejectPausedBuy": true,
+      "rejectInactiveBuy": true,
+      "rejectNewListingBuy": true,
+      "rejectKcbBuy": true,
+      "rejectBjseBuy": true,
+      "rejectOneYuanBuy": true,
+      "rejectUpperLimitBuy": true,
+      "rejectPausedSell": true,
+      "rejectInactiveSell": true,
+      "rejectLowerLimitSell": true,
+      "respectAllowBuySell": true,
+      "forbidSameDayRebuyAfterSell": true,
+      "blacklistEnabled": true,
+      "blacklistedSymbols": [],
+      "allowMarketOrders": true,
+      "liveTradingEnabled": false,
+      "volumeLimitEnabled": true,
+      "liquidityLimitEnabled": true,
+      "volumePercent": 0.25,
+      "maxOrderQuantity": 1000000,
+      "maxOrderNotional": 100000000,
+      "maxSymbolPosition": 10000000,
+      "commissionRate": 0.0003,
+      "minimumCommission": 5,
+      "stampTaxRateBeforeChange": 0.001,
+      "stampTaxRateAfterChange": 0.0005,
+      "stampTaxChangeDate": "2023-08-28"
+    },
+    "sourceLanguage": "engine-script",
+    "sourceKind": "platform-strategy",
+    "extractor": "omniquant-engine-script-v2",
+    "sellThenBuyDelaySlippageRate": 0,
+    "strictValueBudget": true
+  },
+  "factorRefs": [
+    "close"
+  ],
+  "runtimeExpressions": {
+    "prelude": "",
+    "schedule": {
+      "frequency": "daily"
+    },
+    "selection": {
+      "limitExpr": "2",
+      "candidateLimitExpr": "2",
+      "marketCapField": "close",
+      "marketCapLowerExpr": "0",
+      "marketCapUpperExpr": "1000000000000",
+      "stockFilterExpr": "(close > 0)"
+    },
+    "risk": {
+      "exposureExpr": "max(0.0, 1.0000000000 - 0.0000 / max(total_equity, 1.0))",
+      "stopLossExpr": "",
+      "takeProfitExpr": "",
+      "stopTakeReferencePriceMode": "position_average_entry_price"
+    },
+    "allocation": {
+      "buyScaleExpr": "1.0"
+    },
+    "ordering": {
+      "rankBy": "market_cap",
+      "rankExpr": "(symbol == \"000001.SZ\" || symbol == \"000002.SZ\") ? (symbol == \"000001.SZ\" ? (0) : (1)) : 2",
+      "rankOrder": "asc"
+    },
+    "trading": {
+      "rotationEnabled": true,
+      "subscriptionGuardRequired": false,
+      "stage": "on_day",
+      "actions": []
+    }
+  },
+  "engineConfig": {
+    "templateId": "fixture_hold_without_stops_backtest",
+    "benchmarkSymbol": "000300.SH",
+    "signalSymbol": "000300.SH",
+    "rankLimit": 2,
+    "refreshRate": 1,
+    "rsiRate": 1.0001,
+    "dynamicRange": {
+      "baseIndexLevel": 2000,
+      "baseCapFloor": 7,
+      "capSpan": 1000000000000,
+      "xs": 0.008
+    },
+    "stopLossMultiplier": null,
+    "takeProfitMultiplier": null,
+    "matchingType": "current_bar_close",
+    "rebalanceCashMode": "sell_then_buy",
+    "slippageModel": "none",
+    "slippageValue": 0,
+    "riskPolicy": {
+      "rejectStSelection": false,
+      "rejectStarStSelection": false,
+      "rejectPausedSelection": false,
+      "rejectInactiveSelection": false,
+      "rejectNewListingSelection": false,
+      "rejectKcbSelection": false,
+      "rejectBjseSelection": false,
+      "rejectOneYuanSelection": false,
+      "rejectUpperLimitSelection": false,
+      "rejectLowerLimitSelection": false,
+      "rejectStBuy": true,
+      "rejectStarStBuy": true,
+      "rejectPausedBuy": true,
+      "rejectInactiveBuy": true,
+      "rejectNewListingBuy": true,
+      "rejectKcbBuy": true,
+      "rejectBjseBuy": true,
+      "rejectOneYuanBuy": true,
+      "rejectUpperLimitBuy": true,
+      "rejectPausedSell": true,
+      "rejectInactiveSell": true,
+      "rejectLowerLimitSell": true,
+      "respectAllowBuySell": true,
+      "forbidSameDayRebuyAfterSell": true,
+      "blacklistEnabled": true,
+      "blacklistedSymbols": [],
+      "allowMarketOrders": true,
+      "liveTradingEnabled": false,
+      "volumeLimitEnabled": true,
+      "liquidityLimitEnabled": true,
+      "volumePercent": 0.25,
+      "maxOrderQuantity": 1000000,
+      "maxOrderNotional": 100000000,
+      "maxSymbolPosition": 10000000,
+      "commissionRate": 0.0003,
+      "minimumCommission": 5,
+      "stampTaxRateBeforeChange": 0.001,
+      "stampTaxRateAfterChange": 0.0005,
+      "stampTaxChangeDate": "2023-08-28"
+    },
+    "skipWindows": [],
+    "rebalanceSchedule": {
+      "frequency": "daily"
+    },
+    "dividendReinvestment": false,
+    "sellThenBuyDelaySlippageRate": 0,
+    "strictValueBudget": true
+  },
+  "stockPool": {
+    "schema_version": 1,
+    "pool_id": "fixture-pool",
+    "version_id": "fixture-version",
+    "members": [
+      {
+        "symbol": "000001.SZ",
+        "requested_order": 0,
+        "recommendation_reason": "",
+        "target_weight_bps": null,
+        "stop_loss": null,
+        "take_profit": null
+      },
+      {
+        "symbol": "000002.SZ",
+        "requested_order": 1,
+        "recommendation_reason": "",
+        "target_weight_bps": null,
+        "stop_loss": null,
+        "take_profit": null
+      }
+    ],
+    "allocation_policy": {
+      "target_holding_count": 2,
+      "portfolio_policy": {
+        "schema_version": 1,
+        "membership": "retain_holdings",
+        "rebalance_weights": false
+      },
+      "invest_ratio_bps": 10000,
+      "reserve_cash": 0
+    },
+    "timing_policy": {
+      "schema_version": 1,
+      "auto_execute": true,
+      "freeze_time": "00:00",
+      "window_start": "09:30",
+      "window_end": "15:00",
+      "trigger_mode": "scheduled_bar",
+      "pricing_mode": "first_tick",
+      "automatic_trade_protection": {
+        "buy_protection_days": 0,
+        "sell_cooldown_days": 0,
+        "max_holding_days": 0,
+        "locks": []
+      }
+    },
+    "stop_take_policy": {
+      "stop_loss": null,
+      "take_profit": null
+    },
+    "out_of_pool_policy": "hold"
+  },
+  "signalSymbol": "000300.SH",
+  "sourceCode": "strategy(\"fixture_hold_without_stops_backtest\") {\n  mode(\"rotation\")\n  market(\"CN_A\")\n  benchmark(\"000300.SH\")\n  signal(\"000300.SH\")\n  rebalance.every_days(1)\n  universe.include([\"000001.SZ\", \"000002.SZ\"])\n  selection.limit(2)\n  selection.candidate_limit(2)\n  selection.market_cap_band(field=\"close\", lower=0, upper=1000000000000)\n  filter.stock_expr(close > 0)\n  ordering.rank_expr((symbol == \"000001.SZ\" || symbol == \"000002.SZ\") ? (symbol == \"000001.SZ\" ? (0) : (1)) : 2, \"asc\")\n  risk.index_exposure(max(0.0, 1.0000000000 - 0.0000 / max(total_equity, 1.0)))\n  allocation.buy_scale(1.0)\n  stock_pool.config({\"schema_version\":1,\"pool_id\":\"fixture-pool\",\"version_id\":\"fixture-version\",\"members\":[{\"symbol\":\"000001.SZ\",\"requested_order\":0,\"recommendation_reason\":\"\",\"target_weight_bps\":null,\"stop_loss\":null,\"take_profit\":null},{\"symbol\":\"000002.SZ\",\"requested_order\":1,\"recommendation_reason\":\"\",\"target_weight_bps\":null,\"stop_loss\":null,\"take_profit\":null}],\"allocation_policy\":{\"target_holding_count\":2,\"portfolio_policy\":{\"schema_version\":1,\"membership\":\"retain_holdings\",\"rebalance_weights\":false},\"invest_ratio_bps\":10000,\"reserve_cash\":0},\"timing_policy\":{\"schema_version\":1,\"auto_execute\":true,\"freeze_time\":\"00:00\",\"window_start\":\"09:30\",\"window_end\":\"15:00\",\"trigger_mode\":\"scheduled_bar\",\"pricing_mode\":\"first_tick\",\"automatic_trade_protection\":{\"buy_protection_days\":0,\"sell_cooldown_days\":0,\"max_holding_days\":0,\"locks\":[]}},\"stop_take_policy\":{\"stop_loss\":null,\"take_profit\":null},\"out_of_pool_policy\":\"hold\"})\n  risk.reference_price_mode(\"position_average_entry_price\")\n  execution.matching_type(\"current_bar_close\")\n}\n",
+  "mode": "rotation"
+}

crates/fidc-core/tests/intraday_history_performance.rs

@@ -17,7 +17,7 @@ fn dataset(day_count: usize, bars_per_day: usize) -> (DataSet, Vec<NaiveDate>) {
         .iter()
         .map(|date| DailyMarketSnapshot {
             date: *date,
-            symbol: SYMBOL.to_string(),
+            symbol: SYMBOL.into(),
             timestamp: None,
             day_open: 10.0,
             open: 10.0,
@@ -55,7 +55,7 @@ fn dataset(day_count: usize, bars_per_day: usize) -> (DataSet, Vec<NaiveDate>) {
         let session_start = date.and_hms_opt(9, 30, 0).expect("valid session start");
         for offset in 0..bars_per_day {
             let timestamp = session_start + Duration::minutes(offset as i64);
-            quotes.push(IntradayExecutionQuote {
+            quotes.push(IntradayExecutionQuote { observation_kind: Default::default(),
                 date: *date,
                 symbol: SYMBOL.to_string(),
                 timestamp,

crates/fidc-core/tests/manual_corporate_observation.rs

@@ -0,0 +1,734 @@
+use chrono::{DateTime, NaiveDate, Utc};
+use fidc_core::manual_execution::{MANUAL_REPLAY_SCHEMA, ManualExecutionReplay};
+use fidc_core::{
+    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
+    ChinaAShareCostModel, ChinaEquityRuleHooks, CorporateAction, DailyFactorSnapshot,
+    DailyMarketSnapshot, DataSet, Instrument, MatchingType, PriceField, Strategy,
+};
+
+fn date(day: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(2026, 9, day).unwrap()
+}
+
+#[derive(Clone, Copy, Debug)]
+enum Action {
+    Split,
+    Dividend,
+    Successor,
+}
+
+fn data(action: Action) -> DataSet {
+    data_with_successor_metadata(action, true)
+}
+
+fn data_with_successor_metadata(action: Action, include_successor: bool) -> DataSet {
+    let days = [10, 11, 14, 15].map(date);
+    let mut market = Vec::new();
+    let mut factors = Vec::new();
+    let mut candidates = Vec::new();
+    for day in days {
+        for symbol in ["000001.SZ", "000002.SZ"] {
+            if matches!(action, Action::Successor) && symbol == "000001.SZ" && day >= date(14) {
+                continue;
+            }
+            let price = if day < date(14)
+                || (symbol == "000002.SZ" && !matches!(action, Action::Successor))
+            {
+                10.
+            } else if matches!(action, Action::Dividend) {
+                9.
+            } else {
+                5.
+            };
+            market.push(DailyMarketSnapshot {
+                date: day,
+                symbol: symbol.into(),
+                timestamp: Some(format!("{day} 15:00:00")),
+                day_open: price,
+                open: price,
+                high: price,
+                low: price,
+                close: price,
+                last_price: price,
+                bid1: price,
+                ask1: price,
+                prev_close: price,
+                volume: 100000,
+                minute_volume: 100000,
+                bid1_volume: 100000,
+                ask1_volume: 100000,
+                trading_phase: Some("continuous".into()),
+                paused: false,
+                upper_limit: price * 1.1,
+                lower_limit: price * 0.9,
+                price_tick: 0.01,
+            });
+            factors.push(DailyFactorSnapshot {
+                date: day,
+                symbol: symbol.into(),
+                market_cap_bn: 10.,
+                free_float_cap_bn: 10.,
+                pe_ttm: 10.,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                adjustment_factor_backward1: Some(1.),
+                extra_factors: Default::default(),
+            });
+            candidates.push(CandidateEligibility {
+                date: day,
+                symbol: symbol.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,
+            });
+        }
+    }
+    DataSet::from_components_with_actions(
+        ["000001.SZ", "000002.SZ"]
+            .into_iter()
+            .filter(|symbol| include_successor || *symbol != "000002.SZ")
+            .map(|symbol| Instrument {
+                symbol: symbol.into(),
+                name: symbol.into(),
+                board: "SZ".into(),
+                round_lot: 100,
+                listed_at: Some(date(1)),
+                delisted_at: (matches!(action, Action::Successor) && symbol == "000001.SZ")
+                    .then_some(date(14)),
+                status: "active".into(),
+            })
+            .collect(),
+        market,
+        factors,
+        candidates,
+        days.map(|day| BenchmarkSnapshot {
+            date: day,
+            benchmark: "000300.SH".into(),
+            open: 100.,
+            close: 100.,
+            prev_close: 100.,
+            volume: 100000,
+        })
+        .into(),
+        vec![CorporateAction {
+            date: date(14),
+            symbol: "000001.SZ".into(),
+            payable_date: Some(date(14)),
+            share_cash: if matches!(action, Action::Dividend) {
+                1.
+            } else {
+                0.
+            },
+            share_bonus: if matches!(action, Action::Split) {
+                1.
+            } else {
+                0.
+            },
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: matches!(action, Action::Successor).then(|| "000002.SZ".into()),
+            successor_ratio: matches!(action, Action::Successor).then_some(2.),
+            successor_cash: matches!(action, Action::Successor).then_some(0.5),
+        }],
+    )
+    .unwrap()
+}
+
+fn source(delayed: bool, sell: bool) -> ManualExecutionReplay {
+    let trades = if sell {
+        vec![
+            ("initial-buy", "Buy", 10, 200, false),
+            ("sale", "Sell", 11, 100, delayed),
+        ]
+    } else {
+        vec![("buy", "Buy", 11, 100, delayed)]
+    };
+    let actions = trades.into_iter().enumerate().map(|(index, (id, side, day, quantity, late))| {
+        let executed = format!("2026-09-{day:02}T06:00:00Z").parse::<DateTime<Utc>>().unwrap();
+        let observed = if late { "2026-09-15T05:00:00Z".parse().unwrap() } else { executed + chrono::Duration::seconds(1) };
+        let created = executed - chrono::Duration::seconds(1);
+        serde_json::json!({"actionId":id,"source":"manual_security_trade","auditEventIds":[format!("audit-{id}")],
+            "confirmedAt":created,"confirmationObservedAt":created,"outcome":"orders_terminal","orders":[{
+                "orderId":id,"brokerOrderId":id,"sourceAdapter":"paper","symbol":"000001.SZ","side":side,"quantity":quantity,
+                "orderCreatedAt":created,"terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
+                    "tradeId":id,"observationEventId":id,"observationSequence":index+1,"tradeDate":date(day),
+                    "executedAt":executed,"observedAt":observed,"feeObservationEventId":id,"feeObservationSequence":index+1,
+                    "feeObservedAt":observed,"timestampPrecision":"second","quantity":quantity,"price":"10","totalFee":"1"
+                }]
+            }]})
+    }).collect::<Vec<_>>();
+    let mut source: ManualExecutionReplay = serde_json::from_value(serde_json::json!({
+        "schema":MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a","sourceContractSha256":"a".repeat(64),
+        "contentSha256":"","observationCutoff":"2026-09-15T08:00:00Z","actions":actions,
+    })).unwrap();
+    source.content_sha256 = source.content_digest().unwrap();
+    source.validate().unwrap();
+    source
+}
+
+struct Hold;
+impl Strategy for Hold {
+    fn name(&self) -> &str {
+        "manual corporate observation"
+    }
+    fn requires_minute_callbacks(&self) -> bool {
+        false
+    }
+}
+
+fn run_custom<S: Strategy>(
+    data: DataSet,
+    source: ManualExecutionReplay,
+    strategy: S,
+    cash_dividends: bool,
+    adjust_cost: bool,
+) -> Result<fidc_core::BacktestResult, fidc_core::BacktestError> {
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    BacktestEngine::new(
+        data,
+        strategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 10000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(date(10)),
+            end_date: Some(date(15)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_cash_dividends(cash_dividends)
+    .with_cash_dividend_cost_basis_adjustment(adjust_cost)
+    .with_observed_manual_executions(source)
+    .unwrap()
+    .run()
+}
+
+fn run(
+    action: Action,
+    delayed: bool,
+    sell: bool,
+) -> Result<fidc_core::BacktestResult, fidc_core::BacktestError> {
+    run_custom(data(action), source(delayed, sell), Hold, true, true)
+}
+
+#[test]
+fn delayed_buy_does_not_lose_corporate_entitlements() {
+    for action in [Action::Split, Action::Dividend, Action::Successor] {
+        let timely = run(action, false, false).unwrap();
+        let delayed = run(action, true, false).unwrap();
+        let project = |result: &fidc_core::BacktestResult| {
+            (
+                result.equity_curve.last().unwrap().cash,
+                result.equity_curve.last().unwrap().total_equity,
+                result
+                    .holdings_summary
+                    .iter()
+                    .map(|row| (row.symbol.clone(), row.quantity))
+                    .collect::<Vec<_>>(),
+            )
+        };
+        assert_eq!(project(&delayed), project(&timely), "{action:?}");
+        assert_eq!(delayed.manual_executions.len(), 1);
+        assert!(delayed.fills.is_empty());
+        if matches!(action, Action::Successor)
+            && let Ok(directory) = std::env::var("FIDC_CORPORATE_QA_OUTPUT")
+        {
+            use std::io::Write;
+            let path = std::path::Path::new(&directory).join("corporate-successor-result.json");
+            let mut options = std::fs::OpenOptions::new();
+            options.write(true).create_new(true);
+            #[cfg(unix)]
+            {
+                use std::os::unix::fs::OpenOptionsExt;
+                options.mode(0o600);
+            }
+            let mut file = options.open(path).unwrap();
+            file.write_all(&serde_json::to_vec(&serde_json::json!({
+                "source":delayed.manual_execution_source.as_deref(), "applications":delayed.manual_executions,
+            })).unwrap()).unwrap();
+        }
+    }
+}
+
+#[test]
+fn delayed_sale_does_not_keep_unearned_corporate_entitlements() {
+    for action in [Action::Split, Action::Dividend, Action::Successor] {
+        let timely = run(action, false, true).unwrap();
+        let delayed = run(action, true, true).unwrap();
+        let project = |result: &fidc_core::BacktestResult| {
+            (
+                result.equity_curve.last().unwrap().cash,
+                result.equity_curve.last().unwrap().total_equity,
+                result
+                    .holdings_summary
+                    .iter()
+                    .map(|row| (row.symbol.clone(), row.quantity))
+                    .collect::<Vec<_>>(),
+            )
+        };
+        assert_eq!(project(&delayed), project(&timely), "{action:?}");
+        assert_eq!(delayed.manual_executions.len(), 2);
+        assert!(delayed.fills.is_empty());
+    }
+}
+
+#[test]
+fn paper_and_broker_observations_require_the_same_frozen_successor_scope() {
+    for adapter in ["paper", "gt", "qmt"] {
+        for delayed in [false, true] {
+            for sell in [false, true] {
+                let mut replay = source(delayed, sell);
+                for action in &mut replay.actions {
+                    for order in &mut action.orders { order.source_adapter = Some(adapter.into()); }
+                }
+                replay.content_sha256 = replay.content_digest().unwrap();
+                replay.validate().unwrap();
+                let complete = run_custom(data(Action::Successor), replay.clone(), Hold, true, true).unwrap();
+                assert_eq!(complete.holdings_summary[0].symbol, "000002.SZ");
+                assert_eq!(complete.holdings_summary[0].quantity, 200);
+                assert!(complete.fills.is_empty());
+                assert!(complete.order_events.is_empty());
+                let error = run_custom(data_with_successor_metadata(Action::Successor, false),
+                    replay, Hold, true, true).unwrap_err();
+                assert!(error.to_string().contains("successor_instrument_missing"),
+                    "{adapter} delayed={delayed} sell={sell}: {error}");
+            }
+        }
+    }
+}
+
+fn protected_successor_run(delayed: bool, locked: bool, amount: i32)
+    -> fidc_core::BacktestResult {
+    let policy = fidc_core::holding_policy::AutomaticTradeProtection {
+        sell_cooldown_days: if locked { 0 } else { 3 },
+        locks: if locked { vec![fidc_core::holding_policy::AutomaticTradeLock {
+            symbol: "000001.SZ".into(), start_date: date(11), end_date: Some(date(15)),
+        }] } else { vec![] }, ..Default::default()
+    };
+    protected_successor_case(delayed, policy, amount, "partial")
+}
+
+fn protected_successor_case(delayed: bool,
+    policy: fidc_core::holding_policy::AutomaticTradeProtection, amount: i32, scenario: &str)
+    -> fidc_core::BacktestResult {
+    let mut config = fidc_core::PlatformExprStrategyConfig::generic();
+    config.signal_symbol = "000002.SZ".into();
+    config.benchmark_symbol = "000300.SH".into();
+    config.rotation_enabled = false;
+    config.matching_type = MatchingType::CurrentBarClose;
+    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
+    config.explicit_action_schedule = Some(fidc_core::PlatformRebalanceSchedule {
+        frequency: fidc_core::PlatformScheduleFrequency::Daily,
+        time_rule: Some(fidc_core::ScheduleTimeRule::physical_time(14, 30)),
+    });
+    config.automatic_trade_protection = policy;
+    config.explicit_actions = vec![fidc_core::PlatformTradeAction::Order {
+        kind: fidc_core::PlatformExplicitOrderKind::Shares, symbol: "000002.SZ".into(),
+        amount_expr: amount.to_string(), when_expr: Some("decision_date == \"2026-09-15\"".into()),
+        limit_price_expr: None, time_in_force: None, start_time_expr: None, end_time_expr: None,
+        reason: "configured_successor_action".into(),
+    }];
+    let data = successor_execution_data();
+    let mut replay = source(delayed, true);
+    if scenario == "sold_before" {
+        let order = &mut replay.actions[1].orders[0];
+        order.quantity = 200; order.fills[0].quantity = 200;
+    } else if scenario == "cleared_after" {
+        let mut row = serde_json::to_value(&replay.actions[1]).unwrap();
+        let at = "2026-09-15T05:30:00Z";
+        let receipt = "2026-09-15T05:30:01Z";
+        row["actionId"] = "clear".into(); row["auditEventIds"] = serde_json::json!(["audit-clear"]);
+        row["confirmedAt"] = at.into(); row["confirmationObservedAt"] = at.into();
+        let order = &mut row["orders"][0];
+        order["orderId"] = "clear-order".into(); order["brokerOrderId"] = "clear-order".into();
+        order["symbol"] = "000002.SZ".into(); order["quantity"] = 200.into();
+        order["orderCreatedAt"] = at.into(); order["terminalObservedAt"] = receipt.into();
+        let fill = &mut order["fills"][0];
+        fill["tradeId"] = "clear-trade".into(); fill["observationEventId"] = "clear-receipt".into();
+        fill["observationSequence"] = 3.into(); fill["tradeDate"] = "2026-09-15".into();
+        fill["executedAt"] = at.into(); fill["observedAt"] = receipt.into();
+        fill["feeObservationEventId"] = "clear-receipt".into(); fill["feeObservationSequence"] = 3.into();
+        fill["feeObservedAt"] = receipt.into(); fill["price"] = "5".into(); fill["quantity"] = 200.into();
+        replay.actions.push(serde_json::from_value(row).unwrap());
+    }
+    replay.content_sha256 = replay.content_digest().unwrap();
+    BacktestEngine::new(data, fidc_core::PlatformExprStrategy::new(config),
+        BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
+        BacktestConfig { initial_cash: 10000., benchmark_code: "000300.SH".into(),
+            start_date: Some(date(10)), end_date: Some(date(15)), decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Close,
+        }).with_observed_manual_executions(replay).unwrap().run().unwrap()
+}
+
+fn successor_execution_data() -> DataSet {
+    let parts = data(Action::Successor).snapshot_components();
+    DataSet::from_components_with_actions_and_quotes(parts.instruments, parts.market,
+        parts.factors, parts.candidates, parts.benchmarks, parts.corporate_actions,
+        [30, 31].into_iter().map(|minute| fidc_core::IntradayExecutionQuote {
+            observation_kind: fidc_core::data::QuoteObservationKind::MinuteBar,
+            date: date(15), symbol: "000002.SZ".into(), timestamp: date(15).and_hms_opt(14,minute,0).unwrap(),
+            last_price: 5., bid1: 5., ask1: 5., bid1_volume: 100000, ask1_volume: 100000,
+            volume_delta: 100000, amount_delta: 500000., trading_phase: Some("continuous".into()),
+        }).collect()).unwrap()
+}
+
+#[test]
+fn native_pool_rebalance_applies_inherited_protection_without_rewriting_its_target() {
+    use fidc_core::stock_pool_execution as pool;
+    struct NativePool { locked: bool, expires: u32, exposure: i32 }
+    impl Strategy for NativePool {
+        fn name(&self) -> &str { "native pool successor protection" }
+        fn requires_minute_callbacks(&self) -> bool { false }
+        fn schedule_rules(&self) -> Vec<fidc_core::ScheduleRule> {
+            vec![fidc_core::ScheduleRule::daily("pool", fidc_core::ScheduleStage::OnDay)
+                .with_time_rule(fidc_core::ScheduleTimeRule::physical_time(14,30))]
+        }
+        fn on_scheduled(&mut self, ctx: &fidc_core::StrategyContext<'_>, _: &fidc_core::ScheduleRule)
+            -> Result<fidc_core::StrategyDecision, fidc_core::BacktestError> {
+            if ctx.execution_date != date(15) { return Ok(Default::default()); }
+            let symbols = vec!["000002.SZ".to_owned()];
+            let policy = fidc_core::holding_policy::AutomaticTradeProtection {
+                sell_cooldown_days: if self.locked { 0 } else { 3 },
+                locks: if self.locked { vec![fidc_core::holding_policy::AutomaticTradeLock {
+                    symbol: "000001.SZ".into(), start_date: date(11), end_date: Some(date(self.expires)),
+                }] } else { vec![] }, ..Default::default()
+            };
+            let contract = pool::FrozenStockPoolIntent {
+                pool_id: "pool".into(), signal_date: date(15), frozen_equity: 10000.into(),
+                selection: pool::StockPoolSelection { trade_date: date(15), requested_symbols: symbols.clone(),
+                    normal_trading_symbols: symbols.clone(), risk_eligible_symbols: symbols.clone(), final_symbols: symbols,
+                    exclusion_reasons: Default::default(), inherited_from_generation: None, explicit_empty: false,
+                    generation: Some("latest".into()),
+                }, members: vec![pool::StockPoolMemberSpec { symbol: "000002.SZ".into(), requested_order: 0,
+                    recommendation_reason: String::new(), target_weight_bps: None, stop_loss: None, take_profit: None }],
+                rule: pool::StockPoolExecutionRule { pricing_mode: pool::POOL_PRICE_FIRST_TICK.into(),
+                    window_start: "14:30".into(), window_end: "15:00".into(), automatic_trade_protection: policy,
+                    ..Default::default() }, constraints: pool::StockPoolDecisionConstraints {
+                    target_holding_count: Some(1), ..Default::default() },
+                invest_ratio_bps: self.exposure, reserve_cash: 0.into(), out_of_pool_policy: "hold".into(), generation: "latest".into(),
+            };
+            Ok(fidc_core::StrategyDecision { order_intents: vec![fidc_core::OrderIntent::StockPool { contract: Box::new(contract) }], ..Default::default() })
+        }
+    }
+    for delayed in [false, true] {
+        for (locked, expires, exposure) in [(false, 15, 10000), (true, 15, 10000), (true, 15, 0), (true, 14, 10000)] {
+            let result = BacktestEngine::new(successor_execution_data(), NativePool { locked, expires, exposure },
+                BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+                    .with_matching_type(MatchingType::MinuteLast).with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(14,30,0).unwrap())
+                    .with_volume_limit(false).with_liquidity_limit(false),
+                BacktestConfig { initial_cash: 10000., benchmark_code: "000300.SH".into(), start_date: Some(date(10)),
+                    end_date: Some(date(15)), decision_lag_trading_days: 0, execution_price_field: PriceField::Last })
+                .with_observed_manual_executions(source(delayed, true)).unwrap().run().unwrap();
+            if expires == 14 {
+                assert!(!result.fills.is_empty(), "positive control {:?}", result.order_events);
+            } else {
+                assert!(result.fills.is_empty(), "delayed={delayed} locked={locked} exposure={exposure}: {:?}", result.fills);
+                assert!(result.order_events.is_empty());
+                assert_eq!(result.holdings_summary[0].quantity, 200);
+            }
+        }
+    }
+}
+
+#[test]
+fn successor_keeps_sell_cooldown_for_timely_and_delayed_receipts() {
+    for delayed in [false, true] {
+        let result = protected_successor_run(delayed, false, 100);
+        assert!(result.fills.is_empty(), "delayed={delayed}: {:?}", result.fills);
+        assert!(result.order_events.is_empty(), "delayed={delayed}: {:?}", result.order_events);
+        assert!(result.risk_decisions.iter().any(|row| row.symbol == "000002.SZ"
+            && row.date == date(15) && !row.accepted && row.rule_code == "sell_fill_cooldown"),
+            "orders={:?} risk={:?} notes={:?}", result.order_events, result.risk_decisions,
+            result.equity_curve.iter().map(|row| (&row.date, &row.notes)).collect::<Vec<_>>());
+        assert_eq!(result.holdings_summary[0].quantity, 200);
+    }
+}
+
+#[test]
+fn converted_holding_does_not_lose_its_configured_date_lock() {
+    for delayed in [false, true] {
+        for amount in [-100, 100] {
+            let result = protected_successor_run(delayed, true, amount);
+            assert!(result.fills.is_empty(), "delayed={delayed} amount={amount}: {:?}", result.fills);
+            assert!(result.order_events.is_empty(), "delayed={delayed} amount={amount}: {:?}", result.order_events);
+            assert!(result.risk_decisions.iter().any(|row| row.symbol == "000002.SZ"
+                && row.date == date(15) && !row.accepted && row.rule_code == "automatic_trade_locked"),
+                "orders={:?} risk={:?} notes={:?}", result.order_events, result.risk_decisions,
+                result.equity_curve.iter().map(|row| (&row.date, &row.notes)).collect::<Vec<_>>());
+            assert_eq!(result.holdings_summary[0].quantity, 200);
+        }
+    }
+}
+
+#[test]
+fn successor_lock_expires_on_the_original_configured_date_not_the_conversion_date() {
+    for delayed in [false, true] {
+        let policy = fidc_core::holding_policy::AutomaticTradeProtection {
+            locks: vec![fidc_core::holding_policy::AutomaticTradeLock {
+                symbol: "000001.SZ".into(), start_date: date(11), end_date: Some(date(14)),
+            }], ..Default::default()
+        };
+        let result = protected_successor_case(delayed, policy, 100, "partial");
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].quantity, 100);
+        assert_eq!(result.holdings_summary[0].quantity, 300);
+    }
+}
+
+#[test]
+fn lock_survives_a_manual_clear_after_conversion_but_not_a_disproved_conversion() {
+    for delayed in [false, true] {
+        let policy = fidc_core::holding_policy::AutomaticTradeProtection {
+            locks: vec![fidc_core::holding_policy::AutomaticTradeLock {
+                symbol: "000001.SZ".into(), start_date: date(11), end_date: Some(date(15)),
+            }], ..Default::default()
+        };
+        let cleared = protected_successor_case(delayed, policy.clone(), 100, "cleared_after");
+        assert!(cleared.fills.is_empty());
+        assert!(cleared.order_events.is_empty());
+        assert!(cleared.holdings_summary.is_empty());
+        assert_eq!(cleared.manual_executions.len(), 3);
+        let unconverted = protected_successor_case(delayed, policy, 100, "sold_before");
+        assert_eq!(unconverted.fills.len(), 1);
+        assert_eq!(unconverted.holdings_summary[0].quantity, 100);
+    }
+}
+
+#[test]
+fn corporate_replay_preserves_issued_orders_cash_flows_financing_and_charged_fees() {
+    struct ExistingActivity {
+        receiving_days: usize,
+    }
+    impl Strategy for ExistingActivity {
+        fn name(&self) -> &str {
+            "corporate replay with original activity"
+        }
+        fn requires_minute_callbacks(&self) -> bool {
+            false
+        }
+        fn on_day(
+            &mut self,
+            ctx: &fidc_core::StrategyContext<'_>,
+        ) -> Result<fidc_core::StrategyDecision, fidc_core::BacktestError> {
+            use fidc_core::OrderIntent;
+            let order_intents = if ctx.execution_date == date(10) {
+                vec![
+                    OrderIntent::DepositWithdraw {
+                        amount: 500.,
+                        receiving_days: self.receiving_days,
+                        reason: "original deposit".into(),
+                    },
+                    OrderIntent::FinanceRepay {
+                        amount: 200.,
+                        reason: "original financing".into(),
+                    },
+                    OrderIntent::SetManagementFeeRate {
+                        rate: 0.001,
+                        reason: "original fee policy".into(),
+                    },
+                ]
+            } else if ctx.execution_date == date(11) {
+                vec![OrderIntent::Shares {
+                    symbol: "000002.SZ".into(),
+                    quantity: 100,
+                    reason: "unrelated stock".into(),
+                }]
+            } else if ctx.execution_date == date(14) {
+                vec![OrderIntent::Shares {
+                    symbol: "000001.SZ".into(),
+                    quantity: 100,
+                    reason: "already issued after corporate action".into(),
+                }]
+            } else {
+                vec![]
+            };
+            Ok(fidc_core::StrategyDecision {
+                order_intents,
+                ..Default::default()
+            })
+        }
+        fn management_fee(
+            &mut self,
+            _: &fidc_core::StrategyContext<'_>,
+            _: f64,
+        ) -> Result<Option<f64>, fidc_core::BacktestError> {
+            Ok(Some(0.25))
+        }
+    }
+    for receiving_days in [0, 1] {
+        for sell in [false, true] {
+            let timely = run_custom(
+                data(Action::Split),
+                source(false, sell),
+                ExistingActivity { receiving_days },
+                true,
+                true,
+            )
+            .unwrap();
+            let delayed = run_custom(
+                data(Action::Split),
+                source(true, sell),
+                ExistingActivity { receiving_days },
+                true,
+                true,
+            )
+            .unwrap();
+            assert_eq!(
+                serde_json::to_value(&timely.fills).unwrap(),
+                serde_json::to_value(&delayed.fills).unwrap()
+            );
+            assert_eq!(delayed.fills.len(), 2);
+            assert_eq!(
+                delayed.equity_curve.last().unwrap().cash,
+                timely.equity_curve.last().unwrap().cash
+            );
+            assert_eq!(
+                delayed.equity_curve.last().unwrap().total_equity,
+                timely.equity_curve.last().unwrap().total_equity
+            );
+            assert_eq!(
+                delayed
+                    .equity_curve
+                    .iter()
+                    .map(|row| row.external_cash_flow)
+                    .sum::<f64>(),
+                500.
+            );
+            assert_eq!(delayed.manual_executions.len(), if sell { 2 } else { 1 });
+        }
+    }
+}
+
+#[test]
+fn pending_and_disabled_dividends_keep_the_configured_cash_and_cost_contract() {
+    for paid in [false, true] {
+        for enabled in [false, true] {
+            for adjust_cost in [false, true] {
+                let fixture = || {
+                    let mut parts = data(Action::Dividend).snapshot_components();
+                    parts.corporate_actions[0].payable_date =
+                        Some(date(if paid { 14 } else { 16 }));
+                    DataSet::from_components_with_actions(
+                        parts.instruments,
+                        parts.market,
+                        parts.factors,
+                        parts.candidates,
+                        parts.benchmarks,
+                        parts.corporate_actions,
+                    )
+                    .unwrap()
+                };
+                let timely =
+                    run_custom(fixture(), source(false, false), Hold, enabled, adjust_cost)
+                        .unwrap();
+                let delayed =
+                    run_custom(fixture(), source(true, false), Hold, enabled, adjust_cost).unwrap();
+                assert_eq!(
+                    delayed.equity_curve.last().unwrap().cash,
+                    timely.equity_curve.last().unwrap().cash
+                );
+                let financial = |result: &fidc_core::BacktestResult| {
+                    result
+                        .holdings_summary
+                        .iter()
+                        .map(|row| {
+                            (
+                                row.symbol.clone(),
+                                row.quantity,
+                                row.average_cost,
+                                row.last_price,
+                                row.market_value,
+                                row.unrealized_pnl,
+                                row.realized_pnl,
+                                row.pnl,
+                                row.dividend_receivable,
+                            )
+                        })
+                        .collect::<Vec<_>>()
+                };
+                // Receipt-day turnover is deliberately different when the
+                // dividend option is disabled and no adjustment is required.
+                assert_eq!(financial(&delayed), financial(&timely));
+                assert_eq!(
+                    delayed.manual_executions[0].corporate_adjustment.is_some(),
+                    enabled
+                );
+                if enabled && !paid {
+                    assert_eq!(delayed.terminal_audit.cash_receivable_count, 1);
+                }
+            }
+        }
+    }
+}
+
+#[test]
+fn late_fill_replays_aggregate_split_rounding_not_an_independent_rounded_fragment() {
+    let fixture = || {
+        let mut parts = data(Action::Split).snapshot_components();
+        parts.corporate_actions[0].share_bonus = 0.125;
+        for row in &mut parts.market {
+            if row.symbol == "000001.SZ" && row.date >= date(14) {
+                row.day_open = 8.89;
+                row.open = 8.89;
+                row.close = 8.89;
+                row.last_price = 8.89;
+                row.high = 8.89;
+                row.low = 8.89;
+                row.prev_close = 8.89;
+                row.bid1 = 8.89;
+                row.ask1 = 8.89;
+                row.upper_limit = 9.78;
+                row.lower_limit = 8.;
+            }
+        }
+        DataSet::from_components_with_actions(
+            parts.instruments,
+            parts.market,
+            parts.factors,
+            parts.candidates,
+            parts.benchmarks,
+            parts.corporate_actions,
+        )
+        .unwrap()
+    };
+    let input = |delayed| {
+        let mut value = source(delayed, true);
+        value.actions[0].orders[0].quantity = 100;
+        value.actions[0].orders[0].fills[0].quantity = 100;
+        value.actions[1].orders[0].side = fidc_core::OrderSide::Buy;
+        value.content_sha256 = value.content_digest().unwrap();
+        value
+    };
+    let timely = run_custom(fixture(), input(false), Hold, true, true).unwrap();
+    let delayed = run_custom(fixture(), input(true), Hold, true, true).unwrap();
+    assert_eq!(timely.holdings_summary[0].quantity, 225);
+    assert_eq!(delayed.holdings_summary[0].quantity, 225);
+    assert_eq!(
+        delayed.equity_curve.last().unwrap().total_equity,
+        timely.equity_curve.last().unwrap().total_equity
+    );
+    assert_eq!(
+        delayed.manual_executions[1]
+            .corporate_adjustment
+            .as_ref()
+            .unwrap()
+            .positions["000001.SZ"]
+            .quantity_before,
+        113
+    );
+}

crates/fidc-core/tests/stock_pool_execution_state.rs

@@ -0,0 +1,316 @@
+use chrono::NaiveDate;
+use fidc_core::stock_pool_execution::*;
+use fidc_core::stock_pool_state::StockPoolExecutionState;
+use rust_decimal::Decimal;
+use serde_json::json;
+use std::collections::BTreeMap;
+
+fn day(value: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(2026, 9, value).unwrap()
+}
+fn member() -> StockPoolMemberSpec {
+    StockPoolMemberSpec {
+        symbol: "000001.SZ".into(),
+        requested_order: 0,
+        recommendation_reason: String::new(),
+        target_weight_bps: None,
+        stop_loss: None,
+        take_profit: None,
+    }
+}
+fn held(quantity: i64, closable: i64) -> Position {
+    Position {
+        symbol: "000001.SZ".into(),
+        quantity: quantity.into(),
+        closable_quantity: closable.into(),
+        average_cost: 10.into(),
+    }
+}
+fn quote() -> MarketSnapshot {
+    MarketSnapshot {
+        symbol: "000001.SZ".into(),
+        last_price: 10.into(),
+        prev_close: Some(10.into()),
+        volume: Some(1000000.into()),
+        turnover: Some(10000000.into()),
+        bid_price_1: Some(10.into()),
+        ask_price_1: Some(10.into()),
+        is_kcb: Some(false),
+        instrument_rules: None,
+        buy_sizing_price: None,
+        sell_sizing_price: None,
+    }
+}
+fn plan(
+    state: &StockPoolExecutionState,
+    at: NaiveDate,
+    members: &[StockPoolMemberSpec],
+    positions: &[Position],
+    cash: i64,
+    outside: &str,
+) -> StockPoolPlan {
+    plan_at_price(state, at, members, positions, cash, outside, 10)
+}
+fn plan_at_price(
+    state: &StockPoolExecutionState,
+    at: NaiveDate,
+    members: &[StockPoolMemberSpec],
+    positions: &[Position],
+    cash: i64,
+    outside: &str,
+    price: i64,
+) -> StockPoolPlan {
+    let symbols = members
+        .iter()
+        .map(|member| member.symbol.clone())
+        .collect::<Vec<_>>();
+    let selection = StockPoolSelection {
+        trade_date: at,
+        requested_symbols: symbols.clone(),
+        normal_trading_symbols: symbols.clone(),
+        risk_eligible_symbols: symbols.clone(),
+        final_symbols: symbols,
+        exclusion_reasons: BTreeMap::new(),
+        inherited_from_generation: None,
+        explicit_empty: false,
+        generation: Some("same-goal".into()),
+    };
+    let mut constraints = stock_pool_constraints_from_configuration(
+        &json!({"top_n_rebalance_policy":"preserve_existing"}),
+        &json!({}),
+    )
+    .unwrap();
+    constraints.pending_entry_symbols = state.pending_symbols();
+    constraints.next_day_outside_exit_symbols = state.next_day_exit_symbols(at);
+    let mut market = quote();
+    market.last_price = price.into();
+    market.bid_price_1 = Some(price.into());
+    market.ask_price_1 = Some(price.into());
+    build_stock_pool_target_plan_with_constraints(
+        &selection,
+        members,
+        &StockPoolExecutionRule::default(),
+        &AccountSnapshot {
+            total_equity: 10000.into(),
+            cash: cash.into(),
+            frozen_cash: Decimal::ZERO,
+        },
+        positions,
+        &[market],
+        10000,
+        Decimal::ZERO,
+        outside,
+        "preserve_existing",
+        &constraints,
+        "same-goal",
+        Decimal::ZERO,
+        Decimal::ZERO,
+        Decimal::ZERO,
+    )
+    .unwrap()
+}
+
+#[test]
+fn fully_filled_entry_is_not_reopened_when_price_falls_before_next_observation() {
+    let members = vec![member()];
+    let calendar = vec![day(11), day(14)];
+    let initial = StockPoolExecutionState::default()
+        .observe(day(11), day(11), &calendar, &members, &[]).unwrap();
+    let first_plan = plan(&initial, day(11), &members, &[], 10000, "hold");
+    let state = initial.record_plan(day(11), "first-entry", &first_plan).unwrap();
+    assert_eq!(state.entries["000001.SZ"].completion_quantity, Some(1000.into()));
+    let state: StockPoolExecutionState = serde_json::from_slice(&serde_json::to_vec(&state).unwrap()).unwrap();
+    let observed = state.observe(day(14), day(14), &calendar, &members, &[held(1000, 1000)]).unwrap();
+    assert!(!observed.pending_symbols().contains("000001.SZ"));
+    let next = plan_at_price(&observed, day(14), &members, &[held(1000, 1000)], 1000, "hold", 8);
+    assert_eq!(next.rows[0].target_quantity, 1000.into());
+    assert_eq!(next.rows[0].delta_quantity, Decimal::ZERO);
+    assert_eq!(next.rows[0].status, "PRESERVED_EXISTING_POSITION");
+}
+
+#[test]
+fn cash_clipped_or_rejected_entry_does_not_claim_full_completion() {
+    let members = vec![member()];
+    let calendar = vec![day(11), day(14)];
+    let initial = StockPoolExecutionState::default()
+        .observe(day(11), day(11), &calendar, &members, &[]).unwrap();
+    let first_plan = plan(&initial, day(11), &members, &[], 5000, "hold");
+    assert_eq!(first_plan.rows[0].status, "REDUCE_TO_ALLOWED_QUANTITY");
+    let state = initial.record_plan(day(11), "limited-entry", &first_plan).unwrap();
+    assert_eq!(state.entries["000001.SZ"].completion_quantity, None);
+    for quantity in [0, 500] {
+        let positions = if quantity == 0 { vec![] } else { vec![held(quantity, quantity)] };
+        let observed = state.observe(day(14), day(14), &calendar, &members, &positions).unwrap();
+        assert!(observed.pending_symbols().contains("000001.SZ"));
+    }
+}
+
+#[test]
+fn legacy_state_without_quantity_keeps_its_serialized_identity() {
+    let original = json!({
+        "schema_version":1,"last_execution_date":"2026-09-11",
+        "entries":{"000001.SZ":{"pending":true,"observed_holding":false,
+        "first_decision_date":"2026-09-11","latest_generation":"legacy",
+        "latest_target_value":"10000"}},"last_target_weights":{},"removed_since":{}
+    });
+    let state: StockPoolExecutionState = serde_json::from_value(original.clone()).unwrap();
+    state.validate().unwrap();
+    assert_eq!(serde_json::to_value(state).unwrap(), original);
+}
+
+#[test]
+fn partial_exit_basis_is_immutable_restart_safe_and_scoped_to_the_signal() {
+    let original = StockPoolExecutionState::default()
+        .observe(day(11), day(11), &[day(11), day(14)], &[member()], &[held(1000, 1000)]).unwrap();
+    let basis = BTreeMap::from([("000001.SZ".into(), Decimal::from(1000))]);
+    let saved = original.record_position_action_bases("sell-signal", &basis).unwrap();
+    assert!(original.position_action_bases.is_empty(), "a preview must not mutate its input");
+    let restored: StockPoolExecutionState = serde_json::from_slice(&serde_json::to_vec(&saved).unwrap()).unwrap();
+    let next_day = restored.observe(day(11), day(14), &[day(11), day(14)], &[member()], &[held(500, 500)]).unwrap();
+    assert_eq!(next_day.position_action_bases_for("sell-signal"), basis);
+    assert!(next_day.position_action_bases_for("new-signal").is_empty());
+    assert!(next_day.record_position_action_bases("sell-signal", &BTreeMap::from([("000001.SZ".into(), Decimal::from(500))])).unwrap_err().contains("basis_changed"));
+    let new_signal = next_day.record_position_action_bases("new-signal", &BTreeMap::from([("000001.SZ".into(), Decimal::from(500))])).unwrap();
+    assert!(new_signal.position_action_bases_for("sell-signal").is_empty());
+    assert_eq!(new_signal.position_action_bases_for("new-signal")["000001.SZ"], Decimal::from(500));
+    for invalid in [Decimal::ZERO, Decimal::NEGATIVE_ONE] {
+        assert!(original.record_position_action_bases("signal", &BTreeMap::from([("000001.SZ".into(), invalid)])).is_err());
+    }
+    assert!(original.record_position_action_bases(" ", &basis).is_err());
+}
+
+#[test]
+fn verified_split_adjusts_exit_basis_and_entry_completion_not_generation() {
+    let initial = StockPoolExecutionState::default()
+        .observe(day(11), day(11), &[day(11)], &[member()], &[]).unwrap();
+    let entry_plan = plan(&initial, day(11), &[member()], &[], 10000, "hold");
+    let entered = initial.record_plan(day(11), "entry", &entry_plan).unwrap();
+    let saved = entered.record_position_action_bases("sell", &BTreeMap::from([("000001.SZ".into(), Decimal::from(1000))])).unwrap();
+    let adjusted = saved.adjust_for_split("000001.SZ", Decimal::new(15,1)).unwrap();
+    assert_eq!(adjusted.position_action_bases_for("sell")["000001.SZ"], Decimal::from(1500));
+    assert_eq!(adjusted.entries["000001.SZ"].completion_quantity, Some(Decimal::from(1500)));
+    assert_eq!(adjusted.position_action_bases["000001.SZ"].first_execution_date, day(11));
+    assert_eq!(saved.position_action_bases_for("sell")["000001.SZ"], Decimal::from(1000));
+    assert!(saved.adjust_for_split("000001.SZ", Decimal::ZERO).is_err());
+}
+
+#[test]
+fn partial_entry_continues_after_restart_then_completed_holdings_are_preserved() {
+    let members = vec![member()];
+    let calendar = vec![day(11), day(14)];
+    let first = StockPoolExecutionState::default()
+        .observe(day(11), day(11), &calendar, &members, &[])
+        .unwrap();
+    let initial = plan(&first, day(11), &members, &[], 10000, "hold");
+    assert_eq!(initial.rows[0].target_quantity, 1000.into());
+    let pending = first.record_plan(day(11), "same-goal", &initial).unwrap();
+    assert!(pending.entries["000001.SZ"].pending);
+    assert!(!pending.entries["000001.SZ"].observed_holding);
+    let persisted = serde_json::to_vec(&pending).unwrap();
+    let restored: StockPoolExecutionState = serde_json::from_slice(&persisted).unwrap();
+    let partial = restored
+        .observe(day(11), day(11), &calendar, &members, &[held(500, 0)])
+        .unwrap();
+    let retry = plan(&partial, day(11), &members, &[held(500, 0)], 5000, "hold");
+    assert_eq!(retry.rows[0].delta_quantity, 500.into(), "{retry:?}");
+    let pending = partial.record_plan(day(11), "same-goal", &retry).unwrap();
+    assert!(pending.entries["000001.SZ"].pending);
+    let filled = pending
+        .observe(day(14), day(14), &calendar, &members, &[held(1000, 1000)])
+        .unwrap();
+    let satisfied = plan(&filled, day(14), &members, &[held(1000, 1000)], 0, "hold");
+    assert_eq!(satisfied.rows[0].status, "PRESERVED_EXISTING_POSITION");
+    let completed = filled.record_plan(day(14), "new-day", &satisfied).unwrap();
+    assert!(!completed.entries["000001.SZ"].pending);
+    assert_eq!(
+        plan(
+            &completed,
+            day(14),
+            &members,
+            &[held(1000, 1000)],
+            0,
+            "hold"
+        )
+        .rows[0]
+            .status,
+        "PRESERVED_EXISTING_POSITION"
+    );
+}
+
+#[test]
+fn removal_anchor_is_not_reset_by_rechecks_weekends_or_t_plus_one() {
+    let calendar = vec![day(11), day(14), day(15)];
+    let positions = vec![held(1000, 1000)];
+    let removed = StockPoolExecutionState::default()
+        .observe(day(11), day(11), &calendar, &[], &positions)
+        .unwrap();
+    assert_eq!(removed.removed_since["000001.SZ"], day(11));
+    assert_eq!(
+        plan(
+            &removed,
+            day(11),
+            &[],
+            &positions,
+            0,
+            "reduce_next_trading_day"
+        )
+        .rows[0]
+            .status,
+        "DEFERRED_T_PLUS_ONE"
+    );
+    assert!(
+        removed
+            .observe(day(12), day(12), &calendar, &[], &positions)
+            .is_err()
+    );
+    let restored: StockPoolExecutionState =
+        serde_json::from_str(&serde_json::to_string(&removed).unwrap()).unwrap();
+    let monday = restored
+        .observe(day(14), day(14), &calendar, &[], &[held(1000, 0)])
+        .unwrap();
+    assert_eq!(monday.removed_since["000001.SZ"], day(11));
+    assert_eq!(
+        plan(
+            &monday,
+            day(14),
+            &[],
+            &[held(1000, 0)],
+            0,
+            "reduce_next_trading_day"
+        )
+        .rows[0]
+            .delta_quantity,
+        Decimal::ZERO
+    );
+    let next = monday
+        .observe(day(15), day(15), &calendar, &[], &positions)
+        .unwrap();
+    let exit = plan(
+        &next,
+        day(15),
+        &[],
+        &positions,
+        0,
+        "reduce_next_trading_day",
+    );
+    assert_eq!(exit.rows[0].target_quantity, Decimal::ZERO);
+    assert_eq!(exit.rows[0].side, Some(OrderSide::Sell));
+    let returned = next
+        .observe(day(15), day(15), &calendar, &[member()], &positions)
+        .unwrap();
+    assert!(returned.removed_since.is_empty());
+}
+
+#[test]
+fn cloned_preview_does_not_start_a_timer_and_next_open_uses_signal_removal_date() {
+    let state = StockPoolExecutionState::default();
+    let calendar = vec![day(11), day(14)];
+    let preview = state
+        .observe(day(11), day(14), &calendar, &[], &[held(1000, 1000)])
+        .unwrap();
+    assert!(state.removed_since.is_empty());
+    assert!(preview.next_day_exit_symbols(day(14)).contains("000001.SZ"));
+    let mut invalid = preview;
+    invalid.schema_version = 0;
+    assert!(invalid.validate().is_err());
+}

crates/fidc-core/tests/strategy_selection.rs

@@ -35,7 +35,7 @@ fn market(
 ) -> DailyMarketSnapshot {
     DailyMarketSnapshot {
         date: d(date),
-        symbol: symbol.to_string(),
+        symbol: symbol.into(),
         timestamp: None,
         day_open: open,
         open,
@@ -66,7 +66,7 @@ fn factor(
 ) -> DailyFactorSnapshot {
     DailyFactorSnapshot {
         date: d(date),
-        symbol: symbol.to_string(),
+        symbol: symbol.into(),
         market_cap_bn,
         free_float_cap_bn,
         pe_ttm: 18.0,
@@ -87,7 +87,7 @@ fn candidate(
 ) -> CandidateEligibility {
     CandidateEligibility {
         date: d(date),
-        symbol: symbol.to_string(),
+        symbol: symbol.into(),
         is_st: false,
         is_star_st: false,
         is_new_listing,

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 +1,26 @@
+# 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。
+- 已校验且实际发生的持仓换股继承原保护期限与日期锁，不因改代码解锁或重计时；无实际转换的目录映射不继承。换股后手工清仓仍受原有效日期锁；确认换股前已清仓时不保留推定关系。原生策略、股票池与ETF顺延消费的修复及未发布边界见 `successor-protection-20260914.md`。
+- 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/callback-context-and-pending-targets-20260914.md

@@ -0,0 +1,55 @@
+# 回报上下文、盘前意图与尚未提交的目标
+
+2026-09-14。本轮已配套发布177，annotated tag `v2026.9.14.5`。Engine81acc54 / Service e81bf47 / Trading94f99d2；完整股票池Goal继续，不据本阶段关闭。
+
+## 已复现问题
+
+1. `on_process_event`总是收到`active_datetime=None`及空委托/成交数组。10:00账本已有100股，但Trade/PostMinute回调的成交数量仍为0；不能靠普通`on_minute`已修复就认为通知链也完整。
+2. 15:05盘后成交后，PreAfterTrading仍被标为15:00；跨日模式的PostOnDay又使用信号日描述执行日已发生的成交。
+3. BeforeTrading调度只处理订阅、账户和期货指令，剩余股票买卖/撤改意图没有后续消费。简单在开盘调用普通broker执行还会让旧挂单先成交再撤单。
+4. 合并完整目标时只追加权重会保留旧证券；更重要的是，不能先提交盘前旧组合，之后才计算同一窗口的新目标，否则T+1可能使错误买入无法纠正。
+5. 策略计算前的空broker调用也会恢复上一目标的未提交买入腿。反例中原持仓100股，09:30卖25股、13:00卖剩余75股；若此时先恢复旧买入，已经准备将新目标设为0%的策略仍会买入另一股票3000股。
+
+## 本轮处理
+
+- 事件通知显式携带当前可见的委托、成交与回调时钟，移动已完成记录后再通知，不按每个回调复制整段历史。上下文是通知时已完成批次的最新状态，不冒充每一历史通知发生瞬间的账本快照。
+- 信号计算回调保留信号日；账户/委托通知使用实际执行日与物理时钟。默认收盘和结算不早于已处理时刻及当前适用的盘后结束点，管理费回调沿用同一完成时钟。
+- 盘前撤改走明确的非撮合控制阶段，保持原订单ID和实际已成交量；该入口拒绝买卖目标，不会顺带撮合旧单。普通显式买卖按原配置窗口执行，后续回调读取撤改后的真实活动订单。
+- 盘前与集合竞价的显式命令保留各自批次及约束。纯完整组合（完整rebalance或单一StockPool/TargetPortfolioSmart）可以被更新的完整意图替换；空回调不等于清仓，显式空完整目标才清仓。被替换意图的旧买入限制不能污染新完整目标。
+- 尚未提交的完整目标保留到当前窗口日度策略算完；新执行意图优先，只有没有新执行意图时才使用前面的目标。已提交挂单可以先更新实际成交，但策略计算前不恢复旧的未提交买入腿，之后再由正常执行路径处理当前意图。
+- 订阅/账户/直接期货指令通知同样获得完成后的历史；本轮不改变期货成交、会话或费用规则。
+
+## 回归证据
+
+- 通知链：09:30为空、10:00/10:01均看到100股及1笔实际成交，Trade通知可找到相同订单。
+- 盘后：15:05成交后的默认收盘/结算和管理费通知不倒退；next-open保持独立信号日和执行日。
+- 盘前：09:00生成100股命令，分别只在09:30/13:00配置窗口成交；保留备注/诊断。跨日撤销原GTC订单后，新订单只成交100股，未让旧单先成交。
+- 完整目标：盘前A、集合竞价B、日度A或显式空目标，最终只采用有效最新目标；日度无新信号时保持B。显式逐股命令不会被目标合并丢弃。
+- 恢复顺序：开启正常旧恢复的单点负向对照确实多买3000股；恢复BeforeStrategy阶段后，只有原股票同一卖单的25+75股成交，无新增买入，最终持仓为空。
+- 本机Core834项通过（9项原有ignore），Trading613、最新main Runner446/API119通过。外部数据库及平台ignore不当作通过。
+
+精确只读快照在Linux通过Core834及Trading613。旧二进制先独立归档，构建保持1GiB磁盘余量；本轮未再次删除缓存或业务文件。
+
+## 发布与真实历史复验
+
+已推送annotated tag `v2026.9.14.5`对应Engine `81acc5422878abc855fca72b35766ffad6159200`、Service `e81bf47806f5ac4ae4798bb5f5955a56638f754c`、Trading `94f99d20f49f6cd1810996706cb94f610c302385`。回测API/Runner于06:15:53 CST切换，五交易单元06:21:09切换，06:22实际运行文件和业务事实复核通过。
+
+三组冻结合同共六次独立原生A/B，完整Canonical及equity/orders/trades/holdings逐行一致；再通过生产HTTP各提交一次，结果分别匹配原生候选，旧记录未改写：
+
+| 案例 | 生产回测ID | 成交 / 持仓 | 期末权益 |
+| --- | --- | --- | ---: |
+| 手选优先四证券 | btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20 | 10 / 4 | 9706248.648662 |
+| 自动优先四证券 | btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237 | 10 / 4 | 9706248.648662 |
+| 许总24只原v3 | btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4 | 51 / 21 | 9685563.876924999 |
+
+重复目标委托0。三条新记录各5个交易日事件落库，持久事件27/18/32条，唯一键计数分别相同；旧流式样本仍27条/5日。仍为原合同下的日终容量审计，不外推实时盘口成交能力；首次Source准备和后续快速返回也不作为性能优化证明。
+
+API SHA `dea170902d77734d0a77c4da7dad71a70b33f76467e0608675dfbcc9d35d67fc`，Runner SHA `b1d93215deb275fbec6217c6b9afbf717d5649600716bf4f3a1bf5d1cfa69731`，运行实现身份 `fed10e9fa61836aa271921f5d58490054210d83da935cad5de11cfacab45c13e`。API发布目录`/srv/fidc/canonical/run/backtest-api/releases/callback-81acc54-7w1zx9fb`，回退目录`/srv/fidc/canonical/run/build/callback-rollback-j7oje2tz`；交易回退`holding-protection-rollback-czuric4r`。
+
+六服务实际SHA与manifest吻合，新增ERROR0。3Paper/0Live、配置、旧活动单、3个未确认Paper预览、迁移、影子配置0及disabled未变；发布后Paper/Live新订单0，未发送真实通知、委托或撤单。Source d5/PID1700096与UI6a2/PID3089476未重启，研究/信号暂停不变。177维护中的Engine9a54156完整保留，实际构建使用81acc54/e81bf47及81acc54/94f99d2的只读Git快照。
+
+原始回放/HTTP证据`/srv/fidc/canonical/run/research/stock-pool-callback-20260914/`；发布和最终审计`/tmp/fidc-callback-{candidate,api-release,trading-release,final-audit}-20260914.json`；非敏感汇总在`docs/evidence/callback-target-20260914/acceptance.json`。
+
+## 继续范围
+
+显式逐笔手工影子回放仍未完成，四类手工来源继续拒绝纯比例影子；原始撤单意图时刻不能用网关回报时刻冒充。还需继续检查会话外调度产生的未提交意图、完整阶段日历与其余参数/生命周期/适配器矩阵。Source冻结、研究/信号暂停、现有任务配置和真实路由不改。

docs/evidence/callback-target-20260914/acceptance.json

@@ -0,0 +1,191 @@
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+    "log": "/srv/fidc/canonical/run/fidc-private/evidence/callback-candidate-6qumwky7/linux-core-tests.log"
+  },
+  "scope": "Callback and pending-target release verification; historical simulation only. Full manual shadow replay remains incomplete.",
+  "native_replays": 6
+}

docs/evidence/intraday-clock-20260914/acceptance.json

@@ -0,0 +1,258 @@
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+    "log": "/srv/fidc/canonical/run/fidc-private/evidence/clock-candidate-gqx8g70l/linux-core-tests.log"
+  },
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+  "scope": "Intraday clock release verification; historical simulation only, not a performance or real broker liquidity acceptance.",
+  "native_replays": 6
+}

docs/evidence/late-fill-lifecycle-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/lot-lifecycle-20260914-AEGDYL",
+  "build": "/srv/fidc/canonical/build/lot-lifecycle-20260914-AEGDYL",
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+}

docs/evidence/late-fill-lifecycle-20260914/runtime.json

@@ -0,0 +1,61 @@
+{
+  "observed_date": "2026-09-14",
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+    },
+    {
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+    {
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+    "Source freeze authorization and physical partition validation",
+    "Actual Source and Runner shadow joint acceptance",
+    "Unaccepted Arrow performance candidate gate",
+    "Delayed observations spanning already applied corporate actions and remaining cross-mode matrix"
+  ],
+  "source_runtime_tracked_clean": true
+}

docs/evidence/manual-corporate-replay-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/corporate-replay-20260914-ZAnvlO",
+  "build": "/srv/fidc/canonical/build/corporate-replay-20260914-ZAnvlO",
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+    "fidc-trading-platform": "559f5b1d24d98a67606e859a1f2105bee4c0bc01"
+  },
+  "source_unchanged": true,
+  "results": [
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+      "log_sha256": "2ae31905c43697177af50825270d4f7830361d6e1d5e3d22a26179dd726abe36"
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+  ],
+  "available_bytes": 90635833344
+}

docs/evidence/manual-corporate-replay-20260914/runtime.json

@@ -0,0 +1,61 @@
+{
+  "observed_date": "2026-09-14",
+  "status": "tested_not_deployed",
+  "source_snapshot_manifest_sha256": "9b61a3586248c80bac30ce2107c9323a4d9a1ac7bdf29a42d3c423bd5c615ec4",
+  "immutable_source_file_count": 972,
+  "test_scope": "fidc-corporate-replay-check-20260914-ZAnvlO.scope",
+  "test_cpu_quota_percent": 400,
+  "test_memory_max_gib": 12,
+  "source_runtime_commit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
+  "source_runtime_pid": 1700096,
+  "source_runtime_changed": false,
+  "runtime_services": [
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+      "pid": 987464,
+      "state": "active",
+      "version": "v2026.9.14.8"
+    },
+    {
+      "service": "fidc-backtest-service-highmem177.service",
+      "pid": 4108679,
+      "state": "active",
+      "exe_sha256": "5933b7423c6722e5fe644a604c915a27ceb89900f690b092d1689bfe0fe389b7"
+    },
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+      "service": "fidc-paper-trading-highmem177.service",
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+      "exe_sha256": "3ebd7ce815e325ff0bb38632ef5b5e5cd5aff7a4e0601ba0229feb3201cdefe3"
+    },
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+  "production_order_or_cancel_requests_by_this_verification": 0,
+  "production_task_configuration_writes_by_this_verification": 0,
+  "remaining": [
+    "Source freeze authorization and physical partition validation",
+    "Actual Source and Runner shadow joint acceptance",
+    "Unaccepted Arrow performance candidate gate",
+    "Dividend reinvestment execution clocks, successor data scope, target state and cross-mode ETF matrix"
+  ],
+  "source_runtime_tracked_clean": true
+}

docs/evidence/manual-zero-reinvestment-20260915/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/zero-reinvestment-20260915-Yovt6m",
+  "build": "/srv/fidc/canonical/build/zero-reinvestment-20260915-Yovt6m",
+  "commits": {
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+    "fidc-backtest-service": "234d85bdb8ed12b552ba8e9eff47fddc5e683acc",
+    "fidc-trading-platform": "d7d492541e60eb16e58dbff74b664b8ac85f6ccf"
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+  "source_unchanged": true,
+  "results": [
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+      "log_sha256": "e7f15eb7463f1cc33b7122020549af082d2070ad38392d0918c9c7309a68cc26"
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+    {
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+      "log_sha256": "4faa52e9a87056c192341622d0273942f3daf963cd75a381ad913c76d47aed29"
+    }
+  ],
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+}

docs/evidence/manual-zero-reinvestment-20260915/local-tests.json

@@ -0,0 +1,76 @@
+{
+  "date": "2026-09-15",
+  "baseline_engine": "534ab42906c7e7a4e253b7791cc143dec894a7f2",
+  "candidate_engine": "818552bc969e0ea40081f0770c1d97db574a1981",
+  "reproduced": {
+    "manual_zero_effective_before_payment": true,
+    "original_position_cleared": true,
+    "unexpected_accounting_allocation": {
+      "symbol": "000001.SZ",
+      "quantity": 100,
+      "price": 8.95
+    },
+    "original_gross_output": 894.9999999999999,
+    "actual_posted_amount": 895
+  },
+  "verified": {
+    "global_set_and_scale_zero_leave_cash": true,
+    "zero_or_excluded_manual_member_leaves_cash": true,
+    "same_instant_uses_sequence": true,
+    "input_array_order_does_not_change_result": true,
+    "future_settings_are_not_backdated": true,
+    "restore_does_not_mean_forced_full_exposure": true,
+    "legacy_day_granularity_preserved": true,
+    "normal_settlement_and_late_replay_share_control": true,
+    "actual_manual_fills_and_cash_entitlements_not_erased": true,
+    "invalid_cash_is_rejected_atomically": true,
+    "unused_reinvestment_reference_not_read_under_zero": true,
+    "no_control_keeps_legacy_price_quantity_and_fees": true
+  },
+  "exact_outcomes": {
+    "cleared_with_zero": {
+      "cash": 49998,
+      "quantity": 0
+    },
+    "cleared_without_zero": {
+      "cash": 49103,
+      "quantity": 100,
+      "price": 8.95,
+      "fee": 0,
+      "gross": 895
+    },
+    "actual_extra_buy_timely_and_late": {
+      "cash": 41047,
+      "quantity": 1000,
+      "corporate_cash_adjustment": 1050,
+      "optional_allocations": 0
+    }
+  },
+  "local_tests": {
+    "core": {
+      "passed": 919,
+      "ignored": 9
+    },
+    "trading": {
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+    },
+    "runner": {
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+      "ignored": 9
+    },
+    "api": {
+      "passed": 129,
+      "ignored": 7
+    }
+  },
+  "new_test_functions": 6,
+  "production_runtime_modified": false,
+  "production_order_or_cancel_requests": 0,
+  "limits": [
+    "isolated replay not actual Source/Runner acceptance",
+    "does not evaluate arbitrary strategy expressions at settlement",
+    "Source runtime freeze unchanged",
+    "no new production UI or broker validation"
+  ]
+}

docs/evidence/manual-zero-reinvestment-20260915/runtime.json

@@ -0,0 +1,53 @@
+{
+  "observed_at": "2026-09-14T16:34:44.320112+00:00",
+  "status": "tested_not_deployed",
+  "runtime_services": [
+    {
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+    },
+    {
+      "service": "fidc-live-trading-highmem177.service",
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+  "test_scope": "fidc-zero-reinvestment-check-20260915-Yovt6m.scope",
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+}

docs/evidence/opening-clock-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/opening-clock-20260914-UUx5ru",
+  "build": "/srv/fidc/canonical/build/opening-clock-20260914-UUx5ru",
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+}

docs/evidence/opening-clock-20260914/runtime.json

@@ -0,0 +1,60 @@
+{
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+    "Unaccepted Arrow performance candidate gate",
+    "Remaining corporate-action, holding-protection and full parameter matrix"
+  ]
+}

docs/evidence/reinvestment-origin-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/reinvestment-20260914-dBw0O5",
+  "build": "/srv/fidc/canonical/build/reinvestment-20260914-dBw0O5",
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+}

docs/evidence/reinvestment-origin-20260914/runtime.json

@@ -0,0 +1,61 @@
+{
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+}

docs/evidence/selection-risk-plan-20260914/acceptance.json

@@ -0,0 +1,588 @@
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+  "candidateApiSha256": "30ac3b50996e1769c1d93bd5d302a23c4af7ebe773d3e8110ee278c44aeb9501",
+  "bounds": [
+    "All twelve are new runner processes and private result artifacts using the same verified shared input files.",
+    "Input hashing is outside the elapsed benchmark timer; no GDB samples are in these measurements.",
+    "The first control had 12.244s Source validation and a slower preparation phase. Its entire latency difference is not candidate speedup.",
+    "The full input set is identical across the twelve runs, not only a global cache hit counter.",
+    "No Source/trading service was changed and no paused research/signal task resumed.",
+    "The independently recorded intraday-clock counterexample remains open. These day-level replays do not close it."
+  ]
+}

docs/evidence/series-column-storage-20260914/acceptance.json

@@ -0,0 +1,648 @@
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+      "receiptSha256": "5ae74a1b311479a39c9863c2fba487951631353f9ae2a523d919f2d0a8f592e7",
+      "wallSeconds": 18.476340716006234,
+      "engineSeconds": 10.989,
+      "dataSeconds": 5.051,
+      "datasetConstructSeconds": 1.844,
+      "loopSeconds": 1.645,
+      "validationSeconds": 0.005,
+      "resultSeconds": 2.284,
+      "maxRssKiB": 6527236,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 234267,
+        "sha256": "4359817bb1fbd73b02c2c3456e1f0b7ee7428b090529393bd203e8212979a1dc",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 51696,
+            "sha256": "ca4d333cc4768ec4b528475d1833809c7e76a80de937c635e7e933a0f18264c6"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "31865ccfeb71d260757979524a679880070d691c09083c82865c3de6dd47e440"
+          },
+          "fillEvents": {
+            "rowCount": 51300,
+            "sha256": "4f45cc0906b6cd02af9ce12450a52f509f6e80e9b26157695ae04e90ce7ca9ac"
+          },
+          "holdingSnapshots": {
+            "rowCount": 78078,
+            "sha256": "79098ebfa48dcd24b00ba4d19917c291adb80a129b4d90ee1087b5f2210c43aa"
+          },
+          "orderEvents": {
+            "rowCount": 51783,
+            "sha256": "340699c5d04407c5c6f71dc39c41ac2baedc096bb11185f1ccb99ab7100ba8f8"
+          },
+          "riskAudits": {
+            "rowCount": 385,
+            "sha256": "2aa0a4d6e6078dbea815b536ce0ee8f6ca03f9c44f63cdfecf4e37a0ff9cf561"
+          }
+        }
+      },
+      "storeSha256": "5748fe4db08f8d81607622b302cc43c1d2e4ef50c3b87739fb6c20cd40de79c0",
+      "verifiedFactBlocks": 309,
+      "source": {
+        "commit": "d5b682c6d097",
+        "pid": 1700096,
+        "source_stale": false
+      }
+    }
+  ],
+  "sharedInputFiles": 9257,
+  "sharedInputBytes": 12596608049,
+  "sharedInputInventorySha256": "1a4818aaab906e77b750e28601d3d405ad9e14e0553f7937cc60b68be0c9b71d",
+  "verifiedFactBlocks": 3506,
+  "status": "candidate-not-deployed",
+  "scope": "exact in-memory column reuse; separate DayOpen correctness fix included in both control and candidate",
+  "controlRunnerSha256": "8859459f54389f12af1ab7d4e36802c01aff63fb10fbb679243ccdd54d013e2d",
+  "candidateRunnerSha256": "40bcf65c1977dbd93ab8bc80e3ff04d0db5e27b61fce1afdce99cf1b5e58eb43",
+  "candidateApiSha256": "c54be3a8196c32051520c709f793bcb974d869467bb12700d846efaad8c2180e",
+  "engineCommit": "996b909608589fb1987f33c0cfb4c62099f69617",
+  "serviceCommit": "443ed421c2c9c854a01fab69ce58957690504570",
+  "boundaries": [
+    "The DayOpen prefix correction is present in both storage A/B binaries.",
+    "No file format, cache schema, input values or execution policy changed for the storage comparison.",
+    "Original shared inputs were hashed and remained unchanged; results were recalculated into private artifacts.",
+    "The last pair ran candidate before control. It did not establish a general latency improvement.",
+    "Source remains frozen and paused research/signal tasks were not resumed.",
+    "The independent same-day intraday clock counterexample remains unresolved."
+  ]
+}

docs/evidence/simulator-order-recovery-20260915/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/order-recovery-20260915-VjcwWa",
+  "build": "/srv/fidc/canonical/build/order-recovery-20260915-VjcwWa",
+  "commits": {
+    "fidc-backtest-engine": "695fdee4b8ba4b456313f06415c128a828b43f56",
+    "fidc-backtest-service": "234d85bdb8ed12b552ba8e9eff47fddc5e683acc",
+    "fidc-trading-platform": "d7d492541e60eb16e58dbff74b664b8ac85f6ccf"
+  },
+  "source_unchanged": true,
+  "results": [
+    {
+      "repository": "fidc-backtest-engine",
+      "exit_code": 0,
+      "elapsed_seconds": 56.009,
+      "passed": 926,
+      "failed": 0,
+      "ignored": 9,
+      "log_sha256": "1e966ddca61fdf592a3333df6c459688988f248e2503d45550634cf1184a5921"
+    },
+    {
+      "repository": "fidc-trading-platform",
+      "exit_code": 0,
+      "elapsed_seconds": 114.012,
+      "passed": 625,
+      "failed": 0,
+      "ignored": 63,
+      "log_sha256": "571a20700bd185304e3e13dbe7cd2d2dcf38f8d7e9d177bddcbf01cee68c0f3b"
+    },
+    {
+      "repository": "fidc-backtest-service",
+      "exit_code": 0,
+      "elapsed_seconds": 146.014,
+      "passed": 594,
+      "failed": 0,
+      "ignored": 16,
+      "log_sha256": "342dad04bade99f034da22cf3dcaadb40854ece7e1b57cfbeeb6240fc1ee8fee"
+    }
+  ],
+  "available_bytes": 73738203136
+}

docs/evidence/simulator-order-recovery-20260915/local-tests.json

@@ -0,0 +1,75 @@
+{
+  "date": "2026-09-15",
+  "baseline_engine": "4c6147e2ee9e76b5d3aaa8b9c3a70a67777b1f98",
+  "candidate_engine": "695fdee4b8ba4b456313f06415c128a828b43f56",
+  "reproduced": {
+    "accepted_simulator_orders_before_error": 2,
+    "accepted_simulator_orders_after_error_before_fix": 0,
+    "first_order_prior_filled_quantity": 100,
+    "error": "historical_slippage_calibration_missing"
+  },
+  "verified": {
+    "original_order_identity_and_cumulative_fills_retained": true,
+    "retry_after_data_repair_matches_clean_call": true,
+    "prior_success_not_rolled_back": true,
+    "etf_targets_and_progress_retained": true,
+    "quote_consumption_and_commission_restored": true,
+    "callback_unwind_restores_unpublished_state_and_context": true,
+    "untouched_lots_not_copied": true,
+    "position_order_and_flat_rows_preserved": true
+  },
+  "local_tests": {
+    "core": {
+      "passed": 926,
+      "ignored": 9
+    },
+    "trading": {
+      "passed": 625,
+      "ignored": 63
+    },
+    "runner": {
+      "passed": 463,
+      "ignored": 9
+    },
+    "api": {
+      "passed": 129,
+      "ignored": 7
+    }
+  },
+  "new_test_functions": 7,
+  "microprofile": {
+    "mode": "unoptimized isolated simulator only",
+    "securities": 30,
+    "initial_lots_per_security": 20,
+    "calls": 500,
+    "full_checkpoint_us": [
+      27608,
+      40229,
+      35652,
+      11085
+    ],
+    "scoped_checkpoint_us": [
+      22132,
+      26813,
+      24778,
+      11539
+    ],
+    "protected_order": [
+      false,
+      true,
+      true,
+      false
+    ],
+    "successful_outcomes_identical": true,
+    "production_throughput_conclusion": false
+  },
+  "limits": [
+    "not real GT/QMT rollback",
+    "not automatic retry",
+    "failed caller must stop or retry its explicit request",
+    "external hook side effects, OOM and power failure not covered",
+    "Source runtime freeze unchanged"
+  ],
+  "production_runtime_modified": false,
+  "production_order_or_cancel_requests": 0
+}

docs/evidence/simulator-order-recovery-20260915/runtime.json

@@ -0,0 +1,53 @@
+{
+  "observed_at": "2026-09-14T17:38:22.023395+00:00",
+  "status": "tested_not_deployed",
+  "runtime_services": [
+    {
+      "service": "omniquant-highmem177.service",
+      "pid": 987464,
+      "state": "active"
+    },
+    {
+      "service": "fidc-backtest-service-highmem177.service",
+      "pid": 4108679,
+      "state": "active",
+      "exe_sha256": "5933b7423c6722e5fe644a604c915a27ceb89900f690b092d1689bfe0fe389b7"
+    },
+    {
+      "service": "fidc-paper-trading-highmem177.service",
+      "pid": 3765829,
+      "state": "active",
+      "exe_sha256": "3ebd7ce815e325ff0bb38632ef5b5e5cd5aff7a4e0601ba0229feb3201cdefe3"
+    },
+    {
+      "service": "fidc-live-trading-highmem177.service",
+      "pid": 3765783,
+      "state": "active",
+      "exe_sha256": "1f4b2d697accdbb76d89cd7cb9c3ae4dad942d86e3dde2e7d211eee5879b9144"
+    },
+    {
+      "service": "fidc-strategy-runtime-highmem177.service",
+      "pid": 3765705,
+      "state": "active",
+      "exe_sha256": "5a160ba9588f0ba9275f7d33152667be176cece310fc3026d4c043d897d44b4c"
+    },
+    {
+      "service": "fidc-trading-control-highmem177.service",
+      "pid": 3765532,
+      "state": "active",
+      "exe_sha256": "9feade5eed04007595f6ef88e076a3f501631b06cb6dc9d9b6d7f5be379b0a20"
+    }
+  ],
+  "source_runtime_commit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
+  "source_runtime_tracked_clean": true,
+  "engine_development_checkout": "695fdee4b8ba4b456313f06415c128a828b43f56",
+  "preserved_service_development_checkout": "5991e7733d9e2a770f740e971924b12cc5f7d29d",
+  "immutable_source_file_count": 994,
+  "source_snapshot_manifest_sha256": "bcefde438955ff4eda51494e96913a23d5e628375d45f8f09a498020224a7bb6",
+  "test_scope": "fidc-order-recovery-check-20260915-VjcwWa.scope",
+  "test_cpu_quota_percent": 400,
+  "test_memory_max_gib": 12,
+  "source_runtime_modified": false,
+  "production_order_or_cancel_requests_by_this_verification": 0,
+  "production_task_configuration_writes_by_this_verification": 0
+}

docs/evidence/successor-contract-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/successor-20260914-Sx15GO",
+  "build": "/srv/fidc/canonical/build/successor-20260914-Sx15GO",
+  "commits": {
+    "fidc-backtest-engine": "59a0c95aaec9c14ddd7384bb451d6d90eb3abec7",
+    "fidc-backtest-service": "234d85bdb8ed12b552ba8e9eff47fddc5e683acc",
+    "fidc-trading-platform": "d7d492541e60eb16e58dbff74b664b8ac85f6ccf"
+  },
+  "source_unchanged": true,
+  "results": [
+    {
+      "repository": "fidc-backtest-engine",
+      "exit_code": 0,
+      "elapsed_seconds": 58.008,
+      "passed": 907,
+      "failed": 0,
+      "ignored": 9,
+      "log_sha256": "9fa0e1cfcc55722beaacf22e743f4a4e097df8c967894b13b4d7dfd7e18540bc"
+    },
+    {
+      "repository": "fidc-trading-platform",
+      "exit_code": 0,
+      "elapsed_seconds": 88.009,
+      "passed": 625,
+      "failed": 0,
+      "ignored": 63,
+      "log_sha256": "50c659d618fccf51ce33e15a879d086934efb4a537f82dafb5f4c133d46eecce"
+    },
+    {
+      "repository": "fidc-backtest-service",
+      "exit_code": 0,
+      "elapsed_seconds": 110.011,
+      "passed": 594,
+      "failed": 0,
+      "ignored": 16,
+      "log_sha256": "7a2676f29c4d5867b6df64779d356c33217004ed0ddad73af75255eb0143d57a"
+    }
+  ],
+  "available_bytes": 83883585536
+}

docs/evidence/successor-contract-20260914/local-tests.json

@@ -0,0 +1,46 @@
+{
+  "observed_date": "2026-09-14",
+  "baseline_engine": "d4e7cdd5b53e97666afb40c512223def0401539c",
+  "candidate_engine": "59a0c95aaec9c14ddd7384bb451d6d90eb3abec7",
+  "scope": "isolated core regression; not Source or broker acceptance",
+  "reproduced": [
+    {
+      "test": "successor_without_frozen_instrument_metadata_is_not_an_implicit_new_security",
+      "before": "returned success and created 300 shares of an instrument absent from the frozen metadata",
+      "after": "successor_instrument_missing, original ledger and notes unchanged"
+    },
+    {
+      "test": "invalid_successor_terms_cannot_be_replaced_with_one_share_or_zero_cash",
+      "before": "missing ratio accepted as 1.0",
+      "after": "all 13 malformed term cases rejected without mutation"
+    },
+    {
+      "test": "a_late_corporate_batch_failure_keeps_prior_cash_positions_and_notes",
+      "before": "an overflowing cash leg failed after deleting the old position and retaining a successor plus a cash receivable",
+      "after": "whole batch rejected, including original target quantity and weight state, notes unchanged"
+    }
+  ],
+  "local_tests": {
+    "core": {
+      "passed": 907,
+      "ignored": 9
+    },
+    "trading": {
+      "passed": 625,
+      "ignored": 63
+    },
+    "runner": {
+      "passed": 463,
+      "ignored": 9
+    },
+    "api": {
+      "passed": 129,
+      "ignored": 7
+    }
+  },
+  "completed_engine_replay_cases": 12,
+  "engine_replay_cases": "paper/gt/qmt observation origins x timely/late x buy/sell; each paired with complete/missing successor metadata",
+  "live_order_or_cancel_requests": 0,
+  "source_runtime_modified": false,
+  "ui_modified": false
+}