绑定信号簿内容摘要并按决策日校验日线输入

crates/fidc-core/src/data.rs

@@ -3375,6 +3375,12 @@ impl DataSet {
             .unwrap_or(&[])
     }
 
+    pub fn is_reference_only_benchmark(&self, symbol: &str) -> bool {
+        if symbol != self.benchmark_code() { return false; }
+        let Some(symbol_id) = self.symbol_id(symbol) else { return true; };
+        !self.candidate_symbol_ids_by_date.values().any(|ids| ids.contains(&symbol_id))
+    }
+
     pub fn bundle_on(&self, date: NaiveDate) -> Result<DailySnapshotBundle, DataSetError> {
         let benchmark = self
             .benchmark(date)

crates/fidc-core/src/engine.rs

@@ -474,7 +474,9 @@ pub struct BacktestEngine<S, C, R> {
 }
 
 fn all_instruments_have_dated_absence(data: &DataSet, date: NaiveDate) -> bool {
-    !data.instruments().is_empty() && data.instruments().values().all(|instrument| instrument.dated_market_absence_reason(date).is_some())
+    let mut instruments = data.instruments().values()
+        .filter(|instrument| !data.is_reference_only_benchmark(&instrument.symbol)).peekable();
+    instruments.peek().is_some() && instruments.all(|instrument| instrument.dated_market_absence_reason(date).is_some())
 }
 
 fn backtest_execution_schedule(
@@ -5580,9 +5582,11 @@ mod tests {
         let dates = [d(2025, 1, 2), d(2025, 1, 3), d(2025, 1, 6)];
         let mut engine = engine_with_matching(MatchingType::CurrentBarClose, PriceField::Close, 0);
         engine.config.end_date = Some(dates[2]);
+        let mut markets = vec![market(dates[2], 10.0, 10.0)];
+        markets.extend(dates.iter().map(|date| DailyMarketSnapshot { symbol: "000852.SH".into(), ..market(*date, 1000.0, 1000.0) }));
         engine.data = DataSet::from_components(
-            vec![Instrument { listed_at: Some(dates[2]), ..default_instrument() }],
-            vec![market(dates[2], 10.0, 10.0)], vec![factor(dates[2])], vec![candidate(dates[2])],
+            vec![Instrument { listed_at: Some(dates[2]), ..default_instrument() }, Instrument { symbol: "000852.SH".into(), listed_at: None, ..default_instrument() }],
+            markets, vec![factor(dates[2])], vec![candidate(dates[2])],
             dates.iter().map(|date| benchmark(*date)).collect(),
         ).unwrap();
         assert_eq!(super::backtest_execution_dates(&engine.data, Some(dates[0]), Some(dates[2]), 0), dates);

crates/fidc-core/src/lib.rs

@@ -25,6 +25,7 @@ pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
+pub mod signal_contract;
 pub mod strategy_ai;
 pub mod universe;
 

crates/fidc-core/src/platform_expr_strategy.rs

@@ -525,6 +525,7 @@ pub enum PlatformAccountActionKind {
 
 #[derive(Debug, Clone, PartialEq, Eq)]
 pub enum PlatformTradeAction {
+    ConsumeSignal,
     Order {
         kind: PlatformExplicitOrderKind,
         symbol: String,
@@ -607,6 +608,7 @@ pub struct PlatformPositionTargetRule {
 
 #[derive(Debug, Clone)]
 pub struct PlatformExprStrategyConfig {
+    pub signal_book: Option<Arc<crate::signal_contract::ValidatedSignalBook>>,
     pub strategy_name: String,
     pub market: String,
     pub benchmark_symbol: String,
@@ -689,6 +691,7 @@ pub struct PlatformExprStrategyConfig {
 impl PlatformExprStrategyConfig {
     pub fn generic() -> Self {
         Self {
+            signal_book: None,
             strategy_name: "platform-expression".to_string(),
             market: "CN_A".to_string(),
             benchmark_symbol: String::new(),
@@ -1913,6 +1916,7 @@ impl PlatformExprStrategy {
         }
         for (index, action) in self.config.explicit_actions.iter().enumerate() {
             match action {
+                PlatformTradeAction::ConsumeSignal => {}
                 PlatformTradeAction::Order {
                     amount_expr,
                     limit_price_expr,
@@ -3853,16 +3857,9 @@ impl PlatformExprStrategy {
                 {
                     continue;
                 }
-                if !defer_execution_risk
-                    && self
-                        .buy_rejection_reason(
-                            ctx,
-                            execution_date,
-                            symbol,
-                            self.stock_state(ctx, execution_date, symbol)?.as_ref(),
-                        )?
-                        .is_some()
-                {
+                if !defer_execution_risk && self.buy_rejection_reason(
+                    ctx, execution_date, symbol, self.stock_state(ctx, execution_date, symbol)?.as_ref(),
+                )?.is_some() {
                     continue;
                 }
                 let decision_stock = self.stock_state_with_factor_date(
@@ -9118,7 +9115,10 @@ impl PlatformExprStrategy {
         self.stock_state(ctx, date, symbol).map(Some)
     }
 
-    fn unscheduled_explicit_actions_are_due(&self, decision_date: NaiveDate) -> bool {
+    fn unscheduled_explicit_actions_are_due(&self, decision_date: NaiveDate, execution_date: NaiveDate) -> bool {
+        if let Some(book) = &self.config.signal_book {
+            return book.is_due_on(execution_date);
+        }
         self.config.signal_rebalance_dates.is_empty()
             || self.config.signal_rebalance_dates.contains(&decision_date)
     }
@@ -9146,6 +9146,12 @@ impl PlatformExprStrategy {
         let mut diagnostics = Vec::new();
         for action in &self.config.explicit_actions {
             match action {
+                PlatformTradeAction::ConsumeSignal => {
+                    let book = self.config.signal_book.as_ref().ok_or_else(||
+                        BacktestError::Execution("signal_book_not_loaded".into()))?;
+                    intents.extend(book.intents(ctx).map_err(BacktestError::Execution)?);
+                    diagnostics.push(format!("signal_book_consumed version={} decision_date={}", book.version_sha256(), ctx.decision_date));
+                }
                 PlatformTradeAction::Order {
                     kind,
                     symbol,
@@ -11392,6 +11398,7 @@ impl PlatformExprStrategy {
             matches!(
                 action,
                 PlatformTradeAction::Order { .. }
+                    | PlatformTradeAction::ConsumeSignal
                     | PlatformTradeAction::TargetPortfolioSmart { .. }
                     | PlatformTradeAction::Modify { .. }
             )
@@ -12403,7 +12410,7 @@ impl Strategy for PlatformExprStrategy {
         if self.config.explicit_action_stage == PlatformExplicitActionStage::OpenAuction
             && !self.config.explicit_actions.is_empty()
             && self.config.explicit_action_schedule.is_none()
-            && self.unscheduled_explicit_actions_are_due(ctx.decision_date)
+            && self.unscheduled_explicit_actions_are_due(ctx.decision_date, ctx.execution_date)
         {
             let mut decision = self.explicit_action_decision(ctx)?;
             self.attach_buy_denials(ctx, &mut decision)?;
@@ -12423,13 +12430,16 @@ impl Strategy for PlatformExprStrategy {
 
 impl PlatformExprStrategy {
     fn attach_buy_denials(&self, ctx: &StrategyContext<'_>, decision: &mut StrategyDecision) -> Result<(), BacktestError> {
-        if self.config.buy_filter_expr.trim().is_empty() {
-            return Ok(());
-        }
         let symbols = decision.potential_buy_symbols(ctx.open_orders);
         if symbols.is_empty() {
             return Ok(());
         }
+        if let Some(book) = &self.config.signal_book {
+            decision.buy_denials.extend(book.buy_denials(ctx).map_err(BacktestError::Execution)?);
+        }
+        if self.config.buy_filter_expr.trim().is_empty() {
+            return Ok(());
+        }
         let day = self.day_state(ctx, ctx.decision_date)?;
         let (market_date, _, factor_date) = self.selection_dates(ctx);
         let execution_time = ctx.active_datetime.filter(|value| value.date() == market_date)
@@ -12541,7 +12551,7 @@ impl PlatformExprStrategy {
         let (explicit_action_intents, mut explicit_action_diagnostics) = if !in_skip_window
             && self.config.explicit_action_stage == PlatformExplicitActionStage::OnDay
             && self.config.explicit_action_schedule.is_none()
-            && self.unscheduled_explicit_actions_are_due(decision_date)
+            && self.unscheduled_explicit_actions_are_due(decision_date, execution_date)
         {
             self.explicit_action_intents(ctx, decision_date, &day)?
         } else {
@@ -14013,16 +14023,10 @@ impl PlatformExprStrategy {
                 if target_value <= 0.0 {
                     continue;
                 }
-                if !defer_execution_risk
-                    && self
-                        .buy_rejection_reason(
-                            ctx,
-                            execution_date,
-                            symbol,
-                            self.stock_state(ctx, execution_date, symbol)?.as_ref(),
-                        )?
-                        .is_some()
-                {
+                if !defer_execution_risk && let Some(reason) = self.buy_rejection_reason(
+                    ctx, execution_date, symbol, self.stock_state(ctx, execution_date, symbol)?.as_ref(),
+                )? {
+                    risk_decisions.push(FidcRiskDecisionAudit::rejected_buy_plan(execution_date, symbol, &reason));
                     continue;
                 }
                 if !self.stock_passes_expr(ctx, &day, &decision_stock)? {
@@ -14299,6 +14303,37 @@ mod tests {
         assert_eq!(strategy.selection_quote_usage, StockFilterQuoteUsage::DailyOnly);
     }
 
+    #[test]
+    fn periodic_selected_bjse_buy_rejection_is_audited_without_creating_an_order() {
+        let dates = [d(2026, 8, 5), d(2026, 8, 6)];
+        let symbol = "920038.BJ";
+        let data = single_symbol_platform_data(&dates, symbol);
+        let portfolio = PortfolioState::new(100_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: dates[1], decision_date: dates[1], decision_index: 1, data: &data,
+            portfolio: &portfolio, futures_account: None, open_orders: &[], dynamic_universe: None,
+            subscriptions: &subscriptions, process_events: &[], active_process_event: None,
+            active_datetime: None, order_events: &[], fills: &[],
+        };
+        let mut cfg = PlatformExprStrategyConfig::generic();
+        cfg.signal_symbol = symbol.into();
+        cfg.stock_filter_expr = "close > 0".into();
+        cfg.hold_until_exit_enabled = true;
+        cfg.target_portfolio_daily_enabled = true;
+        cfg.daily_top_up_enabled = true;
+        cfg.daily_position_target_adjust_enabled = true;
+        cfg.rebalance_existing_positions = true;
+        cfg.risk_config.static_rules.reject_bjse_selection = false;
+        cfg.risk_config.static_rules.reject_bjse_buy = true;
+        let decision = PlatformExprStrategy::new(cfg.clone()).on_day(&ctx).unwrap();
+        assert!(decision.order_intents.is_empty());
+        assert!(decision.risk_decisions.iter().any(|audit| audit.symbol == symbol && audit.stage == "buy_planning" && audit.rule_code == "bjse" && !audit.accepted));
+        cfg.risk_config.static_rules.reject_bjse_buy = false;
+        let allowed = PlatformExprStrategy::new(cfg).on_day(&ctx).unwrap();
+        assert!(!allowed.order_intents.is_empty());
+    }
+
     #[test]
     fn daily_pattern_runtime_uses_the_shared_kernel_and_rejects_early_visibility() {
         let dates=(0..21).map(|n|d(2025,1,1)+chrono::Duration::days(n)).collect::<Vec<_>>();
@@ -25508,9 +25543,9 @@ mod tests {
         }];
         let mut strategy = PlatformExprStrategy::new(config);
 
-        assert!(strategy.unscheduled_explicit_actions_are_due(first));
-        assert!(!strategy.unscheduled_explicit_actions_are_due(between));
-        assert!(strategy.unscheduled_explicit_actions_are_due(second));
+        assert!(strategy.unscheduled_explicit_actions_are_due(first, first));
+        assert!(!strategy.unscheduled_explicit_actions_are_due(between, between));
+        assert!(strategy.unscheduled_explicit_actions_are_due(second, second));
 
         let mut decide = |date, decision_index| {
             let ctx = StrategyContext {

crates/fidc-core/src/platform_strategy_spec.rs

@@ -17,6 +17,8 @@ use crate::{
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyRuntimeSpec {
+    #[serde(default)]
+    pub signal_book: Option<crate::signal_contract::SignalBook>,
     #[serde(default, alias = "strategy_id")]
     pub strategy_id: Option<String>,
     #[serde(default)]
@@ -2599,6 +2601,22 @@ pub fn platform_expr_config_from_spec(
     }
     cfg.strict_value_budget = true;
 
+    if let Some(raw) = &spec.signal_book {
+        let book = raw.clone().validate()?;
+        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(std::sync::Arc::new(book));
+    } else if cfg.explicit_actions.iter().any(|action| matches!(action, PlatformTradeAction::ConsumeSignal)) {
+        return Err("consume_signal_requires_verified_signal_book".into());
+    }
+
     Ok(cfg)
 }
 
@@ -2751,6 +2769,7 @@ 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

crates/fidc-core/src/risk_control.rs

@@ -138,6 +138,16 @@ pub struct FidcRiskDecisionAudit {
 }
 
 impl FidcRiskDecisionAudit {
+    pub fn rejected_buy_plan(date: NaiveDate, symbol: &str, reason: &str) -> Self {
+        Self {
+            date, symbol: symbol.into(), scope: RiskCheckScope::Buy,
+            stage: "buy_planning".into(), accepted: false,
+            rule_code: reason.into(), reason: reason.into(),
+            config_version: Some("inline_risk_policy".into()), data_epoch: date.to_string(),
+            selection_batch_id: None, order_id: None,
+        }
+    }
+
     pub fn rejected_selection(
         date: NaiveDate,
         symbol: impl Into<String>,

crates/fidc-core/src/signal_contract.rs

@@ -0,0 +1,423 @@
+//! Immutable, account-independent trading signals. Quantity and execution
+//! prices are intentionally absent; the existing broker owns those decisions.
+
+use std::collections::{BTreeMap, BTreeSet};
+
+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/v1";
+
+#[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 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 knowledge_cutoff: 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");
+        let raw=serde_json::to_vec(&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.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 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 >= *expected || snapshot.input_as_of > *expected
+                || snapshot.input_available_at > *expected || 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
+                || snapshot.generated_at < self.knowledge_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 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 ctx.is_lagged_execution() && shanghai(snapshot.input_as_of).date() > ctx.decision_date {
+            return Err("next_open_signal_contains_execution_session_inputs".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),
+            knowledge_cutoff: "2024-12-31T15:00:00+08:00".parse().unwrap(),
+            provenance: SignalProvenance::Reconstructed, frequency: SignalFrequency::Daily,
+            expected_decisions: vec![decision], snapshots: vec![SignalSnapshot {
+                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
+    }
+
+    #[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 = 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].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/tests/decision_quote_preload.rs

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

docs/lifecycle-price-evidence-20260910.md

@@ -7,3 +7,9 @@
 整个明确证券范围尚未上市时保留官方日历内现金净值点，不缩短回测范围，不伪造成交或 OHLCV。基准只在首个基线点归一，后续无交易日不反复重置。
 
 513 项核心测试通过，6 项原有测试忽略。新增验证包含沪深北股票和 ETF 上市前、实际摘牌日、未知证券身份、候选缺失、正式停牌和普通价格缺口、全池上市前现金期间。对单个正式分区的数据缺口仍需数据源修复，不从这些测试外推全市场完整性。
+
+## 真实边界回放补充
+
+177 回测 `btr_1789041425783_797911_1`：920038.BJ，2026-08-04 至 08-07。真实上市日08-05，原结果只保留08-05至08-07三个净值点。原因是准备面同时加载基准000300.SH，基准不是交易候选但参与了“全部证券生命周期外”的判定。现在只排除已声明且没有交易候选记录的基准，不按代码或名称猜测指数，也不把真实候选排除；补充真实准备结构的回归后，4日现金区间完整保留。
+
+该草稿沿用源池 `rejectBjseSelection=false`、`rejectBjseBuy=true`，所以选中北交所但不下单符合其买入政策；原规划阶段没有记录拒绝原因则是审计缺项。新增 `scope=buy, stage=buy_planning` 审计，不伪造订单ID，不把买入否决改写成选股排除。测试验证禁止时无订单且有bjse原因，放开买入政策时正常生成意图。最新核心514项通过、6项原有忽略。