fix: retain precise missing execution quote diagnostics during risk checks

Cargo.toml

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

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

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

crates/fidc-core/src/broker.rs

@@ -6166,6 +6166,24 @@ where
         } else {
             rule
         };
+        if (rule.allowed || rule.reason.as_deref() == Some("invalid execution price"))
+            && let Some(missing_reason) =
+                self.missing_daily_execution_price_reason(snapshot, algo_request)
+        {
+            Self::reject_missing_execution_price_order(
+                report,
+                date,
+                order_id,
+                symbol,
+                OrderSide::Buy,
+                requested_qty,
+                reason,
+                missing_reason,
+                emit_creation_events,
+            );
+            self.clear_open_order(order_id);
+            return Ok(());
+        }
         if !rule.allowed {
             let rule_reason = rule.reason.as_deref().unwrap_or_default().to_string();
             let status = match rule.reason.as_deref() {
@@ -6202,24 +6220,6 @@ where
             return Ok(());
         }
 
-        if let Some(missing_reason) =
-            self.missing_daily_execution_price_reason(snapshot, algo_request)
-        {
-            Self::reject_missing_execution_price_order(
-                report,
-                date,
-                order_id,
-                symbol,
-                OrderSide::Buy,
-                requested_qty,
-                reason,
-                missing_reason,
-                emit_creation_events,
-            );
-            self.clear_open_order(order_id);
-            return Ok(());
-        }
-
         let current_position_quantity = portfolio
             .position(symbol)
             .map(|position| position.quantity)

crates/fidc-core/src/engine.rs

@@ -6699,17 +6699,33 @@ mod tests {
     }
 
     #[test]
-    fn next_bar_open_execution_risk_rejects_execution_day_one_yuan_state() {
+    fn next_bar_open_execution_risk_rejects_one_yuan_open_despite_higher_close() {
         let first = d(2025, 1, 2);
         let second = d(2025, 1, 3);
         let result = run_scheduled_next_open_with_dataset(dataset_with(
             market(first, 10.0, 11.5),
-            market(second, 12.0, 99.0),
+            market(second, 0.9, 1.2),
+            candidate(first),
+            candidate(second),
+        ));
+
+        assert_next_open_canceled_with_reason(&result, "one_yuan");
+    }
+
+    #[test]
+    fn next_bar_open_execution_risk_ignores_later_one_yuan_close() {
+        let first = d(2025, 1, 2);
+        let second = d(2025, 1, 3);
+        let result = run_scheduled_next_open_with_dataset(dataset_with(
+            market(first, 10.0, 11.5),
+            market(second, 1.2, 0.9),
             candidate(first),
             one_yuan_candidate(second),
         ));
 
-        assert_next_open_canceled_with_reason(&result, "one_yuan");
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].date, second);
+        assert_eq!(result.fills[0].price, 1.2);
     }
 
     #[test]

crates/fidc-core/src/platform_expr_strategy.rs

@@ -10093,7 +10093,7 @@ impl PlatformExprStrategy {
             buy_denials: Default::default(),
             rebalance: false,
             target_weights: BTreeMap::new(),
-            exit_symbols: BTreeSet::new(),
+            exit_symbols: if self.config.signal_book.is_some() { exit_symbols } else { BTreeSet::new() },
             order_intents,
             notes: Vec::new(),
             diagnostics,
@@ -12430,6 +12430,9 @@ impl Strategy for PlatformExprStrategy {
 
 impl PlatformExprStrategy {
     fn attach_buy_denials(&self, ctx: &StrategyContext<'_>, decision: &mut StrategyDecision) -> Result<(), BacktestError> {
+        if self.config.signal_book.is_none() && self.config.buy_filter_expr.trim().is_empty() {
+            return Ok(());
+        }
         let symbols = decision.potential_buy_symbols(ctx.open_orders);
         if symbols.is_empty() {
             return Ok(());
@@ -12491,6 +12494,9 @@ impl PlatformExprStrategy {
     }
 
     fn compute_day_decision(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
+        if self.config.signal_book.is_some() && self.config.explicit_action_schedule.is_some() {
+            return Ok(StrategyDecision::default());
+        }
         if self.config.rotation_enabled
             && self
                 .config
@@ -14743,6 +14749,71 @@ mod tests {
         .expect("single-symbol platform dataset")
     }
 
+    #[test]
+    fn shared_signal_reduction_and_stops_use_each_accounts_cost_quantity_and_sold_state() {
+        use crate::{BrokerSimulator, ChinaAShareCostModel, ChinaEquityRuleHooks, PriceField};
+        use crate::signal_contract::{SignalBook, ValidatedSignalBook};
+        use serde_json::json;
+        let previous=d(2025,1,6);
+        let current=d(2025,1,7);
+        let symbol="000001.SZ";
+        let data=single_symbol_platform_data(&[previous,current],symbol);
+        let make_book=|action| -> Arc<ValidatedSignalBook> {
+            let mut book:SignalBook=serde_json::from_value(json!({
+                "schema":"fidc.signal-book/v2","versionSha256":"0".repeat(64),"generatorSha256":"a".repeat(64),
+                "modelSha256":null,"knowledgeCutoff":null,"provenance":"reconstructed","frequency":"daily",
+                "expectedDecisions":["2025-01-07T15:00:00+08:00"],"snapshots":[{
+                    "signalAt":"2025-01-06T16:00:00+08:00","decisionAt":"2025-01-07T15:00:00+08:00",
+                    "inputAsOf":"2025-01-06T16:00:00+08:00","inputAvailableAt":"2025-01-06T16:00:00+08:00",
+                    "generatedAt":"2026-09-11T08:00:00+08:00","publishedAt":"2026-09-11T08:00:00+08:00",
+                    "inputSha256":"b".repeat(64),"completeTargets":false,"actions":[action]}]
+            })).unwrap();
+            book.version_sha256=book.content_sha256().unwrap();
+            Arc::new(book.validate().unwrap())
+        };
+        let shared=make_book(json!({"kind":"reduce","symbol":symbol,"remaining_ratio":0.5}));
+        let shared_version=shared.version_sha256().to_owned();
+        let buy=make_book(json!({"kind":"target_weight","symbol":symbol,"weight":0.5}));
+        let subscriptions=BTreeSet::new();
+        let plan=|portfolio:&PortfolioState,book:Arc<ValidatedSignalBook>,stops:bool| {
+            let ctx=StrategyContext {
+                execution_date:current,decision_date:current,decision_index:1,data:&data,portfolio,
+                futures_account:None,open_orders:&[],dynamic_universe:None,subscriptions:&subscriptions,
+                process_events:&[],active_process_event:None,active_datetime:Some(current.and_hms_opt(15,0,0).unwrap()),
+                order_events:&[],fills:&[],
+            };
+            let mut cfg=PlatformExprStrategyConfig::generic();
+            cfg.signal_symbol=symbol.into();
+            cfg.rotation_enabled=false;
+            cfg.signal_book=Some(book);
+            cfg.explicit_actions=vec![PlatformTradeAction::ConsumeSignal];
+            if stops { cfg.stop_loss_expr="0.1".into();cfg.take_profit_expr="0.2".into(); }
+            PlatformExprStrategy::new(cfg).on_day(&ctx).unwrap()
+        };
+        let broker=|| BrokerSimulator::new_with_execution_price(ChinaAShareCostModel::default(),ChinaEquityRuleHooks::default(),PriceField::Close)
+            .with_matching_type(MatchingType::CurrentBarClose).with_volume_limit(false).with_liquidity_limit(false);
+        for (quantity,entry,fees,expected) in [(1000,8.0,0.0,0),(1000,10.0,0.0,500),(3000,10.0,0.0,1500),
+                                              (1000,12.0,0.0,0),(1000,11.11,0.0,500),(1000,11.11,2.0,0)] {
+            let mut account=PortfolioState::new(100_000.0);
+            account.position_mut(symbol).buy(previous,quantity,entry);
+            account.position_mut(symbol).record_buy_trade_cost(quantity,fees);
+            let decision=plan(&account,shared.clone(),true);
+            assert_eq!(account.position(symbol).unwrap().quantity,quantity);
+            let executor=broker();
+            let report=executor.execute(current,&mut account,&data,&decision).unwrap();
+            assert_eq!(account.position(symbol).map_or(0,|p|p.quantity),expected,"entry={entry} fees={fees} decision={decision:?} report={report:?}");
+            assert!(!report.fill_events.is_empty());
+            let attempted_rebuy=plan(&account,buy.clone(),false);
+            let rejected=executor.execute(current,&mut account,&data,&attempted_rebuy).unwrap();
+            assert!(rejected.fill_events.iter().all(|fill|fill.side!=OrderSide::Buy),"{rejected:?}");
+        }
+        let mut untouched=PortfolioState::new(100_000.0);
+        let allowed=plan(&untouched,buy,false);
+        let result=broker().execute(current,&mut untouched,&data,&allowed).unwrap();
+        assert!(result.fill_events.iter().any(|fill|fill.side==OrderSide::Buy));
+        assert_eq!(shared.version_sha256(),shared_version);
+    }
+
     #[test]
     fn portfolio_loss_observes_finalized_nav_after_fees_and_cash_flows() {
         use std::sync::Mutex;

crates/fidc-core/src/platform_strategy_spec.rs

@@ -19,6 +19,8 @@ use crate::{
 pub struct StrategyRuntimeSpec {
     #[serde(default)]
     pub signal_book: Option<crate::signal_contract::SignalBook>,
+    #[serde(default)]
+    pub signal_book_ref: Option<crate::signal_contract::SignalBookReference>,
     #[serde(default, alias = "strategy_id")]
     pub strategy_id: Option<String>,
     #[serde(default)]
@@ -646,7 +648,7 @@ fn normalize_risk_policy_aliases_in_value(value: &mut Value) -> Result<(), Strin
 /// contract can legitimately arrive with both spellings.  Canonicalise those
 /// pairs once at the boundary, while rejecting conflicting values instead of
 /// silently choosing one.
-fn normalize_strategy_aliases_in_value(value: &mut Value) -> Result<(), String> {
+pub fn normalize_strategy_aliases_in_value(value: &mut Value) -> Result<(), String> {
     normalize_strategy_aliases_in_value_inner(value, false)
 }
 
@@ -677,6 +679,8 @@ 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"]),
@@ -716,10 +720,8 @@ const STRATEGY_ALIAS_GROUPS: &[(&str, &[&str])] = &[
     ),
     ("stampTaxRateAfterChange", &["stamp_tax_rate_after_change"]),
     ("stampTaxChangeDate", &["stamp_tax_change_date"]),
-    ("volumeLimit", &["volume_limit"]),
+    ("volumeLimit", &["volume_limit", "volumeLimitEnabled", "volume_limit_enabled"]),
-    ("volumeLimitEnabled", &["volume_limit_enabled"]),
+    ("liquidityLimit", &["liquidity_limit", "liquidityLimitEnabled", "liquidity_limit_enabled"]),
-    ("liquidityLimit", &["liquidity_limit"]),
-    ("liquidityLimitEnabled", &["liquidity_limit_enabled"]),
     ("volumePercent", &["volume_percent"]),
     ("riskPolicy", &["risk_policy"]),
     ("strictValueBudget", &["strict_value_budget"]),
@@ -743,6 +745,16 @@ 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
@@ -2601,8 +2613,13 @@ pub fn platform_expr_config_from_spec(
     }
     cfg.strict_value_budget = true;
 
-    if let Some(raw) = &spec.signal_book {
+    let signal_book = match (&spec.signal_book,&spec.signal_book_ref) {
-        let book = raw.clone().validate()?;
+        (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());
         }
@@ -2612,7 +2629,12 @@ pub fn platform_expr_config_from_spec(
         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));
+        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());
     }
@@ -3168,6 +3190,16 @@ 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!({
@@ -4085,6 +4117,28 @@ mod tests {
         );
     }
 
+    #[test]
+    fn execution_limit_aliases_normalize_to_one_serde_field_without_touching_policy() {
+        for section in ["execution", "engineConfig"] {
+            let mut spec = serde_json::json!({});
+            spec[section] = serde_json::json!({
+                "volumeLimit": false, "volumeLimitEnabled": false, "volume_limit_enabled": false,
+                "liquidityLimit": true, "liquidityLimitEnabled": true, "liquidity_limit_enabled": true,
+                "riskPolicy": {"volumeLimitEnabled": false, "liquidityLimitEnabled": true}
+            });
+            let cfg = platform_expr_config_from_value("test", "000300.SH", &spec).unwrap();
+            assert!(!cfg.risk_config.trading_constraints.volume_limit_enabled);
+            assert!(cfg.risk_config.trading_constraints.liquidity_limit_enabled);
+            super::normalize_strategy_aliases_in_value(&mut spec).unwrap();
+            assert!(spec[section].get("volumeLimitEnabled").is_none());
+            assert!(spec[section].get("liquidity_limit_enabled").is_none());
+            assert_eq!(spec[section]["riskPolicy"]["liquidityLimitEnabled"], true);
+            spec[section]["liquidity_limit_enabled"] = serde_json::json!(false);
+            assert!(platform_expr_config_from_value("test", "000300.SH", &spec)
+                .unwrap_err().to_string().contains("conflicting alias values"));
+        }
+    }
+
     #[test]
     fn canonicalizes_duplicate_execution_aliases_without_changing_strategy_intent() {
         let spec = serde_json::json!({

crates/fidc-core/src/risk_control.rs

@@ -414,7 +414,7 @@ impl ChinaAShareRiskControl {
         }
         let reject_one_yuan = match scope {
             RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
-            RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
+            RiskCheckScope::Buy => false,
             RiskCheckScope::Sell => false,
         };
         if reject_one_yuan
@@ -487,6 +487,14 @@ impl ChinaAShareRiskControl {
         ) {
             return Some(reason);
         }
+        if !check_price.is_finite() || check_price <= 0.0 {
+            return Some("invalid execution price");
+        }
+        // Daily candidate flags can describe the later close. Execution
+        // price constraints must use this order's actual pricing clock.
+        if config.static_rules.reject_one_yuan_buy && check_price <= 1.0 {
+            return Some("one_yuan");
+        }
         if config.static_rules.respect_allow_buy_sell && !candidate.allow_buy {
             return Some("buy_disabled");
         }
@@ -668,7 +676,6 @@ fn missing_buy_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -
             || config.static_rules.reject_new_listing_buy
             || config.static_rules.reject_kcb_buy
             || config.static_rules.reject_bjse_buy
-            || config.static_rules.reject_one_yuan_buy
             || config.static_rules.reject_upper_limit_buy
             || config.static_rules.respect_allow_buy_sell;
     }
@@ -745,7 +752,7 @@ fn missing_single_field_rejected(
         },
         "is_one_yuan" | "one_yuan" => match scope {
             RiskCheckScope::Selection => config.static_rules.reject_one_yuan_selection,
-            RiskCheckScope::Buy => config.static_rules.reject_one_yuan_buy,
+            RiskCheckScope::Buy => false,
             RiskCheckScope::Sell => false,
         },
         "allow_buy" => match scope {
@@ -789,7 +796,6 @@ fn missing_single_field_rejected(
                     || config.static_rules.reject_new_listing_buy
                     || config.static_rules.reject_kcb_buy
                     || config.static_rules.reject_bjse_buy
-                    || config.static_rules.reject_one_yuan_buy
                     || config.static_rules.reject_upper_limit_buy
                     || config.static_rules.respect_allow_buy_sell
             }
@@ -906,6 +912,61 @@ mod tests {
         position
     }
 
+    #[test]
+    fn one_yuan_buy_rule_uses_execution_price_not_later_close_or_earlier_open() {
+        let day = d(2025, 2, 6);
+        let mut candidate = candidate(day);
+        let mut snapshot = market(day, 1.2, 0.5);
+        let config = FidcRiskControlConfig::default();
+        candidate.is_one_yuan = true;
+        snapshot.day_open = 0.9;
+        snapshot.close = 0.8;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, 1.2, &config), None);
+        candidate.is_one_yuan = false;
+        snapshot.day_open = 1.2;
+        snapshot.close = 1.3;
+        for price in [0.9, 1.0] {
+            assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+                day, &candidate, &snapshot, None, price, &config), Some("one_yuan"));
+        }
+        let mut relaxed = config;
+        relaxed.static_rules.reject_one_yuan_buy = false;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, 0.9, &relaxed), None);
+    }
+
+    #[test]
+    fn execution_quote_covers_missing_one_yuan_flag_but_not_other_risk_facts() {
+        let day = d(2025, 2, 6);
+        let mut candidate = candidate(day);
+        let snapshot = market(day, 1.2, 0.5);
+        let config = FidcRiskControlConfig::default();
+        candidate.risk_level_code = Some("missing_risk_state:is_one_yuan".into());
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, 1.2, &config), None);
+        candidate.risk_level_code = Some("missing_risk_state:is_st".into());
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, 1.2, &config), Some("missing_risk_state"));
+        candidate.risk_level_code = None;
+        for price in [0.0, f64::NAN, f64::INFINITY] {
+            assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+                day, &candidate, &snapshot, None, price, &config), Some("invalid execution price"));
+        }
+    }
+
+    #[test]
+    fn explicit_one_yuan_selection_policy_still_uses_selection_facts() {
+        let day = d(2025, 2, 6);
+        let mut candidate = candidate(day);
+        candidate.is_one_yuan = true;
+        let snapshot = market(day, 1.2, 0.5);
+        let mut config = FidcRiskControlConfig::default();
+        config.static_rules.reject_one_yuan_selection = true;
+        assert_eq!(ChinaAShareRiskControl::selection_rejection_reason_with_config(
+            day, &candidate, &snapshot, None, &config), Some("one_yuan"));
+    }
+
     #[test]
     fn sell_rejection_respects_allow_sell_policy_on_execution_day() {
         let prev_date = d(2024, 4, 16);

crates/fidc-core/src/signal_contract.rs

@@ -2,6 +2,7 @@
 //! 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};
@@ -10,7 +11,68 @@ use sha2::{Digest, Sha256};
 use crate::strategy::{OrderIntent, StrategyContext};
 use crate::portfolio::PortfolioState;
 
-pub const SIGNAL_BOOK_SCHEMA: &str = "fidc.signal-book/v1";
+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")]
@@ -49,6 +111,7 @@ impl SignalAction {
 #[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>,
@@ -65,7 +128,8 @@ pub struct SignalBook {
     pub schema: String,
     pub version_sha256: String,
     pub generator_sha256: String,
-    pub knowledge_cutoff: DateTime<Utc>,
+    pub model_sha256: Option<String>,
+    pub knowledge_cutoff: Option<DateTime<Utc>>,
     pub provenance: SignalProvenance,
     pub frequency: SignalFrequency,
     pub expected_decisions: Vec<DateTime<Utc>>,
@@ -90,7 +154,33 @@ 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())?;
+        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)))
     }
 
@@ -100,6 +190,9 @@ impl SignalBook {
         {
             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()
         {
@@ -109,15 +202,19 @@ impl SignalBook {
         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 >= *expected || snapshot.input_as_of > *expected
+            if self.knowledge_cutoff.is_some_and(|cutoff| cutoff > snapshot.signal_at) || snapshot.signal_at > *expected
-                || snapshot.input_available_at > *expected || snapshot.input_as_of > snapshot.input_available_at
+                || 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
-                || snapshot.generated_at < self.knowledge_cutoff
+                || self.knowledge_cutoff.is_some_and(|cutoff| snapshot.generated_at < cutoff)
             {
                 return Err("signal_book_future_or_invalid_input".into());
             }
@@ -178,6 +275,7 @@ impl ValidatedSignalBook {
     }
 
     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()
@@ -190,9 +288,22 @@ impl ValidatedSignalBook {
 
     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 {
+        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)
     }
 
@@ -273,9 +384,11 @@ mod tests {
         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(),
+            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,
@@ -289,6 +402,59 @@ mod tests {
         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();
@@ -309,7 +475,7 @@ mod tests {
             match field {
                 0 => value.snapshots[0].input_as_of = future,
                 1 => value.snapshots[0].input_available_at = future,
-                _ => value.knowledge_cutoff = future,
+                _ => value.knowledge_cutoff = Some(future),
             }
             assert!(value.validate().unwrap_err().contains("future"));
         }
@@ -415,6 +581,7 @@ mod tests {
         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;

crates/fidc-core/tests/engine_hooks.rs

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

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)
+}