合并主分支最新因子元数据合同

crates/fidc-core/src/broker.rs

@@ -292,42 +292,76 @@ pub struct DynamicSlippageConfig {
 impl DynamicSlippageConfig {
     pub fn new(impact_coefficient: f64, volatility_coefficient: f64, max_ratio: f64) -> Self {
         Self {
-            impact_coefficient: impact_coefficient.max(0.0),
-            volatility_coefficient: volatility_coefficient.max(0.0),
-            max_ratio: max_ratio.max(0.0),
+            impact_coefficient,
+            volatility_coefficient,
+            max_ratio,
         }
     }
 
     pub(crate) fn ratio(
         &self,
-        snapshot: &crate::data::DailyMarketSnapshot,
-        raw_price: f64,
+        calibration: &HistoricalSlippageCalibration,
         order_value: Option<f64>,
-    ) -> f64 {
-        let daily_amount = (snapshot.volume as f64 * raw_price).max(0.0);
+    ) -> Result<f64, BacktestError> {
+        if [self.impact_coefficient, self.volatility_coefficient, self.max_ratio]
+            .into_iter().any(|value| !value.is_finite() || value < 0.0)
+            || self.max_ratio >= 1.0
+            || order_value.is_some_and(|value| !value.is_finite() || value < 0.0)
+        {
+            return Err(BacktestError::Execution("invalid_historical_slippage_parameters_or_order_value".into()));
+        }
         let impact_ratio = match order_value {
-            Some(value) if value.is_finite() && value > 0.0 && daily_amount > 0.0 => {
-                value / daily_amount
+            Some(value) if value.is_finite() && value > 0.0 => {
+                value / calibration.turnover_proxy
             }
             _ => 0.0,
         };
-        let volatility_base = if snapshot.prev_close.is_finite() && snapshot.prev_close > 0.0 {
-            snapshot.prev_close
-        } else {
-            raw_price
-        };
-        let volatility = if snapshot.high.is_finite()
-            && snapshot.low.is_finite()
-            && volatility_base.is_finite()
-            && volatility_base > 0.0
+        let impact = if self.impact_coefficient == 0.0 { 0.0 } else { impact_ratio * self.impact_coefficient };
+        let ratio = impact
+            + calibration.range_ratio * self.volatility_coefficient;
+        Ok(ratio.clamp(0.0, self.max_ratio))
+    }
+}
+
+#[derive(Debug, Clone, Copy)]
+pub(crate) struct HistoricalSlippageCalibration {
+    source_date: NaiveDate,
+    turnover_proxy: f64,
+    range_ratio: f64,
+}
+
+impl HistoricalSlippageCalibration {
+    pub(crate) fn for_execution(data: &DataSet, date: NaiveDate, symbol: &str) -> Result<Self, BacktestError> {
+        let missing = || BacktestError::Execution(format!(
+            "historical_slippage_calibration_missing symbol={symbol} execution_date={date} policy=previous_completed_session"
+        ));
+        let previous_date = data.previous_trading_date(date, 1).ok_or_else(missing)?;
+        let row = data.market(previous_date, symbol).ok_or_else(missing)?;
+        Self::from_completed_snapshot(row, date)
+    }
+
+    fn from_completed_snapshot(
+        row: &crate::data::DailyMarketSnapshot,
+        execution_date: NaiveDate,
+    ) -> Result<Self, BacktestError> {
+        let turnover_proxy = row.volume as f64 * row.close;
+        let range_ratio = (row.high - row.low) / row.prev_close;
+        if row.date >= execution_date
+            || [row.high, row.low, row.close, row.prev_close, turnover_proxy]
+                .into_iter().any(|value| !value.is_finite() || value <= 0.0)
+            || row.high < row.low
+            || !range_ratio.is_finite()
         {
-            ((snapshot.high - snapshot.low).abs() / volatility_base).max(0.0)
-        } else {
-            0.0
-        };
-        let ratio =
-            impact_ratio * self.impact_coefficient + volatility * self.volatility_coefficient;
-        ratio.clamp(0.0, self.max_ratio)
+            return Err(BacktestError::Execution(format!(
+                "historical_slippage_calibration_invalid symbol={} source_date={} execution_date={} volume={} high={} low={} close={} prev_close={}",
+                row.symbol, row.date, execution_date, row.volume, row.high, row.low, row.close, row.prev_close,
+            )));
+        }
+        Ok(Self {
+            source_date: row.date,
+            turnover_proxy,
+            range_ratio,
+        })
     }
 }
 
@@ -343,7 +377,7 @@ pub enum SlippageModel {
     PriceRatio(f64),
     TickSize(f64),
     LimitPrice,
-    Dynamic(DynamicSlippageConfig),
+    HistoricalVolumeVolatility(DynamicSlippageConfig),
 }
 
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
@@ -1109,12 +1143,28 @@ where
 
     fn snapshot_execution_price(
         &self,
+        data: &DataSet,
         snapshot: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
         quantity: Option<u32>,
-    ) -> f64 {
+    ) -> Result<f64, BacktestError> {
         let raw_price = self.snapshot_raw_execution_price(snapshot, side);
-        self.apply_slippage(snapshot, side, raw_price, quantity)
+        let calibration = self.slippage_calibration(data, snapshot)?;
+        self.apply_slippage(snapshot, side, raw_price, quantity, calibration.as_ref())
+    }
+
+    fn slippage_calibration(
+        &self,
+        data: &DataSet,
+        snapshot: &crate::data::DailyMarketSnapshot,
+    ) -> Result<Option<HistoricalSlippageCalibration>, BacktestError> {
+        if !matches!(self.slippage_model, SlippageModel::HistoricalVolumeVolatility(_))
+            || self.is_open_auction_matching()
+            || self.is_post_close_fixed_price(snapshot.date)
+        {
+            return Ok(None);
+        }
+        HistoricalSlippageCalibration::for_execution(data, snapshot.date, &snapshot.symbol).map(Some)
     }
 
     fn snapshot_raw_execution_price(
@@ -1184,17 +1234,18 @@ where
         side: OrderSide,
         raw_price: f64,
         quantity: Option<u32>,
-    ) -> f64 {
+        calibration: Option<&HistoricalSlippageCalibration>,
+    ) -> Result<f64, BacktestError> {
         if !raw_price.is_finite() || raw_price <= 0.0 {
-            return raw_price;
+            return Ok(raw_price);
         }
 
         if self.is_open_auction_matching() {
-            return self.clamp_execution_price(snapshot, side, raw_price);
+            return Ok(self.clamp_execution_price(snapshot, side, raw_price));
         }
 
         if self.is_post_close_fixed_price(snapshot.date) {
-            return self.clamp_execution_price(snapshot, side, raw_price);
+            return Ok(self.clamp_execution_price(snapshot, side, raw_price));
         }
 
         let order_value = quantity.and_then(|qty| (qty > 0).then_some(raw_price * qty as f64));
@@ -1216,8 +1267,12 @@ where
                 }
             }
             SlippageModel::LimitPrice => raw_price,
-            SlippageModel::Dynamic(config) => {
-                let ratio = config.ratio(snapshot, raw_price, order_value);
+            SlippageModel::HistoricalVolumeVolatility(config) => {
+                let calibration = calibration.filter(|value| value.source_date < snapshot.date)
+                    .ok_or_else(|| BacktestError::Execution(format!(
+                        "historical_slippage_calibration_required symbol={} execution_date={}", snapshot.symbol, snapshot.date,
+                    )))?;
+                let ratio = config.ratio(calibration, order_value)?;
                 match side {
                     OrderSide::Buy => raw_price * (1.0 + ratio),
                     OrderSide::Sell => raw_price * (1.0 - ratio),
@@ -1231,7 +1286,7 @@ where
             adjusted *= 1.0 + self.sell_then_buy_delay_slippage_rate;
         }
 
-        self.clamp_execution_price(snapshot, side, adjusted)
+        Ok(self.clamp_execution_price(snapshot, side, adjusted))
     }
 
     fn clamp_execution_price(
@@ -1266,8 +1321,9 @@ where
         side: OrderSide,
         raw_price: f64,
         quantity: Option<u32>,
-    ) -> f64 {
-        self.apply_slippage(snapshot, side, raw_price, quantity)
+        calibration: Option<&HistoricalSlippageCalibration>,
+    ) -> Result<f64, BacktestError> {
+        self.apply_slippage(snapshot, side, raw_price, quantity, calibration)
     }
 
     fn matching_type_for_algo_request(
@@ -1577,7 +1633,7 @@ where
                     .unwrap_or(0);
                 if target_qty > current_qty {
                     let requested_qty = target_qty - current_qty;
-                    if !self.can_afford_minimum_buy(date, portfolio, data, &symbol) {
+                    if !self.can_afford_minimum_buy(date, portfolio, data, &symbol)? {
                         if report.diagnostics.len() < 32 {
                             report.diagnostics.push(format!(
                                 "rebalance_buy_reduced symbol={} provisional={} final={} current={} reason=actual_cash_after_sells",
@@ -3385,7 +3441,7 @@ where
                     price,
                     minimum_order_quantity,
                     order_step_size,
-                ))
+                )?)
             } else {
                 self.round_buy_quantity(
                     (target_value / price).floor() as u32,
@@ -3441,15 +3497,17 @@ where
             let buy_execution_price = data
                 .market(date, &symbol)
                 .map(|snapshot| {
-                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(buy_quantity))
+                    self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(buy_quantity))
                 })
+                .transpose()?
                 .filter(|execution_price| execution_price.is_finite() && *execution_price > 0.0)
                 .unwrap_or(price);
             let sell_execution_price = data
                 .market(date, &symbol)
                 .map(|snapshot| {
-                    self.snapshot_execution_price(snapshot, OrderSide::Sell, Some(sell_quantity))
+                    self.snapshot_execution_price(data, snapshot, OrderSide::Sell, Some(sell_quantity))
                 })
+                .transpose()?
                 .filter(|execution_price| execution_price.is_finite() && *execution_price > 0.0)
                 .unwrap_or(price);
             if desired_qty < current_qty
@@ -3779,7 +3837,7 @@ where
                 continue;
             }
             let buy_qty = target_qty - current_qty;
-            if !self.can_afford_minimum_buy(date, portfolio, data, symbol) {
+            if !self.can_afford_minimum_buy(date, portfolio, data, symbol)? {
                 if report.diagnostics.len() < 32 {
                     report.diagnostics.push(format!(
                         "rebalance_buy_reduced symbol={} provisional={} final={} current={} reason=actual_cash_after_sells",
@@ -4283,9 +4341,9 @@ where
         portfolio: &PortfolioState,
         data: &DataSet,
         symbol: &str,
-    ) -> bool {
+    ) -> Result<bool, BacktestError> {
         let Some(snapshot) = data.market(date, symbol) else {
-            return true;
+            return Ok(true);
         };
         let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
         let order_step_size = self.order_step_size(data, symbol);
@@ -4295,14 +4353,14 @@ where
             order_step_size,
         );
         if minimum_buy_quantity == 0 {
-            return false;
+            return Ok(false);
         }
         let minimum_execution_price =
-            self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(minimum_buy_quantity));
-        Self::fixed_cash_fits(
+            self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(minimum_buy_quantity))?;
+        Ok(Self::fixed_cash_fits(
             self.estimated_buy_cash_out(date, minimum_execution_price, minimum_buy_quantity),
             portfolio.cash(),
-        )
+        ))
     }
 
     fn process_sell(
@@ -4710,7 +4768,7 @@ where
             None,
             algo_request,
             limit_price,
-        );
+        )?;
         let (filled_qty, execution_legs, next_cursor, liquidity_consumption) = if let Some(fill) =
             fill
         {
@@ -4724,7 +4782,7 @@ where
             )
         } else {
             let execution_price =
-                self.snapshot_execution_price(snapshot, OrderSide::Sell, Some(fillable_qty));
+                self.snapshot_execution_price(data, snapshot, OrderSide::Sell, Some(fillable_qty))?;
             if let Some(reason) =
                 self.execution_limit_rejection_reason(snapshot, OrderSide::Sell, execution_price)
             {
@@ -6438,7 +6496,7 @@ where
             value_gross_limit,
             algo_request,
             limit_price,
-        );
+        )?;
         let (filled_qty, execution_legs, next_cursor, liquidity_consumption) = if let Some(fill) =
             fill
         {
@@ -6452,7 +6510,7 @@ where
             )
         } else {
             let execution_price =
-                self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(constrained_qty));
+                self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(constrained_qty))?;
             if let Some(reason) =
                 self.execution_limit_rejection_reason(snapshot, OrderSide::Buy, execution_price)
             {
@@ -6494,10 +6552,11 @@ where
                         let mut blocked_by_final_price = false;
                         if filled_qty > 0 {
                             execution_price = self.snapshot_execution_price(
+                                data,
                                 snapshot,
                                 OrderSide::Buy,
                                 Some(filled_qty),
-                            );
+                            )?;
                             match self.execution_price_with_limit_slippage_or_rejection(
                                 snapshot,
                                 OrderSide::Buy,
@@ -7085,7 +7144,7 @@ where
         fallback_price: f64,
         minimum_order_quantity: u32,
         order_step_size: u32,
-    ) -> u32 {
+    ) -> Result<u32, BacktestError> {
         let snapshot = data.market(date, symbol);
         let mut quantity = self.value_buy_quantity(
             date,
@@ -7097,8 +7156,9 @@ where
         for _ in 0..8 {
             let execution_price = snapshot
                 .map(|snapshot| {
-                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(quantity))
+                    self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(quantity))
                 })
+                .transpose()?
                 .filter(|price| price.is_finite() && *price > 0.0)
                 .unwrap_or(fallback_price);
             let resolved = self.value_buy_quantity(
@@ -7109,27 +7169,28 @@ where
                 order_step_size,
             );
             if resolved == quantity {
-                return quantity;
+                return Ok(quantity);
             }
             quantity = resolved;
         }
         while quantity >= minimum_order_quantity.max(1) {
             let execution_price = snapshot
                 .map(|snapshot| {
-                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(quantity))
+                    self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(quantity))
                 })
+                .transpose()?
                 .filter(|price| price.is_finite() && *price > 0.0)
                 .unwrap_or(fallback_price);
             if Self::fixed_cash_fits(
                 self.estimated_buy_cash_out(date, execution_price, quantity),
                 value_budget,
             ) {
-                return quantity;
+                return Ok(quantity);
             }
             quantity =
                 self.decrement_order_quantity(quantity, minimum_order_quantity, order_step_size);
         }
-        0
+        Ok(0)
     }
 
     fn decrement_order_quantity(
@@ -7318,9 +7379,15 @@ where
         execution_price: f64,
     ) -> Option<&'static str> {
         if !execution_price.is_finite() || execution_price <= 0.0 {
-            return None;
+            return Some("invalid execution price");
         }
         match side {
+            OrderSide::Buy
+                if self.risk_config.static_rules.reject_one_yuan_buy
+                    && execution_price <= 1.0 =>
+            {
+                Some("one_yuan")
+            }
             OrderSide::Buy
                 if self.risk_config.static_rules.reject_upper_limit_buy
                     && snapshot.is_at_upper_limit_price(execution_price) =>
@@ -7390,14 +7457,14 @@ where
         gross_limit: Option<f64>,
         algo_request: Option<&AlgoExecutionRequest>,
         limit_price: Option<f64>,
-    ) -> Option<ExecutionFill> {
+    ) -> Result<Option<ExecutionFill>, BacktestError> {
         let matching_type = self.matching_type_for_algo_request(algo_request);
         let post_close_window = self.post_close_execution_window(date);
         let use_intraday_quotes = post_close_window.is_some()
             || algo_request.is_some()
             || self.matching_type_uses_intraday_quotes();
         if !use_intraday_quotes {
-            return None;
+            return Ok(None);
         }
 
         let runtime_start_time = self.runtime_intraday_start_time.get();
@@ -7424,6 +7491,7 @@ where
             end_cursor
         };
         let quotes = data.execution_quotes_on(date, symbol);
+        let calibration = self.slippage_calibration(data, snapshot)?;
 
         if let Some(fill) = self.select_execution_fill_with_ledger(
             symbol,
@@ -7442,8 +7510,9 @@ where
             gross_limit,
             limit_price,
             execution_ledger,
-        ) {
-            return Some(fill);
+            calibration.as_ref(),
+        )? {
+            return Ok(Some(fill));
         }
 
         if post_close_window.is_some()
@@ -7458,7 +7527,7 @@ where
                 .or(self.intraday_execution_start_time)
                 .map(|start_time| date.and_time(start_time) + Duration::seconds(1))
                 .unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
-            return Some(ExecutionFill {
+            return Ok(Some(ExecutionFill {
                 quantity: 0,
                 next_cursor,
                 legs: Vec::new(),
@@ -7469,10 +7538,10 @@ where
                     end_cursor,
                     matching_type == MatchingType::MinuteLast && start_cursor.is_some(),
                 )),
-            });
+            }));
         }
 
-        None
+        Ok(None)
     }
 
     fn empty_intraday_quote_reason(
@@ -7536,7 +7605,9 @@ where
             gross_limit,
             limit_price,
             &IntradayExecutionLedger::default(),
+            None,
         )
+        .expect("test quote selection without historical calibration")
     }
 
     #[allow(clippy::too_many_arguments)]
@@ -7558,9 +7629,10 @@ where
         gross_limit: Option<f64>,
         limit_price: Option<f64>,
         execution_ledger: &IntradayExecutionLedger,
-    ) -> Option<ExecutionFill> {
+        calibration: Option<&HistoricalSlippageCalibration>,
+    ) -> Result<Option<ExecutionFill>, BacktestError> {
         if requested_qty == 0 {
-            return None;
+            return Ok(None);
         }
 
         let quote_quantity_limited =
@@ -7623,6 +7695,11 @@ where
             else {
                 continue;
             };
+            if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, raw_quote_price) {
+                execution_block_reason.get_or_insert(reason);
+                execution_block_timestamp = Some(quote.timestamp);
+                continue;
+            }
             let mark_price = self.quote_mark_price(quote, raw_quote_price);
             let remaining_qty = requested_qty.saturating_sub(filled_qty);
             if remaining_qty == 0 {
@@ -7703,7 +7780,7 @@ where
             }
 
             let mut quote_price =
-                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty), calibration)?;
             if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
             {
                 execution_block_reason.get_or_insert(reason);
@@ -7723,7 +7800,7 @@ where
             if let Some(cash) = cash_limit {
                 while take_qty > 0 {
                     quote_price =
-                        self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+                        self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty), calibration)?;
                     if !quote_price.is_finite() || quote_price <= 0.0 {
                         budget_block_reason = Some("invalid execution price");
                         take_qty = 0;
@@ -7775,7 +7852,7 @@ where
             }
 
             quote_price =
-                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty), calibration)?;
             quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
             if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
             {
@@ -7833,7 +7910,7 @@ where
             if let Some(reason) = execution_block_reason
                 && !saw_non_blocked_execution_price
             {
-                return Some(ExecutionFill {
+                return Ok(Some(ExecutionFill {
                     quantity: 0,
                     next_cursor: execution_block_timestamp
                         .expect("blocked execution quote timestamp")
@@ -7841,12 +7918,12 @@ where
                     legs: Vec::new(),
                     liquidity_consumption: Vec::new(),
                     unfilled_reason: Some(reason),
-                });
+                }));
             }
-            return None;
+            return Ok(None);
         }
 
-        Some(ExecutionFill {
+        Ok(Some(ExecutionFill {
             quantity: filled_qty,
             next_cursor: last_timestamp.unwrap() + Duration::seconds(1),
             legs: if matching_type == MatchingType::Vwap {
@@ -7870,7 +7947,7 @@ where
             } else {
                 None
             },
-        })
+        }))
     }
 
     fn quote_has_executable_liquidity(
@@ -8118,6 +8195,88 @@ mod tests {
         }
     }
 
+    #[test]
+    fn historical_slippage_does_not_read_later_daily_fields_for_open_or_minute_fills() {
+        let previous = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+        let build_data = |changed: bool| {
+            let mut prior = dated_limit_test_snapshot(previous);
+            prior.timestamp = None;
+            let mut current = dated_limit_test_snapshot(date);
+            current.timestamp = None;
+            if changed {
+                current.high = 10.9;
+                current.low = 9.1;
+                current.close = 10.8;
+                current.volume = 400;
+            }
+            let mut quote = limit_test_quote(10.0, 10.0, 10.0);
+            quote.date = date;
+            quote.timestamp = date.and_hms_opt(13, 7, 0).unwrap();
+            DataSet::from_components_with_actions_and_quotes(
+                vec![limit_test_instrument()], vec![prior, current], Vec::new(),
+                vec![dated_limit_test_candidate(previous, false, false, true, true), dated_limit_test_candidate(date, false, false, true, true)],
+                vec![dated_limit_test_benchmark(previous), dated_limit_test_benchmark(date)],
+                Vec::new(), vec![quote],
+            ).unwrap()
+        };
+        let decision = StrategyDecision {
+            order_intents: vec![OrderIntent::Value {
+                symbol: "000001.SZ".into(), value: 50_000.0, reason: "historical_model_invariance".into(),
+            }], ..StrategyDecision::default()
+        };
+        for matching in [MatchingType::NextBarOpen, MatchingType::MinuteLast] {
+            let mut results = Vec::new();
+            for changed in [false, true] {
+                let data = build_data(changed);
+                let mut broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+                    .with_matching_type(matching)
+                    .with_volume_limit(false).with_liquidity_limit(false)
+                    .with_slippage_model(SlippageModel::HistoricalVolumeVolatility(super::DynamicSlippageConfig::new(0.5, 0.3, 0.1)));
+                if matching == MatchingType::MinuteLast {
+                    broker = broker.with_intraday_execution_start_time(NaiveTime::from_hms_opt(13, 7, 0).unwrap());
+                }
+                let mut account = PortfolioState::new(1_000_000.0);
+                let report = broker.execute_with_event_dates(date, previous, previous, &mut account, &data, &decision).unwrap();
+                assert_eq!(report.fill_events.len(), 1, "{report:?}");
+                results.push((serde_json::to_value(&report.fill_events).unwrap(), account.cash()));
+            }
+            assert_eq!(results[0], results[1], "{matching:?}");
+        }
+    }
+
+    #[test]
+    fn historical_slippage_rejects_missing_future_or_invalid_calibration_without_raw_price_fallback() {
+        let snapshot = limit_test_snapshot();
+        let date = snapshot.date;
+        assert!(super::HistoricalSlippageCalibration::from_completed_snapshot(&snapshot, date).is_err());
+        let later = date + chrono::Duration::days(1);
+        let mut bad = snapshot.clone();
+        bad.volume = 0;
+        assert!(super::HistoricalSlippageCalibration::from_completed_snapshot(&bad, later).is_err());
+        bad = snapshot.clone();
+        bad.high = f64::NAN;
+        assert!(super::HistoricalSlippageCalibration::from_completed_snapshot(&bad, later).is_err());
+        let calibration = super::HistoricalSlippageCalibration::from_completed_snapshot(&snapshot, later).unwrap();
+        assert!(super::DynamicSlippageConfig::new(f64::NAN, 0.3, 0.1).ratio(&calibration, Some(100.0)).is_err());
+        assert!(super::DynamicSlippageConfig::new(-1.0, 0.3, 0.1).ratio(&calibration, Some(100.0)).is_err());
+        assert!(super::DynamicSlippageConfig::new(0.5, 0.3, 1.0).ratio(&calibration, Some(100.0)).is_err());
+
+        let data = DataSet::from_components(vec![limit_test_instrument()], vec![snapshot], Vec::new(),
+            vec![limit_test_candidate(true, true)], vec![limit_test_benchmark()]).unwrap();
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false).with_liquidity_limit(false)
+            .with_slippage_model(SlippageModel::HistoricalVolumeVolatility(super::DynamicSlippageConfig::default()));
+        let mut account = PortfolioState::new(1_000_000.0);
+        let decision = StrategyDecision { order_intents: vec![OrderIntent::Value {
+            symbol: "000001.SZ".into(), value: 50_000.0, reason: "missing_calibration".into(),
+        }], ..StrategyDecision::default() };
+        let error = broker.execute(date, &mut account, &data, &decision).unwrap_err();
+        assert!(error.to_string().contains("historical_slippage_calibration_missing"), "{error}");
+        assert_eq!(account.cash(), 1_000_000.0);
+        assert!(account.positions().is_empty());
+    }
+
     fn limit_test_candidate(allow_buy: bool, allow_sell: bool) -> CandidateEligibility {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
         CandidateEligibility {
@@ -8431,6 +8590,11 @@ mod tests {
         let mut snapshot = dated_limit_test_snapshot(date);
         snapshot.close = 10.0;
         snapshot.upper_limit = 20.0;
+        let data = DataSet::from_components(
+            vec![limit_test_instrument()], vec![snapshot.clone()], Vec::new(),
+            vec![dated_limit_test_candidate(date, false, false, true, true)],
+            vec![dated_limit_test_benchmark(date)],
+        ).unwrap();
 
         for (hour, minute) in [(14, 59), (15, 31)] {
             broker
@@ -8441,7 +8605,7 @@ mod tests {
                 EquityExecutionPhase::ContinuousAuction
             );
             assert_eq!(
-                broker.snapshot_execution_price(&snapshot, OrderSide::Buy, Some(100)),
+                broker.snapshot_execution_price(&data, &snapshot, OrderSide::Buy, Some(100)).unwrap(),
                 12.5
             );
         }
@@ -8454,7 +8618,7 @@ mod tests {
                 EquityExecutionPhase::PostCloseFixedPrice
             );
             assert_eq!(
-                broker.snapshot_execution_price(&snapshot, OrderSide::Buy, Some(100)),
+                broker.snapshot_execution_price(&data, &snapshot, OrderSide::Buy, Some(100)).unwrap(),
                 10.0
             );
         }
@@ -8596,6 +8760,54 @@ mod tests {
         assert_eq!(fill.quantity, 1_200);
     }
 
+    #[test]
+    fn each_execution_leg_rechecks_one_yuan_including_slippage_and_limit_price() {
+        let mut snapshot = limit_test_snapshot();
+        snapshot.open = 1.2;
+        snapshot.last_price = 1.2;
+        snapshot.upper_limit = 2.0;
+        snapshot.lower_limit = 0.5;
+        let date = snapshot.date;
+        let start = date.and_hms_opt(10, 0, 0).unwrap();
+        let end = date.and_hms_opt(10, 2, 0).unwrap();
+        let mut cheap = limit_test_quote(0.9, 0.9, 0.9);
+        cheap.timestamp = date.and_hms_opt(10, 1, 0).unwrap();
+        let mut later = limit_test_quote(1.2, 1.2, 1.2);
+        later.timestamp = end;
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false).with_liquidity_limit(false);
+
+        let fill = broker.select_execution_fill(
+            &snapshot, &[cheap.clone(), later], OrderSide::Buy, MatchingType::Vwap,
+            Some(start), Some(end), 100, 100, 100, 100, false, None, None, None,
+        ).unwrap();
+        assert_eq!(fill.quantity, 100);
+        assert_eq!(fill.legs.len(), 1);
+        assert_eq!(fill.legs[0].execution_timestamp, Some(end));
+        assert_eq!(fill.legs[0].price, 1.2);
+
+        let slipped = broker.with_slippage_model(SlippageModel::PriceRatio(0.2));
+        let blocked = slipped.select_execution_fill(
+            &snapshot, &[cheap], OrderSide::Buy, MatchingType::Vwap,
+            Some(start), Some(end), 100, 100, 100, 100, false, None, None, None,
+        ).unwrap();
+        assert_eq!(blocked.quantity, 0);
+        assert_eq!(blocked.unfilled_reason, Some("one_yuan"));
+        assert_eq!(slipped.execution_price_with_limit_slippage_or_rejection(&snapshot, OrderSide::Buy, 1.0, None), Err("one_yuan"));
+
+        let limit_broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_slippage_model(SlippageModel::LimitPrice);
+        assert_eq!(limit_broker.execution_price_with_limit_slippage_or_rejection(
+            &snapshot, OrderSide::Buy, 1.2, Some(0.9)), Err("one_yuan"));
+        let mut risk = FidcRiskControlConfig::default();
+        risk.static_rules.reject_one_yuan_buy = false;
+        let allowed = limit_broker.with_risk_config(risk);
+        assert_eq!(allowed.execution_price_with_limit_slippage_or_rejection(
+            &snapshot, OrderSide::Buy, 1.2, Some(0.9)), Ok(0.9));
+        assert_eq!(allowed.execution_limit_rejection_reason(&snapshot, OrderSide::Buy, f64::NAN), Some("invalid execution price"));
+        assert_eq!(allowed.execution_limit_rejection_reason(&snapshot, OrderSide::Sell, 0.9), None);
+    }
+
     #[test]
     fn minute_last_uses_volume_delta_when_level1_depth_missing() {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");

crates/fidc-core/src/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/lib.rs

@@ -6,6 +6,7 @@ pub mod daily_patterns;
 pub mod pattern_context;
 pub mod session_events;
 pub mod factor_events;
+mod factor_event_catalog;
 pub mod factor_cross_section;
 pub mod market_event_context;
 pub mod engine;

crates/fidc-core/src/metrics.rs

@@ -558,7 +558,9 @@ 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 +769,28 @@ 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/platform_expr_strategy.rs

@@ -675,6 +675,9 @@ pub struct PlatformExprStrategyConfig {
     pub current_day_precomputed_factors: bool,
     pub completed_session_factor_fields: BTreeSet<String>,
     pub candidate_symbols_by_date: BTreeMap<NaiveDate, BTreeSet<String>>,
+    /// Explicit frozen candidate order, independent of the strategy's legacy
+    /// rank expression. Membership-only books keep their original ranking.
+    pub candidate_order_by_date: BTreeMap<NaiveDate, BTreeMap<String, usize>>,
     pub intraday_execution_time: Option<NaiveTime>,
     pub session_event_times: Vec<NaiveTime>,
     pub explicit_action_times: Vec<NaiveTime>,
@@ -759,6 +762,7 @@ impl PlatformExprStrategyConfig {
             current_day_precomputed_factors: false,
             completed_session_factor_fields: BTreeSet::new(),
             candidate_symbols_by_date: BTreeMap::new(),
+            candidate_order_by_date: BTreeMap::new(),
             intraday_execution_time: None,
             session_event_times: Vec::new(),
             explicit_action_times: Vec::new(),
@@ -3007,13 +3011,14 @@ impl PlatformExprStrategy {
 
     fn projected_apply_slippage(
         &self,
+        ctx: &StrategyContext<'_>,
         market: &DailyMarketSnapshot,
         side: OrderSide,
         raw_price: f64,
         quantity: Option<u32>,
-    ) -> f64 {
+    ) -> Result<f64, BacktestError> {
         if !raw_price.is_finite() || raw_price <= 0.0 {
-            return raw_price;
+            return Ok(raw_price);
         }
         let order_value = quantity.and_then(|qty| (qty > 0).then_some(raw_price * qty as f64));
         let mut adjusted = match self.config.slippage_model {
@@ -3033,8 +3038,11 @@ impl PlatformExprStrategy {
                     OrderSide::Sell => raw_price - tick * ticks,
                 }
             }
-            SlippageModel::Dynamic(config) => {
-                let ratio = config.ratio(market, raw_price, order_value);
+            SlippageModel::HistoricalVolumeVolatility(config) => {
+                let calibration = crate::broker::HistoricalSlippageCalibration::for_execution(
+                    ctx.data, market.date, &market.symbol,
+                )?;
+                let ratio = config.ratio(&calibration, order_value)?;
                 match side {
                     OrderSide::Buy => raw_price * (1.0 + ratio),
                     OrderSide::Sell => raw_price * (1.0 - ratio),
@@ -3047,7 +3055,7 @@ impl PlatformExprStrategy {
         {
             adjusted *= 1.0 + self.config.sell_then_buy_delay_slippage_rate;
         }
-        Self::projected_clamp_execution_price(market, side, adjusted)
+        Ok(Self::projected_clamp_execution_price(market, side, adjusted))
     }
 
     fn projected_clamp_execution_price(
@@ -3246,7 +3254,7 @@ impl PlatformExprStrategy {
         cash_limit: Option<f64>,
         gross_limit: Option<f64>,
         execution_state: &ProjectedExecutionState,
-    ) -> Option<ProjectedExecutionFill> {
+    ) -> Result<Option<ProjectedExecutionFill>, BacktestError> {
         self.projected_select_execution_fill_at_time(
             ctx,
             date,
@@ -3280,11 +3288,11 @@ impl PlatformExprStrategy {
         gross_limit: Option<f64>,
         execution_state: &ProjectedExecutionState,
         execution_time: Option<NaiveTime>,
-    ) -> Option<ProjectedExecutionFill> {
+    ) -> Result<Option<ProjectedExecutionFill>, BacktestError> {
         if requested_qty == 0 {
-            return None;
+            return Ok(None);
         }
-        let market = ctx.data.market(date, symbol)?;
+        let Some(market) = ctx.data.market(date, symbol) else { return Ok(None); };
 
         let start_cursor = self.projected_execution_start_cursor_at_time(
             ctx,
@@ -3340,7 +3348,7 @@ impl PlatformExprStrategy {
             }
 
             let mut quote_price =
-                self.projected_apply_slippage(market, side, raw_quote_price, Some(take_qty));
+                self.projected_apply_slippage(ctx, market, side, raw_quote_price, Some(take_qty))?;
             if self
                 .projected_execution_limit_rejection_reason(market, side, quote_price)
                 .is_some()
@@ -3351,11 +3359,12 @@ impl PlatformExprStrategy {
             if let Some(cash) = cash_limit {
                 while take_qty > 0 {
                     quote_price = self.projected_apply_slippage(
+                        ctx,
                         market,
                         side,
                         raw_quote_price,
                         Some(take_qty),
-                    );
+                    )?;
                     if self
                         .projected_execution_limit_rejection_reason(market, side, quote_price)
                         .is_some()
@@ -3389,7 +3398,7 @@ impl PlatformExprStrategy {
             }
 
             quote_price =
-                self.projected_apply_slippage(market, side, raw_quote_price, Some(take_qty));
+                self.projected_apply_slippage(ctx, market, side, raw_quote_price, Some(take_qty))?;
             if self
                 .projected_execution_limit_rejection_reason(market, side, quote_price)
                 .is_some()
@@ -3405,13 +3414,13 @@ impl PlatformExprStrategy {
         }
 
         if filled_qty == 0 {
-            return None;
+            return Ok(None);
         }
-        Some(ProjectedExecutionFill {
+        Ok(Some(ProjectedExecutionFill {
             price: gross_amount / filled_qty as f64,
             quantity: filled_qty,
             next_cursor: last_timestamp.unwrap_or(start_cursor) + Duration::seconds(1),
-        })
+        }))
     }
 
     fn has_execution_quote_at_or_before_at_time(
@@ -3442,7 +3451,7 @@ impl PlatformExprStrategy {
         date: NaiveDate,
         symbol: &str,
         execution_state: &mut ProjectedExecutionState,
-    ) -> Option<u32> {
+    ) -> Result<Option<u32>, BacktestError> {
         self.project_target_zero_at_time(ctx, projected, date, symbol, execution_state, None)
     }
 
@@ -3454,27 +3463,27 @@ impl PlatformExprStrategy {
         symbol: &str,
         execution_state: &mut ProjectedExecutionState,
         execution_time: Option<NaiveTime>,
-    ) -> Option<u32> {
-        let position = projected.position(symbol)?;
+    ) -> Result<Option<u32>, BacktestError> {
+        let Some(position) = projected.position(symbol) else { return Ok(None); };
         let current_qty = position.quantity;
         let sellable_qty = position.sellable_qty(date);
         if self.automatic_trade_permissions.get(symbol).is_some_and(|permission| permission.sell_denial.is_some()) {
-            return None;
+            return Ok(None);
         }
         let quantity = current_qty.min(sellable_qty);
         if quantity == 0 {
-            return None;
+            return Ok(None);
         }
         if !Self::defer_projection_execution_risk(ctx, date)
             && !self.can_sell_position_at_time(ctx, date, symbol, execution_time)
         {
-            return None;
+            return Ok(None);
         }
-        let market = ctx.data.market(date, symbol)?;
+        let Some(market) = ctx.data.market(date, symbol) else { return Ok(None); };
         let round_lot = self.projected_round_lot(ctx, symbol);
         let minimum_order_quantity = self.projected_minimum_order_quantity(ctx, symbol);
         let order_step_size = self.projected_order_step_size(ctx, symbol);
-        let fill = self
+        let Some(fill) = self
             .projected_select_execution_fill_at_time(
                 ctx,
                 date,
@@ -3489,7 +3498,7 @@ impl PlatformExprStrategy {
                 None,
                 execution_state,
                 execution_time,
-            )
+            )?
             .or_else(|| {
                 if self.uses_intraday_execution_quotes()
                     && !Self::defer_projection_execution_risk(ctx, date)
@@ -3530,13 +3539,13 @@ impl PlatformExprStrategy {
                 } else {
                     None
                 }
-            })?;
+            }) else { return Ok(None); };
         let gross_amount = fill.price * fill.quantity as f64;
         let net_cash = self.sell_net_cash(date, gross_amount);
         projected
             .position_mut(symbol)
             .sell(fill.quantity, fill.price)
-            .ok()?;
+            .map_err(BacktestError::Execution)?;
         projected
             .apply_cash_delta(net_cash)
             .expect("projected sell cash must fit fixed-point ledger");
@@ -3548,7 +3557,7 @@ impl PlatformExprStrategy {
             .execution_cursors
             .insert(symbol.to_string(), fill.next_cursor);
         projected.prune_flat_positions();
-        Some(fill.quantity)
+        Ok(Some(fill.quantity))
     }
 
     fn project_target_value(
@@ -3559,34 +3568,35 @@ impl PlatformExprStrategy {
         symbol: &str,
         target_value: f64,
         execution_state: &mut ProjectedExecutionState,
-    ) -> Option<u32> {
-        let current_qty = projected.position(symbol)?.quantity;
+    ) -> Result<Option<u32>, BacktestError> {
+        let Some(position) = projected.position(symbol) else { return Ok(None); };
+        let current_qty = position.quantity;
         if current_qty == 0 {
-            return None;
+            return Ok(None);
         }
         if target_value <= f64::EPSILON {
             return self.project_target_zero(ctx, projected, date, symbol, execution_state);
         }
-        let market = ctx.data.market(date, symbol)?;
+        let Some(market) = ctx.data.market(date, symbol) else { return Ok(None); };
         let current_value =
             self.projected_target_value_current_position_value(ctx, projected, date, symbol);
         if !current_value.is_finite() || current_value <= 0.0 {
-            return None;
+            return Ok(None);
         }
         let cash_delta = target_value.max(0.0) - current_value;
         if cash_delta.abs() <= f64::EPSILON {
-            return None;
+            return Ok(None);
         }
         if cash_delta > 0.0 {
             let result =
-                self.project_order_value(ctx, projected, date, symbol, cash_delta, execution_state);
-            return (result.filled_quantity > 0).then_some(result.filled_quantity);
+                self.project_order_value(ctx, projected, date, symbol, cash_delta, execution_state)?;
+            return Ok((result.filled_quantity > 0).then_some(result.filled_quantity));
         }
 
         if !Self::defer_projection_execution_risk(ctx, date)
             && !self.can_sell_position(ctx, date, symbol)
         {
-            return None;
+            return Ok(None);
         }
         let sizing_price = self
             .scheduled_quote(ctx, date, symbol)
@@ -3599,17 +3609,17 @@ impl PlatformExprStrategy {
             })
             .unwrap_or_else(|| self.projected_execution_price(market, OrderSide::Sell));
         if !sizing_price.is_finite() || sizing_price <= 0.0 {
-            return None;
+            return Ok(None);
         }
         let round_lot = self.projected_round_lot(ctx, symbol);
         let minimum_order_quantity = self.projected_minimum_order_quantity(ctx, symbol);
         let order_step_size = self.projected_order_step_size(ctx, symbol);
-        let sellable_qty = projected.position(symbol)?.sellable_qty(date);
+        let sellable_qty = position.sellable_qty(date);
         if self.automatic_trade_permissions.get(symbol).is_some_and(|permission| permission.sell_denial.is_some()) {
-            return None;
+            return Ok(None);
         }
         if sellable_qty == 0 {
-            return None;
+            return Ok(None);
         }
         let requested_qty = self
             .round_lot_quantity(
@@ -3620,9 +3630,9 @@ impl PlatformExprStrategy {
             .min(current_qty)
             .min(sellable_qty);
         if requested_qty == 0 {
-            return None;
+            return Ok(None);
         }
-        let fill = self.projected_select_execution_fill(
+        let Some(fill) = self.projected_select_execution_fill(
             ctx,
             date,
             symbol,
@@ -3635,13 +3645,13 @@ impl PlatformExprStrategy {
             None,
             None,
             execution_state,
-        )?;
+        )? else { return Ok(None); };
         let gross_amount = fill.price * fill.quantity as f64;
         let net_cash = self.sell_net_cash(date, gross_amount);
         projected
             .position_mut(symbol)
             .sell(fill.quantity, fill.price)
-            .ok()?;
+            .map_err(BacktestError::Execution)?;
         projected
             .apply_cash_delta(net_cash)
             .expect("projected sell cash must fit fixed-point ledger");
@@ -3653,7 +3663,7 @@ impl PlatformExprStrategy {
             .execution_cursors
             .insert(symbol.to_string(), fill.next_cursor);
         projected.prune_flat_positions();
-        Some(fill.quantity)
+        Ok(Some(fill.quantity))
     }
 
     fn projected_position_is_flat(projected: &PortfolioState, symbol: &str) -> bool {
@@ -3941,7 +3951,7 @@ impl PlatformExprStrategy {
                     symbol,
                     buy_cash,
                     projected_execution_state,
-                );
+                )?;
                 if order_result.was_submitted() {
                     order_intents.push(OrderIntent::Value {
                         symbol: symbol.clone(),
@@ -4042,32 +4052,30 @@ impl PlatformExprStrategy {
         symbol: &str,
         order_value: f64,
         execution_state: &mut ProjectedExecutionState,
-    ) -> ProjectedOrderValueResult {
+    ) -> Result<ProjectedOrderValueResult, BacktestError> {
         if order_value <= 0.0 {
-            return ProjectedOrderValueResult::not_submitted();
+            return Ok(ProjectedOrderValueResult::not_submitted());
         }
         let round_lot = self.projected_round_lot(ctx, symbol);
         let minimum_order_quantity = self.projected_minimum_order_quantity(ctx, symbol);
         let order_step_size = self.projected_order_step_size(ctx, symbol);
         let market = match ctx.data.market(date, symbol) {
             Some(market) => market,
-            None => return ProjectedOrderValueResult::not_submitted(),
+            None => return Ok(ProjectedOrderValueResult::not_submitted()),
         };
         let stock = match self.stock_state(ctx, date, symbol) {
             Ok(stock) => stock,
             Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot { .. })) => {
-                return ProjectedOrderValueResult::not_submitted();
+                return Ok(ProjectedOrderValueResult::not_submitted());
             }
-            Err(_) => return ProjectedOrderValueResult::not_submitted(),
+            Err(error) => return Err(error),
         };
         if !Self::defer_projection_execution_risk(ctx, date)
             && self
-                .buy_rejection_reason(ctx, date, symbol, &stock)
-                .ok()
-                .flatten()
+                .buy_rejection_reason(ctx, date, symbol, &stock)?
                 .is_some()
         {
-            return ProjectedOrderValueResult::not_submitted();
+            return Ok(ProjectedOrderValueResult::not_submitted());
         }
         let raw_sizing_price = if self.uses_intraday_execution_quotes() {
             self.scheduled_last_price(ctx, date, symbol)
@@ -4076,9 +4084,9 @@ impl PlatformExprStrategy {
             self.projected_execution_price(market, OrderSide::Buy)
         };
         let sizing_price =
-            self.projected_apply_slippage(market, OrderSide::Buy, raw_sizing_price, None);
+            self.projected_apply_slippage(ctx, market, OrderSide::Buy, raw_sizing_price, None)?;
         if !sizing_price.is_finite() || sizing_price <= 0.0 {
-            return ProjectedOrderValueResult::not_submitted();
+            return Ok(ProjectedOrderValueResult::not_submitted());
         }
         let snapshot_requested_qty = self.value_buy_quantity(
             projected.cash().min(order_value),
@@ -4108,7 +4116,7 @@ impl PlatformExprStrategy {
                 self.decrement_order_quantity(quantity, minimum_order_quantity, order_step_size);
         }
         if quantity == 0 {
-            return ProjectedOrderValueResult::not_submitted();
+            return Ok(ProjectedOrderValueResult::not_submitted());
         }
         let submitted_quantity = quantity;
         let defer_projection_execution_risk = Self::defer_projection_execution_risk(ctx, date);
@@ -4126,7 +4134,7 @@ impl PlatformExprStrategy {
                 Some(cash_limit),
                 gross_limit,
                 execution_state,
-            )
+            )?
             .or_else(|| {
                 if !defer_projection_execution_risk
                     && ctx.data.has_execution_quotes_on_date(date)
@@ -4168,12 +4176,12 @@ impl PlatformExprStrategy {
                 }
             });
         let Some(fill) = fill else {
-            return ProjectedOrderValueResult::submitted_without_fill(submitted_quantity);
+            return Ok(ProjectedOrderValueResult::submitted_without_fill(submitted_quantity));
         };
         let gross_amount = fill.price * fill.quantity as f64;
         let cash_out = self.buy_cash_out(gross_amount);
         if !Self::fixed_cash_fits(cash_out, cash_limit) {
-            return ProjectedOrderValueResult::submitted_without_fill(submitted_quantity);
+            return Ok(ProjectedOrderValueResult::submitted_without_fill(submitted_quantity));
         }
         projected
             .apply_cash_delta(-cash_out)
@@ -4188,7 +4196,7 @@ impl PlatformExprStrategy {
         execution_state
             .execution_cursors
             .insert(symbol.to_string(), fill.next_cursor);
-        ProjectedOrderValueResult::submitted_with_fill(submitted_quantity, fill.quantity)
+        Ok(ProjectedOrderValueResult::submitted_with_fill(submitted_quantity, fill.quantity))
     }
 
     fn defer_projection_execution_risk(ctx: &StrategyContext<'_>, date: NaiveDate) -> bool {
@@ -10660,7 +10668,8 @@ impl PlatformExprStrategy {
     }
 
     fn rank_reuses_market_cap_order(&self) -> bool {
-        !self.rank_expr_present
+        self.config.candidate_order_by_date.is_empty()
+            && !self.rank_expr_present
             && !self.config.rank_desc
             && matches!(self.config.rank_by.trim(), "market_cap" | "market_cap_bn")
     }
@@ -11046,8 +11055,13 @@ impl PlatformExprStrategy {
             if field_value < band_low || field_value > band_high {
                 continue;
             }
-            let rank_value =
-                self.rank_value_from_caps(ctx, day, market_cap_bn, free_float_cap_bn, &stock)?;
+            let rank_value = if let Some(order) = self.config.candidate_order_by_date.get(&date) {
+                *order.get(symbol).ok_or_else(|| BacktestError::Execution(format!(
+                    "frozen candidate order is missing {date}/{symbol}"
+                )))? as f64
+            } else {
+                self.rank_value_from_caps(ctx, day, market_cap_bn, free_float_cap_bn, &stock)?
+            };
             if !rank_value.is_finite() {
                 // Model-score artifacts intentionally contain only the PIT-eligible
                 // ranked universe. Do not report a missing score for a symbol that
@@ -11094,7 +11108,7 @@ impl PlatformExprStrategy {
             candidates.sort_by(|lhs, rhs| {
                 let lhs_value = lhs.1;
                 let rhs_value = rhs.1;
-                let ordering = if self.config.rank_desc {
+                let ordering = if self.config.rank_desc && self.config.candidate_order_by_date.is_empty() {
                     rhs_value
                         .partial_cmp(&lhs_value)
                         .unwrap_or(std::cmp::Ordering::Equal)
@@ -13022,7 +13036,7 @@ impl PlatformExprStrategy {
                     &symbol,
                     &mut projected_execution_state,
                     Some(delayed_limit_exit_time),
-                )
+                )?
                 .is_some()
                     && Self::projected_position_is_flat(&projected, &symbol)
             };
@@ -13178,7 +13192,7 @@ impl PlatformExprStrategy {
                             projection_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                        )
+                        )?
                         .is_some();
                     if close_submitted {
                         self.refresh_available_cash_after_projected_sell(
@@ -13278,7 +13292,7 @@ impl PlatformExprStrategy {
                     &symbol,
                     &mut projected_execution_state,
                     Some(risk_level_forced_exit_time),
-                )
+                )?
                 .is_some();
             if close_submitted {
                 self.refresh_available_cash_after_projected_sell(&mut available_cash, &projected);
@@ -13333,7 +13347,7 @@ impl PlatformExprStrategy {
                     projection_date,
                     symbol,
                     &mut projected_execution_state,
-                );
+                )?;
             } else {
                 let current_value = self.projected_position_value_at_execution_price(
                     ctx,
@@ -13350,7 +13364,7 @@ impl PlatformExprStrategy {
                     symbol,
                     target_value,
                     &mut projected_execution_state,
-                );
+                )?;
             }
             self.refresh_available_cash_after_projected_sell(&mut available_cash, &projected);
             if Self::projected_position_is_flat(&projected, symbol) {
@@ -13504,7 +13518,7 @@ impl PlatformExprStrategy {
                         &position.symbol,
                         target_value,
                         &mut trial_execution_state,
-                    );
+                    )?;
                     let after_qty = trial_projected
                         .position(&position.symbol)
                         .map(|projected_position| projected_position.quantity)
@@ -13599,7 +13613,7 @@ impl PlatformExprStrategy {
                             &symbol,
                             target_value,
                             &mut projected_execution_state,
-                        );
+                        )?;
                         let after_qty = projected
                             .position(&symbol)
                             .map(|position| position.quantity)
@@ -13650,7 +13664,7 @@ impl PlatformExprStrategy {
                             projection_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                        )
+                        )?
                         .is_some();
                     if close_submitted {
                         self.refresh_available_cash_after_projected_sell(
@@ -13761,7 +13775,7 @@ impl PlatformExprStrategy {
                                 projection_date,
                                 &position.symbol,
                                 &mut projected_execution_state,
-                            )
+                            )?
                             .is_some();
                         if close_submitted {
                             self.refresh_available_cash_after_projected_sell(
@@ -13849,7 +13863,7 @@ impl PlatformExprStrategy {
                             projection_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                        )
+                        )?
                         .is_some();
                     if close_submitted {
                         self.refresh_available_cash_after_projected_sell(
@@ -13931,7 +13945,7 @@ impl PlatformExprStrategy {
                             projection_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                        )
+                        )?
                         .is_some();
                     if close_submitted {
                         self.refresh_available_cash_after_projected_sell(
@@ -14036,7 +14050,7 @@ impl PlatformExprStrategy {
                         &symbol,
                         target_value,
                         &mut projected_execution_state,
-                    );
+                    )?;
                 } else {
                     self.project_order_value(
                         ctx,
@@ -14045,7 +14059,7 @@ impl PlatformExprStrategy {
                         &symbol,
                         target_value,
                         &mut projected_execution_state,
-                    );
+                    )?;
                     intraday_attempted_buys.insert(symbol.clone());
                     self.remember_position_entry_date(symbol, signal_date);
                 }
@@ -14112,7 +14126,7 @@ impl PlatformExprStrategy {
                         projection_date,
                         symbol,
                         &mut projected_execution_state,
-                    )
+                    )?
                     .is_some()
                     && Self::projected_position_is_flat(&projected, symbol)
                 {
@@ -14172,7 +14186,7 @@ impl PlatformExprStrategy {
                         symbol,
                         target_value,
                         &mut trial_execution_state,
-                    );
+                    )?;
                     let after_qty = trial_projected
                         .position(symbol)
                         .map(|position| position.quantity)
@@ -14235,7 +14249,7 @@ impl PlatformExprStrategy {
                     symbol,
                     target_value,
                     &mut projected_execution_state,
-                );
+                )?;
                 order_intents.push(OrderIntent::TargetValue {
                     symbol: symbol.clone(),
                     target_value,
@@ -15004,6 +15018,31 @@ mod tests {
         assert_eq!(shared.version_sha256(),shared_version);
     }
 
+    #[test]
+    fn projected_historical_slippage_does_not_swallow_missing_calibration() {
+        let date = d(2025, 1, 7);
+        let symbol = "000001.SZ";
+        let data = single_symbol_platform_data(&[date], symbol);
+        let portfolio = PortfolioState::new(100_000.0);
+        let subscriptions = BTreeSet::new();
+        let ctx = StrategyContext {
+            execution_date: date, decision_date: date, decision_index: 0, data: &data, portfolio: &portfolio,
+            futures_account: None, open_orders: &[], dynamic_universe: None, subscriptions: &subscriptions,
+            process_events: &[], active_process_event: None, active_datetime: Some(date.and_hms_opt(15, 0, 0).unwrap()),
+            order_events: &[], fills: &[],
+        };
+        let mut config = PlatformExprStrategyConfig::generic();
+        config.signal_symbol = symbol.into();
+        config.slippage_model = SlippageModel::HistoricalVolumeVolatility(crate::DynamicSlippageConfig::default());
+        let strategy = PlatformExprStrategy::new(config);
+        let mut projected = portfolio.clone();
+        let result = strategy.project_order_value(&ctx, &mut projected, date, symbol, 50_000.0, &mut super::ProjectedExecutionState::default());
+        let error = result.expect_err("calibration failures must reach the strategy caller");
+        assert!(error.to_string().contains("historical_slippage_calibration_missing"), "{error}");
+        assert_eq!(projected.cash(), portfolio.cash());
+        assert!(projected.positions().is_empty());
+    }
+
     #[test]
     fn portfolio_loss_observes_finalized_nav_after_fees_and_cash_flows() {
         use std::sync::Mutex;
@@ -16039,7 +16078,7 @@ mod tests {
                 symbol,
                 3_410.0,
                 &mut execution_state,
-            ),
+            ).unwrap(),
             Some(200)
         );
         assert_eq!(projected.position(symbol).unwrap().quantity, 300);
@@ -17719,7 +17758,7 @@ mod tests {
             symbol,
             125_000.0,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert_eq!(result.filled_quantity, 24_400);
         let position = projected.position(symbol).expect("position");
@@ -17853,7 +17892,7 @@ mod tests {
             symbol,
             125_000.0,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert_eq!(result.filled_quantity, 24_400);
     }
@@ -18085,7 +18124,7 @@ mod tests {
             symbol,
             target_value,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert_eq!(filled, Some(500));
         assert_eq!(projected.position(symbol).unwrap().quantity, 19_100);
@@ -24599,7 +24638,7 @@ mod tests {
                 symbol,
                 target_value,
                 &mut execution_state,
-            )
+            ).unwrap()
             .expect("target adjustment should buy");
 
         assert_eq!(filled, 200);
@@ -33043,7 +33082,7 @@ mod tests {
         let mut execution_state = super::ProjectedExecutionState::default();
 
         let filled =
-            strategy.project_target_zero(&ctx, &mut projected, date, symbol, &mut execution_state);
+            strategy.project_target_zero(&ctx, &mut projected, date, symbol, &mut execution_state).unwrap();
 
         assert_eq!(filled, Some(100));
         assert!(
@@ -33187,7 +33226,7 @@ mod tests {
             symbol,
             10_000.0,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert_eq!(result.filled_quantity, 0);
         assert_eq!(
@@ -33337,7 +33376,7 @@ mod tests {
             symbol,
             10_000.0,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert!(result.filled_quantity > 0);
         assert_eq!(
@@ -33457,7 +33496,7 @@ mod tests {
             decision_date,
             symbol,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert_eq!(filled, Some(1_000));
         assert!(projected.position(symbol).is_none());
@@ -33561,7 +33600,7 @@ mod tests {
         let mut execution_state = super::ProjectedExecutionState::default();
 
         let filled =
-            strategy.project_target_zero(&ctx, &mut projected, date, symbol, &mut execution_state);
+            strategy.project_target_zero(&ctx, &mut projected, date, symbol, &mut execution_state).unwrap();
 
         assert_eq!(filled, None);
         assert_eq!(projected.cash(), portfolio.cash());
@@ -33667,7 +33706,7 @@ mod tests {
         let mut execution_state = super::ProjectedExecutionState::default();
 
         let filled =
-            strategy.project_target_zero(&ctx, &mut projected, date, symbol, &mut execution_state);
+            strategy.project_target_zero(&ctx, &mut projected, date, symbol, &mut execution_state).unwrap();
 
         assert_eq!(filled, None);
         assert_eq!(projected.cash(), portfolio.cash());
@@ -34054,7 +34093,7 @@ mod tests {
         filtered_cfg
             .candidate_symbols_by_date
             .insert(curr, BTreeSet::from(["300002.SZ".to_string()]));
-        let mut filtered_strategy = PlatformExprStrategy::new(filtered_cfg);
+        let mut filtered_strategy = PlatformExprStrategy::new(filtered_cfg.clone());
         let filtered = filtered_strategy.on_day(&ctx).expect("filtered decision");
         assert!(
             matches!(
@@ -34065,6 +34104,32 @@ mod tests {
             filtered.order_intents,
             filtered.diagnostics
         );
+
+        // The published screen order can deliberately disagree with both code
+        // and market-cap order. The old rank direction must not reverse it.
+        for rank_desc in [false, true] {
+            let mut ordered_cfg = filtered_cfg.clone();
+            ordered_cfg.rank_desc = rank_desc;
+            ordered_cfg.candidate_symbols_by_date.insert(curr, BTreeSet::from([
+                "300001.SZ".to_string(), "300002.SZ".to_string(),
+            ]));
+            ordered_cfg.candidate_order_by_date.insert(curr, BTreeMap::from([
+                ("300002.SZ".to_string(), 0), ("300001.SZ".to_string(), 1),
+            ]));
+            let mut ordered_strategy = PlatformExprStrategy::new(ordered_cfg.clone());
+            let ordered = ordered_strategy.on_day(&ctx).expect("ordered decision");
+            assert!(matches!(ordered.order_intents.first(),
+                Some(crate::strategy::OrderIntent::TargetValue { symbol, .. }) if symbol == "300002.SZ"
+            ), "{:?}", ordered);
+
+            // Rejection before Top N advances to the next published candidate.
+            ordered_cfg.stock_filter_expr = "symbol != \"300002.SZ\"".to_string();
+            let mut excluded = PlatformExprStrategy::new(ordered_cfg);
+            let decision = excluded.on_day(&ctx).expect("filtered ordered decision");
+            assert!(matches!(decision.order_intents.first(),
+                Some(crate::strategy::OrderIntent::TargetValue { symbol, .. }) if symbol == "300001.SZ"
+            ), "{:?}", decision);
+        }
     }
 
     #[test]

crates/fidc-core/src/platform_strategy_spec.rs

@@ -912,6 +912,8 @@ 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,
 }
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -1528,7 +1530,6 @@ 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(),
     }
 }
@@ -1573,11 +1574,13 @@ 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())
@@ -1590,16 +1593,23 @@ 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}")),
     }
 }
 
@@ -1630,15 +1640,13 @@ 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());
@@ -2127,12 +2135,16 @@ 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());
+            }
             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
@@ -2149,8 +2161,12 @@ 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()
@@ -3329,6 +3345,25 @@ 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!({
@@ -4337,10 +4372,10 @@ 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
@@ -4351,10 +4386,20 @@ 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/tests/explicit_order_flow.rs

@@ -1740,8 +1740,9 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
 }
 
 #[test]
-fn broker_applies_dynamic_slippage_on_snapshot_fills() {
+fn broker_applies_explicit_historical_slippage_on_snapshot_fills() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let previous_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();
     let data = DataSet::from_components(
         vec![Instrument {
             symbol: "000002.SZ".to_string(),
@@ -1752,20 +1753,20 @@ fn broker_applies_dynamic_slippage_on_snapshot_fills() {
             delisted_at: None,
             status: "active".to_string(),
         }],
-        vec![DailyMarketSnapshot {
-            date,
+        [previous_date, date].into_iter().map(|day| DailyMarketSnapshot {
+            date: day,
             symbol: "000002.SZ".to_string(),
-            timestamp: Some("2024-01-10 10:18:00".to_string()),
+            timestamp: Some(format!("{day} 15:00:00")),
             day_open: 10.0,
             open: 10.0,
-            high: 10.1,
-            low: 9.9,
-            close: 10.0,
+            high: if day == previous_date { 10.1 } else { 10.9 },
+            low: if day == previous_date { 9.9 } else { 9.1 },
+            close: if day == previous_date { 10.0 } else { 10.8 },
             last_price: 10.0,
             bid1: 9.99,
             ask1: 10.01,
             prev_close: 10.0,
-            volume: 100_000,
+            volume: if day == previous_date { 100_000 } else { 2_000_000 },
             minute_volume: 100_000,
             bid1_volume: 80_000,
             ask1_volume: 80_000,
@@ -1774,7 +1775,7 @@ fn broker_applies_dynamic_slippage_on_snapshot_fills() {
             upper_limit: 11.0,
             lower_limit: 9.0,
             price_tick: 0.01,
-        }],
+        }).collect(),
         vec![DailyFactorSnapshot {
             date,
             symbol: "000002.SZ".to_string(),
@@ -1786,8 +1787,8 @@ fn broker_applies_dynamic_slippage_on_snapshot_fills() {
             adjustment_factor_backward1: None,
             extra_factors: BTreeMap::new(),
         }],
-        vec![CandidateEligibility {
-            date,
+        [previous_date, date].into_iter().map(|day| CandidateEligibility {
+            date: day,
             symbol: "000002.SZ".to_string(),
             is_st: false,
             is_star_st: false,
@@ -1798,15 +1799,15 @@ fn broker_applies_dynamic_slippage_on_snapshot_fills() {
             is_kcb: false,
             is_one_yuan: false,
             risk_level_code: None,
-        }],
-        vec![BenchmarkSnapshot {
-            date,
+        }).collect(),
+        [previous_date, date].into_iter().map(|day| BenchmarkSnapshot {
+            date: day,
             benchmark: "000300.SH".to_string(),
             open: 100.0,
             close: 100.0,
             prev_close: 99.0,
             volume: 1_000_000,
-        }],
+        }).collect(),
     )
     .expect("dataset");
     let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -1815,7 +1816,9 @@ fn broker_applies_dynamic_slippage_on_snapshot_fills() {
         ChinaEquityRuleHooks::default(),
         PriceField::Open,
     )
-    .with_slippage_model(SlippageModel::Dynamic(DynamicSlippageConfig::new(
+    .with_volume_limit(false)
+    .with_liquidity_limit(false)
+    .with_slippage_model(SlippageModel::HistoricalVolumeVolatility(DynamicSlippageConfig::new(
         0.5, 0.3, 0.1,
     )));
 

docs/execution-leg-price-risk-20260911.md

@@ -0,0 +1,54 @@
+# 逐成交腿价格风控验收
+
+## 修复范围
+
+Engine `7e0877b5860d8724da1c4507a1d1ba393b3497f5`，Trading `1f7bc074024191cfaa5975546f22c2c2c733602a`，均以 tag `v2026.9.11.2` 发布177。
+
+- 回测在每条实际报价进入撮合前检查原始参考价，滑点和限价处理后再次检查最终价。买入一元股、买入涨停、卖出跌停以及无效价格均按本腿价格处理，不能只依赖最初下单的日线标记或价格。
+- Paper和Live的订单前检查与Paper撮合共用`MarketSnapshot::execution_reference_price`：普通买入用卖一、卖出用买一；未提供该侧价格时保留既有最新价合同，显式0或负数不当缺失处理、不回退。
+- 选股仍独立使用其日线最新价与显式规则，不被买卖盘差异改写。盘后固定价仍使用原正式收盘价合同。
+- Paper已接受/部分成交订单在新报价到达时重新检查。后续被风控拒绝不删除或回滚此前真实模拟成交，不重复扣资金或手续费。
+- 实盘这里只验证发单前路径；券商实际成交事实必须原样保存，不能声称本地检查能保证委托进入券商后市场不再变化。本轮未提交证券订单。
+
+## 测试
+
+- 原始报价0.9、正向滑点20%后为1.08，仍不得利用滑点绕过一元股规则。
+- 先出现0.9、后出现1.2的报价，只允许在后一个实际时点成交；不回写到前一时点。
+- 限价滑点将最终执行价变为0.9时仍拒绝；显式关闭一元股买入规则后放行；卖出不继承买入一元股规则。
+- 最后价10而卖一11触及涨停：买入拒绝。最后价11而卖一10.5：执行检查不按旧最后价误拒；显式选股涨停规则仍可按最后价拒绝。
+- 最后价10而买一9触及跌停：卖出拒绝。最后价9而买一9.5：执行检查不按旧最后价误拒。
+- 原挂单/部分成交后，最后价1.1但卖一0.9：余单拒绝，既有成交数和现金保持不变。
+
+177测试：Engine 667通过/8忽略，Trading工作区548通过/10忽略，Runner370通过/3忽略，API99通过/1忽略。新场景使用隔离合成账户/报价，未以此冒充原始市场样本。
+
+## 真实分钟回放
+
+- 同一冻结请求、信号及bundle，2025-01-03至2025-01-06，分钟13:07，初始10,000,000，滑点0.002，佣金万三/最低5，分钟25%量约束不改。
+- 原基准 `btr_1789074235759_2081201_1`。
+- 新运行 `btr_1789093974375_2601124_0`。
+- 均21成交、11个最终持仓，最终资产9,968,551.588547；订单、成交、账户、权益、持仓和风险审计六项canonical完全一致。
+- 总SHA `a1aa004f544b34eae0ade41e849a0fd067e39600d1c4ad1a127f5a3d6a79be11`。
+- 服务端3.490秒，客户端提交/读取/轮询16.927秒。未采集客户端各子段，不能把差值归因到某个具体服务，也不与原报告“提交后轮询耗时”混比。缓存条件的短样本不能外推冷态或多年性能。
+
+## 发布与状态
+
+通过官方Backtest和Trading installer构建和发布，没有调用Source/因子重启入口。Backtest service源码仍`75202cc3b876daf99d0d2dffb988ca456c34aabf`并重新链接上述engine。运行二进制SHA与清单一致。
+
+本轮发布前10:27已观测到3Paper/0Live，重复读取确认；这不同于上一轮的3Paper/1Live，不是本次发布删除。本轮没有新建、恢复或删除实例。发布后仍3Paper/0Live，完整配置/状态摘要与本轮发布前相同。
+
+Source主PID2267019和因子主PID2178403、NRestarts不变。发布后样本Paper9行、Live11行无WARN/ERROR，Runtime0行不能视为实际执行成功；行情`/readyz`仍503，THS -4302配额问题未恢复。
+
+## 未完成
+
+next-open全天量容量和动态滑点使用全天high/low/volume的问题没有被本次修复覆盖，仍按P0时点问题处理。新的执行观察规格位于`/Users/boris/WorkSpace/docs/fidc/execution-observation-prd-20260911.md`，只是后续实现规格，不是已部署能力。禁止静默改用昨量、自动关闭风控、修改旧结果或把后续一分钟量回填到开盘。
+
+自然Paper/Live还需要合格模型、正式审批和真实可用行情；不开放2026封存，不替研究模型审批。当前实盘列表为空，不自行补建。
+
+## 证据
+
+`/srv/fidc/canonical/run/research/execution-leg-risk-20260911/`：
+
+- `engine-focused.log`、`engine-full.log`、`trading-full.log`、`backtest-full.log`。
+- `minute-replay/request.json`、`submission.json`、`result.json`、`comparison.json`。
+- `deploy-before.json`、`deploy-after.json`、`running-binary-verification.json`、`post-deploy-log-audit.json`。
+- 官方部署日志、研究审计脚本与执行观察设计稿。不改旧证据目录和WFT V18制品。

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

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

docs/stock-pool-screen-execution-20260911.md

@@ -0,0 +1,10 @@
+# 股票池候选顺序合同
+
+新请求可显式设置 `runtimeExpressions.selection.preserveCandidateOrder=true`，同一 `candidateSymbolsByDate` 同时冻结成员和顺序。原有未设置该标志的策略保留成员过滤后自行排名的语义，不改写历史回测。
+
+- 顺序在解析时保留，重复证券仍报错；空日期保持空，不继承旧候选。
+- 不再走市值快排或套用旧 rank 方向。选股风控和股票条件仍在 Top N 前执行，被排除后从后续已冻结候选补位。
+- 该标志必须绑定非空的日期映射，不允许空映射放开全市场。
+- 股票池完成日线筛选的新前端请求采用 next_bar_open，日线信号日与真实执行日分离。
+
+本轮共享内核全量回归 668 项通过（8 项显式忽略），新增顺序/旧排名方向/选股排除补位验证。该记录不是实盘成交验收，也不代表手选与自动候选混合来源完整实现。