修复日内时钟提前记账并按原订单续执行算法单

This reverts commit 5d0823c060bfd2a42a3f86a381e874004ab7f6af.

Cargo.lock

@@ -2,6 +2,17 @@
 # It is not intended for manual editing.
 version = 4
 
+[[package]]
+name = "ahash"
+version = "0.7.8"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "891477e0c6a8957309ee5c45a6368af3ae14bb510732d2684ffa19af310920f9"
+dependencies = [
+ "getrandom 0.2.17",
+ "once_cell",
+ "version_check",
+]
+
 [[package]]
 name = "ahash"
 version = "0.8.12"
@@ -25,6 +36,12 @@ dependencies = [
  "libc",
 ]
 
+[[package]]
+name = "arrayvec"
+version = "0.7.8"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "d3fb67a6e08acf24fdeccbac2cb6ac4305825bd1f117462e0e6f2f193345ad56"
+
 [[package]]
 name = "atomic-waker"
 version = "1.1.2"
@@ -49,6 +66,18 @@ version = "2.11.1"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "c4512299f36f043ab09a583e57bceb5a5aab7a73db1805848e8fef3c9e8c78b3"
 
+[[package]]
+name = "bitvec"
+version = "1.1.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "ddcec3d12c579d40898fe0a9a358a803c23e9c52ca3c425707f81c9436211837"
+dependencies = [
+ "funty",
+ "radium",
+ "tap",
+ "wyz",
+]
+
 [[package]]
 name = "block-buffer"
 version = "0.10.4"
@@ -58,18 +87,73 @@ dependencies = [
  "generic-array",
 ]
 
+[[package]]
+name = "borsh"
+version = "1.8.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "553c5d846a6ba5150c65e3b1b8ec073bcf1abc20f9b7220de384a4443ea4e20a"
+dependencies = [
+ "borsh-derive",
+ "bytes",
+ "cfg_aliases",
+]
+
+[[package]]
+name = "borsh-derive"
+version = "1.8.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "12cdfe656708a01f89b451a7d36466e6fe6c414de0aa18fc54f864f6f9ca9f56"
+dependencies = [
+ "once_cell",
+ "proc-macro-crate",
+ "proc-macro2",
+ "quote",
+ "syn 3.0.5",
+]
+
 [[package]]
 name = "bumpalo"
 version = "3.20.2"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "5d20789868f4b01b2f2caec9f5c4e0213b41e3e5702a50157d699ae31ced2fcb"
 
+[[package]]
+name = "bytecheck"
+version = "0.6.12"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "23cdc57ce23ac53c931e88a43d06d070a6fd142f2617be5855eb75efc9beb1c2"
+dependencies = [
+ "bytecheck_derive",
+ "ptr_meta",
+ "simdutf8",
+]
+
+[[package]]
+name = "bytecheck_derive"
+version = "0.6.12"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "3db406d29fbcd95542e92559bed4d8ad92636d1ca8b3b72ede10b4bcc010e659"
+dependencies = [
+ "proc-macro2",
+ "quote",
+ "syn 1.0.109",
+]
+
 [[package]]
 name = "bytes"
 version = "1.12.1"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "fc652a48c352aef3ea3aed32080501cf3ef6ed5da78602a020c991775b0aff04"
 
+[[package]]
+name = "castaway"
+version = "0.2.4"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "dec551ab6e7578819132c713a93c022a05d60159dc86e7a7050223577484c55a"
+dependencies = [
+ "rustversion",
+]
+
 [[package]]
 name = "cc"
 version = "1.2.59"
@@ -100,7 +184,7 @@ checksum = "65c35e4b699c7e15ccbe7ee35c005e4fc0a278d22238a2857e6ce2dadeda1b06"
 dependencies = [
  "cfg-if",
  "cpufeatures 0.3.1",
- "rand_core",
+ "rand_core 0.10.1",
 ]
 
 [[package]]
@@ -117,6 +201,20 @@ dependencies = [
  "windows-link",
 ]
 
+[[package]]
+name = "compact_str"
+version = "0.10.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "79fcda08c33bb58b97008b2cdada6622500e949e060f5913361763121abd2416"
+dependencies = [
+ "castaway",
+ "cfg-if",
+ "itoa",
+ "serde",
+ "static_assertions",
+ "zmij",
+]
+
 [[package]]
 name = "const-random"
 version = "0.1.18"
@@ -239,11 +337,13 @@ checksum = "877a4ace8713b0bcf2a4e7eec82529c029f1d0619886d18145fea96c3ffe5c0f"
 name = "fidc-core"
 version = "0.1.0"
 dependencies = [
- "ahash",
+ "ahash 0.8.12",
  "chrono",
+ "compact_str",
  "indexmap",
  "rayon",
  "rhai",
+ "rust_decimal",
  "serde",
  "serde_json",
  "sha2",
@@ -275,6 +375,12 @@ dependencies = [
  "percent-encoding",
 ]
 
+[[package]]
+name = "funty"
+version = "2.0.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e6d5a32815ae3f33302d95fdcb2ce17862f8c65363dcfd29360480ba1001fc9c"
+
 [[package]]
 name = "futures-channel"
 version = "0.3.34"
@@ -353,10 +459,19 @@ dependencies = [
  "js-sys",
  "libc",
  "r-efi 6.0.0",
- "rand_core",
+ "rand_core 0.10.1",
  "wasm-bindgen",
 ]
 
+[[package]]
+name = "hashbrown"
+version = "0.12.3"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "8a9ee70c43aaf417c914396645a0fa852624801b24ebb7ae78fe8272889ac888"
+dependencies = [
+ "ahash 0.7.8",
+]
+
 [[package]]
 name = "hashbrown"
 version = "0.16.1"
@@ -596,7 +711,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "4b0f83760fb341a774ed326568e19f5a863af4a952def8c39f9ab92fd95b88e5"
 dependencies = [
  "equivalent",
- "hashbrown",
+ "hashbrown 0.16.1",
  "serde",
  "serde_core",
 ]
@@ -729,6 +844,24 @@ dependencies = [
  "zerovec",
 ]
 
+[[package]]
+name = "ppv-lite86"
+version = "0.2.21"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "85eae3c4ed2f50dcfe72643da4befc30deadb458a9b590d720cde2f2b1e97da9"
+dependencies = [
+ "zerocopy",
+]
+
+[[package]]
+name = "proc-macro-crate"
+version = "3.5.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e67ba7e9b2b56446f1d419b1d807906278ffa1a658a8a5d8a39dcb1f5a78614f"
+dependencies = [
+ "toml_edit",
+]
+
 [[package]]
 name = "proc-macro2"
 version = "1.0.106"
@@ -738,6 +871,26 @@ dependencies = [
  "unicode-ident",
 ]
 
+[[package]]
+name = "ptr_meta"
+version = "0.1.4"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "0738ccf7ea06b608c10564b31debd4f5bc5e197fc8bfe088f68ae5ce81e7a4f1"
+dependencies = [
+ "ptr_meta_derive",
+]
+
+[[package]]
+name = "ptr_meta_derive"
+version = "0.1.4"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "16b845dbfca988fa33db069c0e230574d15a3088f147a87b64c7589eb662c9ac"
+dependencies = [
+ "proc-macro2",
+ "quote",
+ "syn 1.0.109",
+]
+
 [[package]]
 name = "quinn"
 version = "0.11.11"
@@ -767,7 +920,7 @@ dependencies = [
  "bytes",
  "getrandom 0.4.3",
  "lru-slab",
- "rand",
+ "rand 0.10.2",
  "rand_pcg",
  "ring",
  "rustc-hash",
@@ -815,6 +968,23 @@ version = "6.0.0"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "f8dcc9c7d52a811697d2151c701e0d08956f92b0e24136cf4cf27b57a6a0d9bf"
 
+[[package]]
+name = "radium"
+version = "0.7.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "dc33ff2d4973d518d823d61aa239014831e521c75da58e3df4840d3f47749d09"
+
+[[package]]
+name = "rand"
+version = "0.8.8"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e058c7de0b26af77780c769414d6257830bb240f3c38477dbc2c16e5f54d6d4c"
+dependencies = [
+ "libc",
+ "rand_chacha",
+ "rand_core 0.6.4",
+]
+
 [[package]]
 name = "rand"
 version = "0.10.2"
@@ -823,7 +993,26 @@ checksum = "c7f5fa3a058cd35567ef9bfa5e75732bee0f9e4c55fa90477bef2dfcdbc4be80"
 dependencies = [
  "chacha20",
  "getrandom 0.4.3",
- "rand_core",
+ "rand_core 0.10.1",
+]
+
+[[package]]
+name = "rand_chacha"
+version = "0.3.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e6c10a63a0fa32252be49d21e7709d4d4baf8d231c2dbce1eaa8141b9b127d88"
+dependencies = [
+ "ppv-lite86",
+ "rand_core 0.6.4",
+]
+
+[[package]]
+name = "rand_core"
+version = "0.6.4"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "ec0be4795e2f6a28069bec0b5ff3e2ac9bafc99e6a9a7dc3547996c5c816922c"
+dependencies = [
+ "getrandom 0.2.17",
 ]
 
 [[package]]
@@ -838,7 +1027,7 @@ version = "0.10.2"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "caa0f4137e1c0a72f4c651489402276c8e8e1cf081f3b0ba156d2cbeef09e86a"
 dependencies = [
- "rand_core",
+ "rand_core 0.10.1",
 ]
 
 [[package]]
@@ -861,6 +1050,15 @@ dependencies = [
  "crossbeam-utils",
 ]
 
+[[package]]
+name = "rend"
+version = "0.4.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "71fe3824f5629716b1589be05dacd749f6aa084c87e00e016714a8cdfccc997c"
+dependencies = [
+ "bytecheck",
+]
+
 [[package]]
 name = "reqwest"
 version = "0.12.24"
@@ -905,7 +1103,7 @@ version = "1.23.6"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "f4e35aaaa439a5bda2f8d15251bc375e4edfac75f9865734644782c9701b5709"
 dependencies = [
- "ahash",
+ "ahash 0.8.12",
  "bitflags",
  "instant",
  "no-std-compat",
@@ -942,6 +1140,51 @@ dependencies = [
  "windows-sys 0.52.0",
 ]
 
+[[package]]
+name = "rkyv"
+version = "0.7.46"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "2297bf9c81a3f0dc96bc9521370b88f054168c29826a75e89c55ff196e7ed6a1"
+dependencies = [
+ "bitvec",
+ "bytecheck",
+ "bytes",
+ "hashbrown 0.12.3",
+ "ptr_meta",
+ "rend",
+ "rkyv_derive",
+ "seahash",
+ "tinyvec",
+ "uuid",
+]
+
+[[package]]
+name = "rkyv_derive"
+version = "0.7.46"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "84d7b42d4b8d06048d3ac8db0eb31bcb942cbeb709f0b5f2b2ebde398d3038f5"
+dependencies = [
+ "proc-macro2",
+ "quote",
+ "syn 1.0.109",
+]
+
+[[package]]
+name = "rust_decimal"
+version = "1.39.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "35affe401787a9bd846712274d97654355d21b2a2c092a3139aabe31e9022282"
+dependencies = [
+ "arrayvec",
+ "borsh",
+ "bytes",
+ "num-traits",
+ "rand 0.8.8",
+ "rkyv",
+ "serde",
+ "serde_json",
+]
+
 [[package]]
 name = "rustc-hash"
 version = "2.1.3"
@@ -995,6 +1238,12 @@ version = "1.0.23"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "9774ba4a74de5f7b1c1451ed6cd5285a32eddb5cccb8cc655a4e50009e06477f"
 
+[[package]]
+name = "seahash"
+version = "4.1.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "1c107b6f4780854c8b126e228ea8869f4d7b71260f962fefb57b996b8959ba6b"
+
 [[package]]
 name = "serde"
 version = "1.0.228"
@@ -1067,6 +1316,12 @@ version = "1.3.0"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "0fda2ff0d084019ba4d7c6f371c95d8fd75ce3524c3cb8fb653a3023f6323e64"
 
+[[package]]
+name = "simdutf8"
+version = "0.1.5"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "e3a9fe34e3e7a50316060351f37187a3f546bce95496156754b601a5fa71b76e"
+
 [[package]]
 name = "slab"
 version = "0.4.12"
@@ -1124,6 +1379,17 @@ version = "2.6.1"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "13c2bddecc57b384dee18652358fb23172facb8a2c51ccc10d74c157bdea3292"
 
+[[package]]
+name = "syn"
+version = "1.0.109"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "72b64191b275b66ffe2469e8af2c1cfe3bafa67b529ead792a6d0160888b4237"
+dependencies = [
+ "proc-macro2",
+ "quote",
+ "unicode-ident",
+]
+
 [[package]]
 name = "syn"
 version = "2.0.117"
@@ -1179,6 +1445,12 @@ name = "ta-lib-dispatch"
 version = "0.1.2"
 source = "git+https://github.com/TA-Lib/ta-lib.git?rev=dd5a90259a3f9e04e2da9f38bf0719a841b40108#dd5a90259a3f9e04e2da9f38bf0719a841b40108"
 
+[[package]]
+name = "tap"
+version = "1.0.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "55937e1799185b12863d447f42597ed69d9928686b8d88a1df17376a097d8369"
+
 [[package]]
 name = "thin-vec"
 version = "0.2.16"
@@ -1263,6 +1535,36 @@ dependencies = [
  "tokio",
 ]
 
+[[package]]
+name = "toml_datetime"
+version = "1.1.1+spec-1.1.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "3165f65f62e28e0115a00b2ebdd37eb6f3b641855f9d636d3cd4103767159ad7"
+dependencies = [
+ "serde_core",
+]
+
+[[package]]
+name = "toml_edit"
+version = "0.25.6+spec-1.1.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "0db3bae107c9522f86d361697dee1d7386a2ddcf659d5aea5159819a21a3c4a7"
+dependencies = [
+ "indexmap",
+ "toml_datetime",
+ "toml_parser",
+ "winnow",
+]
+
+[[package]]
+name = "toml_parser"
+version = "1.1.3+spec-1.1.0"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "1d38ac1cf9b95face32296c0a3ede1fdc270627c9d9c02a7274dd6d960dc4d56"
+dependencies = [
+ "winnow",
+]
+
 [[package]]
 name = "tower"
 version = "0.5.3"
@@ -1369,6 +1671,16 @@ version = "1.0.4"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "b6c140620e7ffbb22c2dee59cafe6084a59b5ffc27a8859a5f0d494b5d52b6be"
 
+[[package]]
+name = "uuid"
+version = "1.26.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "2ef6dac1e96601b4fb3acccccff2139741fcb757cb9a36089bf5be91cfb285ce"
+dependencies = [
+ "js-sys",
+ "wasm-bindgen",
+]
+
 [[package]]
 name = "version_check"
 version = "0.9.5"
@@ -1624,6 +1936,15 @@ version = "0.52.6"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "589f6da84c646204747d1270a2a5661ea66ed1cced2631d546fdfb155959f9ec"
 
+[[package]]
+name = "winnow"
+version = "1.0.4"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "23b97319f7b8343df12cc98938e5c3eb436064524c8d2b4e30a1d3a36eecdf81"
+dependencies = [
+ "memchr",
+]
+
 [[package]]
 name = "wit-bindgen"
 version = "0.57.1"
@@ -1636,6 +1957,15 @@ version = "0.6.4"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "3ad82d2a33cdc9674dc7465672f271e096168fcdbe0f799d9e6db8c5892679dc"
 
+[[package]]
+name = "wyz"
+version = "0.5.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "05f360fc0b24296329c78fda852a1e9ae82de9cf7b27dae4b7f62f118f77b9ed"
+dependencies = [
+ "tap",
+]
+
 [[package]]
 name = "yoke"
 version = "0.8.3"
@@ -1738,3 +2068,9 @@ dependencies = [
  "quote",
  "syn 3.0.5",
 ]
+
+[[package]]
+name = "zmij"
+version = "1.0.23"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "29666d0abbfad1e3dc4dcf6144730dd3a3ab225bbbdac83319345b1b44ccfc1b"

Cargo.toml

@@ -12,6 +12,7 @@ version = "0.1.0"
 authors = ["OpenAI Codex"]
 
 [workspace.dependencies]
+rust_decimal = { version = "=1.39.0", features = ["serde-with-str"] }
 sha2 = "=0.10.9"
 ahash = "=0.8.12"
 chrono = { version = "=0.4.44", features = ["serde"] }

README.md

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

assets/brand/README.md

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

assets/brand/manifest.json

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

crates/fidc-core/Cargo.toml

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

crates/fidc-core/src/broker/tests/algorithm_clock.rs

@@ -0,0 +1,677 @@
+use super::*;
+
+fn time(minute: u32) -> NaiveTime {
+    NaiveTime::from_hms_opt(10, minute, 0).unwrap()
+}
+
+fn data(quotes: &[(u32, f64, u32)]) -> DataSet {
+    data_with_snapshot(quotes, limit_test_snapshot())
+}
+
+fn data_with_snapshot(quotes: &[(u32, f64, u32)], snapshot: DailyMarketSnapshot) -> DataSet {
+    DataSet::from_components_with_actions_and_quotes(
+        vec![limit_test_instrument()],
+        vec![snapshot],
+        vec![],
+        vec![limit_test_candidate(true, true)],
+        vec![limit_test_benchmark()],
+        vec![],
+        quotes
+            .iter()
+            .map(|&(minute, price, volume)| {
+                let mut quote = limit_test_quote(price, price, price);
+                quote.timestamp = quote.date.and_time(time(minute));
+                quote.volume_delta = u64::from(volume);
+                quote.amount_delta = price * f64::from(volume);
+                quote.bid1_volume = u64::from(volume / 100);
+                quote.ask1_volume = u64::from(volume / 100);
+                quote
+            })
+            .collect(),
+    )
+    .unwrap()
+}
+
+fn broker() -> BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks> {
+    BrokerSimulator::new(
+        ChinaAShareCostModel::default()
+            .with_commission_rate(0.0003)
+            .with_minimum_commission(5.),
+        ChinaEquityRuleHooks,
+    )
+    .with_matching_type(MatchingType::MinuteLast)
+    .with_execution_price_field(PriceField::Last)
+    .with_intraday_execution_start_time(time(0))
+    .with_volume_limit(true)
+    .with_volume_percent(0.25)
+    .with_liquidity_limit(false)
+    .with_inactive_limit(false)
+    .with_strict_value_budget(true)
+}
+
+fn intent(style: AlgoOrderStyle, value: f64) -> StrategyDecision {
+    StrategyDecision {
+        order_intents: vec![OrderIntent::AlgoValue {
+            symbol: "000001.SZ".into(),
+            value,
+            style,
+            start_time: Some(time(0)),
+            end_time: Some(time(10)),
+            reason: "clock-algorithm".into(),
+        }],
+        ..Default::default()
+    }
+}
+
+fn step(
+    broker: &BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
+    portfolio: &mut PortfolioState,
+    data: &DataSet,
+    minute: u32,
+    decision: &StrategyDecision,
+) -> BrokerExecutionReport {
+    broker
+        .execute_between(
+            limit_test_snapshot().date,
+            portfolio,
+            data,
+            decision,
+            Some(time(minute)),
+            Some(time(minute)),
+        )
+        .unwrap()
+}
+
+#[test]
+fn twap_clock_preserves_quantity_prices_fees_budget_and_parent_order() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (2, 10.1, 4_000),
+        (5, 10.2, 4_000),
+        (10, 10.3, 4_000),
+    ]);
+    let decision = intent(AlgoOrderStyle::Twap, 10_000.);
+    let mut synchronous_account = PortfolioState::new(20_000.);
+    let reference = broker()
+        .execute(
+            limit_test_snapshot().date,
+            &mut synchronous_account,
+            &data,
+            &decision,
+        )
+        .unwrap();
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let mut fills = Vec::new();
+    let mut events = Vec::new();
+    let empty = StrategyDecision::default();
+    for minute in [0, 2, 5, 10] {
+        let batch = step(
+            &broker,
+            &mut account,
+            &data,
+            minute,
+            if minute == 0 { &decision } else { &empty },
+        );
+        assert!(
+            batch
+                .fill_events
+                .iter()
+                .all(|fill| fill.execution_timestamp.unwrap().time() <= time(minute))
+        );
+        fills.extend(batch.fill_events);
+        events.extend(batch.order_events);
+    }
+    let canonical = |rows: &[crate::events::FillEvent]| {
+        rows.iter()
+            .map(|fill| {
+                (
+                    fill.quantity,
+                    fill.price.to_bits(),
+                    fill.commission.to_bits(),
+                    fill.stamp_tax.to_bits(),
+                    fill.transfer_fee.to_bits(),
+                    fill.execution_timestamp,
+                    fill.order_id,
+                )
+            })
+            .collect::<Vec<_>>()
+    };
+    assert_eq!(canonical(&fills), canonical(&reference.fill_events));
+    assert_eq!(account.cash(), synchronous_account.cash());
+    assert_eq!(fills.iter().map(|fill| fill.quantity).sum::<u32>(), 900);
+    assert_eq!(fills.iter().map(|fill| fill.commission).sum::<f64>(), 5.);
+    assert!(fills.iter().map(|fill| -fill.net_cash_flow).sum::<f64>() <= 10_000.);
+    assert!(events.iter().all(|event| event.order_id == Some(1)));
+    assert_eq!(events.last().unwrap().status, OrderStatus::Filled);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn partial_algorithm_cancel_releases_reservation_and_never_executes_the_remainder() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (2, 10., 4_000),
+        (5, 10., 4_000),
+        (10, 10., 4_000),
+    ]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    assert_eq!(broker.open_order_views()[0].reserved_cash, Some(10_000.));
+    let partial = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        partial
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    let working = broker.open_order_views();
+    assert_eq!(working[0].order_id, 1);
+    assert_eq!(working[0].filled_quantity, 100);
+    assert_eq!(
+        working[0].reserved_cash,
+        Some(10_000. + partial.fill_events[0].net_cash_flow)
+    );
+    let cancel = step(
+        &broker,
+        &mut account,
+        &data,
+        3,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::CancelAll {
+                reason: "explicit-user-cancel".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert!(cancel.fill_events.is_empty());
+    assert_eq!(
+        cancel.order_events.last().unwrap().status,
+        OrderStatus::Canceled
+    );
+    assert_eq!(cancel.order_events.last().unwrap().filled_quantity, 100);
+    assert!(broker.open_order_views().is_empty());
+    assert!(
+        step(
+            &broker,
+            &mut account,
+            &data,
+            10,
+            &StrategyDecision::default()
+        )
+        .fill_events
+        .is_empty()
+    );
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+}
+
+#[test]
+fn algorithm_expiry_without_a_quote_does_not_reuse_old_liquidity() {
+    let data = data(&[(0, 10., 4_000), (2, 10., 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        broker.next_day_order_expiry(limit_test_snapshot().date),
+        Some(time(10))
+    );
+    let terminal = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert!(terminal.fill_events.is_empty());
+    assert_eq!(
+        terminal.order_events.last().unwrap().status,
+        OrderStatus::Expired
+    );
+    assert_eq!(terminal.order_events.last().unwrap().filled_quantity, 100);
+    assert!(
+        terminal
+            .process_events
+            .iter()
+            .any(|event| event.detail.contains("Expired")),
+        "{:?}",
+        terminal.process_events
+    );
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn separate_buy_cannot_spend_the_working_algorithms_cash_budget() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (1, 10., 4_000),
+        (2, 10., 4_000),
+        (10, 10., 4_000),
+    ]);
+    let broker = broker();
+    let mut account = PortfolioState::new(11_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    let other = step(
+        &broker,
+        &mut account,
+        &data,
+        1,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "000001.SZ".into(),
+                quantity: 1_000,
+                reason: "separate-buy".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert!(
+        other.fill_events.is_empty(),
+        "cash reserved for order 1 was spent: {:?}",
+        other.fill_events
+    );
+    let final_batch = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert!(
+        final_batch
+            .fill_events
+            .iter()
+            .all(|fill| fill.order_id == Some(1))
+    );
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 900);
+    assert!(account.cash() >= 1_000.);
+}
+
+#[test]
+fn changing_the_later_daily_close_does_not_resize_an_algorithm_submitted_now() {
+    let quotes = [(0, 10., 4_000), (2, 10.1, 4_000), (10, 10.2, 4_000)];
+    let mut changed = limit_test_snapshot();
+    changed.close = 100.;
+    changed.last_price = 100.;
+    let run = |data: DataSet| {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        let initial = step(
+            &broker,
+            &mut account,
+            &data,
+            0,
+            &intent(AlgoOrderStyle::Twap, 10_000.),
+        );
+        assert!(initial.fill_events.is_empty());
+        let quantity = broker.open_order_views()[0].requested_quantity;
+        let final_batch = step(
+            &broker,
+            &mut account,
+            &data,
+            10,
+            &StrategyDecision::default(),
+        );
+        (
+            quantity,
+            final_batch
+                .fill_events
+                .iter()
+                .map(|fill| {
+                    (
+                        fill.quantity,
+                        fill.price.to_bits(),
+                        fill.net_cash_flow.to_bits(),
+                    )
+                })
+                .collect::<Vec<_>>(),
+        )
+    };
+    assert_eq!(
+        run(data(&quotes)),
+        run(data_with_snapshot(&quotes, changed))
+    );
+}
+
+#[test]
+fn vwap_clock_preserves_cash_costs_and_does_not_spend_future_volume() {
+    let data = data(&[
+        (0, 10., 400),
+        (2, 10., 800),
+        (5, 10., 1_200),
+        (10, 10., 4_000),
+    ]);
+    let decision = intent(AlgoOrderStyle::Vwap, 10_000.);
+    let mut synchronous_account = PortfolioState::new(20_000.);
+    let reference = broker()
+        .execute(
+            limit_test_snapshot().date,
+            &mut synchronous_account,
+            &data,
+            &decision,
+        )
+        .unwrap();
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let empty = StrategyDecision::default();
+    let mut filled = 0;
+    let mut commission = 0.;
+    for (minute, expected) in [(0, 100), (2, 300), (5, 600), (10, 900)] {
+        let batch = step(
+            &broker,
+            &mut account,
+            &data,
+            minute,
+            if minute == 0 { &decision } else { &empty },
+        );
+        filled += batch
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>();
+        commission += batch
+            .fill_events
+            .iter()
+            .map(|fill| fill.commission)
+            .sum::<f64>();
+        assert_eq!(filled, expected);
+        assert!(batch.fill_events.iter().all(|fill| fill.order_id == Some(1)
+            && fill.execution_timestamp.unwrap().time() <= time(minute)));
+    }
+    assert_eq!(account.cash(), synchronous_account.cash());
+    assert_eq!(
+        commission,
+        reference
+            .fill_events
+            .iter()
+            .map(|fill| fill.commission)
+            .sum::<f64>()
+    );
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn global_vwap_matching_keeps_the_same_working_order_between_clock_ticks() {
+    let data = data(&[(0, 10., 400), (2, 10., 400), (10, 10., 4_000)]);
+    let broker = broker().with_matching_type(MatchingType::Vwap);
+    let mut account = PortfolioState::new(20_000.);
+    let first = step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "000001.SZ".into(),
+                quantity: 900,
+                reason: "configured-vwap".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert_eq!(
+        first
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        broker.open_order_views().len(),
+        1,
+        "{:?}",
+        first.order_events
+    );
+    let second = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(second.fill_events[0].quantity, 100);
+    assert_eq!(second.fill_events[0].order_id, Some(1));
+    let final_batch = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(final_batch.fill_events[0].quantity, 700);
+    assert_eq!(final_batch.fill_events[0].order_id, Some(1));
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn algorithm_sell_honors_t_plus_one_and_keeps_original_quantity_after_partial_fills() {
+    let data = data(&[(0, 10., 400), (2, 10., 800), (10, 10., 4_000)]);
+    let date = limit_test_snapshot().date;
+    for acquired_today in [false, true] {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        account.position_mut("000001.SZ").buy(
+            if acquired_today {
+                date
+            } else {
+                date.pred_opt().unwrap()
+            },
+            1_000,
+            10.,
+        );
+        let decision = intent(AlgoOrderStyle::Vwap, -10_000.);
+        let mut fills = Vec::new();
+        let mut events = Vec::new();
+        let empty = StrategyDecision::default();
+        for minute in [0, 2, 10] {
+            let batch = step(
+                &broker,
+                &mut account,
+                &data,
+                minute,
+                if minute == 0 { &decision } else { &empty },
+            );
+            fills.extend(batch.fill_events);
+            events.extend(batch.order_events);
+        }
+        assert_eq!(
+            fills.iter().map(|fill| fill.quantity).sum::<u32>(),
+            if acquired_today { 0 } else { 1_000 }
+        );
+        assert!(events.iter().all(|event| event.order_id == Some(1)));
+        if !acquired_today {
+            assert_eq!(events.last().unwrap().status, OrderStatus::Filled);
+            assert_eq!(events.last().unwrap().requested_quantity, 1_000);
+            assert_eq!(events.last().unwrap().filled_quantity, 1_000);
+        }
+        assert!(broker.open_order_views().is_empty());
+    }
+}
+
+#[test]
+fn an_explicit_ioc_or_fok_does_not_become_a_persistent_algorithm() {
+    let data = data(&[(0, 10., 400), (2, 10., 4_000), (10, 10., 4_000)]);
+    for tif in [
+        OrderTimeInForce::Ioc,
+        OrderTimeInForce::Fok,
+        OrderTimeInForce::Day,
+        OrderTimeInForce::Gtc,
+    ] {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        let mut decision = intent(AlgoOrderStyle::Vwap, 10_000.);
+        if !decision.order_intents[0].supports_time_in_force(tif) {
+            decision.order_intents = decision
+                .order_intents
+                .into_iter()
+                .map(|intent| intent.with_time_in_force(tif))
+                .collect();
+            let error = broker
+                .execute_between(
+                    limit_test_snapshot().date,
+                    &mut account,
+                    &data,
+                    &decision,
+                    Some(time(0)),
+                    Some(time(0)),
+                )
+                .unwrap_err();
+            assert!(
+                error
+                    .to_string()
+                    .contains("is not supported for this order intent")
+            );
+            assert_eq!(account.cash(), 20_000.);
+            assert!(broker.open_order_views().is_empty());
+            continue;
+        }
+        decision.order_intents = decision
+            .order_intents
+            .into_iter()
+            .map(|intent| intent.with_time_in_force(tif))
+            .collect();
+        let first = step(&broker, &mut account, &data, 0, &decision);
+        let persists = matches!(tif, OrderTimeInForce::Day | OrderTimeInForce::Gtc);
+        assert_eq!(
+            !broker.open_order_views().is_empty(),
+            persists,
+            "{tif:?}: {:?}",
+            first.order_events
+        );
+        if !persists {
+            assert!(
+                step(
+                    &broker,
+                    &mut account,
+                    &data,
+                    10,
+                    &StrategyDecision::default()
+                )
+                .fill_events
+                .is_empty()
+            );
+        }
+    }
+}
+
+#[test]
+fn two_working_algorithms_reserve_only_real_cash_without_starving_the_first() {
+    let data = data(&[(0, 10., 40_000), (10, 10., 40_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(15_000.);
+    let mut decision = intent(AlgoOrderStyle::Twap, 10_000.);
+    decision
+        .order_intents
+        .extend(intent(AlgoOrderStyle::Twap, 10_000.).order_intents);
+    step(&broker, &mut account, &data, 0, &decision);
+    assert_eq!(
+        broker
+            .open_order_views()
+            .iter()
+            .map(|order| order.reserved_cash.unwrap())
+            .collect::<Vec<_>>(),
+        vec![10_000., 5_000.]
+    );
+    let report = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        report
+            .fill_events
+            .iter()
+            .map(|fill| (fill.order_id, fill.quantity))
+            .collect::<Vec<_>>(),
+        vec![(Some(1), 900), (Some(2), 500)]
+    );
+    assert!(account.cash() >= 0.);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn a_clock_slice_does_not_turn_window_twap_into_an_unlimited_instant_order() {
+    let data = data(&[(0, 10., 100), (2, 10., 100), (10, 10.1, 100)]);
+    let broker = broker()
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    let first = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    let last = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        first
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        last.fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        last.order_events.last().unwrap().status,
+        OrderStatus::Expired
+    );
+    assert_eq!(last.order_events.last().unwrap().filled_quantity, 200);
+    assert!(broker.open_order_views().is_empty());
+}

crates/fidc-core/src/broker_stock_pool.rs

@@ -0,0 +1,788 @@
+//! Executes one frozen pool intent against real broker-simulator state.
+use super::*;
+use crate::holding_policy::HoldingLifecycleEvidence;
+use crate::stock_pool_execution as pool;
+use rust_decimal::{Decimal, prelude::ToPrimitive};
+use chrono::Timelike;
+
+#[derive(Debug)]
+pub(super) struct DeferredStockPoolExecution {
+    date: NaiveDate,
+    contract: Box<pool::FrozenStockPoolIntent>,
+    buy_only: bool,
+    symbols: BTreeSet<String>,
+    initial_holdings: BTreeSet<String>,
+}
+
+impl<C, R> BrokerSimulator<C, R> {
+    pub(crate) fn pending_stock_pool_symbols(&self) -> BTreeSet<String> {
+        self.deferred_stock_pools.borrow().values().flat_map(|pending| pending.symbols.iter().cloned()).collect()
+    }
+
+    pub(crate) fn has_pending_stock_pool_execution(&self) -> bool {
+        !self.deferred_stock_pools.borrow().is_empty()
+    }
+
+    pub(crate) fn finish_stock_pool_session(&self, date: NaiveDate, report: &mut BrokerExecutionReport) {
+        self.deferred_stock_pools.borrow_mut().retain(|_, pending| {
+            if pending.date <= date {
+                report.diagnostics.push(format!("stock_pool_unsubmitted_phase_expired generation={} date={date} no_buy_order_created=true",pending.contract.generation));
+                false
+            } else { true }
+        });
+    }
+}
+
+fn decimal(value: f64, label: &str) -> Result<Decimal, BacktestError> {
+    if !value.is_finite() {
+        return Err(BacktestError::Execution(format!(
+            "stock_pool_nonfinite_{label}"
+        )));
+    }
+    value
+        .to_string()
+        .parse()
+        .map_err(|_| BacktestError::Execution(format!("stock_pool_decimal_range_{label}")))
+}
+
+fn etf_activity(report:&mut BrokerExecutionReport,date:NaiveDate,symbol:&str,side:pool::OrderSide,detail:String) {
+    report.process_events.push(ProcessEvent {date,kind:ProcessEventKind::EtfExecutionFallback,order_id:None,
+        symbol:Some(symbol.into()),side:Some(if side==pool::OrderSide::Buy {OrderSide::Buy} else {OrderSide::Sell}),detail});
+}
+
+fn pool_positions(
+    portfolio: &PortfolioState,
+    date: NaiveDate,
+) -> Result<Vec<pool::Position>, BacktestError> {
+    portfolio
+        .positions()
+        .values()
+        .filter(|p| p.quantity > 0)
+        .map(|p| {
+            Ok(pool::Position {
+                symbol: p.symbol.clone(),
+                quantity: Decimal::from(p.quantity),
+                closable_quantity: Decimal::from(p.sellable_qty(date)),
+                average_cost: decimal(p.average_cost, "position_cost")?,
+            })
+        })
+        .collect()
+}
+
+impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
+    pub(super) fn resume_stock_pool_executions(&self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet,
+        session: &mut BrokerExecutionSession, report: &mut BrokerExecutionReport) -> Result<(), BacktestError> {
+        let clock = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time);
+        let mut expired = Vec::new();
+        for (id, pending) in self.deferred_stock_pools.borrow().iter() {
+            let end = NaiveTime::parse_from_str(&pending.contract.rule.window_end, "%H:%M")
+                .map_err(|_| BacktestError::Execution("stock_pool_execution_window_invalid".into()))?;
+            if pending.date != date || clock.is_some_and(|clock| clock >= end) { expired.push(id.clone()); }
+        }
+        for id in expired {
+            if let Some(pending) = self.deferred_stock_pools.borrow_mut().remove(&id) {
+                report.diagnostics.push(format!("stock_pool_unsubmitted_phase_expired generation={} date={date} no_buy_order_created=true",pending.contract.generation));
+            }
+        }
+        if self.has_open_orders() || clock.is_none() { return Ok(()); }
+        let pending = std::mem::take(&mut *self.deferred_stock_pools.borrow_mut());
+        for (id, pending) in pending {
+            let now = clock.expect("clock checked above");
+            let start = NaiveTime::parse_from_str(&pending.contract.rule.window_start, "%H:%M")
+                .map_err(|_| BacktestError::Execution("stock_pool_execution_window_invalid".into()))?;
+            if now < start || !pool::stock_pool_is_trading_minute(now.hour() * 60 + now.minute()) {
+                self.deferred_stock_pools.borrow_mut().insert(id, pending);
+                continue;
+            }
+            let prior_followup = self.runtime_stock_pool_followup.replace(true);
+            let prior_decision = self.runtime_decision_date.replace(Some(pending.contract.signal_date));
+            let prior_created = self.runtime_order_created_date.replace(Some(date));
+            let order_start = report.order_events.len();
+            let fill_start = report.fill_events.len();
+            report.diagnostics.push(format!("stock_pool_resume_after_order_reports generation={} clock={} cash={}",pending.contract.generation,clock.unwrap(),portfolio.cash()));
+            let result = self.process_stock_pool_contract_phase(date, portfolio, data, &pending.contract,
+                &mut session.intraday_turnover, &mut session.execution_cursors, &mut session.global_execution_cursor,
+                &mut session.commission_state, report, pending.buy_only, Some(&pending.initial_holdings));
+            self.runtime_stock_pool_followup.set(prior_followup);
+            self.runtime_decision_date.set(prior_decision);
+            self.runtime_order_created_date.set(prior_created);
+            result?;
+            Self::annotate_report_range(report, order_start, fill_start, pending.contract.signal_date, date, date);
+        }
+        Ok(())
+    }
+
+    fn pool_quote_inputs(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbols: &BTreeSet<String>,
+        execution_clock: Option<NaiveDateTime>,
+        cumulative_conditions: bool,
+    ) -> Result<(Vec<pool::MarketSnapshot>, Vec<String>), BacktestError> {
+        let mut unavailable = Vec::new();
+        let quotes = symbols
+            .iter()
+            .map(|symbol| {
+                let snapshot = data.market(date, symbol).ok_or_else(|| {
+                    BacktestError::Execution(format!(
+                        "stock_pool_execution_snapshot_missing:{symbol}:{date}"
+                    ))
+                })?;
+                let instrument = data.instruments().get(symbol).ok_or_else(|| {
+                    BacktestError::Execution(format!("stock_pool_instrument_missing:{symbol}"))
+                })?;
+                let fallback = self.pool_etf_fallback_reference(date, data, symbol, execution_clock)?;
+                let (price, prev, volume, amount, bid, ask, buy_price, sell_price) = if let Some(reference) = fallback {
+                    let calibration = self.slippage_calibration(data, snapshot)?;
+                    (reference.price, snapshot.prev_close, None, None, None, None,
+                        self.quote_execution_price(snapshot, OrderSide::Buy, reference.price, None, calibration.as_ref())?,
+                        self.quote_execution_price(snapshot, OrderSide::Sell, reference.price, None, calibration.as_ref())?)
+                } else if self
+                    .matching_type_uses_intraday_quotes()
+                {
+                    let time = self
+                        .runtime_intraday_start_time
+                        .get()
+                        .or(self.intraday_execution_start_time)
+                        .ok_or_else(|| {
+                            BacktestError::Execution(
+                                "stock_pool_intraday_execution_clock_required".into(),
+                            )
+                        })?;
+                    let clock = execution_clock
+                        .unwrap_or(date.and_time(time))
+                        .max(date.and_time(time));
+                    let quote = data
+                        .execution_quotes_on(date, symbol)
+                        .iter()
+                        .rev()
+                        .find(|quote| quote.timestamp <= clock)
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_execution_quote_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    if !quote.last_price.is_finite() || quote.last_price <= 0.0 {
+                        return Err(BacktestError::Execution(format!(
+                            "stock_pool_execution_quote_invalid:{symbol}:{clock}"
+                        )));
+                    }
+                    let raw_buy = self
+                        .select_quote_reference_price(
+                            snapshot,
+                            quote,
+                            OrderSide::Buy,
+                            self.matching_type_for_algo_request(None),
+                        )
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_buy_reference_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    let raw_sell = self
+                        .select_quote_reference_price(
+                            snapshot,
+                            quote,
+                            OrderSide::Sell,
+                            self.matching_type_for_algo_request(None),
+                        )
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_sell_reference_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    let calibration = self.slippage_calibration(data, snapshot)?;
+                    let buy = self.quote_execution_price(
+                        snapshot,
+                        OrderSide::Buy,
+                        raw_buy,
+                        None,
+                        calibration.as_ref(),
+                    )?;
+                    let sell = self.quote_execution_price(
+                        snapshot,
+                        OrderSide::Sell,
+                        raw_sell,
+                        None,
+                        calibration.as_ref(),
+                    )?;
+                    let totals = if cumulative_conditions {
+                        match data.execution_session_totals(symbol, clock) {
+                            Ok(totals) => Some(totals),
+                            Err(reason) => { unavailable.push(reason); None }
+                        }
+                    } else { None };
+                    (
+                        quote.last_price,
+                        snapshot.prev_close,
+                        totals.map(|total| total.0),
+                        totals.map(|total| total.1),
+                        Some(quote.bid1),
+                        Some(quote.ask1),
+                        buy,
+                        sell,
+                    )
+                } else {
+                    let price = snapshot.price(self.effective_execution_price_field(date));
+                    if !price.is_finite() || price <= 0.0 {
+                        return Err(BacktestError::Execution(format!(
+                            "stock_pool_execution_price_missing:{symbol}:{date}"
+                        )));
+                    }
+                    // A daily open does not reveal the session's volume/turnover.
+                    let completed = self.effective_execution_price_field(date) == PriceField::Close;
+                    let totals = if cumulative_conditions && !completed {
+                        let at = execution_clock.unwrap_or_else(|| date.and_hms_opt(9,30,0).unwrap());
+                        match data.execution_session_totals(symbol, at) {
+                            Ok(totals) => Some(totals),
+                            Err(reason) => { unavailable.push(reason); None }
+                        }
+                    } else { None };
+                    let amount = if completed && cumulative_conditions {
+                        data.factor(date, symbol).and_then(|row| row.extra_factors.get("amount")).copied()
+                            .map(|value| decimal(value, "amount")).transpose()?
+                    } else { totals.map(|total| total.1) };
+                    (
+                        price,
+                        snapshot.prev_close,
+                        if completed { Some(Decimal::from(snapshot.volume)) } else { totals.map(|total| total.0) },
+                        amount,
+                        None,
+                        None,
+                        self.snapshot_execution_price(data, snapshot, OrderSide::Buy, None)?,
+                        self.snapshot_execution_price(data, snapshot, OrderSide::Sell, None)?,
+                    )
+                };
+                Ok(pool::MarketSnapshot {
+                    symbol: symbol.clone(),
+                    last_price: decimal(price, "price")?,
+                    prev_close: Some(decimal(prev, "prev_close")?),
+                    volume,
+                    turnover: amount,
+                    bid_price_1: bid.map(|v| decimal(v, "bid")).transpose()?,
+                    ask_price_1: ask.map(|v| decimal(v, "ask")).transpose()?,
+                    is_kcb: Some(instrument.board.eq_ignore_ascii_case("KSH")),
+                    instrument_rules: Some(pool::StockPoolInstrumentRules {
+                        price_tick: decimal(snapshot.price_tick, "price_tick")?,
+                        quantity_step: instrument.order_step_size().into(),
+                        minimum_buy_quantity: instrument.minimum_order_quantity().into(),
+                    }),
+                    buy_sizing_price: Some(decimal(buy_price, "buy_price")?),
+                    sell_sizing_price: Some(decimal(sell_price, "sell_price")?),
+                })
+            })
+            .collect::<Result<Vec<_>, BacktestError>>()?;
+        Ok((quotes, unavailable))
+    }
+
+    fn pool_etf_fallback_reference(&self, date: NaiveDate, data: &DataSet, symbol: &str, clock: Option<NaiveDateTime>) -> Result<Option<crate::etf_execution::EtfFallbackReference>, BacktestError> {
+        if !self.matching_type_uses_intraday_quotes() || !self.has_verified_etf_minute_absence(date, symbol) {
+            return Ok(None);
+        }
+        let time = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time)
+            .ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: execution clock missing".into()))?;
+        let at = clock.unwrap_or(date.and_time(time)).max(date.and_time(time));
+        crate::etf_execution::reference(data, symbol, at).map(Some)
+    }
+
+    pub(super) fn process_stock_pool_contract(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        contract: &pool::FrozenStockPoolIntent,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut IntradayExecutionLedger,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
+        report: &mut BrokerExecutionReport,
+    ) -> Result<(), BacktestError> {
+        self.process_stock_pool_contract_phase(date, portfolio, data, contract, intraday_turnover,
+            execution_cursors, global_execution_cursor, commission_state, report, false, None)
+    }
+
+    fn process_stock_pool_contract_phase(
+        &self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet,
+        contract: &pool::FrozenStockPoolIntent, intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut IntradayExecutionLedger, global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>, report: &mut BrokerExecutionReport, buy_only: bool,
+        initial_holdings: Option<&BTreeSet<String>>,
+    ) -> Result<(), BacktestError> {
+        if contract.signal_date > date
+            || contract.frozen_equity < Decimal::ZERO
+            || contract.generation.is_empty()
+            || contract.pool_id.trim().is_empty()
+        {
+            return Err(BacktestError::Execution(
+                "stock_pool_frozen_intent_invalid".into(),
+            ));
+        }
+        if self.matching_type == MatchingType::NextBarOpen && contract.signal_date >= date {
+            return Err(BacktestError::Execution(
+                "stock_pool_next_open_requires_prior_signal".into(),
+            ));
+        }
+        let mut selection = contract.selection.clone();
+        let mut members = contract.members.clone();
+        for symbol in &contract.selection.requested_symbols {
+            let instrument = data.instruments().get(symbol).ok_or_else(|| {
+                BacktestError::Execution(format!("stock_pool_instrument_missing:{symbol}"))
+            })?;
+            if portfolio.position(symbol).is_none()
+                && let Some(reason) = instrument.dated_market_absence_reason(date)
+            {
+                selection.requested_symbols.retain(|v| v != symbol);
+                selection.normal_trading_symbols.retain(|v| v != symbol);
+                selection.risk_eligible_symbols.retain(|v| v != symbol);
+                selection.final_symbols.retain(|v| v != symbol);
+                members.retain(|v| &v.symbol != symbol);
+                report.diagnostics.push(format!(
+                    "stock_pool_market_absence symbol={symbol} date={date} reason={reason}"
+                ));
+            }
+        }
+        let mut scope = selection
+            .requested_symbols
+            .iter()
+            .cloned()
+            .collect::<BTreeSet<_>>();
+        scope.extend(portfolio.positions().keys().cloned());
+        let before_positions = initial_holdings.cloned().unwrap_or_else(|| portfolio.positions().keys().cloned().collect());
+        let official_dates = data.calendar().iter().collect::<Vec<_>>();
+        let initial_positions = pool_positions(portfolio, date)?;
+        let state = portfolio
+            .stock_pool_execution_state(&contract.pool_id)
+            .observe(
+                contract.signal_date,
+                date,
+                &official_dates,
+                &members,
+                &initial_positions,
+            )
+            .map_err(BacktestError::Execution)?;
+        portfolio
+            .set_stock_pool_execution_state(&contract.pool_id, state)
+            .map_err(BacktestError::Execution)?;
+        let superseded = self.deferred_etf_targets.borrow_mut().replace_generation(&contract.pool_id, &contract.generation);
+        if superseded > 0 { report.diagnostics.push(format!("etf_daily_open_fallback:superseded pool={} generation={} targets={superseded}", contract.pool_id, contract.generation)); }
+        if self.has_open_orders() {
+            self.deferred_stock_pools.borrow_mut().insert(contract.pool_id.clone(), DeferredStockPoolExecution {
+                date, contract: Box::new(contract.clone()), buy_only, symbols: scope, initial_holdings: before_positions,
+            });
+            report
+                .diagnostics
+                .push("stock_pool_waiting_for_active_orders no_new_intent=true".into());
+            return Ok(());
+        }
+        let mut constraints = contract.constraints.clone();
+        constraints.execution_date = Some(date);
+        constraints.frozen_positions.clear();
+        let mut quote_scope = scope.clone();
+        for symbol in &scope {
+            let paused = data.market(date, symbol).is_some_and(|row| row.paused)
+                || data
+                    .candidate(date, symbol)
+                    .is_some_and(|row| row.is_paused);
+            if !paused {
+                continue;
+            }
+            quote_scope.remove(symbol);
+            if let Some(position) = portfolio
+                .position(symbol)
+                .filter(|position| position.quantity > 0)
+            {
+                constraints.frozen_positions.insert(
+                    symbol.clone(),
+                    pool::FrozenStockPoolPosition {
+                        trade_date: date,
+                        reason: "paused".into(),
+                        valuation_price: decimal(position.last_price, "paused_holding_valuation")?,
+                    },
+                );
+            } else {
+                selection
+                    .normal_trading_symbols
+                    .retain(|item| item != symbol);
+                selection
+                    .risk_eligible_symbols
+                    .retain(|item| item != symbol);
+                selection.final_symbols.retain(|item| item != symbol);
+                selection
+                    .exclusion_reasons
+                    .entry(symbol.clone())
+                    .or_default()
+                    .push("paused".into());
+            }
+        }
+        // All delayed symbols in a generation share immutable configuration.
+        // Do not duplicate an N-member pool N times in a large mixed pool.
+        let mut deferred_configuration = None;
+        for side in [pool::OrderSide::Sell, pool::OrderSide::Buy] {
+            if buy_only && side == pool::OrderSide::Sell { continue; }
+            if side == pool::OrderSide::Buy && self.has_open_orders()
+                && self.effective_rebalance_cash_mode() == RebalanceCashMode::SellThenBuy {
+                self.deferred_stock_pools.borrow_mut().insert(contract.pool_id.clone(), DeferredStockPoolExecution {
+                    date, contract: Box::new(contract.clone()), buy_only: true, symbols: quote_scope.clone(), initial_holdings: before_positions.clone(),
+                });
+                report.diagnostics.push(format!("stock_pool_waiting_for_sell_reports generation={} no_buy_order_created=true",contract.generation));
+                break;
+            }
+            let mut fallback_references = BTreeMap::new();
+            for symbol in &quote_scope {
+                if let Some(reference) = self.pool_etf_fallback_reference(date, data, symbol, *global_execution_cursor)? {
+                    let condition = if side == pool::OrderSide::Buy { &contract.rule.buy_condition } else { &contract.rule.sell_condition };
+                    if !condition.trim().is_empty() {
+                        return Err(BacktestError::Execution(format!("etf_daily_open_fallback: intraday condition evidence unavailable symbol={symbol} side={side:?}; daily reference is not a minute or tick signal")));
+                    }
+                    fallback_references.insert(symbol.clone(), reference);
+                }
+            }
+            let (quotes, unavailable) = self.pool_quote_inputs(date, data, &quote_scope, *global_execution_cursor,
+                crate::stock_pool_quote_facts::requires_session_totals(&contract.rule))?;
+            let positions = pool_positions(portfolio, date)?;
+            let execution_state = portfolio
+                .stock_pool_execution_state(&contract.pool_id)
+                .observe(
+                    contract.signal_date,
+                    date,
+                    &official_dates,
+                    &members,
+                    &positions,
+                )
+                .map_err(BacktestError::Execution)?;
+            constraints.pending_entry_symbols = execution_state.pending_symbols();
+            constraints.prior_target_weights = execution_state.last_target_weights.clone();
+            constraints.position_action_bases = execution_state.position_action_bases_for(&contract.generation);
+            constraints.next_day_outside_exit_symbols = execution_state.next_day_exit_symbols(date);
+            let account = pool::AccountSnapshot {
+                total_equity: contract.frozen_equity,
+                cash: decimal(portfolio.cash(), "cash")?,
+                frozen_cash: Decimal::ZERO,
+            };
+            constraints.automatic_permissions.clear();
+            if contract.rule.automatic_trade_protection.enabled() {
+                for symbol in &scope {
+                    let position = portfolio.position(symbol).filter(|p| p.quantity > 0);
+                    let sold = self
+                        .same_day_sold_symbols
+                        .borrow()
+                        .iter()
+                        .rev()
+                        .find(|(day, symbols)| **day <= date && symbols.contains(symbol))
+                        .map(|(day, _)| *day);
+                    let evidence = HoldingLifecycleEvidence {
+                        has_position: position.is_some(),
+                        opened_date: position.and_then(|p| p.opened_date()),
+                        last_buy_date: position.and_then(|p| p.last_buy_date()),
+                        last_sell_date: sold,
+                    };
+                    let permission = contract
+                        .rule
+                        .automatic_trade_protection
+                        .evaluate(symbol, date, &evidence, data.calendar())
+                        .map_err(BacktestError::Execution)?;
+                    constraints
+                        .automatic_permissions
+                        .insert(symbol.clone(), permission);
+                }
+            }
+            if side == pool::OrderSide::Buy {
+                for (symbol, reference) in &fallback_references {
+                    if !reference.immediate {
+                        // The sell leg was queued, not filled. Keep its real
+                        // holdings/slots and do not finance buys with proceeds
+                        // from the following session.
+                        constraints.automatic_permissions.entry(symbol.clone()).or_default()
+                            .sell_denial.get_or_insert("etf_daily_open_deferred");
+                    }
+                }
+            }
+            if self
+                .risk_config
+                .static_rules
+                .forbid_same_day_rebuy_after_sell
+            {
+                constraints.same_day_sold_symbols.extend(
+                    self.same_day_sold_symbols
+                        .borrow()
+                        .get(&date)
+                        .into_iter()
+                        .flatten()
+                        .cloned(),
+                );
+            }
+            constraints.same_day_sold_symbols.extend(
+                before_positions
+                    .iter()
+                    .filter(|symbol| portfolio.position(symbol).is_none_or(|p| p.quantity == 0))
+                    .cloned(),
+            );
+            let fee =
+                |symbol: &str, side: pool::OrderSide, gross: Decimal| -> Result<Decimal, String> {
+                    let amount = gross
+                        .to_f64()
+                        .ok_or("stock_pool_cost_amount_out_of_range")?;
+                    decimal(
+                        self.cost_model
+                            .calculate_for_instrument(
+                                date,
+                                if side == pool::OrderSide::Buy {
+                                    OrderSide::Buy
+                                } else {
+                                    OrderSide::Sell
+                                },
+                                amount,
+                                data.instruments().get(symbol),
+                            )
+                            .total(),
+                        "fee",
+                    )
+                    .map_err(|e| e.to_string())
+                };
+            let plan = pool::build_stock_pool_target_plan_with_fee_model(
+                &selection,
+                &members,
+                &contract.rule,
+                &account,
+                &positions,
+                &quotes,
+                contract.invest_ratio_bps,
+                contract.reserve_cash,
+                &contract.out_of_pool_policy,
+                "full_rebalance",
+                &constraints,
+                &contract.generation,
+                Decimal::ZERO,
+                Decimal::ZERO,
+                Decimal::ZERO,
+                Some(&fee),
+            )
+            .map_err(|error| BacktestError::Execution(if !unavailable.is_empty()
+                && (error.contains("requires volume") || error.contains("requires amount")) {
+                    format!("{error}; {}", unavailable.join("; "))
+                } else { error }))?;
+            report.diagnostics.extend(unavailable.into_iter().map(|reason| format!("stock_pool_quote_fact_unavailable {reason}")));
+            let mut updated = execution_state
+                .record_plan(contract.signal_date, &contract.generation, &plan)
+                .map_err(BacktestError::Execution)?;
+            for (symbol, reference) in &fallback_references {
+                if !reference.immediate && let Some(entry) = updated.entries.get_mut(symbol) {
+                    // The signal only fixes money, not shares at a stale close.
+                    entry.completion_quantity = None;
+                }
+            }
+            portfolio
+                .set_stock_pool_execution_state(&contract.pool_id, updated)
+                .map_err(BacktestError::Execution)?;
+            report.diagnostics.push(format!("stock_pool_plan phase={side:?} generation={} requested_bps={} effective_bps={} budget={}",contract.generation,plan.requested_invest_ratio_bps,plan.effective_invest_ratio_bps,plan.budget));
+            let max_positions = constraints
+                .target_holding_count
+                .unwrap_or(selection.final_symbols.len());
+            for row in plan.rows {
+                if side == pool::OrderSide::Buy && row.side.is_none() {
+                    report.diagnostics.push(format!(
+                        "stock_pool_decision symbol={} status={} current={} target={} reason={}",
+                        row.symbol,
+                        row.status,
+                        row.current_quantity,
+                        row.target_quantity,
+                        row.reason
+                    ));
+                }
+                if row.side != Some(side) {
+                    continue;
+                }
+                if let Some(reference) = fallback_references.get(&row.symbol) {
+                    let time = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time).expect("fallback clock validated");
+                    let at = global_execution_cursor.unwrap_or(date.and_time(time)).max(date.and_time(time));
+                    if !reference.immediate {
+                        report.diagnostics.push(format!("etf_daily_open_fallback:deferred symbol={} signal_at={at} reference_date={} reference_price={} target_value={} execute_on={:?}", row.symbol, reference.reference_date, reference.price, row.target_value, reference.execute_on));
+                        let deferred = deferred_configuration.get_or_insert_with(|| (
+                            std::sync::Arc::new(contract.rule.clone()), std::sync::Arc::new(members.clone()),
+                        ));
+                        let opening_date=reference.execute_on.map(|day|day.to_string()).unwrap_or_else(||"回测区间外（后续日历未加载）".into());
+                        etf_activity(report,date,&row.symbol,side,format!("ETF 顺延执行：信号 {at}，参考 {} 收盘 {}，目标金额 {}，下一正式开盘日 {opening_date}；未生成成交。",reference.reference_date,reference.price,row.target_value));
+                        self.deferred_etf_targets.borrow_mut().upsert(crate::etf_execution::DeferredEtfTarget {
+                            pool_id:contract.pool_id.clone(), generation:contract.generation.clone(), symbol:row.symbol.clone(),
+                            signal_date:contract.signal_date, signal_at:at, execute_on:reference.execute_on,
+                            target_value:row.target_value, target_weight_bps:row.target_weight_bps, side,
+                            max_positions, rule:std::sync::Arc::clone(&deferred.0), members:std::sync::Arc::clone(&deferred.1),
+                            reason:row.source_intent.clone().unwrap_or_else(||"stock_pool_target".into()),
+                        });
+                        continue;
+                    }
+                }
+                if side == pool::OrderSide::Buy
+                    && portfolio
+                        .position(&row.symbol)
+                        .is_none_or(|p| p.quantity == 0)
+                    && Self::positive_position_count(portfolio) >= max_positions
+                {
+                    report.diagnostics.push(format!(
+                        "stock_pool_buy_deferred symbol={} reason=occupied_position_slots",
+                        row.symbol
+                    ));
+                    continue;
+                }
+                let target = row.target_quantity.to_i32().ok_or_else(|| {
+                    BacktestError::Execution("stock_pool_target_quantity_out_of_range".into())
+                })?;
+                let fallback_reason = fallback_references.contains_key(&row.symbol).then(|| format!("{}: etf_daily_open_fallback signal_date={} execution_date={date}", row.source_intent.as_deref().unwrap_or("stock_pool_target"), contract.signal_date));
+                let reason = fallback_reason.as_deref().unwrap_or_else(|| row.source_intent.as_deref().unwrap_or("stock_pool_target"));
+                let first_fill = report.fill_events.len();
+                if fallback_references.contains_key(&row.symbol) {
+                    report.diagnostics.push(format!("etf_daily_open_fallback:opening symbol={} signal_date={} execution_date={date}", row.symbol, contract.signal_date));
+                    etf_activity(report,date,&row.symbol,side,format!("ETF 日线开盘回退：信号日 {}，执行日 {date}，使用正式日线开盘价；不是分钟成交行情。",contract.signal_date));
+                }
+                let mut execute = || if let Some(price) = row.limit_price {
+                    self.process_limit_target_shares(
+                        date,
+                        portfolio,
+                        data,
+                        &row.symbol,
+                        target,
+                        price.to_f64().ok_or_else(|| {
+                            BacktestError::Execution("stock_pool_limit_price_out_of_range".into())
+                        })?,
+                        reason,
+                        intraday_turnover,
+                        execution_cursors,
+                        global_execution_cursor,
+                        commission_state,
+                        report,
+                    )
+                } else {
+                    self.process_target_shares(
+                        date,
+                        portfolio,
+                        data,
+                        &row.symbol,
+                        target,
+                        reason,
+                        intraday_turnover,
+                        execution_cursors,
+                        global_execution_cursor,
+                        commission_state,
+                        report,
+                    )
+                };
+                if fallback_references.contains_key(&row.symbol) {
+                    self.with_etf_daily_open(execute)?;
+                    for fill in &mut report.fill_events[first_fill..] {
+                        fill.execution_start_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                        fill.execution_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                    }
+                } else { execute()?; }
+            }
+        }
+        Ok(())
+    }
+
+    pub(crate) fn pending_etf_target_count(&self) -> usize {
+        self.deferred_etf_targets.borrow().len()
+    }
+
+    /// Called at the opening clock, after settlement/corporate actions and
+    /// auction callbacks. It never sends a stock order or replays a strategy.
+    pub(crate) fn execute_deferred_etf_targets(&self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet) -> Result<BrokerExecutionReport, BacktestError> {
+        let mut report = BrokerExecutionReport::default();
+        if self.has_open_orders() {
+            if self.pending_etf_target_count() > 0 {
+                report.diagnostics.push("etf_daily_open_fallback:waiting_for_active_orders".into());
+            }
+            return Ok(report);
+        }
+        let due = self.deferred_etf_targets.borrow_mut().take_due(date);
+        let dates = data.calendar().iter().collect::<Vec<_>>();
+        for target in due {
+            let instrument = data.instrument(&target.symbol).ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: instrument identity missing at execution".into()))?;
+            if !instrument.is_exchange_traded_fund() { return Err(BacktestError::Execution("etf_daily_open_fallback: instrument identity changed".into())); }
+            if let Some(reason) = instrument.dated_market_absence_reason(date) {
+                report.diagnostics.push(format!("etf_daily_open_fallback:blocked symbol={} date={date} reason={reason}", target.symbol));
+                continue;
+            }
+            let snapshot = data.market(date, &target.symbol).ok_or_else(|| BacktestError::Execution(format!("etf_daily_open_fallback: daily_open_missing symbol={} date={date}", target.symbol)))?;
+            if !snapshot.open.is_finite() || snapshot.open <= 0.0 {
+                return Err(BacktestError::Execution(format!("etf_daily_open_fallback: daily_open_invalid symbol={} date={date}", target.symbol)));
+            }
+            let position = portfolio.position(&target.symbol).filter(|p| p.quantity > 0);
+            let before_quantity = position.map_or(0, |p| p.quantity);
+            let permission = target.rule.automatic_trade_protection.evaluate(&target.symbol, date, &HoldingLifecycleEvidence {
+                has_position:position.is_some(), opened_date:position.and_then(|p| p.opened_date()), last_buy_date:position.and_then(|p| p.last_buy_date()),
+                last_sell_date:self.same_day_sold_symbols.borrow().iter().rev().find(|(day, symbols)| **day <= date && symbols.contains(&target.symbol)).map(|(day, _)| *day),
+            }, data.calendar()).map_err(BacktestError::Execution)?;
+            let denial = if target.side == pool::OrderSide::Buy {
+                permission.buy_denial.or(permission.max_holding_exit.then_some("max_holding_exit_pending"))
+            } else { permission.sell_denial };
+            if let Some(denial) = denial {
+                report.diagnostics.push(format!("etf_daily_open_fallback:protected symbol={} date={date} reason={denial}", target.symbol));
+                etf_activity(&mut report,date,&target.symbol,target.side,format!("ETF 顺延目标受持有保护限制：{denial}；未提交委托。"));
+                continue;
+            }
+            if target.side == pool::OrderSide::Buy && before_quantity == 0 && Self::positive_position_count(portfolio) >= target.max_positions {
+                report.diagnostics.push(format!("etf_daily_open_fallback:blocked symbol={} reason=occupied_position_slots", target.symbol));
+                continue;
+            }
+            let value = target.target_value.to_f64().ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: target value out of range".into()))?;
+            let current_value = snapshot.open * f64::from(before_quantity);
+            let satisfied = (target.side == pool::OrderSide::Buy && value <= current_value)
+                || (target.side == pool::OrderSide::Sell && value >= current_value);
+            let reason = format!("{}: etf_daily_open_fallback signal_at={} execution_at={} target_value={}", target.reason, target.signal_at, date.and_time(crate::etf_execution::opening_time()), target.target_value);
+            let mut sub = BrokerExecutionReport::default();
+            if !satisfied {
+                let (_, limit) = pool::resolve_stock_pool_order_price(&target.rule, &target.symbol, decimal(snapshot.open, "etf_open")?, target.side, decimal(snapshot.price_tick, "etf_tick")?).map_err(BacktestError::Execution)?;
+                let intent = match limit {
+                    Some(limit) => OrderIntent::LimitTargetValue { symbol:target.symbol.clone(), target_value:value, limit_price:limit.to_f64().ok_or_else(|| BacktestError::Execution("ETF limit out of range".into()))?, reason:reason.clone() },
+                    None => OrderIntent::TargetValue { symbol:target.symbol.clone(), target_value:value, reason:reason.clone() },
+                };
+                let old_time = self.runtime_intraday_start_time.replace(Some(crate::etf_execution::opening_time()));
+                let old_origin = self.runtime_resting_order_origin.replace(Some(RestingOrderOrigin { created_date:Some(target.signal_at.date()), submission_time:Some(target.signal_at.time()), accepted_date:date }));
+                let outcome = self.with_etf_daily_open(|| self.execute_with_event_dates(date, target.signal_date, target.signal_at.date(), portfolio, data, &StrategyDecision {
+                    order_intents:vec![OrderIntent::WithTimeInForce { intent:Box::new(intent), time_in_force:OrderTimeInForce::Day }], ..Default::default()
+                }));
+                self.runtime_intraday_start_time.set(old_time);
+                self.runtime_resting_order_origin.set(old_origin);
+                sub = outcome?;
+            }
+            // The actual open determines the full requested shares. A clipped
+            // or rejected execution must not be recorded as completed entry.
+            let order = sub.order_events.iter().rev().find(|order| order.symbol == target.symbol);
+            let goal_quantity = order.map_or(before_quantity, |order| match order.side {
+                OrderSide::Buy => before_quantity.saturating_add(order.requested_quantity),
+                OrderSide::Sell => before_quantity.saturating_sub(order.requested_quantity),
+            });
+            let status = if satisfied || (order.is_none() && !self.has_open_orders()) { "BELOW_MINIMUM_TRADE_UNIT_ALREADY_SATISFIED" } else { "READY" };
+            let positions = pool_positions(portfolio, date)?;
+            let state = portfolio.stock_pool_execution_state(&target.pool_id)
+                .observe(target.signal_date, date, &dates, &target.members, &positions).map_err(BacktestError::Execution)?
+                .record_targets(target.signal_date, &target.generation, [crate::stock_pool_state::StockPoolGoalObservation {
+                    symbol:&target.symbol, target_weight_bps:target.target_weight_bps, target_value:target.target_value,
+                    current_quantity:before_quantity.into(), target_quantity:goal_quantity.into(), status,
+                }]).map_err(BacktestError::Execution)?
+                .observe(target.signal_date, date, &dates, &target.members, &positions).map_err(BacktestError::Execution)?;
+            portfolio.set_stock_pool_execution_state(&target.pool_id, state).map_err(BacktestError::Execution)?;
+            for fill in &mut sub.fill_events {
+                fill.decision_date.get_or_insert(target.signal_date);
+                fill.order_created_date.get_or_insert(target.signal_at.date());
+                fill.execution_date.get_or_insert(date);
+                fill.execution_start_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                fill.execution_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+            }
+            for order in &mut sub.order_events {
+                order.decision_date.get_or_insert(target.signal_date);
+                order.order_created_date.get_or_insert(target.signal_at.date());
+                order.execution_date.get_or_insert(date);
+            }
+            report.diagnostics.push(reason);
+            etf_activity(&mut report,date,&target.symbol,target.side,format!("ETF 顺延目标开盘处理：原信号 {}，本次 {date} 09:30，冻结目标金额 {}，持仓 {before_quantity} → {}；按本日开盘价、资金与风控重新定量。",target.signal_at,target.target_value,portfolio.position(&target.symbol).map_or(0,|position|position.quantity)));
+            report.order_events.extend(sub.order_events);
+            report.fill_events.extend(sub.fill_events);
+            report.position_events.extend(sub.position_events);
+            report.account_events.extend(sub.account_events);
+            report.process_events.extend(sub.process_events);
+            report.diagnostics.extend(sub.diagnostics);
+        }
+        Ok(report)
+    }
+}

crates/fidc-core/src/broker_stock_pool_batch_tests.rs

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

crates/fidc-core/src/cost.rs

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

crates/fidc-core/src/data.rs

@@ -3,8 +3,9 @@ use std::cmp::Reverse;
 use std::collections::{BTreeMap, BTreeSet, BinaryHeap, HashMap, HashSet};
 use std::sync::{Arc, OnceLock};
 
-use ahash::AHashMap;
+use ahash::{AHashMap, AHashSet};
 use chrono::{NaiveDate, NaiveDateTime};
+use compact_str::CompactString;
 use rayon::prelude::*;
 use serde::{Deserialize, Serialize};
 use thiserror::Error;
@@ -122,7 +123,7 @@ pub enum PriceField {
 pub struct DailyMarketSnapshot {
     #[serde(with = "date_format")]
     pub date: NaiveDate,
-    pub symbol: String,
+    pub symbol: CompactString,
     pub timestamp: Option<String>,
     pub day_open: f64,
     pub open: f64,
@@ -199,13 +200,13 @@ impl DailyMarketSnapshot {
     }
 }
 
-pub type NumericFactorMap = BTreeMap<Cow<'static, str>, f64>;
+pub use crate::numeric_factors::NumericFactorMap;
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct DailyFactorSnapshot {
     #[serde(with = "date_format")]
     pub date: NaiveDate,
-    pub symbol: String,
+    pub symbol: CompactString,
     pub market_cap_bn: f64,
     pub free_float_cap_bn: f64,
     pub pe_ttm: f64,
@@ -232,7 +233,7 @@ pub struct BenchmarkSnapshot {
 pub struct CandidateEligibility {
     #[serde(with = "date_format")]
     pub date: NaiveDate,
-    pub symbol: String,
+    pub symbol: CompactString,
     pub is_st: bool,
     #[serde(default)]
     pub is_star_st: bool,
@@ -283,6 +284,8 @@ pub struct CorporateAction {
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct IntradayExecutionQuote {
+    #[serde(default)]
+    pub observation_kind: QuoteObservationKind,
     #[serde(with = "date_format")]
     pub date: NaiveDate,
     pub symbol: String,
@@ -300,6 +303,14 @@ pub struct IntradayExecutionQuote {
     pub trading_phase: Option<String>,
 }
 
+#[derive(Debug, Clone, Copy, Default, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(rename_all = "snake_case")]
+pub enum QuoteObservationKind {
+    #[default]
+    Unspecified,
+    MinuteBar,
+}
+
 /// Sparse same-day fields layered onto an already-built immutable daily panel.
 ///
 /// These fields do not participate in daily price series, adjustment series,
@@ -1204,7 +1215,7 @@ impl SymbolPriceSeries {
     fn snapshot_at(&self, index: usize) -> DailyMarketSnapshot {
         DailyMarketSnapshot {
             date: self.dates[index],
-            symbol: self.symbol.clone(),
+            symbol: self.symbol.as_str().into(),
             timestamp: self.timestamps[index].clone(),
             day_open: self.day_opens[index],
             open: self.opens[index],
@@ -1406,6 +1417,7 @@ pub struct DataSet {
     corporate_actions_by_date: Arc<BTreeMap<NaiveDate, Vec<CorporateAction>>>,
     execution_quotes_by_date: Arc<HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>>,
     execution_quote_dates: Arc<Vec<NaiveDate>>,
+    condition_totals: Arc<std::sync::Mutex<crate::stock_pool_quote_facts::SessionTotalsCache>>,
     order_book_depth_index: Arc<HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>>,
     benchmark_by_date: Arc<BTreeMap<NaiveDate, BenchmarkSnapshot>>,
     market_series_by_symbol: Arc<AHashMap<String, Arc<SymbolPriceSeries>>>,
@@ -1574,48 +1586,15 @@ impl DataSet {
             benchmark_by_date: BTreeMap::new(),
             corporate_actions_by_date: BTreeMap::new(),
         };
-        for mut bundle in bundles {
+        // Indexed collection retains chronological error precedence while each
+        // worker validates and normalizes only its owned day buffers.
+        let prepared = bundles
+            .into_par_iter()
+            .map(normalize_daily_snapshot_bundle)
+            .collect::<Vec<_>>();
+        for bundle in prepared {
+            let bundle = bundle?;
             let date = bundle.date;
-            if bundle.benchmark.date != date {
-                return Err(DataSetError::InvalidDailyBundleComponentDate {
-                    kind: "benchmark",
-                    bundle_date: date,
-                    row_date: bundle.benchmark.date,
-                    symbol: bundle.benchmark.benchmark.clone(),
-                });
-            }
-            validate_daily_bundle_component_dates(
-                &bundle.market,
-                date,
-                "market",
-                |row| row.date,
-                |row| row.symbol.as_str(),
-            )?;
-            validate_daily_bundle_component_dates(
-                &bundle.factors,
-                date,
-                "factor",
-                |row| row.date,
-                |row| row.symbol.as_str(),
-            )?;
-            validate_daily_bundle_component_dates(
-                &bundle.candidates,
-                date,
-                "candidate",
-                |row| row.date,
-                |row| row.symbol.as_str(),
-            )?;
-            validate_daily_bundle_component_dates(
-                &bundle.corporate_actions,
-                date,
-                "corporate_action",
-                |row| row.date,
-                |row| row.symbol.as_str(),
-            )?;
-            sort_rows_by_symbol_if_needed(&mut bundle.market, |row| row.symbol.as_str());
-            bundle.factors = normalize_factor_snapshots(bundle.factors)?;
-            sort_rows_by_symbol_if_needed(&mut bundle.factors, |row| row.symbol.as_str());
-            sort_rows_by_symbol_if_needed(&mut bundle.candidates, |row| row.symbol.as_str());
             if !bundle.market.is_empty() {
                 grouped.market_by_date.insert(date, bundle.market);
             }
@@ -1940,6 +1919,7 @@ impl DataSet {
             candidate_row_positions_by_date: Arc::new(candidate_row_positions_by_date),
             corporate_actions_by_date: Arc::new(corporate_actions_by_date),
             execution_quotes_by_date: Arc::new(execution_quotes_by_date),
+            condition_totals: Arc::new(std::sync::Mutex::new(Default::default())),
             execution_quote_dates: Arc::new(execution_quote_dates),
             order_book_depth_index: Arc::new(order_book_depth_index),
             benchmark_by_date: Arc::new(benchmark_by_date),
@@ -2270,6 +2250,17 @@ impl DataSet {
             .unwrap_or(&[])
     }
 
+    /// Counts market, factor, candidate, benchmark and corporate-action rows without cloning them.
+    pub fn snapshot_row_counts(&self) -> (usize, usize, usize, usize, usize) {
+        (
+            self.market_by_date.values().map(Vec::len).sum(),
+            self.factor_by_date.values().map(Vec::len).sum(),
+            self.candidate_by_date.values().map(Vec::len).sum(),
+            self.benchmark_by_date.len(),
+            self.corporate_actions_by_date.values().map(Vec::len).sum(),
+        )
+    }
+
     pub fn execution_quotes_on(&self, date: NaiveDate, symbol: &str) -> &[IntradayExecutionQuote] {
         self.execution_quotes_by_date
             .get(&date)
@@ -2278,6 +2269,15 @@ impl DataSet {
             .unwrap_or(&[])
     }
 
+    pub fn execution_session_totals(&self, symbol: &str, at: NaiveDateTime) -> Result<(rust_decimal::Decimal, rust_decimal::Decimal), String> {
+        let mut cache = self.condition_totals.lock().map_err(|_| "stock_pool_session_prefix_cache_poisoned")?;
+        if cache.date != Some(at.date()) {
+            cache.date = Some(at.date());
+            cache.symbols.clear();
+        }
+        cache.symbols.entry(symbol.into()).or_insert_with(|| crate::stock_pool_quote_facts::MinutePrefix::build(at.date(), symbol, self.execution_quotes_on(at.date(), symbol))).at(at)
+    }
+
     pub fn has_execution_quotes_on_date(&self, date: NaiveDate) -> bool {
         self.execution_quotes_by_date
             .get(&date)
@@ -2450,6 +2450,7 @@ impl DataSet {
     /// Replaces the run-local execution quote layer without touching the
     /// immutable daily panel.
     pub fn replace_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
+        self.condition_totals = Arc::new(std::sync::Mutex::new(Default::default()));
         let execution_quotes_by_date = build_execution_quote_index(quotes);
         let quote_count = execution_quotes_by_date
             .values()
@@ -2465,6 +2466,7 @@ impl DataSet {
     }
 
     pub fn add_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
+        self.condition_totals = Arc::new(std::sync::Mutex::new(Default::default()));
         let mut grouped = HashMap::<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>::new();
         for quote in quotes {
             grouped
@@ -2565,6 +2567,7 @@ impl DataSet {
     }
 
     pub fn remove_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize {
+        self.condition_totals = Arc::new(std::sync::Mutex::new(Default::default()));
         let removed = Arc::make_mut(&mut self.execution_quotes_by_date).remove(&date);
         let Some(rows_by_symbol) = removed else {
             return 0;
@@ -2577,6 +2580,7 @@ impl DataSet {
     }
 
     pub fn release_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize {
+        self.condition_totals = Arc::new(std::sync::Mutex::new(Default::default()));
         let row_count = self
             .execution_quotes_by_date
             .get(&date)
@@ -2865,7 +2869,7 @@ impl DataSet {
             .filter_map(|snapshot| {
                 factor_numeric_value(snapshot, &field).map(|value| FactorValue {
                     date: snapshot.date,
-                    symbol: snapshot.symbol.clone(),
+                    symbol: snapshot.symbol.to_string(),
                     field: field.clone(),
                     value,
                 })
@@ -2959,7 +2963,7 @@ impl DataSet {
                             .or_else(|| row.extra_factors.get("margin_all"))
                             .is_some_and(|value| *value > 0.0)
                     })
-                    .map(|row| row.symbol.clone())
+                    .map(|row| row.symbol.to_string())
                     .collect::<Vec<_>>()
             })
             .unwrap_or_default();
@@ -3051,7 +3055,7 @@ impl DataSet {
                 if snapshot.prev_close.is_finite() && snapshot.prev_close > 0.0 {
                     Some(FactorValue {
                         date: snapshot.date,
-                        symbol: snapshot.symbol.clone(),
+                        symbol: snapshot.symbol.to_string(),
                         field: "price_change_rate".to_string(),
                         value: snapshot.close / snapshot.prev_close - 1.0,
                     })
@@ -3173,7 +3177,7 @@ impl DataSet {
                 if let Some(value) = factor_numeric_value(snapshot, field) {
                     return Some(FactorValue {
                         date: *factor_date,
-                        symbol: snapshot.symbol.clone(),
+                        symbol: snapshot.symbol.to_string(),
                         field: field.clone(),
                         value,
                     });
@@ -3524,7 +3528,7 @@ impl DataSet {
                 if let Some(value) = factor_numeric_value(snapshot, field) {
                     rows.push(FactorValue {
                         date: snapshot.date,
-                        symbol: snapshot.symbol.clone(),
+                        symbol: snapshot.symbol.to_string(),
                         field: output_field.clone(),
                         value,
                     });
@@ -4322,7 +4326,7 @@ fn daily_market_price_bar(snapshot: &DailyMarketSnapshot) -> PriceBar {
     PriceBar {
         date: snapshot.date,
         timestamp: snapshot.timestamp.clone(),
-        symbol: snapshot.symbol.clone(),
+        symbol: snapshot.symbol.to_string(),
         frequency: "1d".to_string(),
         open: snapshot.open,
         high: snapshot.high,
@@ -4383,7 +4387,7 @@ fn normalize_factor_snapshots(
             {
                 return Err(DataSetError::ReservedTypedFactorInExtraMap {
                     date: snapshot.date,
-                    symbol: snapshot.symbol,
+                    symbol: snapshot.symbol.to_string(),
                     field: BACKWARD_ADJUSTMENT_FACTOR_FIELD,
                 });
             }
@@ -4392,14 +4396,14 @@ fn normalize_factor_snapshots(
             {
                 return Err(DataSetError::InvalidBackwardAdjustmentFactor {
                     date: snapshot.date,
-                    symbol: snapshot.symbol,
+                    symbol: snapshot.symbol.to_string(),
                     value,
                 });
             }
             let already_normalized = snapshot.extra_factors.iter().all(|(field, value)| {
-                let trimmed = field.as_ref().trim().trim_matches('"').trim_matches('\'');
+                let trimmed = field.as_str().trim().trim_matches('"').trim_matches('\'');
                 !trimmed.is_empty()
-                    && trimmed == field.as_ref()
+                    && trimmed == field.as_str()
                     && trimmed.bytes().all(|byte| !byte.is_ascii_uppercase())
                     && value.is_finite()
             });
@@ -4410,15 +4414,15 @@ fn normalize_factor_snapshots(
                 .extra_factors
                 .into_iter()
                 .filter_map(|(field, value)| {
-                    let trimmed = field.as_ref().trim().trim_matches('"').trim_matches('\'');
+                    let trimmed = field.as_str().trim().trim_matches('"').trim_matches('\'');
                     if trimmed.is_empty() || !value.is_finite() {
                         None
-                    } else if trimmed == field.as_ref()
+                    } else if trimmed == field.as_str()
                         && trimmed.bytes().all(|byte| !byte.is_ascii_uppercase())
                     {
                         Some((field, value))
                     } else {
-                        Some((Cow::Owned(trimmed.to_ascii_lowercase()), value))
+                        Some((CompactString::from(trimmed.to_ascii_lowercase()), value))
                     }
                 })
                 .collect();
@@ -4428,7 +4432,7 @@ fn normalize_factor_snapshots(
             {
                 return Err(DataSetError::ReservedTypedFactorInExtraMap {
                     date: snapshot.date,
-                    symbol: snapshot.symbol,
+                    symbol: snapshot.symbol.to_string(),
                     field: BACKWARD_ADJUSTMENT_FACTOR_FIELD,
                 });
             }
@@ -4446,6 +4450,38 @@ fn normalize_history_frequency(frequency: &str) -> Option<String> {
     }
 }
 
+fn normalize_daily_snapshot_bundle(
+    mut bundle: DailySnapshotBundle,
+) -> Result<DailySnapshotBundle, DataSetError> {
+    let date = bundle.date;
+    if bundle.benchmark.date != date {
+        return Err(DataSetError::InvalidDailyBundleComponentDate {
+            kind: "benchmark",
+            bundle_date: date,
+            row_date: bundle.benchmark.date,
+            symbol: bundle.benchmark.benchmark.clone(),
+        });
+    }
+    validate_daily_bundle_component_dates(
+        &bundle.market, date, "market", |row| row.date, |row| row.symbol.as_str(),
+    )?;
+    validate_daily_bundle_component_dates(
+        &bundle.factors, date, "factor", |row| row.date, |row| row.symbol.as_str(),
+    )?;
+    validate_daily_bundle_component_dates(
+        &bundle.candidates, date, "candidate", |row| row.date, |row| row.symbol.as_str(),
+    )?;
+    validate_daily_bundle_component_dates(
+        &bundle.corporate_actions, date, "corporate_action", |row| row.date,
+        |row| row.symbol.as_str(),
+    )?;
+    sort_rows_by_symbol_if_needed(&mut bundle.market, |row| row.symbol.as_str());
+    bundle.factors = normalize_factor_snapshots(bundle.factors)?;
+    sort_rows_by_symbol_if_needed(&mut bundle.factors, |row| row.symbol.as_str());
+    sort_rows_by_symbol_if_needed(&mut bundle.candidates, |row| row.symbol.as_str());
+    Ok(bundle)
+}
+
 fn validate_daily_bundle_component_dates<T, D, S>(
     rows: &[T],
     bundle_date: NaiveDate,
@@ -4506,25 +4542,25 @@ fn build_symbol_id_index(
     factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
     candidate_by_date: &BTreeMap<NaiveDate, Vec<CandidateEligibility>>,
 ) -> AHashMap<String, u32> {
-    let mut symbols = instruments.keys().cloned().collect::<HashSet<_>>();
+    let mut symbols = instruments.keys().cloned().collect::<AHashSet<_>>();
     for rows in market_by_date.values() {
         for row in rows {
             if !symbols.contains(row.symbol.as_str()) {
-                symbols.insert(row.symbol.clone());
+                symbols.insert(row.symbol.to_string());
             }
         }
     }
     for rows in factor_by_date.values() {
         for row in rows {
             if !symbols.contains(row.symbol.as_str()) {
-                symbols.insert(row.symbol.clone());
+                symbols.insert(row.symbol.to_string());
             }
         }
     }
     for rows in candidate_by_date.values() {
         for row in rows {
             if !symbols.contains(row.symbol.as_str()) {
-                symbols.insert(row.symbol.clone());
+                symbols.insert(row.symbol.to_string());
             }
         }
     }
@@ -4548,10 +4584,11 @@ fn build_group_symbol_ids<T, F>(
     symbol_of: F,
 ) -> BTreeMap<NaiveDate, Vec<u32>>
 where
-    F: Fn(&T) -> &str + Copy,
+    T: Sync,
+    F: Fn(&T) -> &str + Copy + Send + Sync,
 {
     groups
-        .iter()
+        .par_iter()
         .map(|(date, rows)| {
             let symbol_ids = rows
                 .iter()
@@ -4564,6 +4601,8 @@ where
             debug_assert!(symbol_ids.windows(2).all(|window| window[0] < window[1]));
             (*date, symbol_ids)
         })
+        .collect::<Vec<_>>()
+        .into_iter()
         .collect()
 }
 
@@ -4643,7 +4682,7 @@ fn build_factor_market_cap_order(
         .collect()
 }
 
-fn build_dense_row_positions<T>(
+fn build_dense_row_positions<T: Sync>(
     groups: &BTreeMap<NaiveDate, Vec<T>>,
     symbol_ids_by_date: &BTreeMap<NaiveDate, Vec<u32>>,
     symbol_count: usize,
@@ -4654,8 +4693,11 @@ fn build_dense_row_positions<T>(
         return None;
     }
 
-    let mut positions_by_date = BTreeMap::new();
-    for (date, rows) in groups {
+    // Each task owns one bounded day index. No partial index is published if
+    // any day has a missing, duplicate, or misaligned symbol identifier.
+    groups
+        .par_iter()
+        .map(|(date, rows)| {
             let symbol_ids = symbol_ids_by_date.get(date)?;
             if rows.len() != symbol_ids.len() {
                 return None;
@@ -4668,9 +4710,10 @@ fn build_dense_row_positions<T>(
                 }
                 *position = u32::try_from(row_index).ok()?;
             }
-        positions_by_date.insert(*date, positions);
-    }
-    Some(positions_by_date)
+            Some((*date, positions))
+        })
+        .collect::<Option<Vec<_>>>()
+        .map(|days| days.into_iter().collect())
 }
 
 fn build_calendar_series_end_positions(
@@ -4942,7 +4985,7 @@ fn build_fundamental_universe_for_date(
             continue;
         }
         rows.push(EligibleUniverseSnapshot {
-            symbol: factor.symbol.clone(),
+            symbol: factor.symbol.to_string(),
             market_cap_bn,
             free_float_cap_bn: decision_free_float_cap_bn(factor),
         });
@@ -5012,7 +5055,7 @@ fn build_eligible_universe_for_date_from_factors(
             date,
             candidate,
             market,
-            instruments.get(&factor.symbol),
+            instruments.get(factor.symbol.as_str()),
             risk_config,
         )
         .is_some()
@@ -5025,7 +5068,7 @@ fn build_eligible_universe_for_date_from_factors(
         }
         let free_float_cap_bn = decision_free_float_cap_bn(factor);
         rows.push(EligibleUniverseSnapshot {
-            symbol: factor.symbol.clone(),
+            symbol: factor.symbol.to_string(),
             market_cap_bn,
             free_float_cap_bn,
         });
@@ -5042,7 +5085,7 @@ fn build_eligible_universe_for_date_from_factors(
 pub(crate) fn missing_candidate_risk_state(date: NaiveDate, symbol: &str) -> CandidateEligibility {
     CandidateEligibility {
         date,
-        symbol: symbol.to_string(),
+        symbol: symbol.into(),
         is_st: false,
         is_star_st: false,
         is_new_listing: false,
@@ -5070,7 +5113,7 @@ mod tests {
     fn market_row(date: &str, prev_close: f64, volume: u64) -> DailyMarketSnapshot {
         DailyMarketSnapshot {
             date: NaiveDate::parse_from_str(date, "%Y-%m-%d").unwrap(),
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             timestamp: None,
             day_open: prev_close,
             open: prev_close,
@@ -5157,7 +5200,7 @@ mod tests {
             &run_data.execution_quote_dates
         ));
 
-        run_data.add_execution_quotes(vec![IntradayExecutionQuote {
+        run_data.add_execution_quotes(vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             timestamp: NaiveDateTime::parse_from_str("2025-01-02 10:18:00", "%Y-%m-%d %H:%M:%S")
                 .unwrap(),
@@ -5300,7 +5343,7 @@ mod tests {
             vec![benchmark_row("2025-01-02", 12.0)],
         )
         .unwrap();
-        let quote = IntradayExecutionQuote {
+        let quote = IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000001.SZ".to_string(),
             timestamp,
@@ -5352,10 +5395,10 @@ mod tests {
             for (symbol_index, symbol) in symbols.into_iter().enumerate().rev() {
                 let close = 10.0 + date_index as f64 + symbol_index as f64;
                 let mut market_row = market_row(&date_text, close, 1_000_000);
-                market_row.symbol = symbol.to_string();
+                market_row.symbol = symbol.into();
                 let factor_row = DailyFactorSnapshot {
                     date,
-                    symbol: symbol.to_string(),
+                    symbol: symbol.into(),
                     market_cap_bn: 100.0 + close,
                     free_float_cap_bn: 80.0 + close,
                     pe_ttm: 0.0,
@@ -5366,7 +5409,7 @@ mod tests {
                 };
                 let candidate_row = CandidateEligibility {
                     date,
-                    symbol: symbol.to_string(),
+                    symbol: symbol.into(),
                     is_st: false,
                     is_star_st: false,
                     is_new_listing: false,
@@ -5402,7 +5445,7 @@ mod tests {
                 successor_cash: None,
             };
             corporate_actions.push(corporate_action.clone());
-            execution_quotes.push(IntradayExecutionQuote {
+            execution_quotes.push(IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbols[0].to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
@@ -5442,6 +5485,10 @@ mod tests {
         )
         .expect("daily bundle dataset");
 
+        let row_count = dates.len() * symbols.len();
+        let expected_counts = (row_count, row_count, row_count, dates.len(), dates.len());
+        assert_eq!(flat.snapshot_row_counts(), expected_counts);
+        assert_eq!(grouped.snapshot_row_counts(), expected_counts);
         assert_eq!(flat.calendar().days(), grouped.calendar().days());
         assert_eq!(flat.benchmark_code(), grouped.benchmark_code());
         for date in dates {
@@ -5516,6 +5563,122 @@ mod tests {
         ));
     }
 
+    #[test]
+    fn parallel_daily_bundle_validation_keeps_earliest_error_and_component_order() {
+        let bundles = || (2..30).rev().map(|day| {
+            let date = NaiveDate::from_ymd_opt(2025, 1, day).unwrap();
+            let mut benchmark = benchmark_row("2025-01-01", 20.0);
+            benchmark.date = date;
+            DailySnapshotBundle {
+                date, benchmark,
+                market: vec![market_row("2025-01-01", 10.0, 100)],
+                factors: Vec::new(), candidates: Vec::new(), corporate_actions: Vec::new(),
+            }
+        }).collect::<Vec<_>>();
+        for threads in [1, 2, 8] {
+            let pool = rayon::ThreadPoolBuilder::new().num_threads(threads).build().unwrap();
+            for _ in 0..4 {
+                let result = pool.install(|| DataSet::from_daily_bundles_with_execution_quotes(
+                    Vec::new(), bundles(), Vec::new(),
+                ));
+                assert!(matches!(result, Err(DataSetError::InvalidDailyBundleComponentDate {
+                    kind: "market", bundle_date, ..
+                }) if bundle_date == NaiveDate::from_ymd_opt(2025, 1, 2).unwrap()));
+            }
+            let mut values = bundles();
+            values.last_mut().unwrap().benchmark.date = NaiveDate::from_ymd_opt(2025, 1, 1).unwrap();
+            let result = pool.install(|| DataSet::from_daily_bundles_with_execution_quotes(
+                Vec::new(), values, Vec::new(),
+            ));
+            assert!(matches!(result, Err(DataSetError::InvalidDailyBundleComponentDate {
+                kind: "benchmark", bundle_date, ..
+            }) if bundle_date == NaiveDate::from_ymd_opt(2025, 1, 2).unwrap()));
+        }
+    }
+
+    #[test]
+    fn parallel_daily_symbol_indices_match_scalar_for_sparse_and_empty_days() {
+        let symbols = ["000001.SZ", "159915.SZ", "600000.SH", "932000.CSI", "custom-long-instrument"];
+        let index = symbols.iter().enumerate()
+            .map(|(id, symbol)| (symbol.to_string(), id as u32))
+            .collect::<AHashMap<_, _>>();
+        let groups = (1..29).map(|day| {
+            let date = NaiveDate::from_ymd_opt(2025, 1, day).unwrap();
+            let rows = symbols.iter().enumerate()
+                .filter(|(id, _)| day % 7 != 0 && (*id + day as usize) % 3 != 0)
+                .map(|(_, symbol)| symbol.to_string()).collect::<Vec<_>>();
+            (date, rows)
+        }).collect::<BTreeMap<_, _>>();
+        let expected_ids = groups.iter().map(|(date, rows)| {
+            (*date, rows.iter().map(|symbol| index[symbol]).collect::<Vec<_>>())
+        }).collect::<BTreeMap<_, _>>();
+        let expected_positions = expected_ids.iter().map(|(date, ids)| {
+            let mut positions = vec![super::MISSING_ROW_POSITION; symbols.len()];
+            for (row, id) in ids.iter().enumerate() { positions[*id as usize] = row as u32; }
+            (*date, positions)
+        }).collect::<BTreeMap<_, _>>();
+        for threads in [1, 2, 8] {
+            rayon::ThreadPoolBuilder::new().num_threads(threads).build().unwrap().install(|| {
+                let ids = super::build_group_symbol_ids(&groups, &index, String::as_str);
+                assert_eq!(ids, expected_ids);
+                assert_eq!(super::build_dense_row_positions(&groups, &ids, symbols.len()), Some(expected_positions.clone()));
+            });
+        }
+    }
+
+    #[test]
+    fn parallel_dense_index_rejects_invalid_days_without_publishing_partial_index() {
+        let day1 = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let day2 = NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+        let groups = BTreeMap::from([(day1, vec![0, 1]), (day2, vec![0, 1])]);
+        let valid = BTreeMap::from([(day1, vec![0, 2]), (day2, vec![1, 2])]);
+        for threads in [1, 2, 8] {
+            rayon::ThreadPoolBuilder::new().num_threads(threads).build().unwrap().install(|| {
+                for invalid in [vec![], vec![1], vec![1, 1], vec![1, 3], vec![1, u32::MAX]] {
+                    let mut ids = valid.clone();
+                    ids.insert(day2, invalid);
+                    assert!(super::build_dense_row_positions(&groups, &ids, 3).is_none());
+                }
+                let mut missing = valid.clone();
+                missing.remove(&day2);
+                assert!(super::build_dense_row_positions(&groups, &missing, 3).is_none());
+                assert!(super::build_dense_row_positions(&groups, &valid, usize::MAX).is_none());
+                assert!(super::build_dense_row_positions(&groups, &valid, super::MAX_DENSE_ROW_INDEX_BYTES).is_none());
+            });
+        }
+    }
+
+    #[test]
+    fn symbol_id_union_preserves_lexical_order_and_all_component_sources() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let instrument = Instrument {
+            symbol: "932000.CSI".into(), name: "index".into(), board: "CSI".into(),
+            round_lot: 100, listed_at: None, delisted_at: None, status: "active".into(),
+        };
+        let mut market = market_row("2025-01-02", -0.0, 0);
+        market.symbol = "custom-long-instrument".into();
+        let factor = DailyFactorSnapshot {
+            date, symbol: "159915.SZ".into(), market_cap_bn: 0.0, free_float_cap_bn: 0.0,
+            pe_ttm: 0.0, turnover_ratio: None, effective_turnover_ratio: None,
+            adjustment_factor_backward1: None, extra_factors: NumericFactorMap::new(),
+        };
+        let candidate = CandidateEligibility {
+            date, symbol: "000001.SZ".into(), is_st: true, is_star_st: true,
+            is_new_listing: false, is_paused: true, allow_buy: false, allow_sell: false,
+            is_kcb: false, is_one_yuan: false, risk_level_code: Some("test".into()),
+        };
+        let ids = super::build_symbol_id_index(
+            &HashMap::from([(instrument.symbol.clone(), instrument)]),
+            &BTreeMap::from([(date, vec![market.clone(), market])]),
+            &BTreeMap::from([(date, vec![factor])]),
+            &BTreeMap::from([(date, vec![candidate])]),
+        );
+        assert_eq!(ids, AHashMap::from_iter([
+            ("000001.SZ".to_string(), 0), ("159915.SZ".to_string(), 1),
+            ("932000.CSI".to_string(), 2), ("custom-long-instrument".to_string(), 3),
+        ]));
+    }
+
     #[test]
     fn direct_symbol_id_snapshot_lookups_preserve_alignment_for_sparse_rows() {
         let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
@@ -5534,12 +5697,12 @@ mod tests {
         };
         let market = |symbol: &str, close: f64| {
             let mut row = market_row("2025-01-02", close, 1_000_000);
-            row.symbol = symbol.to_string();
+            row.symbol = symbol.into();
             row
         };
         let factor = |symbol: &str, market_cap_bn: f64| DailyFactorSnapshot {
             date,
-            symbol: symbol.to_string(),
+            symbol: symbol.into(),
             market_cap_bn,
             free_float_cap_bn: market_cap_bn,
             pe_ttm: 0.0,
@@ -5550,7 +5713,7 @@ mod tests {
         };
         let candidate = |symbol: &str| CandidateEligibility {
             date,
-            symbol: symbol.to_string(),
+            symbol: symbol.into(),
             is_st: false,
             is_star_st: false,
             is_new_listing: false,
@@ -5773,7 +5936,7 @@ mod tests {
                 .iter()
                 .map(|date| DailyFactorSnapshot {
                     date: *date,
-                    symbol: "000001.SZ".to_string(),
+                    symbol: "000001.SZ".into(),
                     market_cap_bn: 10.0,
                     free_float_cap_bn: 8.0,
                     pe_ttm: 10.0,
@@ -5977,7 +6140,7 @@ mod tests {
             .enumerate()
             .map(|(index, symbol)| {
                 let mut row = market_row("2025-01-02", 10.0 + index as f64 / 1000.0, 1_000_000);
-                row.symbol = symbol.clone();
+                row.symbol = symbol.clone().into();
                 row
             })
             .collect::<Vec<_>>();
@@ -5986,7 +6149,7 @@ mod tests {
             .enumerate()
             .map(|(index, symbol)| DailyFactorSnapshot {
                 date,
-                symbol: symbol.clone(),
+                symbol: symbol.clone().into(),
                 market_cap_bn: 10.0 + index as f64 / 1000.0,
                 free_float_cap_bn: 8.0,
                 pe_ttm: 10.0,
@@ -6000,7 +6163,7 @@ mod tests {
             .iter()
             .map(|symbol| CandidateEligibility {
                 date,
-                symbol: symbol.clone(),
+                symbol: symbol.clone().into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -6113,7 +6276,7 @@ mod tests {
             vec![benchmark_row("2025-01-02", 12.0)],
         )
         .unwrap();
-        let quote = |symbol: &str, time: &str| IntradayExecutionQuote {
+        let quote = |symbol: &str, time: &str| IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             timestamp: NaiveDateTime::parse_from_str(
                 &format!("2025-01-02 {time}"),
@@ -6192,7 +6355,7 @@ mod tests {
     #[test]
     fn shared_execution_quote_release_does_not_clone_the_base_map() {
         let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
-        let quote = IntradayExecutionQuote {
+        let quote = IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             timestamp: NaiveDateTime::parse_from_str("2025-01-02 10:18:00", "%Y-%m-%d %H:%M:%S")
                 .unwrap(),
@@ -6289,14 +6452,14 @@ mod tests {
     fn factor_numeric_value_normalizes_fields_without_changing_aliases() {
         let snapshot = DailyFactorSnapshot {
             date: NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap(),
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             market_cap_bn: 12.5,
             free_float_cap_bn: 8.0,
             pe_ttm: 10.0,
             turnover_ratio: None,
             effective_turnover_ratio: None,
             adjustment_factor_backward1: Some(1.25),
-            extra_factors: BTreeMap::from([("custom_factor".into(), 3.5)]),
+            extra_factors: From::from([("custom_factor".into(), 3.5)]),
         };
 
         assert_eq!(factor_numeric_value(&snapshot, " MARKET_CAP "), Some(12.5));
@@ -6312,31 +6475,29 @@ mod tests {
         let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
         let clean = normalize_factor_snapshots(vec![DailyFactorSnapshot {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             market_cap_bn: 1.0,
             free_float_cap_bn: 1.0,
             pe_ttm: 1.0,
             turnover_ratio: None,
             effective_turnover_ratio: None,
             adjustment_factor_backward1: None,
-            extra_factors: BTreeMap::from([(Cow::Borrowed("amount"), 10.0)]),
+            extra_factors: From::from([(Cow::Borrowed("amount"), 10.0)]),
         }])
         .expect("normalize clean factor snapshot");
-        assert!(matches!(
-            clean[0].extra_factors.keys().next(),
-            Some(Cow::Borrowed("amount"))
-        ));
+        assert_eq!(clean[0].extra_factors.keys().next().map(CompactString::as_str), Some("amount"));
+        assert!(!clean[0].extra_factors.keys().next().unwrap().is_heap_allocated());
 
         let dirty = normalize_factor_snapshots(vec![DailyFactorSnapshot {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             market_cap_bn: 1.0,
             free_float_cap_bn: 1.0,
             pe_ttm: 1.0,
             turnover_ratio: None,
             effective_turnover_ratio: None,
             adjustment_factor_backward1: None,
-            extra_factors: BTreeMap::from([
+            extra_factors: From::from([
                 (Cow::Owned(" CUSTOM_FACTOR ".to_string()), 2.0),
                 (Cow::Borrowed("bad_nan"), f64::NAN),
             ]),
@@ -6351,7 +6512,7 @@ mod tests {
         let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
         let snapshot = |adjustment_factor_backward1, extra_factors| DailyFactorSnapshot {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             market_cap_bn: 1.0,
             free_float_cap_bn: 1.0,
             pe_ttm: 1.0,
@@ -6364,12 +6525,12 @@ mod tests {
         assert!(matches!(
             normalize_factor_snapshots(vec![snapshot(
                 Some(1.0),
-                BTreeMap::from([(Cow::Borrowed(BACKWARD_ADJUSTMENT_FACTOR_FIELD), 1.0)]),
+                BTreeMap::from([(Cow::Borrowed(BACKWARD_ADJUSTMENT_FACTOR_FIELD), 1.0)]).into(),
             )]),
             Err(DataSetError::ReservedTypedFactorInExtraMap { .. })
         ));
         assert!(matches!(
-            normalize_factor_snapshots(vec![snapshot(Some(0.0), BTreeMap::new())]),
+            normalize_factor_snapshots(vec![snapshot(Some(0.0), BTreeMap::new().into())]),
             Err(DataSetError::InvalidBackwardAdjustmentFactor { .. })
         ));
         for field in [
@@ -6382,7 +6543,7 @@ mod tests {
                     matches!(
                         normalize_factor_snapshots(vec![snapshot(
                             typed_value,
-                            BTreeMap::from([(Cow::Borrowed(field), 2.0)]),
+                            BTreeMap::from([(Cow::Borrowed(field), 2.0)]).into(),
                         )]),
                         Err(DataSetError::ReservedTypedFactorInExtraMap { .. })
                     ),
@@ -6478,14 +6639,14 @@ mod tests {
                     }
                     DailyFactorSnapshot {
                         date: *date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         market_cap_bn: 10.0,
                         free_float_cap_bn: 8.0,
                         pe_ttm: 10.0,
                         turnover_ratio: None,
                         effective_turnover_ratio: None,
                         adjustment_factor_backward1: None,
-                        extra_factors,
+                        extra_factors: extra_factors.into(),
                     }
                 })
                 .collect(),
@@ -6537,14 +6698,14 @@ mod tests {
                 .iter()
                 .map(|date| DailyFactorSnapshot {
                     date: *date,
-                    symbol: "000001.SZ".to_string(),
+                    symbol: "000001.SZ".into(),
                     market_cap_bn: 10.0,
                     free_float_cap_bn: 8.0,
                     pe_ttm: 10.0,
                     turnover_ratio: None,
                     effective_turnover_ratio: None,
                     adjustment_factor_backward1: Some(1.0),
-                    extra_factors: BTreeMap::new(),
+                    extra_factors: Default::default(),
                 })
                 .collect(),
             Vec::new(),
@@ -6831,14 +6992,14 @@ mod tests {
                 .zip(factors)
                 .map(|(date, factor)| DailyFactorSnapshot {
                     date: *date,
-                    symbol: "000001.SZ".to_string(),
+                    symbol: "000001.SZ".into(),
                     market_cap_bn: 10.0,
                     free_float_cap_bn: 8.0,
                     pe_ttm: 10.0,
                     turnover_ratio: None,
                     effective_turnover_ratio: None,
                     adjustment_factor_backward1: Some(factor),
-                    extra_factors: BTreeMap::new(),
+                    extra_factors: Default::default(),
                 })
                 .collect(),
             Vec::new(),
@@ -6929,14 +7090,14 @@ mod tests {
                 .iter()
                 .map(|date| DailyFactorSnapshot {
                     date: *date,
-                    symbol: "000001.SZ".to_string(),
+                    symbol: "000001.SZ".into(),
                     market_cap_bn: 10.0,
                     free_float_cap_bn: 8.0,
                     pe_ttm: 10.0,
                     turnover_ratio: None,
                     effective_turnover_ratio: None,
                     adjustment_factor_backward1: (*date != dates[3]).then_some(1.0),
-                    extra_factors: BTreeMap::new(),
+                    extra_factors: Default::default(),
                 })
                 .collect(),
             Vec::new(),
@@ -7008,7 +7169,7 @@ mod tests {
         };
         let market = |symbol: &str, prev_close: f64, close: f64| DailyMarketSnapshot {
             date,
-            symbol: symbol.to_string(),
+            symbol: symbol.into(),
             timestamp: Some("2025-01-06 10:18:00".to_string()),
             day_open: prev_close,
             open: prev_close,
@@ -7032,18 +7193,18 @@ mod tests {
         let factor =
             |symbol: &str, market_cap_bn: f64, free_float_cap_bn: f64| DailyFactorSnapshot {
                 date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 market_cap_bn,
                 free_float_cap_bn,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             };
         let candidate = |symbol: &str| CandidateEligibility {
             date,
-            symbol: symbol.to_string(),
+            symbol: symbol.into(),
             is_st: false,
             is_star_st: false,
             is_new_listing: false,
@@ -7108,7 +7269,7 @@ mod tests {
             }],
             vec![DailyMarketSnapshot {
                 date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 timestamp: Some("2025-01-06 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -7131,14 +7292,14 @@ mod tests {
             }],
             vec![DailyFactorSnapshot {
                 date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 9.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             }],
             Vec::new(),
             vec![BenchmarkSnapshot {
@@ -7193,7 +7354,7 @@ mod tests {
             }],
             vec![DailyMarketSnapshot {
                 date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 timestamp: Some("2025-01-06 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -7216,18 +7377,18 @@ mod tests {
             }],
             vec![DailyFactorSnapshot {
                 date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 9.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             }],
             vec![CandidateEligibility {
                 date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -7268,14 +7429,14 @@ mod tests {
         let date = NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap();
         let factor = DailyFactorSnapshot {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             market_cap_bn: 12.0,
             free_float_cap_bn: 4.0,
             pe_ttm: 10.0,
             turnover_ratio: Some(1.0),
             effective_turnover_ratio: Some(1.0),
             adjustment_factor_backward1: None,
-            extra_factors: BTreeMap::new(),
+            extra_factors: Default::default(),
         };
 
         assert!((decision_market_cap_bn(&factor) - 12.0).abs() < 1e-9);

crates/fidc-core/src/etf_execution.rs

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

crates/fidc-core/src/events.rs

@@ -317,6 +317,8 @@ pub enum ProcessEventKind {
     AccountDepositWithdraw,
     AccountFinanceRepay,
     AccountManagementFee,
+    SessionCapacityAudit,
+    EtfExecutionFallback,
 }
 
 impl ProcessEventKind {
@@ -362,6 +364,8 @@ impl ProcessEventKind {
             Self::AccountDepositWithdraw => "account_deposit_withdraw",
             Self::AccountFinanceRepay => "account_finance_repay",
             Self::AccountManagementFee => "account_management_fee",
+            Self::SessionCapacityAudit => "session_capacity_audit",
+            Self::EtfExecutionFallback => "etf_execution_fallback",
         }
     }
 
@@ -393,6 +397,8 @@ impl ProcessEventKind {
                 | Self::AccountDepositWithdraw
                 | Self::AccountFinanceRepay
                 | Self::AccountManagementFee
+                | Self::SessionCapacityAudit
+                | Self::EtfExecutionFallback
                 | Self::Settlement
         )
     }

crates/fidc-core/src/execution_capacity.rs

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

crates/fidc-core/src/execution_schedule.rs

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

crates/fidc-core/src/factor_event_catalog.rs

@@ -0,0 +1,52 @@
+//! Indicator metadata is versioned independently from the numerical kernel.
+use crate::factor_events::{CONTRACT, OPERATORS, TA_REV};
+use serde_json::{Value, json};
+use ta_lib::abstract_api::{self, OptInputType};
+
+pub fn catalog() -> Value {
+    use sha2::{Digest, Sha256};
+    let mut implementation = Sha256::new();
+    for file in [include_bytes!("factor_events.rs").as_slice(), include_bytes!("factor_cross_section.rs").as_slice(),
+        include_bytes!("daily_patterns.rs").as_slice(),include_bytes!("market_event_context.rs").as_slice(),
+        include_bytes!("session_events.rs").as_slice(),include_bytes!("pattern_context.rs").as_slice(),TA_REV.as_bytes()] {implementation.update(file);}
+    let implementation_sha256=format!("{:x}",implementation.finalize());
+    let indicators: Vec<Value> = abstract_api::funcs().map(|f| json!({
+        "name":f.name, "group":format!("{:?}",f.group), "description":f.hint,
+        "inputs":f.inputs.iter().map(|p|json!({"name":p.param_name,"kind":format!("{:?}",p.kind),"flags":p.flags.0})).collect::<Vec<_>>(),
+        "parameters":f.opt_inputs.iter().map(|p|json!({"name":p.param_name,"label":p.display_name,"description":p.hint,"domain":parameter_domain(p.kind)})).collect::<Vec<_>>(),
+        "outputs":f.outputs.iter().enumerate().map(|(i,p)|json!({"index":i,"name":p.param_name,"kind":format!("{:?}",p.kind)})).collect::<Vec<_>>(),
+        "unstable_period":format!("{:?}",f.unst_id), "production_eligible":false,
+    })).collect();
+    json!({"contract":CONTRACT,"parameter_domain_contract":"fidc.indicator-parameter-domain/v1","expression_kernel_sha256":implementation_sha256,"library":{"name":"TA-Lib native Rust","revision":TA_REV,"license":"BSD-3-Clause"},
+        "execution_context_contract":crate::pattern_context::CONTRACT,
+        "execution_context_fields":crate::pattern_context::CONTEXT_FIELDS,
+        "market_event_context_contract":crate::market_event_context::CONTRACT,
+        "market_event_kernel_sha256":crate::market_event_context::implementation_sha256(),
+        "market_event_common_fields":crate::market_event_context::COMMON_FIELDS,
+        "market_event_industry_fields":crate::market_event_context::INDUSTRY_FIELDS,
+        "session_events":crate::session_events::EVENTS,"session_event_contract":crate::session_events::CONTRACT,
+        "indicators":indicators,"operators":OPERATORS,"cross_section_operators":crate::factor_cross_section::OPERATORS,"read_only":true,"live_routing":false,
+        "policies":{"null":"unknown_not_false","warmup":"null_until_full_history","recursive_seed":"frozen_input_start",
+        "breakout":"previous_window_excludes_current","boolean":"three_valued_logic","daily_execution":"next_completed_session",
+        "minute_execution":"strictly_after_completed_bar","cross_section":"requires_separate_complete_universe_contract"}})
+}
+
+pub(crate) fn parameter_domain(kind: OptInputType) -> Value {
+    match kind {
+        OptInputType::IntegerRange { min, max, default, .. } => json!({
+            "value_type":"integer", "minimum":min, "maximum":max, "default":default,
+        }),
+        OptInputType::RealRange { min, max, default, precision, .. } => json!({
+            "value_type":"number", "minimum":min, "maximum":max,
+            "default":default, "display_precision":precision,
+        }),
+        OptInputType::IntegerList { values, default } => json!({
+            "value_type":"integer", "default":default,
+            "choices":values.iter().map(|(value,label)|json!({"value":value,"label":label})).collect::<Vec<_>>(),
+        }),
+        OptInputType::RealList { values, default } => json!({
+            "value_type":"number", "default":default,
+            "choices":values.iter().map(|(value,label)|json!({"value":value,"label":label})).collect::<Vec<_>>(),
+        }),
+    }
+}

crates/fidc-core/src/factor_events.rs

@@ -1,7 +1,7 @@
 //! Causal, typed indicator/event expressions shared by research and trading.
 use chrono::{DateTime, FixedOffset};
 use serde::{Deserialize, Serialize};
-use serde_json::{Value, json};
+use serde_json::Value;
 use std::collections::BTreeMap;
 use ta_lib::{
     Core,
@@ -82,7 +82,7 @@ pub struct Series {
     pub values: Vec<Option<f64>>,
 }
 
-const OPERATORS: &[&str] = &[
+pub(crate) const OPERATORS: &[&str] = &[
     "GT",
     "GTE",
     "LT",
@@ -168,33 +168,7 @@ const OPERATORS: &[&str] = &[
     "IF",
 ];
 
-pub fn catalog() -> Value {
-    use sha2::{Digest, Sha256};
-    let mut implementation = Sha256::new();
-    for file in [include_bytes!("factor_events.rs").as_slice(), include_bytes!("factor_cross_section.rs").as_slice(),
-        include_bytes!("daily_patterns.rs").as_slice(),include_bytes!("market_event_context.rs").as_slice(),
-        include_bytes!("session_events.rs").as_slice(),include_bytes!("pattern_context.rs").as_slice(),TA_REV.as_bytes()] {implementation.update(file);}
-    let implementation_sha256=format!("{:x}",implementation.finalize());
-    let indicators: Vec<Value> = abstract_api::funcs().map(|f| json!({
-        "name":f.name, "group":format!("{:?}",f.group), "description":f.hint,
-        "inputs":f.inputs.iter().map(|p|json!({"name":p.param_name,"kind":format!("{:?}",p.kind),"flags":p.flags.0})).collect::<Vec<_>>(),
-        "parameters":f.opt_inputs.iter().map(|p|json!({"name":p.param_name,"label":p.display_name,"description":p.hint,"domain":format!("{:?}",p.kind)})).collect::<Vec<_>>(),
-        "outputs":f.outputs.iter().enumerate().map(|(i,p)|json!({"index":i,"name":p.param_name,"kind":format!("{:?}",p.kind)})).collect::<Vec<_>>(),
-        "unstable_period":format!("{:?}",f.unst_id), "production_eligible":false,
-    })).collect();
-    json!({"contract":CONTRACT,"expression_kernel_sha256":implementation_sha256,"library":{"name":"TA-Lib native Rust","revision":TA_REV,"license":"BSD-3-Clause"},
-        "execution_context_contract":crate::pattern_context::CONTRACT,
-        "execution_context_fields":crate::pattern_context::CONTEXT_FIELDS,
-        "market_event_context_contract":crate::market_event_context::CONTRACT,
-        "market_event_kernel_sha256":crate::market_event_context::implementation_sha256(),
-        "market_event_common_fields":crate::market_event_context::COMMON_FIELDS,
-        "market_event_industry_fields":crate::market_event_context::INDUSTRY_FIELDS,
-        "session_events":crate::session_events::EVENTS,"session_event_contract":crate::session_events::CONTRACT,
-        "indicators":indicators,"operators":OPERATORS,"cross_section_operators":crate::factor_cross_section::OPERATORS,"read_only":true,"live_routing":false,
-        "policies":{"null":"unknown_not_false","warmup":"null_until_full_history","recursive_seed":"frozen_input_start",
-        "breakout":"previous_window_excludes_current","boolean":"three_valued_logic","daily_execution":"next_completed_session",
-        "minute_execution":"strictly_after_completed_bar","cross_section":"requires_separate_complete_universe_contract"}})
-}
+pub use crate::factor_event_catalog::catalog;
 
 impl Frame {
     pub fn validate(&self) -> Result<(), String> {
@@ -958,124 +932,5 @@ fn operator(
 }
 
 #[cfg(test)]
-mod tests {
-    use super::*;
-    fn frame(values: Vec<Option<f64>>) -> Frame {
-        let start = DateTime::parse_from_rfc3339("2026-09-01T15:30:00+08:00").unwrap();
-        let times = (0..values.len())
-            .map(|i| start + chrono::Duration::days(i as i64))
-            .collect::<Vec<_>>();
-        Frame {
-            symbol: "TEST".into(),
-            frequency: "1d".into(),
-            decision_at: *times.last().unwrap(),
-            available_at: times.clone(),
-            timestamps: times,
-            fields: BTreeMap::from([("close".into(), values)]),
-        }
-    }
-    fn expr(v: Value) -> Expr {
-        serde_json::from_value(v).unwrap()
-    }
-    #[test]
-    fn ta_sma_real_values_and_parameter_validation() {
-        let frame = frame(vec![Some(1.0), Some(2.0), Some(3.0), Some(4.0)]);
-        let e = expr(
-            json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"optInTimePeriod":3}}),
-        );
-        assert_eq!(
-            evaluate(&e, &frame).unwrap().values,
-            vec![None, None, Some(2.0), Some(3.0)]
-        );
-        let bad = expr(
-            json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"period":3}}),
-        );
-        assert!(
-            evaluate(&bad, &frame)
-                .unwrap_err()
-                .contains("parameter_unknown")
-        );
-    }
-    #[test]
-    fn cross_is_event_not_state_and_never_uses_future() {
-        let f = frame(vec![
-            Some(9.0),
-            Some(10.0),
-            Some(11.0),
-            Some(12.0),
-            Some(8.0),
-        ]);
-        let e = expr(
-            json!({"kind":"operator","name":"CROSS_ABOVE","args":[{"kind":"field","name":"close"},{"kind":"number","value":10.0}]}),
-        );
-        assert_eq!(
-            evaluate(&e, &f).unwrap().values,
-            vec![None, Some(0.0), Some(1.0), Some(0.0), Some(0.0)]
-        );
-        let mut invalid = f.clone();
-        invalid.available_at[4] = invalid.decision_at + chrono::Duration::seconds(1);
-        assert!(evaluate(&e, &invalid).is_err());
-    }
-    #[test]
-    fn missing_is_not_zero_and_breakout_excludes_current() {
-        let f = frame(vec![Some(1.0), Some(2.0), Some(3.0), None, Some(5.0)]);
-        let e = expr(
-            json!({"kind":"operator","name":"BREAK_HIGH","window":2,"args":[{"kind":"field","name":"close"}]}),
-        );
-        assert_eq!(
-            evaluate(&e, &f).unwrap().values,
-            vec![None, None, Some(1.0), None, None]
-        );
-        let zero = expr(
-            json!({"kind":"operator","name":"DIV","args":[{"kind":"field","name":"close"},{"kind":"number","value":0}]}),
-        );
-        assert!(
-            evaluate(&zero, &f)
-                .unwrap()
-                .values
-                .iter()
-                .all(Option::is_none)
-        );
-    }
-    #[test]
-    fn ta_rewarms_after_gap_and_const_zscore_is_unknown() {
-        let f = frame(vec![Some(1.0), Some(1.0), None, Some(2.0), Some(2.0)]);
-        let e = expr(
-            json!({"kind":"indicator","name":"SMA","inputs":[{"kind":"field","name":"close"}],"parameters":{"optInTimePeriod":2}}),
-        );
-        assert_eq!(
-            evaluate(&e, &f).unwrap().values,
-            vec![None, Some(1.0), None, None, Some(2.0)]
-        );
-        let e = expr(
-            json!({"kind":"operator","name":"ZSCORE","window":2,"args":[{"kind":"field","name":"close"}]}),
-        );
-        assert!(evaluate(&e, &f).unwrap().values.iter().all(Option::is_none));
-    }
-    #[test]
-    fn no_event_has_no_bars_since_and_type_errors_reject() {
-        let f = frame(vec![Some(1.0), Some(1.0), Some(1.0)]);
-        let state = json!({"kind":"operator","name":"GT","args":[{"kind":"field","name":"close"},{"kind":"number","value":5}]});
-        let e = expr(json!({"kind":"operator","name":"BARS_SINCE","args":[state]}));
-        assert!(evaluate(&e, &f).unwrap().values.iter().all(Option::is_none));
-        assert!(
-            evaluate(
-                &expr(
-                    json!({"kind":"operator","name":"NOT","args":[{"kind":"field","name":"close"}]})
-                ),
-                &f
-            )
-            .is_err()
-        );
-    }
-    #[test]
-    fn literal_unknown_fields_reject_and_catalog_is_not_trading_permission() {
-        assert!(
-            serde_json::from_value::<Expr>(json!({"kind":"number","value":1,"account_id":2}))
-                .is_err()
-        );
-        let c = catalog();
-        assert!(c["indicators"].as_array().unwrap().len() > 190);
-        assert_eq!(c["live_routing"], false);
-    }
-}
+#[path = "factor_events_tests.rs"]
+mod tests;

crates/fidc-core/src/factor_events_tests.rs

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

crates/fidc-core/src/instrument.rs

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

crates/fidc-core/src/lib.rs

@@ -2,10 +2,15 @@ pub mod broker;
 pub mod calendar;
 pub mod cost;
 pub mod data;
+mod numeric_factors;
 pub mod daily_patterns;
 pub mod pattern_context;
 pub mod session_events;
 pub mod factor_events;
+pub mod execution_capacity;
+mod etf_execution;
+mod execution_schedule;
+mod factor_event_catalog;
 pub mod factor_cross_section;
 pub mod market_event_context;
 pub mod engine;
@@ -21,11 +26,19 @@ pub mod platform_runtime_schema;
 pub mod platform_strategy_spec;
 pub mod portfolio;
 pub mod portfolio_loss;
+pub mod position_exposure;
 pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
 pub mod holding_policy;
+pub mod stock_pool_candidates;
+pub mod stock_pool_indicators;
+pub mod stock_pool_execution;
+pub mod stock_pool_index_policy;
+pub mod stock_pool_market_cap;
+pub mod stock_pool_state;
+pub mod stock_pool_quote_facts;
 pub mod signal_contract;
 pub mod strategy_ai;
 pub mod universe;

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/numeric_factors.rs

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

crates/fidc-core/src/pattern_context.rs

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

crates/fidc-core/src/platform_stock_pool.rs

@@ -0,0 +1,244 @@
+//! Stock pools emit one frozen framework intent, not a lossy code-strategy translation.
+use super::*;
+use crate::stock_pool_execution as pool;
+use rust_decimal::Decimal;
+
+impl PlatformExprStrategy {
+    pub(super) fn stock_pool_decision(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, BacktestError> {
+        let program = self
+            .config
+            .stock_pool
+            .as_ref()
+            .ok_or_else(|| BacktestError::Execution("stock_pool_program_missing".into()))?
+            .clone();
+        if !self.config.stop_loss_expr.trim().is_empty() || !self.config.take_profit_expr.trim().is_empty()
+            || self.config.position_target_rules.len() != program.exit_signals.len()
+            || self.config.position_target_rules.iter().zip(&program.exit_signals).any(|(compiled, frozen)|
+                compiled.when_expr != frozen.when_expr || compiled.remaining_position_bps != frozen.remaining_position_bps
+                    || compiled.reason != frozen.reason || compiled.stock_pool_role != frozen.role)
+        {
+            return Err(BacktestError::Execution("stock_pool_exit_roles_required: exit rules must remain bound to the frozen stock_pool program".into()));
+        }
+        let mut constraints = pool::stock_pool_constraints_from_configuration(
+            &program.allocation_policy,
+            &program.stop_take_policy,
+        )
+        .map_err(BacktestError::Execution)?;
+        if let Some(policy) = constraints
+            .market_timing_policy
+            .as_ref()
+            .filter(|policy| policy.enabled)
+        {
+            let before_close = !ctx.is_lagged_execution()
+                && ctx
+                    .active_datetime
+                    .is_some_and(|at| at.time() < NaiveTime::from_hms_opt(15, 0, 0).unwrap());
+            let as_of = if before_close {
+                ctx.data
+                    .previous_trading_date(ctx.decision_date, 1)
+                    .ok_or_else(|| {
+                        BacktestError::Execution(
+                            "market_timing_previous_completed_session_missing".into(),
+                        )
+                    })?
+            } else {
+                ctx.decision_date
+            };
+            let required = policy
+                .required_history()
+                .map_err(BacktestError::Execution)?;
+            let mut dates = ctx
+                .data
+                .calendar()
+                .iter()
+                .filter(|date| *date <= as_of)
+                .collect::<Vec<_>>();
+            if dates.len() < required {
+                return Err(BacktestError::Execution(format!(
+                    "market_timing_official_calendar_incomplete:required={required}:available={}",
+                    dates.len()
+                )));
+            }
+            dates = dates.split_off(dates.len() - required);
+            let index = policy.index_code.as_ref().expect("validated index policy");
+            let closes = dates
+                .iter()
+                .map(|date| {
+                    let row = ctx.data.market(*date, index).ok_or_else(|| {
+                        BacktestError::Execution(format!(
+                            "market_timing_completed_index_row_missing:{index}:{date}"
+                        ))
+                    })?;
+                    Ok(crate::stock_pool_index_policy::IndexClose {
+                        date: *date,
+                        close: row.close,
+                    })
+                })
+                .collect::<Result<Vec<_>, BacktestError>>()?;
+            constraints.market_timing_input =
+                Some(crate::stock_pool_index_policy::MarketTimingInput {
+                    index_code: index.clone(),
+                    as_of_date: as_of,
+                    official_dates: dates,
+                    closes,
+                });
+        }
+        let rule = pool::normalize_stock_pool_execution_rule_with_exit_roles(
+            Some(&program.timing_policy),
+            !self.config.buy_filter_expr.trim().is_empty(),
+            self.config.position_target_rules.iter().any(|rule| rule.stock_pool_role == pool::StockPoolExitRole::OrdinarySell),
+            self.config.position_target_rules.iter().any(|rule| rule.stock_pool_role == pool::StockPoolExitRole::RiskExit),
+        )
+        .map_err(BacktestError::Execution)?;
+        if self.config.in_skip_window(ctx.decision_date) {
+            return Ok(StrategyDecision::default());
+        }
+        let explicit_quote_condition = self.selection_quote_usage != StockFilterQuoteUsage::DailyOnly
+            || [self.config.buy_filter_expr.as_str(), self.config.stop_loss_expr.as_str(), self.config.take_profit_expr.as_str()]
+                .into_iter().chain(self.config.position_target_rules.iter().map(|rule|rule.when_expr.as_str()))
+                .any(|expression|Self::stock_filter_quote_usage_for_expr(expression)!=StockFilterQuoteUsage::DailyOnly);
+        if explicit_quote_condition && ctx.active_datetime.is_some_and(|at|at.time()<NaiveTime::from_hms_opt(15,0,0).unwrap()) {
+            for symbol in program.members.iter().map(|member|&member.symbol).chain(ctx.portfolio.positions().keys()) {
+                if ctx.data.instrument(symbol).is_some_and(|instrument|instrument.is_exchange_traded_fund()&&instrument.dated_market_absence_reason(ctx.execution_date).is_none())
+                    && self.scheduled_quote_at_time(ctx,ctx.execution_date,symbol,None).is_none()
+                {
+                    return Err(BacktestError::Execution(format!("etf_intraday_condition_evidence_missing:{symbol}; completed daily references cannot make minute/tick conditions true")));
+                }
+            }
+        }
+        let day = self.day_state(ctx, ctx.decision_date)?;
+        let (market_date, universe_date, factor_date) = self.selection_dates(ctx);
+        let (low, high) = self.market_cap_band(ctx, &day)?;
+        let (ranked, mut diagnostics, risk_decisions) = self.select_symbols(
+            ctx,
+            market_date,
+            universe_date,
+            factor_date,
+            &day,
+            low,
+            high,
+            usize::MAX,
+        )?;
+        let held = ctx
+            .portfolio
+            .positions()
+            .values()
+            .filter(|p| p.quantity > 0)
+            .map(|p| p.symbol.clone())
+            .collect::<BTreeSet<_>>();
+        if !self.config.buy_filter_expr.trim().is_empty() {
+            for symbol in &ranked {
+                let stock =
+                    self.stock_state_with_factor_date(ctx, market_date, factor_date, symbol)?;
+                if !self.eval_bool(ctx, &self.config.buy_filter_expr, &day, Some(&stock), None)? {
+                    constraints
+                        .buy_denials
+                        .insert(symbol.clone(), vec!["frozen_buy_condition_not_met".into()]);
+                }
+            }
+        }
+        for (role, targets) in self.current_position_target_rules_by_role(ctx, ctx.decision_date, factor_date, &day)? {
+            let output = match role { pool::StockPoolExitRole::OrdinarySell => &mut constraints.position_target_bps, pool::StockPoolExitRole::RiskExit => &mut constraints.independent_position_target_bps };
+            for (symbol, (bps, _)) in targets { output.insert(symbol, bps); }
+        }
+        let limit = constraints.target_holding_count.unwrap_or(ranked.len());
+        let final_symbols = ranked
+            .iter()
+            .take(limit)
+            .cloned()
+            .collect();
+        let generation = format!(
+            "stock-pool:{}:{}:{}",
+            program.pool_id,
+            program.version_id,
+            ctx.active_datetime
+                .map(|date| date.to_string())
+                .unwrap_or_else(|| ctx.decision_date.to_string())
+        );
+        let selection = pool::StockPoolSelection {
+            trade_date: ctx.decision_date,
+            requested_symbols: ranked.clone(),
+            normal_trading_symbols: ranked.clone(),
+            risk_eligible_symbols: ranked.clone(),
+            final_symbols,
+            exclusion_reasons: BTreeMap::new(),
+            inherited_from_generation: None,
+            explicit_empty: program.members.is_empty()
+                && self.config.candidate_symbols_by_date.is_empty(),
+            generation: Some(generation.clone()),
+        };
+        let by_symbol = program
+            .members
+            .iter()
+            .map(|member| (member.symbol.as_str(), member))
+            .collect::<BTreeMap<_, _>>();
+        let mut scope = ranked.clone();
+        // Kept rules are execution metadata, not additional selection candidates.
+        for symbol in held {
+            if by_symbol.contains_key(symbol.as_str()) && !scope.contains(&symbol) {
+                scope.push(symbol)
+            }
+        }
+        let members = scope
+            .iter()
+            .enumerate()
+            .map(|(index, symbol)| {
+                let mut member = by_symbol
+                    .get(symbol.as_str())
+                    .map(|member| (*member).clone())
+                    .unwrap_or_else(|| pool::StockPoolMemberSpec {
+                        symbol: symbol.clone(),
+                        requested_order: index as i32,
+                        recommendation_reason: String::new(),
+                        target_weight_bps: None,
+                        stop_loss: constraints.default_stop_loss,
+                        take_profit: constraints.default_take_profit,
+                    });
+                member.requested_order = index as i32;
+                member
+            })
+            .collect();
+        let (base_ratio, reserve_cash) =
+            pool::stock_pool_funding_from_configuration(&program.allocation_policy)
+                .map_err(BacktestError::Execution)?;
+        let ratio = self.config.position_exposure_timeline
+            .exposure_at(portfolio_loss_decision_at(ctx), ctx.execution_date, &self.config.position_exposure_schedule,
+                f64::from(base_ratio)/10000.)
+            .map(|value| (value * 10000.).round() as i64)
+            .unwrap_or(i64::from(base_ratio));
+        let invest_ratio_bps = i32::try_from(ratio)
+            .ok()
+            .filter(|ratio| (0..=10000).contains(ratio))
+            .ok_or_else(|| BacktestError::Execution("stock_pool_invest_ratio_invalid".into()))?;
+        let signal_equity =
+            self.signal_visible_total_value(ctx, ctx.decision_date, ctx.is_lagged_execution());
+        let frozen_equity = signal_equity
+            .to_string()
+            .parse::<Decimal>()
+            .map_err(|_| BacktestError::Execution("stock_pool_signal_equity_invalid".into()))?;
+        diagnostics.push(format!("stock_pool_signal_frozen generation={generation} candidate_count={} frozen_equity={frozen_equity}",ranked.len()));
+        Ok(StrategyDecision {
+            order_intents: vec![OrderIntent::StockPool {
+                contract: Box::new(pool::FrozenStockPoolIntent {
+                    pool_id:program.pool_id.clone(),
+                    signal_date: ctx.decision_date,
+                    frozen_equity,
+                    selection,
+                    members,
+                    rule,
+                    constraints,
+                    invest_ratio_bps,
+                    reserve_cash,
+                    out_of_pool_policy: program.out_of_pool_policy,
+                    generation,
+                }),
+            }],
+            diagnostics,
+            risk_decisions,
+            ..Default::default()
+        })
+    }
+}

crates/fidc-core/src/platform_strategy_spec.rs

@@ -17,6 +17,8 @@ use crate::{
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyRuntimeSpec {
+    #[serde(default,alias="stock_pool")]
+    pub stock_pool:Option<crate::stock_pool_execution::StockPoolProgram>,
     #[serde(default)]
     pub signal_book: Option<crate::signal_contract::SignalBook>,
     #[serde(default)]
@@ -89,6 +91,8 @@ pub struct StrategyRebalanceSpec {
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExecutionSpec {
+    #[serde(default, alias = "volume_capacity_mode")]
+    pub volume_capacity_mode: Option<crate::execution_capacity::VolumeCapacityMode>,
     #[serde(default)]
     pub frequency: Option<String>,
     #[serde(default, alias = "matching_type")]
@@ -162,9 +166,22 @@ pub struct StrategyExecutionSpec {
     pub sell_then_buy_delay_slippage_rate: Option<f64>,
 }
 
+impl StrategyRuntimeSpec {
+    pub fn volume_capacity_mode(&self) -> Result<crate::execution_capacity::VolumeCapacityMode, String> {
+        let engine = self.engine_config.as_ref().and_then(|config| config.volume_capacity_mode);
+        let execution = self.execution.as_ref().and_then(|config| config.volume_capacity_mode);
+        if engine.zip(execution).is_some_and(|(a, b)| a != b) {
+            return Err("conflicting engine/execution volumeCapacityMode".into());
+        }
+        Ok(execution.or(engine).unwrap_or_default())
+    }
+}
+
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyEngineConfig {
+    #[serde(default, alias = "volume_capacity_mode")]
+    pub volume_capacity_mode: Option<crate::execution_capacity::VolumeCapacityMode>,
     #[serde(default)]
     pub frequency: Option<String>,
     #[serde(default, alias = "template_id")]
@@ -914,6 +931,8 @@ pub struct StrategyExpressionSelectionConfig {
     pub candidate_symbols_by_date: BTreeMap<String, Vec<String>>,
     #[serde(default, alias = "preserve_candidate_order")]
     pub preserve_candidate_order: bool,
+    #[serde(default, alias = "candidate_source_book")]
+    pub candidate_source_book: Option<crate::stock_pool_candidates::CandidateSourceBook>,
 }
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -930,6 +949,8 @@ pub struct StrategyExpressionRiskConfig {
     pub exposure_expr: Option<String>,
     #[serde(default, alias = "position_exposure_schedule")]
     pub position_exposure_schedule: Vec<StrategyPositionExposureSchedulePoint>,
+    #[serde(default, alias = "position_exposure_events")]
+    pub position_exposure_events: Vec<crate::position_exposure::PositionExposureEvent>,
     #[serde(default)]
     pub portfolio_drawdown_control: Option<StrategyPortfolioDrawdownControlConfig>,
     #[serde(default)]
@@ -1652,6 +1673,7 @@ fn apply_execution_behavior_overrides(
         return Err("strictValueBudget=false is not supported".to_string());
     }
     cfg.strict_value_budget = true;
+
     if let Some(rate) = sell_then_buy_delay_slippage_rate {
         if !rate.is_finite() || !(0.0..1.0).contains(&rate) {
             return Err(
@@ -1817,6 +1839,7 @@ pub fn platform_expr_config_from_spec(
     strategy_spec: Option<&StrategyRuntimeSpec>,
 ) -> Result<PlatformExprStrategyConfig, String> {
     let mut cfg = PlatformExprStrategyConfig::generic();
+    cfg.volume_capacity_mode = strategy_spec.map(StrategyRuntimeSpec::volume_capacity_mode).transpose()?.unwrap_or_default();
     cfg.strategy_name = strategy_id.to_string();
     if !signal_symbol.trim().is_empty() {
         cfg.signal_symbol = signal_symbol.trim().to_string();
@@ -2138,6 +2161,19 @@ pub fn platform_expr_config_from_spec(
             if selection.preserve_candidate_order && selection.candidate_symbols_by_date.is_empty() {
                 return Err("preserveCandidateOrder requires a dated candidate book".to_string());
             }
+            if let Some(book) = &selection.candidate_source_book {
+                if !selection.preserve_candidate_order {
+                    return Err("candidateSourceBook requires preserveCandidateOrder=true".into());
+                }
+                let expected = book.resolved_symbols()?.into_iter()
+                    .map(|(date, symbols)| (date.to_string(), symbols)).collect::<BTreeMap<_, _>>();
+                if expected != selection.candidate_symbols_by_date {
+                    return Err("candidateSourceBook differs from resolved candidateSymbolsByDate".into());
+                }
+                if cfg.selection_limit_expr.trim() == "pool_candidate_count" {
+                    cfg.max_positions = expected.values().map(Vec::len).max().unwrap_or(0).max(1);
+                }
+            }
             for (raw_date, raw_symbols) in &selection.candidate_symbols_by_date {
                 let trade_date = NaiveDate::parse_from_str(raw_date, "%Y-%m-%d").map_err(|_| {
                     format!("candidateSymbolsByDate contains invalid date: {raw_date}")
@@ -2194,6 +2230,7 @@ pub fn platform_expr_config_from_spec(
                     expr.clone()
                 };
             }
+            cfg.position_exposure_timeline = crate::position_exposure::PositionExposureTimeline::from_events(&risk.position_exposure_events)?;
             for point in &risk.position_exposure_schedule {
                 let effective_date = NaiveDate::parse_from_str(
                     point.effective_date.trim(),
@@ -2305,6 +2342,7 @@ pub fn platform_expr_config_from_spec(
                     ));
                 }
                 cfg.position_target_rules.push(PlatformPositionTargetRule {
+                    stock_pool_role: crate::stock_pool_execution::StockPoolExitRole::OrdinarySell,
                     when_expr: when_expr.to_string(),
                     remaining_position_bps: rule.remaining_position_bps,
                     reason: rule
@@ -2636,6 +2674,12 @@ pub fn platform_expr_config_from_spec(
     }
     cfg.strict_value_budget = true;
 
+    if spec.runtime_expressions.as_ref().and_then(|runtime| runtime.selection.as_ref())
+        .is_some_and(|selection| selection.candidate_source_book.is_some())
+        && (cfg.matching_type != MatchingType::NextBarOpen || !cfg.current_day_precomputed_factors) {
+        return Err("daily candidate source book requires completed signal-day factors and next_bar_open".into());
+    }
+
     let signal_book = match (&spec.signal_book,&spec.signal_book_ref) {
         (Some(_),Some(_)) => return Err("inline_and_registered_signal_book_are_mutually_exclusive".into()),
         (Some(raw),None) => Some(std::sync::Arc::new(raw.clone().validate()?)),
@@ -2670,6 +2714,22 @@ pub fn platform_expr_config_from_spec(
         }
         cfg.max_holding_days = (limit > 0).then_some(limit);
     }
+    if let Some(pool)=&spec.stock_pool {
+        if cfg.signal_book.is_some() || spec.signal_book_ref.is_some() || !cfg.explicit_actions.is_empty(){return Err("stock_pool_program_cannot_mix_other_order_programs".into())}
+        let legacy_exit = !cfg.stop_loss_expr.trim().is_empty() || !cfg.take_profit_expr.trim().is_empty() || !cfg.position_target_rules.is_empty();
+        if legacy_exit { return Err("stock_pool_exit_roles_required: regenerate this historical stock-pool strategy from its saved configuration; legacy risk expressions do not preserve ordinary/risk exit roles".into()); }
+        let secondary_buy=!cfg.buy_filter_expr.trim().is_empty();
+        pool.validate(secondary_buy,false)?;
+        cfg.position_target_rules.extend(pool.exit_signals.iter().map(|signal| PlatformPositionTargetRule {
+            when_expr: signal.when_expr.clone(), remaining_position_bps: signal.remaining_position_bps,
+            reason: signal.reason.clone(), stock_pool_role: signal.role,
+        }));
+        cfg.stock_pool=Some(pool.clone());
+        cfg.hold_until_exit_enabled=false;
+        cfg.daily_top_up_enabled=false;
+        cfg.daily_position_target_adjust_enabled=false;
+        cfg.target_portfolio_daily_enabled=false;
+    }
     Ok(cfg)
 }
 
@@ -3405,6 +3465,7 @@ mod tests {
         assert_eq!(
             cfg.position_target_rules,
             vec![PlatformPositionTargetRule {
+                stock_pool_role: crate::stock_pool_execution::StockPoolExitRole::OrdinarySell,
                 when_expr: "factors[\"reduce_signal\"] == 1".to_string(),
                 remaining_position_bps: 5000,
                 reason: "factor_reduce_position".to_string(),

crates/fidc-core/src/portfolio.rs

@@ -676,6 +676,7 @@ pub struct PortfolioState {
     cash_receivables: Vec<CashReceivable>,
     pending_cash_flows: Vec<PendingCashFlow>,
     day_sold_symbols: BTreeSet<String>,
+    stock_pool_states: std::collections::BTreeMap<String,crate::stock_pool_state::StockPoolExecutionState>,
 }
 
 #[derive(Debug, Clone)]
@@ -712,6 +713,7 @@ impl PortfolioState {
             cash_receivables: Vec::new(),
             pending_cash_flows: Vec::new(),
             day_sold_symbols: BTreeSet::new(),
+            stock_pool_states: std::collections::BTreeMap::new(),
         }
     }
 
@@ -721,6 +723,25 @@ impl PortfolioState {
         self.initial_cash.to_f64()
     }
 
+    pub(crate) fn stock_pool_execution_state(&self,pool_id:&str)->crate::stock_pool_state::StockPoolExecutionState{
+        self.stock_pool_states.get(pool_id).cloned().unwrap_or_default()
+    }
+
+    pub(crate) fn set_stock_pool_execution_state(&mut self,pool_id:&str,state:crate::stock_pool_state::StockPoolExecutionState)->Result<(),String>{
+        if pool_id.trim().is_empty(){return Err("stock_pool_state_identity_missing".into())}
+        state.validate()?;self.stock_pool_states.insert(pool_id.into(),state);Ok(())
+    }
+
+    pub(crate) fn adjust_stock_pool_split(&mut self, symbol: &str, ratio: f64) -> Result<(), String> {
+        let ratio = rust_decimal::Decimal::from_str_exact(&ratio.to_string())
+            .map_err(|_| "stock_pool_execution_state_split_invalid".to_string())?;
+        let adjusted = self.stock_pool_states.iter()
+            .map(|(pool, state)| Ok((pool.clone(), state.adjust_for_split(symbol, ratio)?)))
+            .collect::<Result<BTreeMap<_, _>, String>>()?;
+        self.stock_pool_states = adjusted;
+        Ok(())
+    }
+
     pub fn initial_cash(&self) -> f64 {
         self.initial_cash.to_f64()
     }
@@ -1417,8 +1438,6 @@ mod tests {
         BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
         PriceField,
     };
-    use std::collections::BTreeMap;
-
     #[test]
     fn cash_ledger_accumulates_micro_yuan_exactly() {
         let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -1620,7 +1639,7 @@ mod tests {
                     vec![
                         DailyMarketSnapshot {
                             date: prev_date,
-                            symbol: "000001.SZ".to_string(),
+                            symbol: "000001.SZ".into(),
                             timestamp: None,
                             day_open: 10.0,
                             open: 10.0,
@@ -1643,7 +1662,7 @@ mod tests {
                         },
                         DailyMarketSnapshot {
                             date,
-                            symbol: "000001.SZ".to_string(),
+                            symbol: "000001.SZ".into(),
                             timestamp: None,
                             day_open: 10.5,
                             open: 10.5,
@@ -1667,18 +1686,18 @@ mod tests {
                     ],
                     vec![DailyFactorSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         market_cap_bn: 50.0,
                         free_float_cap_bn: 45.0,
                         pe_ttm: 10.0,
                         turnover_ratio: Some(1.0),
                         effective_turnover_ratio: Some(1.0),
                         adjustment_factor_backward1: None,
-                        extra_factors: BTreeMap::new(),
+                        extra_factors: Default::default(),
                     }],
                     vec![CandidateEligibility {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         is_st: false,
                         is_star_st: false,
                         is_new_listing: false,
@@ -1733,7 +1752,7 @@ mod tests {
                     }],
                     vec![DailyMarketSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         timestamp: None,
                         day_open: 10.5,
                         open: 10.5,
@@ -1756,18 +1775,18 @@ mod tests {
                     }],
                     vec![DailyFactorSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         market_cap_bn: 50.0,
                         free_float_cap_bn: 45.0,
                         pe_ttm: 10.0,
                         turnover_ratio: Some(1.0),
                         effective_turnover_ratio: Some(1.0),
                         adjustment_factor_backward1: None,
-                        extra_factors: BTreeMap::new(),
+                        extra_factors: Default::default(),
                     }],
                     vec![CandidateEligibility {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         is_st: false,
                         is_star_st: false,
                         is_new_listing: false,
@@ -1819,7 +1838,7 @@ mod tests {
             }],
             vec![DailyMarketSnapshot {
                 date: prev_date,
-                symbol: "601028.SH".to_string(),
+                symbol: "601028.SH".into(),
                 timestamp: None,
                 day_open: 10.2,
                 open: 10.2,
@@ -1902,7 +1921,7 @@ mod tests {
             vec![
                 DailyMarketSnapshot {
                     date: buy_date,
-                    symbol: symbol.to_string(),
+                    symbol: symbol.into(),
                     timestamp: None,
                     day_open: 2.99,
                     open: 2.99,
@@ -1925,7 +1944,7 @@ mod tests {
                 },
                 DailyMarketSnapshot {
                     date: next_date,
-                    symbol: symbol.to_string(),
+                    symbol: symbol.into(),
                     timestamp: None,
                     day_open: 3.03,
                     open: 3.03,

crates/fidc-core/src/position_exposure.rs

@@ -0,0 +1,428 @@
+//! Dated manual adjustments are ordered facts; restoring is not a 100% target.
+use chrono::{DateTime, NaiveDate, Utc};
+use serde::{Deserialize, Serialize};
+use std::collections::{BTreeMap, BTreeSet};
+
+#[derive(Debug, Clone, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(tag = "action", rename_all = "snake_case", deny_unknown_fields)]
+pub enum PositionExposureAction {
+    Scale {
+        #[serde(rename = "requestedBps", alias = "requested_bps")]
+        requested_bps: i32,
+    },
+    Set {
+        #[serde(rename = "targetExposureBps", alias = "target_exposure_bps")]
+        target_exposure_bps: i32,
+    },
+    Restore,
+}
+
+#[derive(Debug, Clone, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase")]
+pub struct PositionExposureEvent {
+    #[serde(alias = "event_id")]
+    pub event_id: String,
+    pub sequence: u64,
+    #[serde(alias = "effective_at")]
+    pub effective_at: DateTime<Utc>,
+    #[serde(flatten)]
+    pub action: PositionExposureAction,
+}
+
+#[derive(Debug, Clone, Default)]
+pub struct PositionExposureTimeline {
+    events: BTreeMap<(DateTime<Utc>, u64), PositionExposureAction>,
+}
+
+impl PositionExposureTimeline {
+    pub fn from_events(events: &[PositionExposureEvent]) -> Result<Self, String> {
+        let mut result = Self::default();
+        let mut ids = BTreeSet::new();
+        let mut sequences = BTreeSet::new();
+        for event in events {
+            if event.event_id.trim().is_empty() || !ids.insert(event.event_id.as_str()) {
+                return Err("position exposure event id is missing or duplicated".into());
+            }
+            if event.sequence == 0 || !sequences.insert(event.sequence) {
+                return Err("position exposure event sequence must be positive and unique".into());
+            }
+            if let PositionExposureAction::Scale { requested_bps } = event.action
+                && !(0..=10000).contains(&requested_bps)
+            {
+                return Err("position exposure scale must be between 0 and 10000 bps".into());
+            }
+            if let PositionExposureAction::Set {
+                target_exposure_bps,
+            } = event.action
+                && !(0..=10_000).contains(&target_exposure_bps)
+            {
+                return Err("position exposure target must be between 0 and 10000 bps".into());
+            }
+            result
+                .events
+                .insert((event.effective_at, event.sequence), event.action.clone());
+        }
+        Ok(result)
+    }
+
+    /// Legacy day-level contracts remain day-level; never invent intraday times.
+    pub fn exposure_at(
+        &self,
+        at: DateTime<Utc>,
+        execution_date: NaiveDate,
+        legacy: &BTreeMap<NaiveDate, f64>,
+        strategy_exposure: f64,
+    ) -> Option<f64> {
+        match self
+            .events
+            .range(..=(at, u64::MAX))
+            .next_back()
+            .map(|(_, action)| action)
+        {
+            Some(PositionExposureAction::Scale { requested_bps }) => {
+                Some(strategy_exposure * f64::from(*requested_bps) / 10000.)
+            }
+            Some(PositionExposureAction::Set {
+                target_exposure_bps,
+            }) => Some(f64::from(*target_exposure_bps) / 10_000.),
+            Some(PositionExposureAction::Restore) => None,
+            None => legacy
+                .range(..=execution_date)
+                .next_back()
+                .map(|(_, value)| *value),
+        }
+    }
+
+    pub fn scale_at(&self, at: DateTime<Utc>) -> Option<i32> {
+        match self
+            .events
+            .range(..=(at, u64::MAX))
+            .next_back()
+            .map(|(_, action)| action)
+        {
+            Some(PositionExposureAction::Scale { requested_bps }) => Some(*requested_bps),
+            _ => None,
+        }
+    }
+}
+
+/// Scale new buys and desired targets without weakening sell/reduction or
+/// cancellation instructions. Prices, subscriptions and cash flows are intact.
+pub fn scale_explicit_intent(
+    mut intent: crate::OrderIntent,
+    bps: i32,
+    open_orders: &[crate::OpenOrderView],
+) -> Result<Option<crate::OrderIntent>, String> {
+    use crate::OrderIntent as I;
+    if !(0..=10000).contains(&bps) {
+        return Err("position scale out of range".into());
+    }
+    if bps == 10000 {
+        return Ok(Some(intent));
+    }
+    if let I::WithTimeInForce {
+        intent: inner,
+        time_in_force,
+    } = intent
+    {
+        return Ok(
+            scale_explicit_intent(*inner, bps, open_orders)?.map(|intent| I::WithTimeInForce {
+                intent: Box::new(intent),
+                time_in_force,
+            }),
+        );
+    }
+    let integer = |value: i32| ((i64::from(value) * i64::from(bps)) / 10000) as i32;
+    let amount = |value: f64, target: bool| -> Result<f64, String> {
+        if !value.is_finite() || (target && value < 0.) {
+            return Err("position override received an invalid original amount".into());
+        }
+        Ok(if value > 0. {
+            value * f64::from(bps) / 10000.
+        } else {
+            value
+        })
+    };
+    match &mut intent {
+        I::Shares { quantity, .. }
+        | I::LimitShares { quantity, .. }
+        | I::Lots { lots: quantity, .. }
+        | I::LimitLots { lots: quantity, .. } => {
+            if *quantity > 0 {
+                *quantity = integer(*quantity);
+                if *quantity == 0 {
+                    return Ok(None);
+                }
+            }
+        }
+        I::TargetShares {
+            target_quantity, ..
+        }
+        | I::LimitTargetShares {
+            target_quantity, ..
+        } => {
+            if *target_quantity < 0 {
+                return Err("position override received a negative target quantity".into());
+            }
+            *target_quantity = integer(*target_quantity);
+        }
+        I::Value { value, .. }
+        | I::LimitValue { value, .. }
+        | I::AlgoValue { value, .. }
+        | I::Percent { percent: value, .. }
+        | I::LimitPercent { percent: value, .. }
+        | I::AlgoPercent { percent: value, .. } => {
+            *value = amount(*value, false)?;
+            if *value == 0. {
+                return Ok(None);
+            }
+        }
+        I::TargetValue { target_value, .. }
+        | I::LimitTargetValue { target_value, .. }
+        | I::TimedTargetValue { target_value, .. }
+        | I::TargetPercent {
+            target_percent: target_value,
+            ..
+        }
+        | I::LimitTargetPercent {
+            target_percent: target_value,
+            ..
+        } => {
+            *target_value = amount(*target_value, true)?;
+        }
+        I::TargetPortfolioSmart { target_weights, .. } => {
+            for value in target_weights.values_mut() {
+                *value = amount(*value, true)?;
+            }
+        }
+        I::ModifyOrder {
+            order_id,
+            new_total_quantity: Some(quantity),
+            ..
+        } => {
+            let order = open_orders
+                .iter()
+                .find(|order| order.order_id == *order_id)
+                .ok_or("position override cannot resolve the order being modified")?;
+            if order.side == crate::OrderSide::Buy && *quantity > order.requested_quantity {
+                let extra = u64::from(*quantity - order.requested_quantity) * bps as u64 / 10000;
+                *quantity = order.requested_quantity + extra as u32;
+            }
+        }
+        I::Futures { .. } | I::StockPool { .. } => {
+            return Err("manual equity scaling cannot transform this intent kind".into());
+        }
+        I::ModifyOrder { .. }
+        | I::CancelOrder { .. }
+        | I::CancelSymbol { .. }
+        | I::CancelAll { .. }
+        | I::UpdateUniverse { .. }
+        | I::Subscribe { .. }
+        | I::Unsubscribe { .. }
+        | I::DepositWithdraw { .. }
+        | I::FinanceRepay { .. }
+        | I::SetManagementFeeRate { .. } => {}
+        I::WithTimeInForce { .. } => unreachable!("wrapper handled first"),
+    }
+    Ok(Some(intent))
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use serde_json::json;
+
+    #[test]
+    fn scalar_preserves_strategy_risk_off_and_restore_keeps_original_exposure() {
+        let at = DateTime::parse_from_rfc3339("2026-01-05T09:30:00+08:00")
+            .unwrap()
+            .with_timezone(&Utc);
+        let event = PositionExposureEvent {
+            event_id: "scale".into(),
+            sequence: 1,
+            effective_at: at,
+            action: PositionExposureAction::Scale {
+                requested_bps: 5000,
+            },
+        };
+        let timeline = PositionExposureTimeline::from_events(&[event.clone()]).unwrap();
+        assert_eq!(
+            timeline.exposure_at(at, at.date_naive(), &BTreeMap::new(), 0.),
+            Some(0.)
+        );
+        assert_eq!(
+            timeline.exposure_at(at, at.date_naive(), &BTreeMap::new(), 0.2),
+            Some(0.1)
+        );
+        let restored = PositionExposureEvent {
+            event_id: "restore".into(),
+            sequence: 2,
+            effective_at: at,
+            action: PositionExposureAction::Restore,
+        };
+        let timeline = PositionExposureTimeline::from_events(&[event, restored]).unwrap();
+        assert_eq!(
+            timeline
+                .exposure_at(
+                    at,
+                    at.date_naive(),
+                    &BTreeMap::from([(at.date_naive(), 1.)]),
+                    0.2
+                )
+                .unwrap_or(0.2),
+            0.2
+        );
+    }
+
+    #[test]
+    fn explicit_equity_targets_and_buys_scale_but_sales_cashflows_and_prices_do_not() {
+        use crate::OrderIntent as I;
+        let symbol = "000001.SZ".to_string();
+        let reason = "fixture".to_string();
+        for bps in [0, 3000, 5000, 10000] {
+            let ratio = f64::from(bps) / 10000.;
+            let buy = I::LimitShares {
+                symbol: symbol.clone(),
+                quantity: 1000,
+                limit_price: 12.345,
+                reason: reason.clone(),
+            };
+            let scaled = scale_explicit_intent(buy, bps, &[]).unwrap();
+            if bps == 0 {
+                assert!(scaled.is_none())
+            } else if let Some(I::LimitShares {
+                quantity,
+                limit_price,
+                ..
+            }) = scaled
+            {
+                assert_eq!(quantity, (1000. * ratio) as i32);
+                assert_eq!(limit_price, 12.345);
+            } else {
+                panic!("wrong intent")
+            }
+            let sell = I::Shares {
+                symbol: symbol.clone(),
+                quantity: -1000,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(sell, bps, &[]).unwrap(),
+                Some(I::Shares {
+                    quantity: -1000,
+                    ..
+                })
+            ));
+            let clear = I::TargetShares {
+                symbol: symbol.clone(),
+                target_quantity: 0,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(clear, bps, &[]).unwrap(),
+                Some(I::TargetShares {
+                    target_quantity: 0,
+                    ..
+                })
+            ));
+            let target = I::TargetPercent {
+                symbol: symbol.clone(),
+                target_percent: 0.2,
+                reason: reason.clone(),
+            };
+            if let Some(I::TargetPercent { target_percent, .. }) =
+                scale_explicit_intent(target, bps, &[]).unwrap()
+            {
+                assert!((target_percent - 0.2 * ratio).abs() < 1e-12)
+            } else {
+                panic!("wrong target")
+            }
+            let deposit = I::DepositWithdraw {
+                amount: 123.456,
+                receiving_days: 2,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(deposit, bps, &[]).unwrap(),
+                Some(I::DepositWithdraw {
+                    amount: 123.456,
+                    receiving_days: 2,
+                    ..
+                })
+            ));
+        }
+        assert!(
+            scale_explicit_intent(
+                I::TargetValue {
+                    symbol,
+                    target_value: f64::NAN,
+                    reason
+                },
+                0,
+                &[]
+            )
+            .is_err()
+        );
+    }
+
+    #[test]
+    fn same_day_adjustments_restore_and_future_events_keep_their_own_times() {
+        let events: Vec<PositionExposureEvent> = serde_json::from_value(json!([
+            {"eventId":"first","sequence":1,"effectiveAt":"2026-09-10T10:00:00+08:00","action":"set","targetExposureBps":0},
+            {"eventId":"second","sequence":2,"effectiveAt":"2026-09-10T13:00:00+08:00","action":"set","targetExposureBps":5000},
+            {"eventId":"restore","sequence":3,"effectiveAt":"2026-09-10T14:00:00+08:00","action":"restore"},
+            {"eventId":"future","sequence":4,"effectiveAt":"2026-09-11T10:00:00+08:00","action":"set","targetExposureBps":1000}
+        ])).unwrap();
+        let timeline = PositionExposureTimeline::from_events(&events).unwrap();
+        let date = NaiveDate::from_ymd_opt(2026, 9, 10).unwrap();
+        let legacy = BTreeMap::from([(date.pred_opt().unwrap(), 0.8)]);
+        for (time, expected) in [
+            ("09:30:00", Some(0.8)),
+            ("10:00:00", Some(0.)),
+            ("12:59:59", Some(0.)),
+            ("13:00:00", Some(0.5)),
+            ("14:00:00", None),
+            ("15:00:00", None),
+        ] {
+            let at = DateTime::parse_from_rfc3339(&format!("2026-09-10T{time}+08:00"))
+                .unwrap()
+                .with_timezone(&Utc);
+            assert_eq!(
+                timeline.exposure_at(at, date, &legacy, 0.2),
+                expected,
+                "{time}"
+            );
+        }
+        let next_open = DateTime::parse_from_rfc3339("2026-09-11T09:30:00+08:00")
+            .unwrap()
+            .with_timezone(&Utc);
+        assert_eq!(
+            timeline.exposure_at(next_open, date.succ_opt().unwrap(), &legacy, 0.2),
+            None
+        );
+    }
+
+    #[test]
+    fn rejects_unknown_actions_duplicate_identity_and_invalid_bps() {
+        let valid = json!({"eventId":"one","sequence":1,"effectiveAt":"2026-09-10T09:30:00+08:00","action":"set","targetExposureBps":5000});
+        for (key, value) in [
+            ("action", json!("other")),
+            ("effectiveAt", json!("2026-09-10 09:30:00")),
+            ("targetExposureBps", json!(null)),
+        ] {
+            let mut invalid = valid.clone();
+            invalid[key] = value;
+            assert!(serde_json::from_value::<PositionExposureEvent>(invalid).is_err());
+        }
+        let event: PositionExposureEvent = serde_json::from_value(valid).unwrap();
+        assert!(PositionExposureTimeline::from_events(&[event.clone(), event.clone()]).is_err());
+        let mut invalid = event.clone();
+        invalid.action = PositionExposureAction::Set {
+            target_exposure_bps: 10001,
+        };
+        assert!(PositionExposureTimeline::from_events(&[invalid]).is_err());
+        let mut duplicate = event.clone();
+        duplicate.event_id = "two".into();
+        assert!(PositionExposureTimeline::from_events(&[event, duplicate]).is_err());
+    }
+}

crates/fidc-core/src/risk_control.rs

@@ -76,6 +76,26 @@ impl Default for StaticRiskRuleConfig {
     }
 }
 
+impl StaticRiskRuleConfig {
+    pub(crate) fn selection_checks_enabled(&self) -> bool {
+        (self.blacklist_enabled && !self.blacklisted_symbols.is_empty())
+            || self.selection_state_checks_enabled()
+    }
+
+    fn selection_state_checks_enabled(&self) -> bool {
+        self.reject_st_selection
+            || self.reject_star_st_selection
+            || self.reject_paused_selection
+            || self.reject_inactive_selection
+            || self.reject_new_listing_selection
+            || self.reject_kcb_selection
+            || self.reject_bjse_selection
+            || self.reject_one_yuan_selection
+            || self.reject_upper_limit_selection
+            || self.reject_lower_limit_selection
+    }
+}
+
 #[derive(Debug, Clone, Copy, PartialEq, Serialize, Deserialize)]
 pub struct TradingConstraintConfig {
     /// Shared execution limits.  These fields intentionally use the same
@@ -418,6 +438,7 @@ impl ChinaAShareRiskControl {
             RiskCheckScope::Sell => false,
         };
         if reject_one_yuan
+            && !instrument.is_some_and(Instrument::is_exchange_traded_fund)
             && (candidate.is_one_yuan
                 || (market.day_open.is_finite() && market.day_open > 0.0 && market.day_open <= 1.0))
         {
@@ -492,7 +513,8 @@ impl ChinaAShareRiskControl {
         }
         // Daily candidate flags can describe the later close. Execution
         // price constraints must use this order's actual pricing clock.
-        if config.static_rules.reject_one_yuan_buy && check_price <= 1.0 {
+        if config.static_rules.reject_one_yuan_buy && check_price <= 1.0
+            && !instrument.is_some_and(Instrument::is_exchange_traded_fund) {
             return Some("one_yuan");
         }
         if config.static_rules.respect_allow_buy_sell && !candidate.allow_buy {
@@ -652,16 +674,7 @@ fn missing_risk_state_fields(code: &str) -> Vec<String> {
 fn missing_selection_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -> bool {
     let fields = missing_risk_state_fields(code);
     if fields.is_empty() {
-        return config.static_rules.reject_st_selection
-            || config.static_rules.reject_star_st_selection
-            || config.static_rules.reject_paused_selection
-            || config.static_rules.reject_inactive_selection
-            || config.static_rules.reject_new_listing_selection
-            || config.static_rules.reject_kcb_selection
-            || config.static_rules.reject_bjse_selection
-            || config.static_rules.reject_one_yuan_selection
-            || config.static_rules.reject_upper_limit_selection
-            || config.static_rules.reject_lower_limit_selection;
+        return config.static_rules.selection_state_checks_enabled();
     }
     missing_field_rejected(&fields, config, RiskCheckScope::Selection)
 }
@@ -776,18 +789,7 @@ fn missing_single_field_rejected(
             RiskCheckScope::Sell => config.static_rules.reject_lower_limit_sell,
         },
         _ => match scope {
-            RiskCheckScope::Selection => {
-                config.static_rules.reject_st_selection
-                    || config.static_rules.reject_star_st_selection
-                    || config.static_rules.reject_paused_selection
-                    || config.static_rules.reject_inactive_selection
-                    || config.static_rules.reject_new_listing_selection
-                    || config.static_rules.reject_kcb_selection
-                    || config.static_rules.reject_bjse_selection
-                    || config.static_rules.reject_one_yuan_selection
-                    || config.static_rules.reject_upper_limit_selection
-                    || config.static_rules.reject_lower_limit_selection
-            }
+            RiskCheckScope::Selection => config.static_rules.selection_state_checks_enabled(),
             RiskCheckScope::Buy => {
                 config.static_rules.reject_st_buy
                     || config.static_rules.reject_star_st_buy
@@ -867,7 +869,7 @@ mod tests {
     fn candidate(date: NaiveDate) -> CandidateEligibility {
         CandidateEligibility {
             date,
-            symbol: "002633.SZ".to_string(),
+            symbol: "002633.SZ".into(),
             is_st: false,
             is_star_st: false,
             is_new_listing: false,
@@ -883,7 +885,7 @@ mod tests {
     fn market(date: NaiveDate, last_price: f64, lower_limit: f64) -> DailyMarketSnapshot {
         DailyMarketSnapshot {
             date,
-            symbol: "002633.SZ".to_string(),
+            symbol: "002633.SZ".into(),
             timestamp: Some(format!("{date} 10:18:00")),
             day_open: last_price,
             open: last_price,
@@ -912,6 +914,69 @@ mod tests {
         position
     }
 
+    #[test]
+    fn selection_check_activation_covers_every_configured_flag_and_blacklist_state() {
+        let fields = [
+            "reject_st_selection", "reject_star_st_selection", "reject_paused_selection",
+            "reject_inactive_selection", "reject_new_listing_selection", "reject_kcb_selection",
+            "reject_bjse_selection", "reject_one_yuan_selection", "reject_upper_limit_selection",
+            "reject_lower_limit_selection",
+        ];
+        let base = serde_json::to_value(StaticRiskRuleConfig::default()).unwrap();
+        let declared = base.as_object().unwrap().keys()
+            .filter(|key| key.ends_with("_selection"))
+            .map(String::as_str).collect::<BTreeSet<_>>();
+        assert_eq!(declared, fields.into_iter().collect());
+        for mask in 0..(1_u32 << fields.len()) {
+            for (blacklist_enabled, populated) in [(false, false), (false, true), (true, false), (true, true)] {
+                let mut value = base.clone();
+                for (bit, field) in fields.iter().enumerate() {
+                    value[*field] = serde_json::json!(mask & (1 << bit) != 0);
+                }
+                value["blacklist_enabled"] = serde_json::json!(blacklist_enabled);
+                value["blacklisted_symbols"] = if populated {
+                    serde_json::json!(["002633.SZ"])
+                } else { serde_json::json!([]) };
+                let config: StaticRiskRuleConfig = serde_json::from_value(value).unwrap();
+                assert_eq!(config.selection_checks_enabled(), mask != 0 || (blacklist_enabled && populated));
+            }
+        }
+    }
+
+    #[test]
+    fn inactive_selection_checks_preserve_missing_facts_and_execution_rejections() {
+        let date = d(2025, 2, 6);
+        let mut candidate = candidate(date);
+        candidate.is_st = true;
+        candidate.is_star_st = true;
+        candidate.is_paused = true;
+        candidate.is_new_listing = true;
+        candidate.is_kcb = true;
+        candidate.is_one_yuan = true;
+        candidate.allow_buy = false;
+        let snapshot = market(date, 0.9, 0.9);
+        let config = FidcRiskControlConfig::default();
+        assert!(!config.static_rules.selection_checks_enabled());
+        let instrument = instrument("delisted", Some(date));
+        for code in [None, Some("not_listed"), Some("inactive_or_delisted"),
+            Some("missing_risk_state"), Some("missing_risk_state:is_st;is_kcb|allow_buy"),
+            Some("missing_risk_state:unknown_fact"), Some("missing_risk_state:IS_PAUSED")] {
+            candidate.risk_level_code = code.map(str::to_owned);
+            assert_eq!(ChinaAShareRiskControl::selection_rejection_decision_with_config(
+                date, &candidate, &snapshot, Some(&instrument), &config), None);
+        }
+        candidate.risk_level_code = None;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, 0.9, &config), Some("paused"));
+        assert_eq!(ChinaAShareRiskControl::sell_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, None, 0.9, &config), Some("paused"));
+        let mut blacklist_only = config;
+        blacklist_only.static_rules.blacklisted_symbols.insert(candidate.symbol.to_string());
+        assert!(blacklist_only.static_rules.selection_checks_enabled());
+        assert_eq!(ChinaAShareRiskControl::selection_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, &blacklist_only), Some("blacklisted"));
+    }
+
     #[test]
     fn one_yuan_buy_rule_uses_execution_price_not_later_close_or_earlier_open() {
         let day = d(2025, 2, 6);
@@ -936,6 +1001,20 @@ mod tests {
             day, &candidate, &snapshot, None, 0.9, &relaxed), None);
     }
 
+    #[test]
+    fn fund_identity_excludes_stock_one_yuan_rule_but_not_actual_price_and_pause_checks() {
+        let day=d(2025,2,6);
+        let mut candidate=candidate(day);
+        let mut snapshot=market(day,1.2,0.5);
+        snapshot.lower_limit=0.01;snapshot.upper_limit=10.;
+        let instrument=Instrument{symbol:candidate.symbol.to_string(),name:"fixture fund".into(),board:"ETF".into(),round_lot:100,listed_at:Some(d(2024,1,2)),delisted_at:None,status:"active".into()};
+        let config=FidcRiskControlConfig::default();
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(day,&candidate,&snapshot,Some(&instrument),0.9,&config),None);
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(day,&candidate,&snapshot,Some(&instrument),0.,&config),Some("invalid execution price"));
+        candidate.is_paused=true;snapshot.paused=true;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(day,&candidate,&snapshot,Some(&instrument),0.9,&config),Some("paused"));
+    }
+
     #[test]
     fn execution_quote_covers_missing_one_yuan_flag_but_not_other_risk_facts() {
         let day = d(2025, 2, 6);
@@ -1031,7 +1110,7 @@ mod tests {
         config
             .static_rules
             .blacklisted_symbols
-            .insert(candidate.symbol.clone());
+            .insert(candidate.symbol.to_string());
 
         let selection_reason = ChinaAShareRiskControl::selection_rejection_reason_with_config(
             date, &candidate, &market, None, &config,
@@ -1076,7 +1155,7 @@ mod tests {
         let mut candidate = candidate(date);
         let config = FidcRiskControlConfig::default();
         for symbol in ["688001.SH", "689001.SH", "000001.SZ"] {
-            candidate.symbol = symbol.to_string();
+            candidate.symbol = symbol.into();
             for is_kcb in [false, true] {
                 candidate.is_kcb = is_kcb;
                 let reason = ChinaAShareRiskControl::buy_rejection_reason_with_config(
@@ -1184,7 +1263,7 @@ mod tests {
     fn configurable_bjse_filter_can_be_disabled() {
         let date = d(2025, 1, 2);
         let mut candidate = candidate(date);
-        candidate.symbol = "430047.BJ".to_string();
+        candidate.symbol = "430047.BJ".into();
         candidate.allow_sell = true;
         let market = market(date, 6.27, 5.63);
         let default_selection =
@@ -1216,7 +1295,7 @@ mod tests {
     fn concrete_kcb_reason_wins_over_generic_missing_risk_state() {
         let date = d(2025, 1, 2);
         let mut candidate = candidate(date);
-        candidate.symbol = "688506.SH".to_string();
+        candidate.symbol = "688506.SH".into();
         candidate.is_kcb = true;
         candidate.risk_level_code = Some("missing_risk_state".to_string());
         let market = market(date, 6.27, 5.63);

crates/fidc-core/src/stock_pool_candidates.rs

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

crates/fidc-core/src/stock_pool_frozen.rs

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

crates/fidc-core/src/stock_pool_index_cap.rs

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

crates/fidc-core/src/stock_pool_index_policy.rs

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

crates/fidc-core/src/stock_pool_indicators.rs

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

crates/fidc-core/src/stock_pool_market_cap.rs

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

crates/fidc-core/src/stock_pool_quote_facts.rs

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

crates/fidc-core/src/stock_pool_state.rs

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

crates/fidc-core/src/strategy.rs

@@ -102,6 +102,7 @@ pub struct OpenOrderView {
     pub avg_price: f64,
     pub transaction_cost: f64,
     pub limit_price: f64,
+    pub reserved_cash: Option<f64>,
     pub reason: String,
 }
 
@@ -497,6 +498,7 @@ impl StrategyContext<'_> {
             .iter()
             .filter(|order| order.side == OrderSide::Buy)
             .map(|order| {
+                if let Some(reserved) = order.reserved_cash { return reserved; }
                 let price = if order.limit_price.is_finite() {
                     order.limit_price.max(0.0)
                 } else {
@@ -1070,6 +1072,9 @@ pub enum TargetPortfolioOrderPricing {
 
 #[derive(Debug, Clone)]
 pub enum OrderIntent {
+    StockPool {
+        contract: Box<crate::stock_pool_execution::FrozenStockPoolIntent>,
+    },
     WithTimeInForce {
         intent: Box<OrderIntent>,
         time_in_force: OrderTimeInForce,
@@ -1231,6 +1236,7 @@ pub enum OrderIntent {
 impl OrderIntent {
     fn collect_potential_buy_symbols(&self, open_orders: &[OpenOrderView], symbols: &mut BTreeSet<String>) {
         match self.unwrapped() {
+            Self::StockPool { contract } => { symbols.extend(contract.selection.requested_symbols.iter().cloned()); }
             Self::Shares { symbol, quantity, .. } | Self::LimitShares { symbol, quantity, .. } if *quantity > 0 => { symbols.insert(symbol.clone()); }
             Self::Lots { symbol, lots, .. } | Self::LimitLots { symbol, lots, .. } if *lots > 0 => { symbols.insert(symbol.clone()); }
             Self::TargetShares { symbol, target_quantity, .. } | Self::LimitTargetShares { symbol, target_quantity, .. } if *target_quantity > 0 => { symbols.insert(symbol.clone()); }
@@ -1311,6 +1317,7 @@ impl OrderIntent {
 
     pub fn supports_time_in_force(&self, time_in_force: OrderTimeInForce) -> bool {
         let intent = self.unwrapped();
+        if matches!(intent, Self::StockPool { .. }) { return time_in_force == OrderTimeInForce::Day; }
         if matches!(
             intent,
             Self::CancelOrder { .. }
@@ -3179,7 +3186,7 @@ mod tests {
             .enumerate()
             .map(|(index, date)| DailyMarketSnapshot {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 timestamp: Some(format!("{date} 10:18:00")),
                 day_open: 10.0 + index as f64,
                 open: 10.0 + index as f64,
@@ -3205,21 +3212,21 @@ mod tests {
             .iter()
             .map(|date| DailyFactorSnapshot {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 9.0,
                 pe_ttm: 12.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             })
             .collect::<Vec<_>>();
         let candidate_rows = dates
             .iter()
             .map(|date| CandidateEligibility {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,

crates/fidc-core/src/universe.rs

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

crates/fidc-core/tests/automatic_trade_protection.rs

@@ -107,6 +107,7 @@ fn action(quantity: &str, when: &str) -> PlatformTradeAction {
 }
 fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
     let mut config = PlatformExprStrategyConfig::generic();
+    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
     config.signal_symbol = "000001.SZ".into();
     config.benchmark_symbol = "000300.SH".into();
     config.rotation_enabled = false;
@@ -119,7 +120,7 @@ fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
         action("-100", "decision_date >= \"2026-09-14\""),
     ];
     config.matching_type = MatchingType::CurrentBarClose;
-    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
         .with_matching_type(MatchingType::CurrentBarClose);
     BacktestEngine::new(
         data(),
@@ -276,6 +277,7 @@ fn locked_holding_keeps_its_slot_even_when_cash_can_buy_the_next_candidate() {
     )
     .unwrap();
     let mut config = PlatformExprStrategyConfig::generic();
+    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
     config.signal_symbol = "000001.SZ".into();
     config.benchmark_symbol = "000300.SH".into();
     config.strategy_name = "protection_test".into();
@@ -294,7 +296,7 @@ fn locked_holding_keeps_its_slot_even_when_cash_can_buy_the_next_candidate() {
         }],
         ..Default::default()
     };
-    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
         .with_matching_type(MatchingType::CurrentBarClose);
     let result = BacktestEngine::new(
         dataset,

crates/fidc-core/tests/core_rules.rs

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

crates/fidc-core/tests/corporate_actions.rs

@@ -113,7 +113,7 @@ impl Strategy for BuyAndHoldStrategy {
 fn stock_market_snapshot(date: NaiveDate) -> DailyMarketSnapshot {
     DailyMarketSnapshot {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         timestamp: Some(format!("{date} 10:18:00")),
         day_open: 10.0,
         open: 10.0,
@@ -139,21 +139,21 @@ fn stock_market_snapshot(date: NaiveDate) -> DailyMarketSnapshot {
 fn stock_factor_snapshot(date: NaiveDate) -> DailyFactorSnapshot {
     DailyFactorSnapshot {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         market_cap_bn: 20.0,
         free_float_cap_bn: 18.0,
         pe_ttm: 10.0,
         turnover_ratio: Some(1.0),
         effective_turnover_ratio: Some(1.0),
         adjustment_factor_backward1: None,
-        extra_factors: BTreeMap::new(),
+        extra_factors: Default::default(),
     }
 }
 
 fn stock_candidate(date: NaiveDate) -> CandidateEligibility {
     CandidateEligibility {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         is_st: false,
         is_star_st: false,
         is_new_listing: false,
@@ -195,7 +195,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
         vec![
             DailyMarketSnapshot {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-01 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -218,7 +218,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             DailyMarketSnapshot {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-02 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -241,7 +241,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             DailyMarketSnapshot {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-03 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -266,42 +266,42 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
         vec![
             DailyFactorSnapshot {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
         ],
         vec![
             CandidateEligibility {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -314,7 +314,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             CandidateEligibility {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -327,7 +327,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             CandidateEligibility {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -394,7 +394,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 .with_minimum_commission(0.0),
             ChinaEquityRuleHooks::default(),
             PriceField::Open,
-        ),
+        ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
         BacktestConfig {
             initial_cash: 11_008.0,
             benchmark_code: "000300.SH".to_string(),
@@ -475,7 +475,7 @@ fn engine_settles_same_day_dividend_after_split_for_aiquant_semantics() {
             ChinaAShareCostModel::default(),
             ChinaEquityRuleHooks::default(),
             PriceField::Open,
-        ),
+        ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
         BacktestConfig {
             initial_cash: 11_008.0,
             benchmark_code: "000300.SH".to_string(),

crates/fidc-core/tests/decision_quote_preload.rs

@@ -5,7 +5,7 @@ use fidc_core::{
     Instrument, IntradayExecutionQuote, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext,
     StrategyDecision,
 };
-use std::collections::{BTreeMap, BTreeSet};
+use std::collections::BTreeSet;
 use std::sync::{Arc, Mutex};
 
 fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -105,7 +105,7 @@ fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
         fixture_instruments(),
         vec![DailyMarketSnapshot {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             timestamp: Some(format!("{date} 15:00:00")),
             day_open: 10.0,
             open: 10.0,
@@ -128,7 +128,7 @@ fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
         }],
         vec![DailyFactorSnapshot {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             market_cap_bn: 10.0,
             free_float_cap_bn: 10.0,
             pe_ttm: 10.0,
@@ -139,7 +139,7 @@ fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
         }],
         vec![CandidateEligibility {
             date,
-            symbol: "000001.SZ".to_string(),
+            symbol: "000001.SZ".into(),
             is_st: false,
             is_star_st: false,
             is_new_listing: false,
@@ -163,14 +163,55 @@ fn single_day_quote_plan_data(date: NaiveDate) -> DataSet {
 }
 
 #[test]
-fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
+fn runtime_account_dependent_quote_scope_uses_the_actual_account() {
+    struct AccountDependentQuoteReader;
+    impl Strategy for AccountDependentQuoteReader {
+        fn name(&self) -> &str { "account_dependent_quote_reader" }
+        fn decision_quote_times(&self) -> Vec<NaiveTime> { vec![t(10, 18, 0)] }
+        fn decision_quote_symbols(&mut self, ctx: &StrategyContext<'_>) -> Result<BTreeSet<String>, fidc_core::BacktestError> {
+            Ok(if ctx.portfolio.cash() < 50_000.0 {
+                BTreeSet::from(["000001.SZ".into()])
+            } else { BTreeSet::new() })
+        }
+        fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            let loaded = ctx.data.execution_quotes_on(ctx.execution_date, "000001.SZ").iter().any(|quote|
+                quote.timestamp.time()==t(10,17,59) && quote.last_price==10.0);
+            assert_eq!(loaded, ctx.portfolio.cash() < 50_000.0,
+                "quote scope must match this account, not a fixed-capital planning account");
+            Ok(StrategyDecision::default())
+        }
+    }
+    let date = d(2026, 1, 5);
+    for initial_cash in [10_000.0, 100_000.0] {
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(), ChinaEquityRuleHooks, PriceField::Close,
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
+        .with_matching_type(MatchingType::CurrentBarClose);
+    let config = BacktestConfig {
+        initial_cash, benchmark_code:"000852.SH".into(),
+        start_date:Some(date), end_date:Some(date), decision_lag_trading_days:0,
+        execution_price_field:PriceField::Close,
+    };
+    let mut engine = BacktestEngine::new(single_day_quote_plan_data(date), AccountDependentQuoteReader, broker, config)
+        .with_execution_quote_loader(move |request| Ok(request.symbols.into_iter().map(|symbol| IntradayExecutionQuote {
+            observation_kind:Default::default(), date:request.date, symbol,
+            timestamp:request.date.and_time(t(10,17,59)), last_price:10.0,bid1:10.0,ask1:10.0,
+            bid1_volume:10_000,ask1_volume:10_000,volume_delta:10_000,amount_delta:100_000.0,
+            trading_phase:Some("continuous".into()),
+        }).collect()));
+    engine.run().expect("account-dependent quote planning");
+    }
+}
+
+#[test]
+fn engine_resolves_the_runtime_strategy_scope_when_a_loader_exists() {
     let date = d(2026, 1, 5);
     let data = single_day_quote_plan_data(date);
     let broker = BrokerSimulator::new_with_execution_price(
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Close,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::CurrentBarClose);
     let config = BacktestConfig {
         initial_cash: 10_000.0,
@@ -186,17 +227,13 @@ fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
         symbol_plan_calls: Arc::clone(&symbol_plan_calls),
     };
     let captured_loader_calls = Arc::clone(&loader_calls);
-    let preplanned = Arc::new(BTreeMap::from([(
-        date,
-        BTreeSet::from(["000001.SZ".to_string()]),
-    )]));
     let mut engine = BacktestEngine::new(data, strategy, broker, config)
         .with_execution_quote_loader(move |request| {
             *captured_loader_calls.lock().expect("loader counter mutex") += 1;
             Ok(request
                 .symbols
                 .into_iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date: request.date,
                     symbol,
                     timestamp: request.date.and_time(t(10, 17, 59)),
@@ -210,20 +247,19 @@ fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
                     trading_phase: Some("continuous".to_string()),
                 })
                 .collect())
-        })
-        .with_preplanned_decision_quote_symbols_by_date(preplanned);
+        });
 
     engine.run().expect("backtest should run");
 
     assert_eq!(
         *symbol_plan_calls.lock().expect("symbol plan counter mutex"),
-        0,
-        "the strategy plan must not be recomputed after a complete plan is supplied"
+        1,
+        "quote planning must use the actual run context"
     );
     assert_eq!(
         *loader_calls.lock().expect("loader counter mutex"),
-        1,
-        "the supplied symbols must still pass through the normal quote loader"
+        0,
+        "an empty runtime scope must not fetch unrequested symbols"
     );
 }
 
@@ -235,7 +271,7 @@ fn engine_skips_decision_quote_symbol_plan_without_loader() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Close,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::CurrentBarClose);
     let config = BacktestConfig {
         initial_cash: 10_000.0,
@@ -269,7 +305,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
         vec![
             DailyMarketSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-05 15:00:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -292,7 +328,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
             },
             DailyMarketSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-06 15:00:00".to_string()),
                 day_open: 10.5,
                 open: 10.5,
@@ -317,7 +353,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
         vec![
             DailyFactorSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -328,7 +364,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
             },
             DailyFactorSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -341,7 +377,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
         vec![
             CandidateEligibility {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -354,7 +390,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
             },
             CandidateEligibility {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -391,7 +427,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
@@ -411,7 +447,7 @@ fn engine_preloads_declared_decision_quotes_for_current_positions() {
             Ok(request
                 .symbols
                 .into_iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date: request.date,
                     symbol,
                     timestamp: request.date.and_time(t(10, 39, 59)),
@@ -439,7 +475,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         vec![
             DailyMarketSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-05 15:00:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -462,7 +498,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
             },
             DailyMarketSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-06 15:00:00".to_string()),
                 day_open: 10.5,
                 open: 10.5,
@@ -487,7 +523,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         vec![
             DailyFactorSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -498,7 +534,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
             },
             DailyFactorSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -511,7 +547,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         vec![
             CandidateEligibility {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -524,7 +560,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
             },
             CandidateEligibility {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -556,7 +592,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         ],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date: first,
                 symbol: "000001.SZ".to_string(),
                 timestamp: first.and_time(t(10, 39, 59)),
@@ -569,7 +605,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
                 amount_delta: 100_000.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date: second,
                 symbol: "000001.SZ".to_string(),
                 timestamp: second.and_time(t(10, 39, 59)),
@@ -590,7 +626,7 @@ fn engine_reuses_preloaded_decision_quotes_without_loader_call() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
@@ -674,7 +710,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         vec![
             DailyMarketSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-05 15:00:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -697,7 +733,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
             },
             DailyMarketSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2026-01-06 15:00:00".to_string()),
                 day_open: 10.5,
                 open: 10.5,
@@ -722,7 +758,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         vec![
             DailyFactorSnapshot {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -733,7 +769,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
             },
             DailyFactorSnapshot {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 10.0,
                 pe_ttm: 10.0,
@@ -746,7 +782,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         vec![
             CandidateEligibility {
                 date: first,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -759,7 +795,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
             },
             CandidateEligibility {
                 date: second,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -796,7 +832,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         ChinaAShareCostModel::default(),
         ChinaEquityRuleHooks,
         PriceField::Last,
-    )
+    ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
     .with_matching_type(MatchingType::MinuteLast)
     .with_intraday_execution_start_time(t(10, 40, 0));
     let config = BacktestConfig {
@@ -826,7 +862,7 @@ fn engine_loads_distinct_decision_quote_times_on_same_day() {
         Ok(request
             .symbols
             .into_iter()
-            .map(|symbol| IntradayExecutionQuote {
+            .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                 date: request.date,
                 symbol,
                 timestamp: request.date.and_time(start_time) - Duration::seconds(1),

crates/fidc-core/tests/delisting.rs

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

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

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

crates/fidc-core/tests/intraday_history_performance.rs

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

crates/fidc-core/tests/stock_pool_execution_state.rs

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

crates/fidc-core/tests/strategy_selection.rs

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

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

@@ -0,0 +1,588 @@
+{
+  "schema": "fidc.selection-risk-plan-acceptance/v1",
+  "rows": [
+    {
+      "name": "control-1",
+      "receiptSha256": "f18b3b484d40e2a813bd795cb38e263ff43f65b17f31004786d3a23a6af5bcb6",
+      "wallSeconds": 30.986483575077727,
+      "engineSeconds": 8.79,
+      "dataSeconds": 8.445,
+      "validationSeconds": 12.244,
+      "resultSeconds": 1.292,
+      "maxRssKiB": 7090392,
+      "fills": 21393,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 93895,
+        "sha256": "3f089cbcc5412e07bbe2308d0dd60ac561a119f0a2228010fc3323714fde8ca7",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 21555,
+            "sha256": "8c839c89191d2b5220fa1dd86f8d74bdd57fa566a096a0bbf6932d0247b48e8a"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "f928695650bdd90eb25d2acd478e0064046883649efa25cd2d4cdbbd27035c27"
+          },
+          "fillEvents": {
+            "rowCount": 21393,
+            "sha256": "2a90bef0994dda1b7f6e914e4c58037ec0b91cd828eb09745f71aecde071f791"
+          },
+          "holdingSnapshots": {
+            "rowCount": 28353,
+            "sha256": "799371917e516fb251b4afb60aeb4a1b8fc4b269ecfc27f827a3b388c4985a04"
+          },
+          "orderEvents": {
+            "rowCount": 21491,
+            "sha256": "0685ac0c31933b6cf5d1319912de3f398c40ce7ee01c28b4abec1b98f92fb318"
+          },
+          "riskAudits": {
+            "rowCount": 78,
+            "sha256": "e394cc9e8f3bac17a2f80f9db8738b91d4e960ff230647e17e5145b86d14b986"
+          }
+        }
+      },
+      "storeSha256": "1905f0c8a887215279342b26d5769a6cbe40058971eef15adf86ef2eaa02aeb9",
+      "verifiedFactBlocks": 290,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "control-2",
+      "receiptSha256": "8e5f7f8fe77ba2a798056306277a4ae4f00b6aa98b8c277269aca8c235bbd0fb",
+      "wallSeconds": 13.274638780159876,
+      "engineSeconds": 6.739,
+      "dataSeconds": 5.19,
+      "validationSeconds": 0.209,
+      "resultSeconds": 1.003,
+      "maxRssKiB": 7092040,
+      "fills": 21393,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 93895,
+        "sha256": "3f089cbcc5412e07bbe2308d0dd60ac561a119f0a2228010fc3323714fde8ca7",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 21555,
+            "sha256": "8c839c89191d2b5220fa1dd86f8d74bdd57fa566a096a0bbf6932d0247b48e8a"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "f928695650bdd90eb25d2acd478e0064046883649efa25cd2d4cdbbd27035c27"
+          },
+          "fillEvents": {
+            "rowCount": 21393,
+            "sha256": "2a90bef0994dda1b7f6e914e4c58037ec0b91cd828eb09745f71aecde071f791"
+          },
+          "holdingSnapshots": {
+            "rowCount": 28353,
+            "sha256": "799371917e516fb251b4afb60aeb4a1b8fc4b269ecfc27f827a3b388c4985a04"
+          },
+          "orderEvents": {
+            "rowCount": 21491,
+            "sha256": "0685ac0c31933b6cf5d1319912de3f398c40ce7ee01c28b4abec1b98f92fb318"
+          },
+          "riskAudits": {
+            "rowCount": 78,
+            "sha256": "e394cc9e8f3bac17a2f80f9db8738b91d4e960ff230647e17e5145b86d14b986"
+          }
+        }
+      },
+      "storeSha256": "1905f0c8a887215279342b26d5769a6cbe40058971eef15adf86ef2eaa02aeb9",
+      "verifiedFactBlocks": 290,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "control-3",
+      "receiptSha256": "d106ddae57c64f931e196b80ffa517443e5c0f11eb9c2079f84d55b2d693fb13",
+      "wallSeconds": 13.043757867999375,
+      "engineSeconds": 6.732,
+      "dataSeconds": 5.159,
+      "validationSeconds": 0.005,
+      "resultSeconds": 1,
+      "maxRssKiB": 7089984,
+      "fills": 21393,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 93895,
+        "sha256": "3f089cbcc5412e07bbe2308d0dd60ac561a119f0a2228010fc3323714fde8ca7",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 21555,
+            "sha256": "8c839c89191d2b5220fa1dd86f8d74bdd57fa566a096a0bbf6932d0247b48e8a"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "f928695650bdd90eb25d2acd478e0064046883649efa25cd2d4cdbbd27035c27"
+          },
+          "fillEvents": {
+            "rowCount": 21393,
+            "sha256": "2a90bef0994dda1b7f6e914e4c58037ec0b91cd828eb09745f71aecde071f791"
+          },
+          "holdingSnapshots": {
+            "rowCount": 28353,
+            "sha256": "799371917e516fb251b4afb60aeb4a1b8fc4b269ecfc27f827a3b388c4985a04"
+          },
+          "orderEvents": {
+            "rowCount": 21491,
+            "sha256": "0685ac0c31933b6cf5d1319912de3f398c40ce7ee01c28b4abec1b98f92fb318"
+          },
+          "riskAudits": {
+            "rowCount": 78,
+            "sha256": "e394cc9e8f3bac17a2f80f9db8738b91d4e960ff230647e17e5145b86d14b986"
+          }
+        }
+      },
+      "storeSha256": "1905f0c8a887215279342b26d5769a6cbe40058971eef15adf86ef2eaa02aeb9",
+      "verifiedFactBlocks": 290,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "candidate-1",
+      "receiptSha256": "a76e11c115ad42389dfdf72ed674ad75af8ec3d4646feb57feee9e6a4418f20d",
+      "wallSeconds": 12.976857921108603,
+      "engineSeconds": 6.682,
+      "dataSeconds": 5.132,
+      "validationSeconds": 0.004,
+      "resultSeconds": 1.021,
+      "maxRssKiB": 7091752,
+      "fills": 21393,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 93895,
+        "sha256": "3f089cbcc5412e07bbe2308d0dd60ac561a119f0a2228010fc3323714fde8ca7",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 21555,
+            "sha256": "8c839c89191d2b5220fa1dd86f8d74bdd57fa566a096a0bbf6932d0247b48e8a"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "f928695650bdd90eb25d2acd478e0064046883649efa25cd2d4cdbbd27035c27"
+          },
+          "fillEvents": {
+            "rowCount": 21393,
+            "sha256": "2a90bef0994dda1b7f6e914e4c58037ec0b91cd828eb09745f71aecde071f791"
+          },
+          "holdingSnapshots": {
+            "rowCount": 28353,
+            "sha256": "799371917e516fb251b4afb60aeb4a1b8fc4b269ecfc27f827a3b388c4985a04"
+          },
+          "orderEvents": {
+            "rowCount": 21491,
+            "sha256": "0685ac0c31933b6cf5d1319912de3f398c40ce7ee01c28b4abec1b98f92fb318"
+          },
+          "riskAudits": {
+            "rowCount": 78,
+            "sha256": "e394cc9e8f3bac17a2f80f9db8738b91d4e960ff230647e17e5145b86d14b986"
+          }
+        }
+      },
+      "storeSha256": "1905f0c8a887215279342b26d5769a6cbe40058971eef15adf86ef2eaa02aeb9",
+      "verifiedFactBlocks": 290,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "candidate-2",
+      "receiptSha256": "38f61fd0d495daa5e29d6354679ce51e33473fb3ecbbb420c93d2fd41b74246f",
+      "wallSeconds": 12.927155625075102,
+      "engineSeconds": 6.64,
+      "dataSeconds": 5.128,
+      "validationSeconds": 0.005,
+      "resultSeconds": 1.01,
+      "maxRssKiB": 7092320,
+      "fills": 21393,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 93895,
+        "sha256": "3f089cbcc5412e07bbe2308d0dd60ac561a119f0a2228010fc3323714fde8ca7",
+        "sections": {
+          "accountEvents": {
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+            "sha256": "8c839c89191d2b5220fa1dd86f8d74bdd57fa566a096a0bbf6932d0247b48e8a"
+          },
+          "equityFacts": {
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+            "sha256": "f928695650bdd90eb25d2acd478e0064046883649efa25cd2d4cdbbd27035c27"
+          },
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+            "sha256": "2a90bef0994dda1b7f6e914e4c58037ec0b91cd828eb09745f71aecde071f791"
+          },
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+            "sha256": "799371917e516fb251b4afb60aeb4a1b8fc4b269ecfc27f827a3b388c4985a04"
+          },
+          "orderEvents": {
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+            "sha256": "0685ac0c31933b6cf5d1319912de3f398c40ce7ee01c28b4abec1b98f92fb318"
+          },
+          "riskAudits": {
+            "rowCount": 78,
+            "sha256": "e394cc9e8f3bac17a2f80f9db8738b91d4e960ff230647e17e5145b86d14b986"
+          }
+        }
+      },
+      "storeSha256": "1905f0c8a887215279342b26d5769a6cbe40058971eef15adf86ef2eaa02aeb9",
+      "verifiedFactBlocks": 290,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "candidate-3",
+      "receiptSha256": "9b56896d6dc048c5dd3d56cbe863778122b5bdf42fc9769eaa41f2d1b339dcd4",
+      "wallSeconds": 12.926160736009479,
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+      "dataSeconds": 5.113,
+      "validationSeconds": 0.006,
+      "resultSeconds": 1.006,
+      "maxRssKiB": 7091128,
+      "fills": 21393,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 93895,
+        "sha256": "3f089cbcc5412e07bbe2308d0dd60ac561a119f0a2228010fc3323714fde8ca7",
+        "sections": {
+          "accountEvents": {
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+            "sha256": "8c839c89191d2b5220fa1dd86f8d74bdd57fa566a096a0bbf6932d0247b48e8a"
+          },
+          "equityFacts": {
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+            "sha256": "f928695650bdd90eb25d2acd478e0064046883649efa25cd2d4cdbbd27035c27"
+          },
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+            "sha256": "2a90bef0994dda1b7f6e914e4c58037ec0b91cd828eb09745f71aecde071f791"
+          },
+          "holdingSnapshots": {
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+            "sha256": "799371917e516fb251b4afb60aeb4a1b8fc4b269ecfc27f827a3b388c4985a04"
+          },
+          "orderEvents": {
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+            "sha256": "0685ac0c31933b6cf5d1319912de3f398c40ce7ee01c28b4abec1b98f92fb318"
+          },
+          "riskAudits": {
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+            "sha256": "e394cc9e8f3bac17a2f80f9db8738b91d4e960ff230647e17e5145b86d14b986"
+          }
+        }
+      },
+      "storeSha256": "1905f0c8a887215279342b26d5769a6cbe40058971eef15adf86ef2eaa02aeb9",
+      "verifiedFactBlocks": 290,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "trend-40-control",
+      "receiptSha256": "305f0ea34b50355661ef9d3583467f7160cfbffd95f03b9e21a631bebc37af64",
+      "wallSeconds": 15.628366323187947,
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+      "dataSeconds": 5.234,
+      "validationSeconds": 0.694,
+      "resultSeconds": 1.33,
+      "maxRssKiB": 7108340,
+      "fills": 29776,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 128192,
+        "sha256": "41209fed4c7a5e385a12e170afef685efae7a3b00137365fe2b9aea015dd7948",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 29968,
+            "sha256": "fa578b86d94a5be9ad192258eb87c9be6a1b356d6713e70ae475b95fd130f61d"
+          },
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+          },
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+          },
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+          },
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+          },
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+            "sha256": "d170e1704ee5f64a93b71cecf2178b062d30368df8f5da53c07416b8e8a9c5e5"
+          }
+        }
+      },
+      "storeSha256": "ab29a9f999a6b41330255ba82081696a9826825fa6d34941247332adac65249e",
+      "verifiedFactBlocks": 293,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "trend-40-candidate",
+      "receiptSha256": "0174941bea20079730c019b3de4185cc439528160ab54cafc1be4e3f8a0a08fc",
+      "wallSeconds": 14.82603678200394,
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+      "maxRssKiB": 7108656,
+      "fills": 29776,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 128192,
+        "sha256": "41209fed4c7a5e385a12e170afef685efae7a3b00137365fe2b9aea015dd7948",
+        "sections": {
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+            "sha256": "fa578b86d94a5be9ad192258eb87c9be6a1b356d6713e70ae475b95fd130f61d"
+          },
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+            "sha256": "90f63f3c51c62f0fc0abb317a29ac48aa0ead6035d5f75d650a948c33ae1e9b3"
+          },
+          "fillEvents": {
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+            "sha256": "6626ea78cfaa5d88040496c575be63cd8b573d48d1afe6812579762bf7e2abd0"
+          },
+          "holdingSnapshots": {
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+            "sha256": "491b32468148cc62779f4c01cee96e4dcf18ce1a6115ccecc437b468e49b2ceb"
+          },
+          "orderEvents": {
+            "rowCount": 29932,
+            "sha256": "565f5a6271a9e1f0fa31f152141c75db0e5f84784e4d4a83b2277b0fd14c45fc"
+          },
+          "riskAudits": {
+            "rowCount": 124,
+            "sha256": "d170e1704ee5f64a93b71cecf2178b062d30368df8f5da53c07416b8e8a9c5e5"
+          }
+        }
+      },
+      "storeSha256": "ab29a9f999a6b41330255ba82081696a9826825fa6d34941247332adac65249e",
+      "verifiedFactBlocks": 293,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "pullback-40-control",
+      "receiptSha256": "0d39c6af608d3ec89fc44d0715dab41229511c68cf5ea4eb01f763c10bded8bf",
+      "wallSeconds": 13.775856785941869,
+      "engineSeconds": 7.374,
+      "dataSeconds": 4.893,
+      "validationSeconds": 0.005,
+      "resultSeconds": 1.358,
+      "maxRssKiB": 7119352,
+      "fills": 31862,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 135630,
+        "sha256": "49fdbd74245d7aa678f1a4851add29f7b12dde71fd50c93c070fd2ee57f35285",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 32010,
+            "sha256": "9be3914d28d7766f12bac45227d2c2da47d61a921f9b918a4b11447da4b78baa"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "2044627b1152c4a2ad8ea92dca3351322d41cfc18c002cda93f274bd810efdad"
+          },
+          "fillEvents": {
+            "rowCount": 31862,
+            "sha256": "b33d1b4b0f7f86c96c082c217c9a27d86830ccac0de5a33714104ac4756df8d7"
+          },
+          "holdingSnapshots": {
+            "rowCount": 38679,
+            "sha256": "a45b516a926c57b6c7827f8f1684b6e749d26118b8c5d8e8614afbb23cd87559"
+          },
+          "orderEvents": {
+            "rowCount": 31966,
+            "sha256": "73704496ab17d10d9a602429d97b728cf22d0896f2d467b0f2064f2f48bf04fb"
+          },
+          "riskAudits": {
+            "rowCount": 88,
+            "sha256": "2c8de7dbb11c7ca5ac678c17feabec0bd98aac0a031bbb4780eddaa144933293"
+          }
+        }
+      },
+      "storeSha256": "ff32f177e5e0ec4b4f3f0597b61174efdafac77b4f36e6065448b6e9c414f07e",
+      "verifiedFactBlocks": 281,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "pullback-40-candidate",
+      "receiptSha256": "3f0ec7b8b6ad74fc7349586a8716d45b8075ebad03c77776ca78fab5188d49ee",
+      "wallSeconds": 13.927610703045502,
+      "engineSeconds": 7.239,
+      "dataSeconds": 5.137,
+      "validationSeconds": 0.003,
+      "resultSeconds": 1.368,
+      "maxRssKiB": 7119784,
+      "fills": 31862,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 135630,
+        "sha256": "49fdbd74245d7aa678f1a4851add29f7b12dde71fd50c93c070fd2ee57f35285",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 32010,
+            "sha256": "9be3914d28d7766f12bac45227d2c2da47d61a921f9b918a4b11447da4b78baa"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "2044627b1152c4a2ad8ea92dca3351322d41cfc18c002cda93f274bd810efdad"
+          },
+          "fillEvents": {
+            "rowCount": 31862,
+            "sha256": "b33d1b4b0f7f86c96c082c217c9a27d86830ccac0de5a33714104ac4756df8d7"
+          },
+          "holdingSnapshots": {
+            "rowCount": 38679,
+            "sha256": "a45b516a926c57b6c7827f8f1684b6e749d26118b8c5d8e8614afbb23cd87559"
+          },
+          "orderEvents": {
+            "rowCount": 31966,
+            "sha256": "73704496ab17d10d9a602429d97b728cf22d0896f2d467b0f2064f2f48bf04fb"
+          },
+          "riskAudits": {
+            "rowCount": 88,
+            "sha256": "2c8de7dbb11c7ca5ac678c17feabec0bd98aac0a031bbb4780eddaa144933293"
+          }
+        }
+      },
+      "storeSha256": "ff32f177e5e0ec4b4f3f0597b61174efdafac77b4f36e6065448b6e9c414f07e",
+      "verifiedFactBlocks": 281,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "volume-momentum-80-control",
+      "receiptSha256": "98239365828453888930a1fceb2a7d9b5402b03cd32c9303a9fa1532af3644ed",
+      "wallSeconds": 18.176081838086247,
+      "engineSeconds": 11.154,
+      "dataSeconds": 4.585,
+      "validationSeconds": 0.004,
+      "resultSeconds": 2.268,
+      "maxRssKiB": 7158556,
+      "fills": 51300,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 234267,
+        "sha256": "4359817bb1fbd73b02c2c3456e1f0b7ee7428b090529393bd203e8212979a1dc",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 51696,
+            "sha256": "ca4d333cc4768ec4b528475d1833809c7e76a80de937c635e7e933a0f18264c6"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "31865ccfeb71d260757979524a679880070d691c09083c82865c3de6dd47e440"
+          },
+          "fillEvents": {
+            "rowCount": 51300,
+            "sha256": "4f45cc0906b6cd02af9ce12450a52f509f6e80e9b26157695ae04e90ce7ca9ac"
+          },
+          "holdingSnapshots": {
+            "rowCount": 78078,
+            "sha256": "79098ebfa48dcd24b00ba4d19917c291adb80a129b4d90ee1087b5f2210c43aa"
+          },
+          "orderEvents": {
+            "rowCount": 51783,
+            "sha256": "340699c5d04407c5c6f71dc39c41ac2baedc096bb11185f1ccb99ab7100ba8f8"
+          },
+          "riskAudits": {
+            "rowCount": 385,
+            "sha256": "2aa0a4d6e6078dbea815b536ce0ee8f6ca03f9c44f63cdfecf4e37a0ff9cf561"
+          }
+        }
+      },
+      "storeSha256": "5748fe4db08f8d81607622b302cc43c1d2e4ef50c3b87739fb6c20cd40de79c0",
+      "verifiedFactBlocks": 309,
+      "sharedInputsUnchanged": true
+    },
+    {
+      "name": "volume-momentum-80-candidate",
+      "receiptSha256": "1cbbccd9678bc8ea2754f2ffa678f3d43feb659a58f86393c4c54961daa5a8d0",
+      "wallSeconds": 18.627057212870568,
+      "engineSeconds": 11.013,
+      "dataSeconds": 5.2,
+      "validationSeconds": 0.005,
+      "resultSeconds": 2.267,
+      "maxRssKiB": 7152664,
+      "fills": 51300,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 234267,
+        "sha256": "4359817bb1fbd73b02c2c3456e1f0b7ee7428b090529393bd203e8212979a1dc",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 51696,
+            "sha256": "ca4d333cc4768ec4b528475d1833809c7e76a80de937c635e7e933a0f18264c6"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "31865ccfeb71d260757979524a679880070d691c09083c82865c3de6dd47e440"
+          },
+          "fillEvents": {
+            "rowCount": 51300,
+            "sha256": "4f45cc0906b6cd02af9ce12450a52f509f6e80e9b26157695ae04e90ce7ca9ac"
+          },
+          "holdingSnapshots": {
+            "rowCount": 78078,
+            "sha256": "79098ebfa48dcd24b00ba4d19917c291adb80a129b4d90ee1087b5f2210c43aa"
+          },
+          "orderEvents": {
+            "rowCount": 51783,
+            "sha256": "340699c5d04407c5c6f71dc39c41ac2baedc096bb11185f1ccb99ab7100ba8f8"
+          },
+          "riskAudits": {
+            "rowCount": 385,
+            "sha256": "2aa0a4d6e6078dbea815b536ce0ee8f6ca03f9c44f63cdfecf4e37a0ff9cf561"
+          }
+        }
+      },
+      "storeSha256": "5748fe4db08f8d81607622b302cc43c1d2e4ef50c3b87739fb6c20cd40de79c0",
+      "verifiedFactBlocks": 309,
+      "sharedInputsUnchanged": true
+    }
+  ],
+  "sharedInputFiles": 9257,
+  "sharedInputBytes": 12596608049,
+  "sharedInputInventorySha256": "1a4818aaab906e77b750e28601d3d405ad9e14e0553f7937cc60b68be0c9b71d",
+  "verifiedFactBlocks": 3506,
+  "status": "candidate-not-deployed",
+  "sourceCommit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
+  "engineCommit": "d2aa16a2f0064297d0d8c931060646d66422e9d4",
+  "serviceCommit": "4e23c7558d8301ba697543c39d5604289bb82c53",
+  "controlRunnerSha256": "b90886b80634c7565ca215fbe1f9ed0cbb5a6bd967373a9b1f6753be5164737d",
+  "candidateRunnerSha256": "1bda2d3acc016ca5addbb12e33cfcc31a23ece562f1d7d1ff8a825fbc83873fb",
+  "candidateApiSha256": "30ac3b50996e1769c1d93bd5d302a23c4af7ebe773d3e8110ee278c44aeb9501",
+  "bounds": [
+    "All twelve are new runner processes and private result artifacts using the same verified shared input files.",
+    "Input hashing is outside the elapsed benchmark timer; no GDB samples are in these measurements.",
+    "The first control had 12.244s Source validation and a slower preparation phase. Its entire latency difference is not candidate speedup.",
+    "The full input set is identical across the twelve runs, not only a global cache hit counter.",
+    "No Source/trading service was changed and no paused research/signal task resumed.",
+    "The independently recorded intraday-clock counterexample remains open. These day-level replays do not close it."
+  ]
+}

docs/expression-context-performance-20260913.md

@@ -0,0 +1,109 @@
+# 表达式上下文性能验收
+
+## 范围
+
+本轮优化 FIDC 引擎的逐股票表达式上下文，不修改策略、因子值、窗口、时间可见性、
+选股/订单规则、费用、成交价、风控或公司行为。Source 保持 `d5b682c6d097`，
+研究和信号保持暂停。其他用户任务只读观察，不更改其进程、亲和性或配置。
+
+已完成编译、回归、正式回放与177发布验收，不能据此关闭整个目标。
+
+## 重复开销
+
+1. DataSet 已采用 `NumericFactorMap`，但 `StockExpressionState` 仍把数值因子
+   重建为 `BTreeMap<String, f64>`，增加树节点和字符串分配。
+2. 每日可用因子名集合先为每个证券复制名称，再由集合丢弃重复名称。
+
+候选在表达式上下文延续紧凑数值存储。每日名称仍按当日真实字段生成完整集合，
+仅改为先对借用名称去重，再为唯一名称分配字符串；文本因子同理。
+没有用全局/未来日期目录替代当日字段，没有缓存选股结果或账户状态。
+Rhai `factors[...]`、缺失、NaN、负零、别名、覆盖顺序与已完成交易日可见性保持原行为。
+
+## CPU 计时
+
+Runner 新增以下运行计时，HTTP benchmark 同样保留：
+
+- `engineTaskWallSeconds`：实际引擎同步任务的墙钟耗时，包含其同步数据读取等待。
+- `engineThreadCpuSeconds`：Linux `CLOCK_THREAD_CPUTIME_ID` 实测的引擎调用线程CPU时间。
+  不包含其他并行线程、I/O等待或未被调度的时间；不可当作整个进程总CPU时间。
+  读取不可用、跨线程或时钟异常保持null，不填0。
+- `engineTaskCount`：实际执行引擎的次数，包含原有修复循环的重放。
+
+这些是 `engineSeconds` 的子指标，禁止再次加到总耗时。正常耗时与诊断运行分开保存。
+计时不改写历史制品，旧记录缺少该指标时保持未知。
+
+## 验收设置
+
+- 固定引擎基线 `fe7243b`；候选为177的 `07b7b18`，对应本地 `df1862e`。
+- 两边使用同一计时版service `a9df11a`；`b5d22ff`仅补充benchmark字段读取。
+- 2021-08-23至2025-11-17、初始1000万、原冻结runtime与策略，1025个执行交易日。
+- 保留原 `session_capacity_audit`，不能当作实际开盘流动性验证。
+- 官方benchmark入口、Boris执行、同CPU资源与Source版本、新进程、相同数据缓存副本、
+  新结果目录，不复用回测结果。
+- 引擎780项、runner408项、API113项、脚本10项通过；9/8/3项手动或外部环境用例分别忽略。
+- 专项延伸验证紧凑因子的克隆、Rhai映射暴露、缺失、NaN及负零；CPU计时验证睡眠和跨线程边界。
+
+证据根：`/srv/fidc/canonical/run/research/engine-context-20260913`。
+
+## 独立进程对照
+
+| 次序 | 样本 | 完整墙钟 | Source校验 | 数据准备 | 引擎墙钟 | 引擎线程CPU |
+|---|---|---:|---:|---:|---:|---:|
+| 1 | control-1 | 31.234s | 11.202s | 8.393s | 10.461s | 10.458s |
+| 2 | candidate-1 | 17.002s | 0.004s | 8.404s | 7.406s | 7.404s |
+| 3 | candidate-2 | 18.203s | 0.003s | 8.371s | 7.411s | 7.408s |
+| 4 | control-2 | 22.983s | 0.004s | 8.323s | 13.401s | 13.398s |
+| 5 | control-3 | 30.714s | 0.005s | 15.318s | 13.999s | 13.990s |
+| 6 | candidate-3 | 25.336s | 0.005s | 13.524s | 10.471s | 10.468s |
+
+首个基线的Source校验等待原样保留，不事后改称预热，不把11.202秒归因于引擎改动。
+后段样本出现主机负载/缓存竞争变化，数据准备也变慢，不能直接用全组平均墙钟夸大提速。
+相邻低负载对照的引擎线程CPU为10.458至7.404秒，后段为13.990至10.468秒。
+CPU计时与任务墙钟非常接近，证明样本主要在执行CPU工作，而不是等待HTTP；
+这不代表没有SMT、内存带宽或其他用户CPU竞争。
+
+六次均为21,393笔成交，账户、权益、委托、成交、持仓和风控canonical及结果制品完全一致。
+每份63个数据缓存文件经完整SHA核对相同，没有复制或读取旧回测结果。
+
+## HTTP 对照
+
+| 状态 | 版本 | 运行ID | 总耗时 | 引擎耗时 |
+|---|---|---|---:|---:|
+| 清DataSet，磁盘/Source保持 | 原版 | btr_1789232559582_3166774_4 | 21.987s | 11.328s |
+| 清DataSet，磁盘/Source保持 | 原版 | btr_1789232585690_3166774_5 | 21.684s | 11.259s |
+| 复用DataSet | 原版 | btr_1789232669598_3166774_6 | 11.820s | 11.031s |
+| 复用DataSet | 原版 | btr_1789232684861_3166774_7 | 11.857s | 11.067s |
+| 清DataSet，磁盘/Source保持 | 新版 | btr_1789232818009_3320588_0 | 17.296s | 7.537s |
+| 清DataSet，磁盘/Source保持 | 新版 | btr_1789232839269_3320588_1 | 17.413s | 7.627s |
+| 复用DataSet | 新版 | btr_1789232898983_3320588_2 | 8.549s | 7.738s |
+| 复用DataSet | 新版 | btr_1789232910904_3320588_3 | 8.586s | 7.784s |
+
+同状态HTTP均值：重建DataSet从21.836至17.355秒，减少约20.5%；
+复用DataSet从11.839至8.568秒，减少约27.6%。两种状态分开比较，
+没有把8.568秒当作Source冷启动成绩。与上一轮不同时间的15/17秒样本不作直接百分比对比。
+
+原版API没有线程CPU字段，保持null；新版本每次实际执行引擎一次，
+两次重建的线程CPU为7.535/7.624秒。没有用新版本计时回填旧记录。
+八次HTTP和六次独立回放的canonical及结果制品SHA全部相同，终态审计clean。
+
+## 发布状态
+
+177通过官方安装器发布 engine `07b7b181b60138c6ef1c965543c0e3192ac65903`、
+service `b5d22ffab16f851eced3028e12fa02627ee4c399`。
+运行身份 `fdd8652a47a5935be4d891beb3b8b0f3e19a468be166a902a2a97b85a9c9e01e`。
+
+- API SHA：`bf22f58946c3fa495161eb381a400d4e28d7c8d327ee46f5645d83a8308117cf`。
+- Runner SHA：`7b3849cd8af33d650db242add80c49cfdd32e8cc8686a614da7b3b4016ce2a60`。
+- 生产在用构建根：`/srv/fidc/canonical/build/engine-context-candidate-20260913`，禁止清理。
+- 原生因子能力目录发布前后字节相同，SHA为
+  `cec37331a476bc39bdea32c308581b8ac2f86d005d8dd4cc7ba228c5d9dc9a2e`。
+- API PID3320588，Boris、active、NRestarts=0；Source仍为PID1700096/d5，研究未恢复。
+
+[完整结构化验收证据](evidence/expression-context-performance-20260913.json)，
+SHA256 `f526950e018354c1305922beebf4063ae3823004f8c5ab20510a452f98b7b7ea`。
+
+## 边界
+
+本轮真实长区间案例含一个原生扩展因子，动态映射、缺失及多字段语义另由引擎回归覆盖；
+不宣称所有策略都具有相同比例提速。Source冷路径仍受独立冻结约束，
+信号闭环和全部策略/分钟区间/财务PIT不在本轮通过范围内。

docs/feature-date-market-integrity-20260913.md

@@ -0,0 +1,75 @@
+# 特征日行情缺口与跨日回退
+
+## 问题
+
+审查发现股票表达式上下文的三个位置把缺少的特征日行情回退到执行/当前市场日：
+两个 `StockStateSnapshotSource::feature_market` 实现，以及最终构建器的 `unwrap_or(market)`。
+当 `factor_date` 早于 `date` 时，这会把后来日期的OHLCV用于原本指定的历史特征日。
+这是错误日期代用，并具有前视风险；不据此推断所有历史回测都已触发此路径。
+
+真实代码的合成缺口回归已复现：2025-04-03因子快照存在但行情缺失，
+2025-04-07行情存在，旧版返回close=20.0、volume=45600、open=19.0，
+而非报告4月3日行情缺失。此回归使用合成数据验证代码路径，不是行情数据造假或真实市场收益样本。
+
+## 修改
+
+- 两个行情读取入口只返回指定特征日期的快照，删除向执行日的回退。
+- 构建器缺少快照时返回 `MissingSnapshot { kind: "feature_market", date: factor_date, symbol }`。
+- 保持原市场、候选和因子缺失错误优先级；失败状态不写入股票上下文缓存。
+- 同日上下文继续使用同日快照；正常跨日上下文仍将历史OHLCV与执行报价分开。
+- 不调整价格、因子、窗口、风险、手续费、滑点、成交量或原始数据，不引入替代缓存。
+
+新增回归覆盖索引读取、每日视图读取、错误缓存边界和同日合法输入。
+原next-open涨跌停测试只有前一日因子、没有对应行情，原先隐式依赖了该回退。
+已补充两只证券各自明确的历史行情，并断言历史价1.80与决策日价2.20分开；
+不放宽时点规则，也不改真实数据。
+
+## 当前状态
+
+177的红色回归已确认为行为失败；最初缺少错误枚举限定名的编译失败另存，不作为复现证据。
+修复后完整引擎783项、runner410项、API113项通过，分别9/8/3项既有外部或手动测试忽略。
+已通过官方入口发布到回测服务；Paper/Live/Strategy Runtime没有在本轮重建或重启，
+不能将共享源码修复等同于全部消费者已经部署。
+
+## 真实回放
+
+固定原策略、2021-08-23至2025-11-17、初始1000万及原冻结bundle。
+保留历史`session_capacity_audit`，不能当作开盘容量验收。
+全部运行重新执行引擎，Source/磁盘数据缓存保持，不缓存回测结果。
+
+| 状态 | 版本 | 运行ID | 总耗时 | 数据准备 | 引擎 |
+|---|---|---|---:|---:|---:|
+| 清DataSet内存 | 原版 | btr_1789251904666_3596554_4 | 17.689s | 8.664s | 8.141s |
+| 清DataSet内存 | 原版 | btr_1789251925997_3596554_5 | 17.082s | 8.333s | 7.947s |
+| 清DataSet内存 | 修复版 | btr_1789252042334_3735010_0 | 15.668s | 7.247s | 7.608s |
+| 清DataSet内存 | 修复版 | btr_1789252061568_3735010_1 | 15.717s | 6.949s | 7.985s |
+| DataSet复用 | 修复版 | btr_1789252206579_3735010_2 | 8.790s | 0.006s | 7.988s |
+| DataSet复用 | 修复版 | btr_1789252217644_3735010_3 | 9.892s | 0.006s | 7.880s |
+
+六次均21,393笔成交，账户、权益、委托、成交、持仓、风控canonical及完整制品SHA一致，
+终态clean，每次引擎执行次数为1。真实完整数据没有触发新增缺失错误。
+最后一次包含1.233秒Source合同验证，不能把DataSet复用等同于Source无等待。
+本轮未观察到该样本的性能回退，但这是正确性修复；主机负载及数据读取也有波动，
+不将17秒至15秒归因于普遍算法提速，更不外推所有策略。
+
+canonical：`3f089cbcc5412e07bbe2308d0dd60ac561a119f0a2228010fc3323714fde8ca7`。
+结果制品：`1905f0c8a887215279342b26d5769a6cbe40058971eef15adf86ef2eaa02aeb9`。
+
+## 发布证据
+
+177 engine `e3b39295787c4fd896753d633e457deddf9f1232`，service `106a89d8bb74af494cdf84d9d3af5ec4bcb249cd`。
+
+- API：`86f0a0385410db8ab308edf892f4ad6376c0a706c0ebbac0f397a23539d782c0`。
+- Runner：`aebdd37ad30ee73f11a9ffd206ad8c978ced19a257cb51849881b0e5bdce36ee`。
+- 运行身份：`d196bd4740b1b506c42515a689ae155a21e37b8092956b99a298b8d7934e53c7`。
+- 在用构建根：`/srv/fidc/canonical/build/feature-date-candidate-20260913`，禁止清理。
+- PID3735010、Boris、active、NRestarts=0；收据时cgroup约7.91GiB，峰值约9.29GiB。
+- 原生目录字节SHA仍为`cec37331a476bc39bdea32c308581b8ac2f86d005d8dd4cc7ba228c5d9dc9a2e`。
+- Source保持d5/PID1700096，研究和信号未恢复，没有向券商提交订单。
+
+证据根 `/srv/fidc/canonical/run/research/feature-date-integrity-20260913`。
+[结构化证据](evidence/feature-date-market-integrity-20260913.json)，
+SHA256 `56e70172916c45060106aca3eb006984735a3f85e6b13d2c325c409e83b8962b`。
+更多策略、真实缺口数据审计、Paper/Live消费者发布及完整财务PIT仍未完成。
+Source目录缓存的隔离后继验证单独见Alpha Factory的`docs/native-condition-transport-20260913.md`，
+不能把本轮回测发布当作Source冻结解除。

docs/framework-execution-comparison-20260911.md

@@ -0,0 +1,73 @@
+# FIDC执行合同与开源框架审查
+
+状态：源码审查和部分通用修复已完成。尚未完成多策略长区间A/B；不能据此宣称某个框架性能最优或FIDC生产闭环已通过。
+
+## 固定版本
+
+源码保存在`/Volumes/SystemSSD/WorkSpace/fidc-reference-frameworks`，未执行第三方项目的策略或交易程序。
+
+| 框架 | 审查版本 | 主要参考位置 |
+|---|---|---|
+| NautilusTrader | 6f48cd8e713b72b878626e9a9757c6e4a026b708 | [报价类型](/Volumes/SystemSSD/WorkSpace/fidc-reference-frameworks/nautilus_trader/crates/model/src/data/quote.rs:51)、[归并](/Volumes/SystemSSD/WorkSpace/fidc-reference-frameworks/nautilus_trader/crates/backtest/src/node.rs:442) |
+| LEAN | 8ee075a39918f2df6fe9e0a5944e366fb60d10dc | [股票撮合](/Volumes/SystemSSD/WorkSpace/fidc-reference-frameworks/Lean/Common/Orders/Fills/EquityFillModel.cs:482) |
+| Zipline Reloaded | 943010b9da848e317fc520de87edade2b884d329 | [滑点与容量](/Volumes/SystemSSD/WorkSpace/fidc-reference-frameworks/zipline-reloaded/src/zipline/finance/slippage.py:464) |
+| Backtrader | b853d7c90b6721476eb5a5ea3135224e33db1f14 | [Broker](/Volumes/SystemSSD/WorkSpace/fidc-reference-frameworks/backtrader/backtrader/brokers/bbroker.py:228) |
+
+## 可采用的设计
+
+### 事件与时钟
+
+Nautilus把Quote、Trade、Bar区分为不同类型，保存事件与接收/初始化时钟；数据归并按`ts_init`排序，分块保留同一时间戳的完整组。这适合FIDC后续有界分钟流：Source声明观测类型、覆盖区间和可见时间，执行端持有独立账户状态，而非共享一个同时装着日终与盘中字段的可变字典。
+
+FIDC本轮实际发现：以09:32:58行情给09:33订单定价时，成交时间也写成09:32:58。已修为实际成交不得早于订单执行时钟；价格仍引用原行情，容量扣减也继续绑定原行情，不能通过换一个订单时钟重新获得额度。
+
+### 开盘和陈旧行情
+
+LEAN的MarketOnOpenFill单独处理正式开盘成交标志、bar开始/结束时间和订单时间；不是任意取一个日线字段即可成交。但其默认模型也有整体成交和数据回退假设，不能直接当作真实市场流动性保证。
+
+FIDC已统一预估与撮合的盘中价格选择。己方价、对手价和最近成交价各用自己的字段；缺失/无效时不改用另一种价，也不越过最新坏行情寻找更旧的可用价格。
+
+### 成交量与滑点
+
+Zipline按股票和bar累计已使用量，历史冲击窗口排除当前未完成交易日。FIDC应复用不可变历史校准，但每个账户自己的成交消耗必须独立；不能按订单次数重复分配同一个bar的额度。它在历史不足时的回退不是FIDC的默认准入策略。
+
+FIDC新增`ParticipationRate`：按冻结JSON小数语义精确向下取整，避免浮点乘法和窄整数转换误差。例如58%乘50股为29，不应因二进制误差成为28；巨大市场量也不能在转u32时截断成另一个额度。比例解析在配置阶段完成，不放入逐成交腿热循环。
+
+Backtrader把volume filler、滑点开关、cheat-on-open/close等模型选择显式区分。值得采用的是明确暴露假设；不照搬不带成交量限制的默认值，也不为了收益对齐开启能改变可见时间的行为。
+
+## 已落地通用修复
+
+- 精确参与率计算用于Broker和策略预估，同一观测的已消耗量跨订单共享、跨账户隔离。
+- 实际执行时钟与参考行情时钟分开，修复成交早于下单的问题。
+- 缺失的执行价不由其他价格或更旧行情代替；删除重复价格选择及不可达深度分支。
+- Runner拒绝空身份、错日期、晚于请求时钟的行情、非有限价格、缺失或非整数数量。
+- 多查询引用同一观测只有完全一致才合并；同一目标查询的源重复行和跨查询冲突均报错，不采用第一条。
+- 目录缓存使用Linux变更通知，不能只凭mtime/目录大小判断没有新文件；通知不可用时重新扫描。事件溢出、目录替换、重命名、删除均失效重建。
+
+这些改变不按策略ID、固定选股条件或10:17/10:18等时间分支。
+
+## 仍未关闭的问题
+
+1. **日线全天量仍进入早晨数量计算**：Broker和projection两条路径都需接入容量模式。`VolumeCapacityMode`及`SessionCapacityAudit`目前只是已测试基础类型，未完成配置、撮合、日终结果和页面的完整接线。不得称P0已修。
+2. **Source可能掩盖缺失**：当前目标分钟序列会先剔除无效close，再寻找旧的有效值；部分缺失volume/amount置0；备用Arrow包装器还会用请求时钟替代缺失行情时间。必须清理这些行为，并按数据/市场缺席合同分类。
+3. **TWAP早期配额可能依赖未来可成交记录数**：当前实现使用筛选后的`eligible_quotes.len()`分配数量。应按冻结时间表切片，后续缺量只能影响后续执行，不改早期分配。
+4. **集合竞价**：实时数据与日线/分钟模型必须区分委托进入竞价、等待撮合和实际成交，不能用竞价中间的零量判定股票停牌，不能提前使用最终清算价。
+5. **数据种类/单位**：源观测类型与价格模型能力要明确；分钟OHLC不能冒充真实L1深度。盘口单位、名义bar区间和可见时间仍须逐源校验。
+
+## 下一阶段实施合同
+
+- 普通风险开关和参与率仍是同一个策略三端共享配置。历史回测的容量假设单独冻结，不能用研究审核模式绕过Paper/Live临单风控。
+- 有真实可见观测时使用`execution_observation`；`completed_bar`须验证bar结束和可见时间，不靠日线日期猜15:00。
+- 只有日线总量而没有开盘容量时，严格模式须在提交预检失败；用户可明确选择`session_capacity_audit`做研究。日终只判定容量验收，不回写早晨的数量、现金、持仓或净值。
+- 不能自动关闭参与率限制，也不能悄悄替换为昨日量。
+- Source、Runner、Engine、研究handoff、Strategy AI和UI成套发布；持有冻结合同的旧任务不改写。当前研究维护方尚未授权共享服务切换。
+
+## 验证与基准
+
+Engine当前680项通过、8忽略；Runner375项通过，真实Source的8个JSON/Arrow行情点通过严格解析。小样本中的14:59零量在serving Parquet中确实存在，15:00有成交；这是源事实核对，不是完整集合竞价逻辑验收。历史股票收盘竞价时段应按适用规则处理，不能将后来的规则回填到旧日期。[深交所2023年交易机制说明](https://investor.szse.cn/institute/rules/t20230629_601434.html)
+
+上交所2026版规则于2026-07-06生效，且通知明确存在暂缓实施条文。后续交易时段/容量合同必须同时核对规则版本和实施范围。[上交所发布通知](https://www.sse.com.cn/lawandrules/sselawsrules2025/stocks/exchange/c/c_20260424_10816482.shtml)
+
+下一组A/B应覆盖动态Top-N日线、静态组合、逐分钟策略、TWAP/VWAP及共享模型信号，分别检查同条件重复、时间变更、参数变更、短区间和五年区间。先关闭时点错误，再测准备/引擎/持久化/端到端耗时、峰值RSS、缓存代际与逐笔差异。不得用微型元数据读取速度外推完整回测性能。
+
+本轮证据根：`/srv/fidc/canonical/run/research/historical-slippage-20260911/`。服务均未由本任务重启，没有提交回测任务或证券订单。

docs/intraday-clock-causality-20260914.md

@@ -0,0 +1,44 @@
+# 日内时钟与手工回放前置问题
+
+2026-09-14。本轮时钟与工作中算法单候选已完成本机回归，尚未部署。177仍运行Engine c98bcc3 / Service e81bf47；完整手工影子回放尚未实现。
+
+## 已复现的精确反例
+
+`engine::tests::minute_observer_never_sees_a_later_fill_from_a_coarse_phase`使用实际BacktestEngine/BrokerSimulator测试入口、同一证券及合法测试日行情。开盘竞价回调生成100股限价10.0的委托，全天存在09:30、10:00、10:15、13:00、13:01报价，后续分钟回调读取真实模拟账本。
+
+- CurrentBarClose/09:30窗口：10:15成交；10:00观察为0股，通过。
+- NextBarOpen/一天信号滞后/09:30窗口：10:15成交；10:00观察为0股，通过。
+- CurrentBarClose/13:00窗口：实际FillEvent时间13:00、数量100，但09:30、10:00、10:15回调均已观察到100股，失败。完整观察序列为`[(09:30,100),(10:00,100),(10:15,100),(13:00,100),(13:01,100)]`，不是仅日志显示错误。
+
+根因路径是粗粒度auction/on_day阶段调用broker时使用未来的全局intraday_execution_start_time，先将13:00成交写进PortfolioState，随后引擎才从09:30开始遍历分钟事件。正常09:30路径已有边界，不能因为一次测试通过就断言所有时点安全，也不能把所有粗粒度调用一概认定有问题。
+
+首次盘前调度夹具没有产生订单，因此不作为时钟证据；改用明确返回委托的open_auction回调完成上述复现。盘前on_scheduled普通委托是否被忽略应另行核对其正式合同，不能当空成功。
+
+## 必须按真实执行时序修复
+
+不能删掉早间回调或给显示持仓做遮掩。需要使已生成的未来执行意图、待执行批次、订单回报、策略回调、手工意图及实际投影按执行时钟前进；保留独立信号日与数据可见性。不能仅把新订单延迟却让依赖持仓的后续策略回调仍提前计算。
+
+需覆盖当前/下一开盘、显式时间和默认收盘、限价/市价/算法单、部分成交及取消、股票池卖后续买、跨日/T+1、0%人工覆盖和恢复。已有真实回放与六类Canonical必须按各自合同核对，不能用收益接近或单个对照替代。
+
+上述原失败回归已保留并修复：晚窗口执行与日度回调进入真实日内时钟，不再先写未来持仓。独立信号日及滞后执行的数据合同保留。仅有日内观察或待处理开盘目标时，未显式设时间的日线收盘回调才延至15:00；物理时钟与委托提交时点分离，不能把普通日线收盘撮合误变为15:05盘后委托。
+
+## 本轮新增证据
+
+- TWAP旧路径在13:00一次消费13:01、13:05报价，导致13:00观察到900股；现在逐时钟消费，同一父订单保留原始总量、已成交量、剩余金额、最低佣金余额和期限，不重新生成订单。
+- 分片时钟继续使用原算法窗口决定TWAP比例及深度约束，不把每个瞬时时钟当作新的不限量算法单；VWAP全局撮合也延续同一工作中订单。
+- 算法定量使用提交时已经可见的报价。改变当日后续收盘价不改变早先订单数量；真正缺报价明确失败，不读未来报价或日线价替代。
+- 当天已完成委托/成交记录及时移动到运行历史，后续分钟、日度与定时策略回调能读取；不逐分钟复制全部历史。
+- ETF下一开盘回退保留真实日线开盘价、3700股及原信号日，入账从早间预处理移到09:30事件；反例09:15原来可见3700股，修复后为0，09:31为3700且仅一笔ETF成交。不合成ETF分钟线。
+- 工作中算法单只预留真实可用现金；两个各10000元意图、15000元账户按顺序预留10000/5000，后续分别成交900/500股，先到订单不被后到订单的超额预留饿死。
+- 已验证部分成交后撤单、无末尾报价到期、T+1、IOC终止及原合同拒绝算法FOK/GTC；未新增不支持的有效期。
+- 同一TWAP与同步参考逐笔数量/价格/时间/订单ID/各项费用完全一致；VWAP逐时钟成交金额与总费用一致。最低佣金只扣一次，成交资金不超过冻结预算。
+
+本机Core 822项通过、9项原有ignore；Trading工作区613项通过（外部PG等原有ignore未当通过）；最新main的Runner446/API119项通过。同期main风控候选d2aa16a已保留并组合回归。本机测试不代替177不可变构建与真实数据回放。
+
+## 发布前置与剩余边界
+
+177于03:46只读核对仍为3Paper/0Live，原配置与旧委托摘要不变，Source d5b682c6/PID1700096未变，真实路由disabled。SSD剩约1.6GiB；官方编译缓存清理计划无候选，未删除任何数据或构建。官方复用审计确认target-backtest无运行引用，后续只允许带1GiB余量保护的本次构建，不能覆盖在用发布根。
+
+还需完成Linux精确提交构建、固定历史合同回放及配套发布；通用process-event回调的完整时间/订单观察、盘前调度普通意图、显式手工委托/撤单回放和所有剩余参数矩阵继续跟踪，不以当前核心测试声明完整Goal完成。当前不解除手工影子拒绝门禁，不修改既有任务配置、Source冻结和研究/信号暂停。
+
+Live取消请求另有待核对项：`CancelRequested`当前在网关返回后才持久化，不能不加说明就把回报时间当最初请求时间。完整手工回放需要验证并补齐真实意图/提交/成交/取消关联，当前生产手工影子仍保持明确拒绝纯比例模拟。

docs/position-exposure-events-20260913.md

@@ -0,0 +1,13 @@
+# 仓位事件执行合同
+
+2026-09-13。`runtimeExpressions.risk.positionExposureEvents` 使用带eventId、严格唯一sequence、UTC有效时点的事件；必须明确指定set、scale或restore。缺失动作、重复身份、非法比例和无时区日期均拒绝。
+
+- scale用于人工比例乘数：普通轮动仍先计算策略自身仓位，0%指数择时不会被人工100%覆盖。显式权益买入和目标类委托，以及SignalBook产生的意图，同样按比例处理；不修改原SignalBook。
+- 卖出/减仓增量、零目标清仓、取消、订阅、现金流和价格不被缩量。对已有买单增加数量只缩放增加部分；无法确定被改单身份时拒绝。期货等未定义类型不静默转换。
+- set用于股票池投入比例等明确绝对目标；restore恢复原策略/池规则，不转换成100%。旧日期级positionExposureSchedule保留原粒度，新的恢复事件不再回落到旧人工值。
+- 比例按实际执行时点读取；股票池不再用信号日读取覆盖值。原引擎首信号日现金基线和next-open调度合同不改变。
+- 不改变OHLCV、费用、价格精度、证券生命周期或成交量容量合同。
+
+验证覆盖同日多次调整、未来事件隔离、0/30/50/100%、20%原策略恢复、显式委托与现金流、以及原始引擎跨周末的股票池回放：1月2日信号在1月5日执行，1月5日覆盖在该日生效，1月6日恢复20%而不是100%。测试行情明确是隔离夹具，不代表真实历史或券商成交验收。
+
+交易侧用不可变操作审计提供事件，保留运行任务/账户绑定和原始请求。此模块不自己下单或创建新的回测，不读取用户资金账户。未完成的独立人工调仓命令与逐笔人工交易影子回放仍需另行验收，不能据时间线通过声明所有调仓路径完成。

docs/selection-risk-plan-performance-20260914.md

@@ -0,0 +1,126 @@
+# Selection Risk Plan Performance
+
+## Status
+
+Candidate tested, not deployed. The change removes selection calls that have
+no possible effect under the current frozen policy. It does not disable any
+configured rule, execution-day check or strategy expression. Engine time falls
+slightly in the measured cases; this is not the solution to the main remaining
+data construction cost and is not a general whole-backtest speedup claim.
+
+The independent [intraday-clock counterexample](intraday-clock-causality-20260914.md)
+remains open. This work does not remove that test or its evidence, change the
+execution clock, or turn day-level parity into full framework acceptance.
+The published service stays at e81bf47/c98bcc3. Source d5b682c6 remains frozen;
+research and signal work stay paused. No trading operation was submitted.
+
+## Evidence Leading to the Change
+
+The official HTTP diagnostic replay btr_1789322878865_2871869_0 preserved the
+original canonical and result-store SHA. Ten bounded Boris-only GDB snapshots
+showed source inventory, PreparedDayBuilder, factor normalization and price
+series construction, followed by repeated selection risk calls. GDB pauses are
+not normal performance measurements and snapshot counts are not flamegraph
+percentages. Source/target PID, binary SHA and CPU/thread resources stayed fixed.
+
+The diagnostic helper now shares the existing canonical executable policy with
+the saved-run profiler: it accepts both audited build roots and immutable API
+release directories, but not arbitrary paths. Seven related tests passed.
+
+## Implementation and Correctness
+
+StaticRiskRuleConfig reports whether selection has an enabled state rule or an
+enabled nonempty blacklist. The strategy computes this once before iterating
+candidate symbols. If no such rule exists, the old selection function would
+always return None, so that no-op call is omitted. Explicit universe conditions,
+market/factor checks and all buy/sell execution paths are unchanged.
+
+The ten state flags are also shared with the existing missing-risk-state checks
+to avoid maintaining three separate flag lists. Blacklist presence is kept
+separate: a blacklist is not missing market-risk data. No cross-strategy cache,
+strategy identifier, fixed date, trading time or account state is introduced.
+
+Tests enumerate all 4,096 combinations of ten selection flags and blacklist
+enabled/populated states. The flag list is checked against the serialized
+configuration, so adding a selection field requires updating the activation
+test. Further tests retain missing-state behavior and show that paused buys
+and sells remain rejected when selection checks are inactive.
+
+On 177: 805 core unit/integration tests passed (9 ignored), 448 runner tests
+passed (9 ignored), 119 API tests passed (5 ignored), and 28 benchmark/profiler
+tests passed. These counts do not resolve the independently recorded clock
+failure, which is not part of this frozen committed test tree.
+
+## Reproducible Shared-Input Method
+
+Each of the twelve replays has a new process and a new private result root.
+The official runner benchmark gained --shared-runtime-cache. It resolves the
+explicit cache root from the declared Boris service, requires canonical private
+storage, hashes existing inputs before and after, and refuses any changed or
+removed original. This mode cannot invoke copied-input disposal.
+
+All twelve runs used the same 9,257 files / 12,596,608,049 bytes. Their complete
+input inventories, file identities and byte SHA values are equal. No new Arrow
+or binary cache input appeared. No backtest result was reused. Hash preparation
+and verification are outside the measured runner interval; this is a shared
+warm-input test, not raw-disk cold IO. Unlike the earlier copied-cache method,
+it does not allocate another approximately 2 GB per replay on the nearly full
+SSD. Original inputs and every result remain intact.
+
+The common execution interval is 2021-08-23 through 2025-11-17 with 10,000,000
+initial cash and each case's unchanged frozen strategy/bundle. This is not five
+complete execution years. CPU affinity and 8 Rayon / 16 Tokio threads match the
+declared reference service; no global resource limit was increased.
+
+## Measurements
+
+| Case | Wall seconds | Source validation | Data preparation | Engine |
+|---|---:|---:|---:|---:|
+| Rotation control 1 | 30.986 | 12.244 | 8.445 | 8.790 |
+| Rotation candidate 1 | 12.977 | 0.004 | 5.132 | 6.682 |
+| Rotation control 2 | 13.275 | 0.209 | 5.190 | 6.739 |
+| Rotation candidate 2 | 12.927 | 0.005 | 5.128 | 6.640 |
+| Rotation candidate 3 | 12.926 | 0.006 | 5.113 | 6.664 |
+| Rotation control 3 | 13.044 | 0.005 | 5.159 | 6.732 |
+| Trend 40 control | 15.628 | 0.694 | 5.234 | 8.199 |
+| Trend 40 candidate | 14.826 | 0.004 | 5.276 | 8.087 |
+| Pullback 40 control | 13.776 | 0.005 | 4.893 | 7.374 |
+| Pullback 40 candidate | 13.928 | 0.003 | 5.137 | 7.239 |
+| Volume momentum 80 control | 18.176 | 0.004 | 4.585 | 11.154 |
+| Volume momentum 80 candidate | 18.627 | 0.005 | 5.200 | 11.013 |
+
+Rotation engine medians are 6.739 versus 6.664 seconds, approximately 1.1%.
+The other paired engine reductions are approximately 1.4%, 1.8% and 1.3%.
+These are small CPU-path improvements. Pullback and volume total latency did
+not improve because their preparation times were higher. The first control's
+Source wait and unexplained slower construction are recorded, not attributed
+to this code or discarded to manufacture a large speedup. Peak RSS stays about
+6.76-6.83 GiB; there is no significant memory reduction claim.
+
+Each case matches its independent prior baseline for all six canonical
+sections and store bytes: 21,393 / 29,776 / 31,862 / 51,300 fills. Result receipts,
+runtime/strategy identities, physical manifests and 3,506 fact blocks were
+verified. The shared input inventory SHA is in the acceptance record. Full
+unaltered receipts remain on 177; the repository stores the compact verified
+summary rather than repeating the 9,257-file inventory in every document.
+
+## Remaining Work
+
+Prioritize direct typed-column reuse during daily snapshot and DataSet
+construction; approximately five seconds of preparation remain in these warm
+cases. Do not skip normalization, NULL, adjustment or date/uniqueness checks.
+Source cold-query and contract-validation latency remain separate tasks under
+the Source freeze. The earlier cache-boundary candidate still needs its missing
+cold/same-window acceptance, and this combined candidate has no HTTP publication
+gate yet. Financial PIT, minute-clock behavior, signal lifecycle and UI factor
+condition acceptance are not claimed complete.
+
+- Candidate engine: d2aa16a2f0064297d0d8c931060646d66422e9d4.
+- Candidate service source: 4e23c7558d8301ba697543c39d5604289bb82c53.
+- Control runner SHA: b90886b80634c7565ca215fbe1f9ed0cbb5a6bd967373a9b1f6753be5164737d.
+- Candidate runner SHA: 1bda2d3acc016ca5addbb12e33cfcc31a23ece562f1d7d1ff8a825fbc83873fb.
+- Candidate API SHA: 30ac3b50996e1769c1d93bd5d302a23c4af7ebe773d3e8110ee278c44aeb9501.
+- Evidence root: /srv/fidc/canonical/run/research/selection-risk-plan-20260914.
+- HTTP diagnostic: /srv/fidc/canonical/run/research/http-phase-profile-20260914.
+
+[Verified acceptance summary](evidence/selection-risk-plan-20260914/acceptance.json).

docs/stock-pool-sell-buy-continuation-20260913.md

@@ -0,0 +1,28 @@
+# 股票池卖出批次与买入续执行
+
+2026-09-13开发，2026-09-14 00:00至00:06 CST完成177配套发布，annotated tag v2026.9.13.16。Engine c98bcc3、Service aa3fe40、Trading b1d402e；不是完整股票池验收结论。
+
+## 原问题
+
+真实混合四证券的手选优先/自动优先回测在09-11出现600276.SH与300811.SZ买量差异。冻结信号权益均9,733,801.863803、90%预算8,760,421.67742270，前一日持仓/现金也相同。原进程日志证明卖出000333.SZ 500股仍为Pending时，买单已经根据未释放的总仓位预算被创建或取消；其后卖单实际成交，执行器不再继续尚未提交的买入阶段。不能仅因为账户还有现金就忽略仓位预算，也不能通过重新跑策略/重复补单掩盖。
+
+确定性回归在旧实现中稳定复现：200股卖出限价未成交，实际成交回报处理后新标的仍没有持仓；无需网络或外部数据。现增加每池单一未提交执行阶段，sell_then_buy在卖单活动期间不创建买单，报告终结后沿同一冻结信号/权益/配置，根据当时真实现金、持仓和报价只执行买入腿。策略不再次调用，已经提交的委托不替换、不去重补救。
+
+## 边界
+
+- 分批成交等待整批活动委托终结；余量保持原order_id。买入以真实成交后资金与仓位预算重新定量，不借预计卖出款。
+- 每池新意图先替换尚未提交阶段，已提交订单仍保留；同一次止盈/止损清仓的证券保留禁买事实，不能在等待后重新当作未建仓候选买回。
+- 买单真实提交日/时刻与原信号日分开。next-open卖单延迟后，新买单使用执行时点真实分钟报价，不回到09:30或用日线开盘价代替缺失报价。原始挂单起点不变。
+- 原窗口结束为排他边界，休市不创建买单；过期只终止未提交阶段，原券商模拟订单按原DAY/GTC时钟自然处理。交易日结束清除未提交阶段并记录原因，不跨日重用。
+- 引擎即使没有策略分钟订阅，也为活动批次维护真实报价时钟，并加载待买标的；不新增策略回调。
+- 未修改Source、行情/生命周期门禁、风控、原用户配置或历史结果。PreOpenCash/SamePointNet不因本补丁被强改成SellThenBuy。
+
+## 当前测试
+
+9项新增专项覆盖未成交卖出续买、部分成交/买单ID、窗口结束、新信号覆盖、发送前新价/日期、缺价拒绝、止盈清仓禁回买、跨日清理和不订阅分钟的完整引擎执行。全工作区803项通过、9项外部/专项忽略单列；配套Trading613通过，Runner本机432通过、9项忽略。完整引擎测试夹具需显式提供每日因子与候选，缺少两者会得到无执行日期，不能据空运行当作成功。
+
+177独立进程对三个原请求分别执行原版和修复版，共六次原生回放；原版各自与原历史Canonical相等，原请求及数据包不变。修复后两种优先级均10成交/4持仓/权益9,706,248.648662，逐股数量、费用、时钟、逐日权益和持仓完全一致（订单ID仍按各自原顺序生成，不伪装为同一Canonical）。原24只回放51成交/21持仓/权益9,685,563.876924999，不强求保留旧54笔：09-08和09-10卖出晚于窗口，未提交买入阶段到期；09-11卖出09:31完成后继续买入。混合样本09-09与09-10同样在窗外不新建买单，09-11在09:34完成卖出后续买，已提交DAY单可在窗口后继续成交。
+
+生产API三次验收分别为btr_req_6854471517438a896378785b96a81e4ab41f0d77f898bf37、btr_req_0d32c6e07598c16728992374f1800804ad2cd06d85f18d15、btr_req_4ae4ee17bf90bbba5ca579a79c7d4e1c410fc2d4506e5800，均与对应原生候选Canonical相同；旧结果/配置回读保持。未提交券商委托、创建交易任务或改写配置，Source冻结及研究/信号暂停保持。完整逐笔回执在177 /srv/fidc/canonical/run/research/stock-pool-sell-buy-20260913，部署回执/tmp/fidc-sell-buy-api-release-20260913.json与/tmp/fidc-sell-buy-trading-release-20260913.json。
+
+优先级在真实资金或仓位约束不足时仍可影响分配，不能将本例结论外推所有排序。完整Goal下一项仍是手工委托影子回放、流式日期消息/摘要投影和剩余参数矩阵；不重复此已解决样本。