Merge remote-tracking branch 'refs/remotes/highmem177/main'

crates/fidc-core/src/broker.rs

@@ -292,42 +292,76 @@ pub struct DynamicSlippageConfig {
 impl DynamicSlippageConfig {
     pub fn new(impact_coefficient: f64, volatility_coefficient: f64, max_ratio: f64) -> Self {
         Self {
-            impact_coefficient: impact_coefficient.max(0.0),
+            impact_coefficient,
-            volatility_coefficient: volatility_coefficient.max(0.0),
+            volatility_coefficient,
-            max_ratio: max_ratio.max(0.0),
+            max_ratio,
         }
     }
 
     pub(crate) fn ratio(
         &self,
-        snapshot: &crate::data::DailyMarketSnapshot,
+        calibration: &HistoricalSlippageCalibration,
-        raw_price: f64,
         order_value: Option<f64>,
-    ) -> f64 {
+    ) -> Result<f64, BacktestError> {
-        let daily_amount = (snapshot.volume as f64 * raw_price).max(0.0);
+        if [self.impact_coefficient, self.volatility_coefficient, self.max_ratio]
+            .into_iter().any(|value| !value.is_finite() || value < 0.0)
+            || self.max_ratio >= 1.0
+            || order_value.is_some_and(|value| !value.is_finite() || value < 0.0)
+        {
+            return Err(BacktestError::Execution("invalid_historical_slippage_parameters_or_order_value".into()));
+        }
         let impact_ratio = match order_value {
-            Some(value) if value.is_finite() && value > 0.0 && daily_amount > 0.0 => {
+            Some(value) if value.is_finite() && value > 0.0 => {
-                value / daily_amount
+                value / calibration.turnover_proxy
             }
             _ => 0.0,
         };
-        let volatility_base = if snapshot.prev_close.is_finite() && snapshot.prev_close > 0.0 {
+        let impact = if self.impact_coefficient == 0.0 { 0.0 } else { impact_ratio * self.impact_coefficient };
-            snapshot.prev_close
+        let ratio = impact
-        } else {
+            + calibration.range_ratio * self.volatility_coefficient;
-            raw_price
+        Ok(ratio.clamp(0.0, self.max_ratio))
-        };
+    }
-        let volatility = if snapshot.high.is_finite()
+}
-            && snapshot.low.is_finite()
+
-            && volatility_base.is_finite()
+#[derive(Debug, Clone, Copy)]
-            && volatility_base > 0.0
+pub(crate) struct HistoricalSlippageCalibration {
+    source_date: NaiveDate,
+    turnover_proxy: f64,
+    range_ratio: f64,
+}
+
+impl HistoricalSlippageCalibration {
+    pub(crate) fn for_execution(data: &DataSet, date: NaiveDate, symbol: &str) -> Result<Self, BacktestError> {
+        let missing = || BacktestError::Execution(format!(
+            "historical_slippage_calibration_missing symbol={symbol} execution_date={date} policy=previous_completed_session"
+        ));
+        let previous_date = data.previous_trading_date(date, 1).ok_or_else(missing)?;
+        let row = data.market(previous_date, symbol).ok_or_else(missing)?;
+        Self::from_completed_snapshot(row, date)
+    }
+
+    fn from_completed_snapshot(
+        row: &crate::data::DailyMarketSnapshot,
+        execution_date: NaiveDate,
+    ) -> Result<Self, BacktestError> {
+        let turnover_proxy = row.volume as f64 * row.close;
+        let range_ratio = (row.high - row.low) / row.prev_close;
+        if row.date >= execution_date
+            || [row.high, row.low, row.close, row.prev_close, turnover_proxy]
+                .into_iter().any(|value| !value.is_finite() || value <= 0.0)
+            || row.high < row.low
+            || !range_ratio.is_finite()
         {
-            ((snapshot.high - snapshot.low).abs() / volatility_base).max(0.0)
+            return Err(BacktestError::Execution(format!(
-        } else {
+                "historical_slippage_calibration_invalid symbol={} source_date={} execution_date={} volume={} high={} low={} close={} prev_close={}",
-            0.0
+                row.symbol, row.date, execution_date, row.volume, row.high, row.low, row.close, row.prev_close,
-        };
+            )));
-        let ratio =
+        }
-            impact_ratio * self.impact_coefficient + volatility * self.volatility_coefficient;
+        Ok(Self {
-        ratio.clamp(0.0, self.max_ratio)
+            source_date: row.date,
+            turnover_proxy,
+            range_ratio,
+        })
     }
 }
 
@@ -343,7 +377,7 @@ pub enum SlippageModel {
     PriceRatio(f64),
     TickSize(f64),
     LimitPrice,
-    Dynamic(DynamicSlippageConfig),
+    HistoricalVolumeVolatility(DynamicSlippageConfig),
 }
 
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
@@ -1109,12 +1143,28 @@ where
 
     fn snapshot_execution_price(
         &self,
+        data: &DataSet,
         snapshot: &crate::data::DailyMarketSnapshot,
         side: OrderSide,
         quantity: Option<u32>,
-    ) -> f64 {
+    ) -> Result<f64, BacktestError> {
         let raw_price = self.snapshot_raw_execution_price(snapshot, side);
-        self.apply_slippage(snapshot, side, raw_price, quantity)
+        let calibration = self.slippage_calibration(data, snapshot)?;
+        self.apply_slippage(snapshot, side, raw_price, quantity, calibration.as_ref())
+    }
+
+    fn slippage_calibration(
+        &self,
+        data: &DataSet,
+        snapshot: &crate::data::DailyMarketSnapshot,
+    ) -> Result<Option<HistoricalSlippageCalibration>, BacktestError> {
+        if !matches!(self.slippage_model, SlippageModel::HistoricalVolumeVolatility(_))
+            || self.is_open_auction_matching()
+            || self.is_post_close_fixed_price(snapshot.date)
+        {
+            return Ok(None);
+        }
+        HistoricalSlippageCalibration::for_execution(data, snapshot.date, &snapshot.symbol).map(Some)
     }
 
     fn snapshot_raw_execution_price(
@@ -1184,17 +1234,18 @@ where
         side: OrderSide,
         raw_price: f64,
         quantity: Option<u32>,
-    ) -> f64 {
+        calibration: Option<&HistoricalSlippageCalibration>,
+    ) -> Result<f64, BacktestError> {
         if !raw_price.is_finite() || raw_price <= 0.0 {
-            return raw_price;
+            return Ok(raw_price);
         }
 
         if self.is_open_auction_matching() {
-            return self.clamp_execution_price(snapshot, side, raw_price);
+            return Ok(self.clamp_execution_price(snapshot, side, raw_price));
         }
 
         if self.is_post_close_fixed_price(snapshot.date) {
-            return self.clamp_execution_price(snapshot, side, raw_price);
+            return Ok(self.clamp_execution_price(snapshot, side, raw_price));
         }
 
         let order_value = quantity.and_then(|qty| (qty > 0).then_some(raw_price * qty as f64));
@@ -1216,8 +1267,12 @@ where
                 }
             }
             SlippageModel::LimitPrice => raw_price,
-            SlippageModel::Dynamic(config) => {
+            SlippageModel::HistoricalVolumeVolatility(config) => {
-                let ratio = config.ratio(snapshot, raw_price, order_value);
+                let calibration = calibration.filter(|value| value.source_date < snapshot.date)
+                    .ok_or_else(|| BacktestError::Execution(format!(
+                        "historical_slippage_calibration_required symbol={} execution_date={}", snapshot.symbol, snapshot.date,
+                    )))?;
+                let ratio = config.ratio(calibration, order_value)?;
                 match side {
                     OrderSide::Buy => raw_price * (1.0 + ratio),
                     OrderSide::Sell => raw_price * (1.0 - ratio),
@@ -1231,7 +1286,7 @@ where
             adjusted *= 1.0 + self.sell_then_buy_delay_slippage_rate;
         }
 
-        self.clamp_execution_price(snapshot, side, adjusted)
+        Ok(self.clamp_execution_price(snapshot, side, adjusted))
     }
 
     fn clamp_execution_price(
@@ -1266,8 +1321,9 @@ where
         side: OrderSide,
         raw_price: f64,
         quantity: Option<u32>,
-    ) -> f64 {
+        calibration: Option<&HistoricalSlippageCalibration>,
-        self.apply_slippage(snapshot, side, raw_price, quantity)
+    ) -> Result<f64, BacktestError> {
+        self.apply_slippage(snapshot, side, raw_price, quantity, calibration)
     }
 
     fn matching_type_for_algo_request(
@@ -1577,7 +1633,7 @@ where
                     .unwrap_or(0);
                 if target_qty > current_qty {
                     let requested_qty = target_qty - current_qty;
-                    if !self.can_afford_minimum_buy(date, portfolio, data, &symbol) {
+                    if !self.can_afford_minimum_buy(date, portfolio, data, &symbol)? {
                         if report.diagnostics.len() < 32 {
                             report.diagnostics.push(format!(
                                 "rebalance_buy_reduced symbol={} provisional={} final={} current={} reason=actual_cash_after_sells",
@@ -3385,7 +3441,7 @@ where
                     price,
                     minimum_order_quantity,
                     order_step_size,
-                ))
+                )?)
             } else {
                 self.round_buy_quantity(
                     (target_value / price).floor() as u32,
@@ -3441,15 +3497,17 @@ where
             let buy_execution_price = data
                 .market(date, &symbol)
                 .map(|snapshot| {
-                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(buy_quantity))
+                    self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(buy_quantity))
                 })
+                .transpose()?
                 .filter(|execution_price| execution_price.is_finite() && *execution_price > 0.0)
                 .unwrap_or(price);
             let sell_execution_price = data
                 .market(date, &symbol)
                 .map(|snapshot| {
-                    self.snapshot_execution_price(snapshot, OrderSide::Sell, Some(sell_quantity))
+                    self.snapshot_execution_price(data, snapshot, OrderSide::Sell, Some(sell_quantity))
                 })
+                .transpose()?
                 .filter(|execution_price| execution_price.is_finite() && *execution_price > 0.0)
                 .unwrap_or(price);
             if desired_qty < current_qty
@@ -3779,7 +3837,7 @@ where
                 continue;
             }
             let buy_qty = target_qty - current_qty;
-            if !self.can_afford_minimum_buy(date, portfolio, data, symbol) {
+            if !self.can_afford_minimum_buy(date, portfolio, data, symbol)? {
                 if report.diagnostics.len() < 32 {
                     report.diagnostics.push(format!(
                         "rebalance_buy_reduced symbol={} provisional={} final={} current={} reason=actual_cash_after_sells",
@@ -4283,9 +4341,9 @@ where
         portfolio: &PortfolioState,
         data: &DataSet,
         symbol: &str,
-    ) -> bool {
+    ) -> Result<bool, BacktestError> {
         let Some(snapshot) = data.market(date, symbol) else {
-            return true;
+            return Ok(true);
         };
         let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
         let order_step_size = self.order_step_size(data, symbol);
@@ -4295,14 +4353,14 @@ where
             order_step_size,
         );
         if minimum_buy_quantity == 0 {
-            return false;
+            return Ok(false);
         }
         let minimum_execution_price =
-            self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(minimum_buy_quantity));
+            self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(minimum_buy_quantity))?;
-        Self::fixed_cash_fits(
+        Ok(Self::fixed_cash_fits(
             self.estimated_buy_cash_out(date, minimum_execution_price, minimum_buy_quantity),
             portfolio.cash(),
-        )
+        ))
     }
 
     fn process_sell(
@@ -4710,7 +4768,7 @@ where
             None,
             algo_request,
             limit_price,
-        );
+        )?;
         let (filled_qty, execution_legs, next_cursor, liquidity_consumption) = if let Some(fill) =
             fill
         {
@@ -4724,7 +4782,7 @@ where
             )
         } else {
             let execution_price =
-                self.snapshot_execution_price(snapshot, OrderSide::Sell, Some(fillable_qty));
+                self.snapshot_execution_price(data, snapshot, OrderSide::Sell, Some(fillable_qty))?;
             if let Some(reason) =
                 self.execution_limit_rejection_reason(snapshot, OrderSide::Sell, execution_price)
             {
@@ -6438,7 +6496,7 @@ where
             value_gross_limit,
             algo_request,
             limit_price,
-        );
+        )?;
         let (filled_qty, execution_legs, next_cursor, liquidity_consumption) = if let Some(fill) =
             fill
         {
@@ -6452,7 +6510,7 @@ where
             )
         } else {
             let execution_price =
-                self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(constrained_qty));
+                self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(constrained_qty))?;
             if let Some(reason) =
                 self.execution_limit_rejection_reason(snapshot, OrderSide::Buy, execution_price)
             {
@@ -6494,10 +6552,11 @@ where
                         let mut blocked_by_final_price = false;
                         if filled_qty > 0 {
                             execution_price = self.snapshot_execution_price(
+                                data,
                                 snapshot,
                                 OrderSide::Buy,
                                 Some(filled_qty),
-                            );
+                            )?;
                             match self.execution_price_with_limit_slippage_or_rejection(
                                 snapshot,
                                 OrderSide::Buy,
@@ -7085,7 +7144,7 @@ where
         fallback_price: f64,
         minimum_order_quantity: u32,
         order_step_size: u32,
-    ) -> u32 {
+    ) -> Result<u32, BacktestError> {
         let snapshot = data.market(date, symbol);
         let mut quantity = self.value_buy_quantity(
             date,
@@ -7097,8 +7156,9 @@ where
         for _ in 0..8 {
             let execution_price = snapshot
                 .map(|snapshot| {
-                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(quantity))
+                    self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(quantity))
                 })
+                .transpose()?
                 .filter(|price| price.is_finite() && *price > 0.0)
                 .unwrap_or(fallback_price);
             let resolved = self.value_buy_quantity(
@@ -7109,27 +7169,28 @@ where
                 order_step_size,
             );
             if resolved == quantity {
-                return quantity;
+                return Ok(quantity);
             }
             quantity = resolved;
         }
         while quantity >= minimum_order_quantity.max(1) {
             let execution_price = snapshot
                 .map(|snapshot| {
-                    self.snapshot_execution_price(snapshot, OrderSide::Buy, Some(quantity))
+                    self.snapshot_execution_price(data, snapshot, OrderSide::Buy, Some(quantity))
                 })
+                .transpose()?
                 .filter(|price| price.is_finite() && *price > 0.0)
                 .unwrap_or(fallback_price);
             if Self::fixed_cash_fits(
                 self.estimated_buy_cash_out(date, execution_price, quantity),
                 value_budget,
             ) {
-                return quantity;
+                return Ok(quantity);
             }
             quantity =
                 self.decrement_order_quantity(quantity, minimum_order_quantity, order_step_size);
         }
-        0
+        Ok(0)
     }
 
     fn decrement_order_quantity(
@@ -7396,14 +7457,14 @@ where
         gross_limit: Option<f64>,
         algo_request: Option<&AlgoExecutionRequest>,
         limit_price: Option<f64>,
-    ) -> Option<ExecutionFill> {
+    ) -> Result<Option<ExecutionFill>, BacktestError> {
         let matching_type = self.matching_type_for_algo_request(algo_request);
         let post_close_window = self.post_close_execution_window(date);
         let use_intraday_quotes = post_close_window.is_some()
             || algo_request.is_some()
             || self.matching_type_uses_intraday_quotes();
         if !use_intraday_quotes {
-            return None;
+            return Ok(None);
         }
 
         let runtime_start_time = self.runtime_intraday_start_time.get();
@@ -7430,6 +7491,7 @@ where
             end_cursor
         };
         let quotes = data.execution_quotes_on(date, symbol);
+        let calibration = self.slippage_calibration(data, snapshot)?;
 
         if let Some(fill) = self.select_execution_fill_with_ledger(
             symbol,
@@ -7448,8 +7510,9 @@ where
             gross_limit,
             limit_price,
             execution_ledger,
-        ) {
+            calibration.as_ref(),
-            return Some(fill);
+        )? {
+            return Ok(Some(fill));
         }
 
         if post_close_window.is_some()
@@ -7464,7 +7527,7 @@ where
                 .or(self.intraday_execution_start_time)
                 .map(|start_time| date.and_time(start_time) + Duration::seconds(1))
                 .unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
-            return Some(ExecutionFill {
+            return Ok(Some(ExecutionFill {
                 quantity: 0,
                 next_cursor,
                 legs: Vec::new(),
@@ -7475,10 +7538,10 @@ where
                     end_cursor,
                     matching_type == MatchingType::MinuteLast && start_cursor.is_some(),
                 )),
-            });
+            }));
         }
 
-        None
+        Ok(None)
     }
 
     fn empty_intraday_quote_reason(
@@ -7542,7 +7605,9 @@ where
             gross_limit,
             limit_price,
             &IntradayExecutionLedger::default(),
+            None,
         )
+        .expect("test quote selection without historical calibration")
     }
 
     #[allow(clippy::too_many_arguments)]
@@ -7564,9 +7629,10 @@ where
         gross_limit: Option<f64>,
         limit_price: Option<f64>,
         execution_ledger: &IntradayExecutionLedger,
-    ) -> Option<ExecutionFill> {
+        calibration: Option<&HistoricalSlippageCalibration>,
+    ) -> Result<Option<ExecutionFill>, BacktestError> {
         if requested_qty == 0 {
-            return None;
+            return Ok(None);
         }
 
         let quote_quantity_limited =
@@ -7714,7 +7780,7 @@ where
             }
 
             let mut quote_price =
-                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty), calibration)?;
             if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
             {
                 execution_block_reason.get_or_insert(reason);
@@ -7734,7 +7800,7 @@ where
             if let Some(cash) = cash_limit {
                 while take_qty > 0 {
                     quote_price =
-                        self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+                        self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty), calibration)?;
                     if !quote_price.is_finite() || quote_price <= 0.0 {
                         budget_block_reason = Some("invalid execution price");
                         take_qty = 0;
@@ -7786,7 +7852,7 @@ where
             }
 
             quote_price =
-                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty));
+                self.quote_execution_price(snapshot, side, raw_quote_price, Some(take_qty), calibration)?;
             quote_price = self.execution_price_with_limit_slippage(quote_price, limit_price);
             if let Some(reason) = self.execution_limit_rejection_reason(snapshot, side, quote_price)
             {
@@ -7844,7 +7910,7 @@ where
             if let Some(reason) = execution_block_reason
                 && !saw_non_blocked_execution_price
             {
-                return Some(ExecutionFill {
+                return Ok(Some(ExecutionFill {
                     quantity: 0,
                     next_cursor: execution_block_timestamp
                         .expect("blocked execution quote timestamp")
@@ -7852,12 +7918,12 @@ where
                     legs: Vec::new(),
                     liquidity_consumption: Vec::new(),
                     unfilled_reason: Some(reason),
-                });
+                }));
             }
-            return None;
+            return Ok(None);
         }
 
-        Some(ExecutionFill {
+        Ok(Some(ExecutionFill {
             quantity: filled_qty,
             next_cursor: last_timestamp.unwrap() + Duration::seconds(1),
             legs: if matching_type == MatchingType::Vwap {
@@ -7881,7 +7947,7 @@ where
             } else {
                 None
             },
-        })
+        }))
     }
 
     fn quote_has_executable_liquidity(
@@ -8129,6 +8195,88 @@ mod tests {
         }
     }
 
+    #[test]
+    fn historical_slippage_does_not_read_later_daily_fields_for_open_or_minute_fills() {
+        let previous = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+        let build_data = |changed: bool| {
+            let mut prior = dated_limit_test_snapshot(previous);
+            prior.timestamp = None;
+            let mut current = dated_limit_test_snapshot(date);
+            current.timestamp = None;
+            if changed {
+                current.high = 10.9;
+                current.low = 9.1;
+                current.close = 10.8;
+                current.volume = 400;
+            }
+            let mut quote = limit_test_quote(10.0, 10.0, 10.0);
+            quote.date = date;
+            quote.timestamp = date.and_hms_opt(13, 7, 0).unwrap();
+            DataSet::from_components_with_actions_and_quotes(
+                vec![limit_test_instrument()], vec![prior, current], Vec::new(),
+                vec![dated_limit_test_candidate(previous, false, false, true, true), dated_limit_test_candidate(date, false, false, true, true)],
+                vec![dated_limit_test_benchmark(previous), dated_limit_test_benchmark(date)],
+                Vec::new(), vec![quote],
+            ).unwrap()
+        };
+        let decision = StrategyDecision {
+            order_intents: vec![OrderIntent::Value {
+                symbol: "000001.SZ".into(), value: 50_000.0, reason: "historical_model_invariance".into(),
+            }], ..StrategyDecision::default()
+        };
+        for matching in [MatchingType::NextBarOpen, MatchingType::MinuteLast] {
+            let mut results = Vec::new();
+            for changed in [false, true] {
+                let data = build_data(changed);
+                let mut broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+                    .with_matching_type(matching)
+                    .with_volume_limit(false).with_liquidity_limit(false)
+                    .with_slippage_model(SlippageModel::HistoricalVolumeVolatility(super::DynamicSlippageConfig::new(0.5, 0.3, 0.1)));
+                if matching == MatchingType::MinuteLast {
+                    broker = broker.with_intraday_execution_start_time(NaiveTime::from_hms_opt(13, 7, 0).unwrap());
+                }
+                let mut account = PortfolioState::new(1_000_000.0);
+                let report = broker.execute_with_event_dates(date, previous, previous, &mut account, &data, &decision).unwrap();
+                assert_eq!(report.fill_events.len(), 1, "{report:?}");
+                results.push((serde_json::to_value(&report.fill_events).unwrap(), account.cash()));
+            }
+            assert_eq!(results[0], results[1], "{matching:?}");
+        }
+    }
+
+    #[test]
+    fn historical_slippage_rejects_missing_future_or_invalid_calibration_without_raw_price_fallback() {
+        let snapshot = limit_test_snapshot();
+        let date = snapshot.date;
+        assert!(super::HistoricalSlippageCalibration::from_completed_snapshot(&snapshot, date).is_err());
+        let later = date + chrono::Duration::days(1);
+        let mut bad = snapshot.clone();
+        bad.volume = 0;
+        assert!(super::HistoricalSlippageCalibration::from_completed_snapshot(&bad, later).is_err());
+        bad = snapshot.clone();
+        bad.high = f64::NAN;
+        assert!(super::HistoricalSlippageCalibration::from_completed_snapshot(&bad, later).is_err());
+        let calibration = super::HistoricalSlippageCalibration::from_completed_snapshot(&snapshot, later).unwrap();
+        assert!(super::DynamicSlippageConfig::new(f64::NAN, 0.3, 0.1).ratio(&calibration, Some(100.0)).is_err());
+        assert!(super::DynamicSlippageConfig::new(-1.0, 0.3, 0.1).ratio(&calibration, Some(100.0)).is_err());
+        assert!(super::DynamicSlippageConfig::new(0.5, 0.3, 1.0).ratio(&calibration, Some(100.0)).is_err());
+
+        let data = DataSet::from_components(vec![limit_test_instrument()], vec![snapshot], Vec::new(),
+            vec![limit_test_candidate(true, true)], vec![limit_test_benchmark()]).unwrap();
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_volume_limit(false).with_liquidity_limit(false)
+            .with_slippage_model(SlippageModel::HistoricalVolumeVolatility(super::DynamicSlippageConfig::default()));
+        let mut account = PortfolioState::new(1_000_000.0);
+        let decision = StrategyDecision { order_intents: vec![OrderIntent::Value {
+            symbol: "000001.SZ".into(), value: 50_000.0, reason: "missing_calibration".into(),
+        }], ..StrategyDecision::default() };
+        let error = broker.execute(date, &mut account, &data, &decision).unwrap_err();
+        assert!(error.to_string().contains("historical_slippage_calibration_missing"), "{error}");
+        assert_eq!(account.cash(), 1_000_000.0);
+        assert!(account.positions().is_empty());
+    }
+
     fn limit_test_candidate(allow_buy: bool, allow_sell: bool) -> CandidateEligibility {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
         CandidateEligibility {
@@ -8442,6 +8590,11 @@ mod tests {
         let mut snapshot = dated_limit_test_snapshot(date);
         snapshot.close = 10.0;
         snapshot.upper_limit = 20.0;
+        let data = DataSet::from_components(
+            vec![limit_test_instrument()], vec![snapshot.clone()], Vec::new(),
+            vec![dated_limit_test_candidate(date, false, false, true, true)],
+            vec![dated_limit_test_benchmark(date)],
+        ).unwrap();
 
         for (hour, minute) in [(14, 59), (15, 31)] {
             broker
@@ -8452,7 +8605,7 @@ mod tests {
                 EquityExecutionPhase::ContinuousAuction
             );
             assert_eq!(
-                broker.snapshot_execution_price(&snapshot, OrderSide::Buy, Some(100)),
+                broker.snapshot_execution_price(&data, &snapshot, OrderSide::Buy, Some(100)).unwrap(),
                 12.5
             );
         }
@@ -8465,7 +8618,7 @@ mod tests {
                 EquityExecutionPhase::PostCloseFixedPrice
             );
             assert_eq!(
-                broker.snapshot_execution_price(&snapshot, OrderSide::Buy, Some(100)),
+                broker.snapshot_execution_price(&data, &snapshot, OrderSide::Buy, Some(100)).unwrap(),
                 10.0
             );
         }

crates/fidc-core/src/platform_expr_strategy.rs

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

crates/fidc-core/src/platform_strategy_spec.rs

@@ -912,6 +912,8 @@ pub struct StrategyExpressionSelectionConfig {
     pub current_day_precomputed_factors: Option<bool>,
     #[serde(default, alias = "candidate_symbols_by_date")]
     pub candidate_symbols_by_date: BTreeMap<String, Vec<String>>,
+    #[serde(default, alias = "preserve_candidate_order")]
+    pub preserve_candidate_order: bool,
 }
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -1528,7 +1530,6 @@ fn normalize_slippage_model_name(value: &str) -> String {
         | "price_rate"
         | "price_ratio_slippage"
         | "priceratioslippage" => "price_ratio".to_string(),
-        "dynamic_volume_volatility" => "dynamic".to_string(),
         other => other.to_string(),
     }
 }
@@ -1573,11 +1574,13 @@ fn parse_slippage_model(
     impact_coefficient: Option<f64>,
     volatility_coefficient: Option<f64>,
     max_value: Option<f64>,
-) -> Option<SlippageModel> {
+) -> Result<SlippageModel, String> {
-    let value = valid_non_negative(value);
+    for (name, parameter) in [("slippageValue", value), ("slippageImpactCoefficient", impact_coefficient),
-    let impact_coefficient = valid_non_negative(impact_coefficient);
+        ("slippageVolatilityCoefficient", volatility_coefficient), ("slippageMaxValue", max_value)] {
-    let volatility_coefficient = valid_non_negative(volatility_coefficient);
+        if parameter.is_some_and(|number| !number.is_finite() || number < 0.0) {
-    let max_value = valid_non_negative(max_value);
+            return Err(format!("{name} must be finite and non-negative"));
+        }
+    }
     let model = model
         .map(normalize_slippage_model_name)
         .filter(|item| !item.is_empty())
@@ -1590,16 +1593,23 @@ fn parse_slippage_model(
         });
 
     match model.as_str() {
-        "none" => Some(SlippageModel::None),
+        "none" => Ok(SlippageModel::None),
-        "price_ratio" => Some(SlippageModel::PriceRatio(value.unwrap_or(0.0))),
+        "price_ratio" => Ok(SlippageModel::PriceRatio(value.unwrap_or(0.0))),
-        "tick_size" => Some(SlippageModel::TickSize(value.unwrap_or(0.0))),
+        "tick_size" => Ok(SlippageModel::TickSize(value.unwrap_or(0.0))),
-        "limit_price" => Some(SlippageModel::LimitPrice),
+        "limit_price" => Ok(SlippageModel::LimitPrice),
-        "dynamic" => Some(SlippageModel::Dynamic(DynamicSlippageConfig::new(
+        "historical_volume_volatility" => {
-            impact_coefficient.unwrap_or(0.5),
+            let max_ratio = max_value.or(value).unwrap_or(0.01);
-            volatility_coefficient.unwrap_or(0.3),
+            if max_ratio >= 1.0 {
-            max_value.or(value).unwrap_or(0.01),
+                return Err("historical slippage maximum must be less than 1".into());
-        ))),
+            }
-        _ => None,
+            Ok(SlippageModel::HistoricalVolumeVolatility(DynamicSlippageConfig::new(
+                impact_coefficient.unwrap_or(0.5), volatility_coefficient.unwrap_or(0.3), max_ratio,
+            )))
+        },
+        "dynamic" | "dynamic_volume_volatility" => Err(
+            "retired_slippage_model: dynamic used unfinished daily data; explicitly select historical_volume_volatility or another supported model".into()
+        ),
+        _ => Err(format!("unsupported slippageModel: {model}")),
     }
 }
 
@@ -1630,15 +1640,13 @@ fn apply_execution_behavior_overrides(
         || slippage_volatility_coefficient.is_some()
         || slippage_max_value.is_some()
     {
-        if let Some(parsed) = parse_slippage_model(
+        cfg.slippage_model = parse_slippage_model(
             slippage_model,
             slippage_value,
             slippage_impact_coefficient,
             slippage_volatility_coefficient,
             slippage_max_value,
-        ) {
+        )?;
-            cfg.slippage_model = parsed;
-        }
     }
     if strict_value_budget == Some(false) {
         return Err("strictValueBudget=false is not supported".to_string());
@@ -2127,12 +2135,16 @@ pub fn platform_expr_config_from_spec(
             if let Some(enabled) = selection.current_day_precomputed_factors {
                 cfg.current_day_precomputed_factors = enabled;
             }
+            if selection.preserve_candidate_order && selection.candidate_symbols_by_date.is_empty() {
+                return Err("preserveCandidateOrder requires a dated candidate book".to_string());
+            }
             for (raw_date, raw_symbols) in &selection.candidate_symbols_by_date {
                 let trade_date = NaiveDate::parse_from_str(raw_date, "%Y-%m-%d").map_err(|_| {
                     format!("candidateSymbolsByDate contains invalid date: {raw_date}")
                 })?;
                 let mut symbols = BTreeSet::new();
-                for raw_symbol in raw_symbols {
+                let mut order = BTreeMap::new();
+                for (index, raw_symbol) in raw_symbols.iter().enumerate() {
                     let symbol = normalize_symbol(raw_symbol, None);
                     let valid = symbol.rsplit_once('.').is_some_and(|(code, exchange)| {
                         code.len() == 6
@@ -2149,8 +2161,12 @@ pub fn platform_expr_config_from_spec(
                             "candidateSymbolsByDate contains duplicate date/symbol: {raw_date} {symbol}"
                         ));
                     }
+                    order.insert(symbol, index);
                 }
                 cfg.candidate_symbols_by_date.insert(trade_date, symbols);
+                if selection.preserve_candidate_order {
+                    cfg.candidate_order_by_date.insert(trade_date, order);
+                }
             }
         }
         if let Some(allocation) = runtime_expr.allocation.as_ref()
@@ -3329,6 +3345,25 @@ mod tests {
         );
     }
 
+    #[test]
+    fn frozen_candidate_order_is_explicit_and_preserves_source_positions() {
+        let mut spec = serde_json::json!({"runtimeExpressions": {"selection": {
+            "candidateSymbolsByDate": {
+                "2025-01-02": ["600000.SH", "000001.SZ"], "2025-01-03": []
+            }
+        }}});
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let legacy = platform_expr_config_from_value("", "", &spec).unwrap();
+        assert!(legacy.candidate_order_by_date.is_empty());
+        spec["runtimeExpressions"]["selection"]["preserveCandidateOrder"] = serde_json::json!(true);
+        let ordered = platform_expr_config_from_value("", "", &spec).unwrap();
+        assert_eq!(ordered.candidate_order_by_date[&date]["600000.SH"], 0);
+        assert_eq!(ordered.candidate_order_by_date[&date]["000001.SZ"], 1);
+        assert!(ordered.candidate_order_by_date[&NaiveDate::from_ymd_opt(2025, 1, 3).unwrap()].is_empty());
+        spec["runtimeExpressions"]["selection"]["candidateSymbolsByDate"] = serde_json::json!({});
+        assert!(platform_expr_config_from_value("", "", &spec).unwrap_err().to_string().contains("dated candidate book"));
+    }
+
     #[test]
     fn rejects_invalid_or_duplicate_static_universe_symbols() {
         let invalid = serde_json::json!({
@@ -4337,10 +4372,10 @@ mod tests {
     }
 
     #[test]
-    fn parses_dynamic_slippage_into_platform_config() {
+    fn parses_explicit_historical_slippage_into_platform_config() {
         let spec = serde_json::json!({
             "execution": {
-                "slippageModel": "dynamic",
+                "slippageModel": "historical_volume_volatility",
                 "slippageImpactCoefficient": 0.6,
                 "slippageVolatilityCoefficient": 0.2,
                 "slippageMaxValue": 0.015
@@ -4351,10 +4386,20 @@ mod tests {
 
         assert_eq!(
             cfg.slippage_model,
-            SlippageModel::Dynamic(DynamicSlippageConfig::new(0.6, 0.2, 0.015))
+            SlippageModel::HistoricalVolumeVolatility(DynamicSlippageConfig::new(0.6, 0.2, 0.015))
         );
     }
 
+    #[test]
+    fn retired_or_unknown_slippage_models_do_not_fall_back_to_fixed_or_none() {
+        for model in ["dynamic", "dynamic_volume_volatility", "dynamic-volume-volatility", "unknown"] {
+            let spec = serde_json::json!({"execution": {"slippageModel": model, "slippageValue": 0.002}});
+            assert!(platform_expr_config_from_value("", "", &spec).is_err(), "{model}");
+        }
+        let spec = serde_json::json!({"execution": {"slippageModel": "historical_volume_volatility", "slippageImpactCoefficient": -1}});
+        assert!(platform_expr_config_from_value("", "", &spec).is_err());
+    }
+
     #[test]
     fn engine_stock_ma_filter_generates_price_and_volume_expr() {
         let spec = serde_json::json!({

crates/fidc-core/tests/explicit_order_flow.rs

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

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

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

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

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