统一 FIDC FiPanda 品牌标识与资源

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/src/execution_capacity.rs

@@ -0,0 +1,170 @@
+//! 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,
+}
+
+#[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,
+}
+
+/// 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 {
+pub use crate::factor_event_catalog::catalog;
-    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"}})
-}
 
 impl Frame {
     pub fn validate(&self) -> Result<(), String> {
@@ -958,124 +932,5 @@ fn operator(
 }
 
 #[cfg(test)]
-mod tests {
+#[path = "factor_events_tests.rs"]
-    use super::*;
+mod tests;
-    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/factor_events_tests.rs

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

crates/fidc-core/src/lib.rs

@@ -6,6 +6,9 @@ pub mod daily_patterns;
 pub mod pattern_context;
 pub mod session_events;
 pub mod factor_events;
+pub mod execution_capacity;
+mod execution_schedule;
+mod factor_event_catalog;
 pub mod factor_cross_section;
 pub mod market_event_context;
 pub mod engine;

crates/fidc-core/src/metrics.rs

@@ -558,7 +558,9 @@ fn alpha_beta(
 }
 
 fn drawdown_stats(nav: &[f64]) -> (f64, usize) {
-    let mut peak = 0.0_f64;
+    // NAV is measured against the pre-period capital. The first real loss
+    // must not become a new zero-drawdown baseline.
+    let mut peak = 1.0_f64;
     let mut max_drawdown = 0.0_f64;
     let mut duration = 0_usize;
     let mut max_duration = 0_usize;
@@ -767,6 +769,28 @@ fn safe_div(numerator: f64, denominator: f64, fallback: f64) -> f64 {
 mod tests {
     use super::*;
 
+    #[test]
+    fn drawdown_includes_initial_nav_without_adding_a_trading_day() {
+        let (drawdown, duration) = drawdown_stats(&[0.9, 0.99]);
+        assert!((drawdown + 0.1).abs() < 1e-12);
+        assert_eq!(duration, 2);
+        assert_eq!(drawdown_stats(&[1.0, 1.1, 1.1]), (0.0, 0));
+        assert_eq!(drawdown_stats(&[0.0]), (-1.0, 1));
+        assert_eq!(drawdown_stats(&[]), (0.0, 0));
+    }
+
+    #[test]
+    fn first_day_loss_is_preserved_in_shared_backtest_metrics() {
+        let curve = vec![
+            equity_point("2025-01-03", 99.16648349337, 98.81608059815, 100.0),
+            equity_point("2025-01-06", 99.68551588547, 98.65392198168, 98.81608059815),
+        ];
+        let metrics = compute_backtest_metrics(&curve, &[], &[], &[], 100.0, None).unwrap();
+        assert!((metrics.max_drawdown + 0.0083351650663).abs() < 1e-12);
+        assert_eq!(metrics.total_trade_days, 2);
+        assert_eq!(metrics.max_drawdown_duration_days, 2);
+    }
+
     fn equity_point(
         date: &str,
         total_equity: f64,

crates/fidc-core/src/platform_expr_strategy.rs

@@ -7,7 +7,7 @@ use chrono::{Datelike, Duration, FixedOffset, NaiveDate, NaiveDateTime, NaiveTim
 use sha2::{Digest, Sha256};
 use rhai::{AST, Dynamic, Engine, ImmutableString, Map, Scope};
 
-use crate::broker::{MatchingType, RebalanceCashMode, SlippageModel};
+use crate::broker::{MatchingType, RebalanceCashMode, SlippageModel, intraday_reference_price};
 use crate::cost::ChinaAShareCostModel;
 #[cfg(test)]
 use crate::data::EligibleUniverseSnapshot;
@@ -17,6 +17,7 @@ use crate::data::{
     decision_market_cap_bn,
 };
 use crate::engine::BacktestError;
+use crate::execution_capacity::{CapacityError, ParticipationRate};
 use crate::events::{OrderSide, ProcessEvent, ProcessEventKind};
 use crate::fixed_point::FixedMoney;
 use crate::futures::{
@@ -675,6 +676,9 @@ 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 +763,7 @@ 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(),
@@ -1365,6 +1370,7 @@ pub struct PlatformExprStrategy {
     pattern_specs: RefCell<BTreeMap<String,String>>,
     pattern_frame_at:RefCell<Option<NaiveDateTime>>,
     config: PlatformExprStrategyConfig,
+    volume_rate: Result<ParticipationRate, CapacityError>,
     engine: Engine,
     rebalance_day_counter: usize,
     last_rebalance_date: Option<NaiveDate>,
@@ -1772,6 +1778,7 @@ impl PlatformExprStrategy {
             .clone()
             .map(PlatformPortfolioDrawdownController::new);
         Self {
+            volume_rate: ParticipationRate::new(config.risk_config.trading_constraints.volume_percent),
             config,
             engine,
             protection_fill_count: 0,
@@ -3007,13 +3014,14 @@ 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 +3041,11 @@ 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 +3058,7 @@ 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(
@@ -3079,32 +3090,7 @@ impl PlatformExprStrategy {
         quote: &crate::data::IntradayExecutionQuote,
         side: OrderSide,
     ) -> Option<f64> {
-        let last =
+        intraday_reference_price(quote,self.config.matching_type,side)
-            || (quote.last_price.is_finite() && quote.last_price > 0.0).then_some(quote.last_price);
-        match self.config.matching_type {
-            MatchingType::MinuteBestOwn => match side {
-                OrderSide::Buy => (quote.bid1.is_finite() && quote.bid1 > 0.0)
-                    .then_some(quote.bid1)
-                    .or_else(last),
-                OrderSide::Sell => (quote.ask1.is_finite() && quote.ask1 > 0.0)
-                    .then_some(quote.ask1)
-                    .or_else(last),
-            },
-            MatchingType::MinuteBestCounterparty => match side {
-                OrderSide::Buy => quote.buy_price(),
-                OrderSide::Sell => quote.sell_price(),
-            },
-            MatchingType::MinuteLast | MatchingType::Vwap | MatchingType::Twap => {
-                last().or_else(|| match side {
-                    OrderSide::Buy => quote.buy_price(),
-                    OrderSide::Sell => quote.sell_price(),
-                })
-            }
-            _ => match side {
-                OrderSide::Buy => quote.buy_price(),
-                OrderSide::Sell => quote.sell_price(),
-            },
-        }
     }
 
     fn projected_execution_limit_rejection_reason(
@@ -3148,9 +3134,9 @@ impl PlatformExprStrategy {
         allow_odd_lot_sell: bool,
         current_fill_quantity: u32,
         execution_state: &ProjectedExecutionState,
-    ) -> Option<u32> {
+    ) -> Result<Option<u32>, BacktestError> {
         if requested_qty == 0 {
-            return Some(0);
+            return Ok(Some(0));
         }
 
         let constraints = self.config.risk_config.trading_constraints;
@@ -3175,7 +3161,7 @@ impl PlatformExprStrategy {
             };
             if top_level_liquidity == 0 {
                 if quote.is_some() {
-                    return None;
+                    return Ok(None);
                 }
             } else {
                 let liquidity_limited = if side == OrderSide::Sell && allow_odd_lot_sell {
@@ -3188,7 +3174,7 @@ impl PlatformExprStrategy {
                     )
                 };
                 if liquidity_limited == 0 {
-                    return None;
+                    return Ok(None);
                 }
                 max_fill = max_fill.min(liquidity_limited);
             }
@@ -3201,7 +3187,7 @@ impl PlatformExprStrategy {
                 None => market.volume,
             };
             if volume_basis == 0 {
-                return None;
+                return Ok(None);
             }
             let consumed_turnover = execution_state
                 .intraday_turnover
@@ -3209,23 +3195,23 @@ impl PlatformExprStrategy {
                 .copied()
                 .unwrap_or(0)
                 .saturating_add(current_fill_quantity);
-            let raw_limit = ((volume_basis as f64) * constraints.volume_percent).floor() as i64
+            let raw_limit = self.volume_rate.map_err(|error| BacktestError::Execution(error.to_string()))?
-                - consumed_turnover as i64;
+                .remaining(volume_basis, u64::from(consumed_turnover), requested_qty);
-            if raw_limit <= 0 {
+            if raw_limit == 0 {
-                return None;
+                return Ok(None);
             }
             let volume_limited = if side == OrderSide::Sell && allow_odd_lot_sell {
-                raw_limit as u32
+                raw_limit
             } else {
-                self.round_lot_quantity(raw_limit as u32, minimum_order_quantity, order_step_size)
+                self.round_lot_quantity(raw_limit, minimum_order_quantity, order_step_size)
             };
             if volume_limited == 0 {
-                return None;
+                return Ok(None);
             }
             max_fill = max_fill.min(volume_limited);
         }
 
-        Some(max_fill)
+        Ok(Some(max_fill))
     }
 
     fn quote_lacks_level1_depth(quote: &crate::data::IntradayExecutionQuote) -> bool {
@@ -3246,7 +3232,7 @@ 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 +3266,11 @@ 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,
@@ -3325,7 +3311,7 @@ impl PlatformExprStrategy {
                     allow_odd_lot_sell,
                     filled_qty,
                     execution_state,
-                )
+                )?
                 .unwrap_or(0);
             if available_qty == 0 {
                 break;
@@ -3340,7 +3326,7 @@ 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 +3337,12 @@ 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 +3376,7 @@ 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()
@@ -3398,20 +3385,20 @@ impl PlatformExprStrategy {
             }
             gross_amount += quote_price * take_qty as f64;
             filled_qty += take_qty;
-            last_timestamp = Some(quote.timestamp);
+            last_timestamp = Some(start_cursor.max(quote.timestamp));
             if filled_qty >= requested_qty {
                 break;
             }
         }
 
         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 +3429,7 @@ 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 +3441,27 @@ 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 mut fill = self
             .projected_select_execution_fill_at_time(
                 ctx,
                 date,
@@ -3489,14 +3476,10 @@ impl PlatformExprStrategy {
                 None,
                 execution_state,
                 execution_time,
-            )
+            )?;
-            .or_else(|| {
+        if fill.is_none()
-                if self.uses_intraday_execution_quotes()
+            && (!self.uses_intraday_execution_quotes() || Self::defer_projection_execution_risk(ctx, date))
-                    && !Self::defer_projection_execution_risk(ctx, date)
+            && !self.has_execution_quote_at_or_before_at_time(
-                {
-                    return None;
-                }
-                if !self.has_execution_quote_at_or_before_at_time(
                     ctx,
                     date,
                     symbol,
@@ -3504,7 +3487,7 @@ impl PlatformExprStrategy {
                     execution_time,
                 ) && ctx.data.execution_quotes_on(date, symbol).is_empty()
         {
-                    let fallback_quantity = self.projected_market_fillable_quantity(
+            if let Some(fallback_quantity) = self.projected_market_fillable_quantity(
                         market,
                         None,
                         symbol,
@@ -3516,27 +3499,24 @@ impl PlatformExprStrategy {
                         sellable_qty >= current_qty,
                         0,
                         execution_state,
-                    )?;
+                    )?.filter(|quantity| *quantity > 0)
-                    if fallback_quantity == 0 {
+            {
-                        return None;
+                fill = Some(ProjectedExecutionFill {
-                    }
-                    Some(ProjectedExecutionFill {
                         price: self.projected_execution_price(market, OrderSide::Sell),
                         quantity: fallback_quantity,
                         next_cursor: date.and_time(
                             execution_time.unwrap_or_else(|| self.intraday_execution_start_time()),
                         ) + Duration::seconds(1),
-                    })
+                });
-                } else {
-                    None
             }
-            })?;
+        }
+        let Some(fill) = fill 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 +3528,7 @@ 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 +3539,35 @@ 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 +3580,17 @@ 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 +3601,9 @@ 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 +3616,13 @@ 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 +3634,7 @@ 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 +3922,7 @@ impl PlatformExprStrategy {
                     symbol,
                     buy_cash,
                     projected_execution_state,
-                );
+                )?;
                 if order_result.was_submitted() {
                     order_intents.push(OrderIntent::Value {
                         symbol: symbol.clone(),
@@ -4042,32 +4023,30 @@ 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 +4055,9 @@ 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),
@@ -4108,11 +4087,11 @@ 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);
-        let fill = self
+        let mut fill = self
             .projected_select_execution_fill(
                 ctx,
                 date,
@@ -4126,23 +4105,22 @@ impl PlatformExprStrategy {
                 Some(cash_limit),
                 gross_limit,
                 execution_state,
-            )
+            )?;
-            .or_else(|| {
+        if fill.is_none()
-                if !defer_projection_execution_risk
+            && !(!defer_projection_execution_risk
                     && ctx.data.has_execution_quotes_on_date(date)
-                    && ctx.data.execution_quotes_on(date, symbol).is_empty()
+                    && ctx.data.execution_quotes_on(date, symbol).is_empty())
-                {
+            && !self.has_execution_quote_at_or_before_at_time(
-                    None
-                } else if !self.has_execution_quote_at_or_before_at_time(
                     ctx,
                     date,
                     symbol,
                     execution_state,
                     None,
                 ) && ctx.data.execution_quotes_on(date, symbol).is_empty()
+            && let Some(market) = ctx.data.market(date, symbol)
         {
-                    let fallback_quantity = self.projected_market_fillable_quantity(
+            if let Some(fallback_quantity) = self.projected_market_fillable_quantity(
-                        ctx.data.market(date, symbol)?,
+                        market,
                         None,
                         symbol,
                         OrderSide::Buy,
@@ -4153,27 +4131,23 @@ impl PlatformExprStrategy {
                         false,
                         0,
                         execution_state,
-                    )?;
+                    )?.filter(|quantity| *quantity > 0)
-                    if fallback_quantity == 0 {
+            {
-                        return None;
+                fill = Some(ProjectedExecutionFill {
-                    }
-                    Some(ProjectedExecutionFill {
                         price: sizing_price,
                         quantity: fallback_quantity,
                         next_cursor: date.and_time(self.intraday_execution_start_time())
                             + Duration::seconds(1),
-                    })
-                } else {
-                    None
-                }
                 });
+            }
+        }
         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 +4162,7 @@ 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 +10634,8 @@ 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 +11021,13 @@ 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 +11074,7 @@ 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 +13002,7 @@ impl PlatformExprStrategy {
                     &symbol,
                     &mut projected_execution_state,
                     Some(delayed_limit_exit_time),
-                )
+                )?
                 .is_some()
                     && Self::projected_position_is_flat(&projected, &symbol)
             };
@@ -13178,7 +13158,7 @@ impl PlatformExprStrategy {
                             projection_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                        )
+                        )?
                         .is_some();
                     if close_submitted {
                         self.refresh_available_cash_after_projected_sell(
@@ -13278,7 +13258,7 @@ 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 +13313,7 @@ impl PlatformExprStrategy {
                     projection_date,
                     symbol,
                     &mut projected_execution_state,
-                );
+                )?;
             } else {
                 let current_value = self.projected_position_value_at_execution_price(
                     ctx,
@@ -13350,7 +13330,7 @@ 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 +13484,7 @@ 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 +13579,7 @@ impl PlatformExprStrategy {
                             &symbol,
                             target_value,
                             &mut projected_execution_state,
-                        );
+                        )?;
                         let after_qty = projected
                             .position(&symbol)
                             .map(|position| position.quantity)
@@ -13650,7 +13630,7 @@ impl PlatformExprStrategy {
                             projection_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                        )
+                        )?
                         .is_some();
                     if close_submitted {
                         self.refresh_available_cash_after_projected_sell(
@@ -13761,7 +13741,7 @@ impl PlatformExprStrategy {
                                 projection_date,
                                 &position.symbol,
                                 &mut projected_execution_state,
-                            )
+                            )?
                             .is_some();
                         if close_submitted {
                             self.refresh_available_cash_after_projected_sell(
@@ -13849,7 +13829,7 @@ impl PlatformExprStrategy {
                             projection_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                        )
+                        )?
                         .is_some();
                     if close_submitted {
                         self.refresh_available_cash_after_projected_sell(
@@ -13931,7 +13911,7 @@ impl PlatformExprStrategy {
                             projection_date,
                             &position.symbol,
                             &mut projected_execution_state,
-                        )
+                        )?
                         .is_some();
                     if close_submitted {
                         self.refresh_available_cash_after_projected_sell(
@@ -14036,7 +14016,7 @@ impl PlatformExprStrategy {
                         &symbol,
                         target_value,
                         &mut projected_execution_state,
-                    );
+                    )?;
                 } else {
                     self.project_order_value(
                         ctx,
@@ -14045,7 +14025,7 @@ 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 +14092,7 @@ impl PlatformExprStrategy {
                         projection_date,
                         symbol,
                         &mut projected_execution_state,
-                    )
+                    )?
                     .is_some()
                     && Self::projected_position_is_flat(&projected, symbol)
                 {
@@ -14172,7 +14152,7 @@ impl PlatformExprStrategy {
                         symbol,
                         target_value,
                         &mut trial_execution_state,
-                    );
+                    )?;
                     let after_qty = trial_projected
                         .position(symbol)
                         .map(|position| position.quantity)
@@ -14235,7 +14215,7 @@ impl PlatformExprStrategy {
                     symbol,
                     target_value,
                     &mut projected_execution_state,
-                );
+                )?;
                 order_intents.push(OrderIntent::TargetValue {
                     symbol: symbol.clone(),
                     target_value,
@@ -15004,6 +14984,31 @@ 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 +16044,7 @@ mod tests {
                 symbol,
                 3_410.0,
                 &mut execution_state,
-            ),
+            ).unwrap(),
             Some(200)
         );
         assert_eq!(projected.position(symbol).unwrap().quantity, 300);
@@ -17719,7 +17724,7 @@ 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 +17858,7 @@ mod tests {
             symbol,
             125_000.0,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert_eq!(result.filled_quantity, 24_400);
     }
@@ -17919,7 +17924,7 @@ mod tests {
                 false,
                 0,
                 &execution_state,
-            ),
+            ).expect("valid volume capacity"),
             Some(2_500)
         );
 
@@ -17939,7 +17944,7 @@ mod tests {
                 false,
                 0,
                 &execution_state,
-            ),
+            ).expect("valid remaining volume capacity"),
             Some(100)
         );
     }
@@ -18085,7 +18090,7 @@ 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 +24604,7 @@ mod tests {
                 symbol,
                 target_value,
                 &mut execution_state,
-            )
+            ).unwrap()
             .expect("target adjustment should buy");
 
         assert_eq!(filled, 200);
@@ -33043,7 +33048,7 @@ 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 +33192,7 @@ mod tests {
             symbol,
             10_000.0,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert_eq!(result.filled_quantity, 0);
         assert_eq!(
@@ -33337,7 +33342,7 @@ mod tests {
             symbol,
             10_000.0,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert!(result.filled_quantity > 0);
         assert_eq!(
@@ -33457,7 +33462,7 @@ mod tests {
             decision_date,
             symbol,
             &mut execution_state,
-        );
+        ).unwrap();
 
         assert_eq!(filled, Some(1_000));
         assert!(projected.position(symbol).is_none());
@@ -33561,7 +33566,7 @@ 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 +33672,7 @@ 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 +34059,7 @@ 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 +34070,32 @@ 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,
     )));
 
@@ -3077,23 +3080,24 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
         )
         .expect("broker execution");
 
-    assert_eq!(report.fill_events.len(), 3);
+    assert_eq!(report.fill_events.len(), 2);
     assert_eq!(
         report
             .fill_events
             .iter()
             .map(|fill| fill.quantity)
             .sum::<u32>(),
-        300
+        200
     );
     assert!(report.fill_events.iter().all(|fill| fill.quantity == 100));
+    assert!(report.fill_events.iter().all(|fill| fill.execution_timestamp.is_some_and(|at| at >= date.and_hms_opt(10, 15, 0).unwrap())));
     assert_eq!(
         report
             .process_events
             .iter()
             .filter(|event| event.kind == ProcessEventKind::Trade)
             .count(),
-        3
+        2
     );
 }
 

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/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/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。