记录模拟委托异常恢复的Linux配套验收

This reverts commit 5d0823c060bfd2a42a3f86a381e874004ab7f6af.

Cargo.lock

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

Cargo.toml

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

README.md

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

assets/brand/README.md

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

assets/brand/manifest.json

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

crates/fidc-core/Cargo.toml

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

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

@@ -0,0 +1,778 @@
+use super::*;
+
+fn time(minute: u32) -> NaiveTime {
+    NaiveTime::from_hms_opt(10, minute, 0).unwrap()
+}
+
+fn data(quotes: &[(u32, f64, u32)]) -> DataSet {
+    data_with_snapshot(quotes, limit_test_snapshot())
+}
+
+fn data_with_snapshot(quotes: &[(u32, f64, u32)], snapshot: DailyMarketSnapshot) -> DataSet {
+    DataSet::from_components_with_actions_and_quotes(
+        vec![limit_test_instrument()],
+        vec![snapshot],
+        vec![],
+        vec![limit_test_candidate(true, true)],
+        vec![limit_test_benchmark()],
+        vec![],
+        quotes
+            .iter()
+            .map(|&(minute, price, volume)| {
+                let mut quote = limit_test_quote(price, price, price);
+                quote.timestamp = quote.date.and_time(time(minute));
+                quote.volume_delta = u64::from(volume);
+                quote.amount_delta = price * f64::from(volume);
+                quote.bid1_volume = u64::from(volume / 100);
+                quote.ask1_volume = u64::from(volume / 100);
+                quote
+            })
+            .collect(),
+    )
+    .unwrap()
+}
+
+fn broker() -> BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks> {
+    BrokerSimulator::new(
+        ChinaAShareCostModel::default()
+            .with_commission_rate(0.0003)
+            .with_minimum_commission(5.),
+        ChinaEquityRuleHooks,
+    )
+    .with_matching_type(MatchingType::MinuteLast)
+    .with_execution_price_field(PriceField::Last)
+    .with_intraday_execution_start_time(time(0))
+    .with_volume_limit(true)
+    .with_volume_percent(0.25)
+    .with_liquidity_limit(false)
+    .with_inactive_limit(false)
+    .with_strict_value_budget(true)
+}
+
+fn intent(style: AlgoOrderStyle, value: f64) -> StrategyDecision {
+    StrategyDecision {
+        order_intents: vec![OrderIntent::AlgoValue {
+            symbol: "000001.SZ".into(),
+            value,
+            style,
+            start_time: Some(time(0)),
+            end_time: Some(time(10)),
+            reason: "clock-algorithm".into(),
+        }],
+        ..Default::default()
+    }
+}
+
+fn step(
+    broker: &BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
+    portfolio: &mut PortfolioState,
+    data: &DataSet,
+    minute: u32,
+    decision: &StrategyDecision,
+) -> BrokerExecutionReport {
+    broker
+        .execute_between(
+            limit_test_snapshot().date,
+            portfolio,
+            data,
+            decision,
+            Some(time(minute)),
+            Some(time(minute)),
+        )
+        .unwrap()
+}
+
+#[test]
+fn twap_clock_preserves_quantity_prices_fees_budget_and_parent_order() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (2, 10.1, 4_000),
+        (5, 10.2, 4_000),
+        (10, 10.3, 4_000),
+    ]);
+    let decision = intent(AlgoOrderStyle::Twap, 10_000.);
+    let mut synchronous_account = PortfolioState::new(20_000.);
+    let reference = broker()
+        .execute(
+            limit_test_snapshot().date,
+            &mut synchronous_account,
+            &data,
+            &decision,
+        )
+        .unwrap();
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let mut fills = Vec::new();
+    let mut events = Vec::new();
+    let empty = StrategyDecision::default();
+    for minute in [0, 2, 5, 10] {
+        let batch = step(
+            &broker,
+            &mut account,
+            &data,
+            minute,
+            if minute == 0 { &decision } else { &empty },
+        );
+        assert!(
+            batch
+                .fill_events
+                .iter()
+                .all(|fill| fill.execution_timestamp.unwrap().time() <= time(minute))
+        );
+        fills.extend(batch.fill_events);
+        events.extend(batch.order_events);
+    }
+    let canonical = |rows: &[crate::events::FillEvent]| {
+        rows.iter()
+            .map(|fill| {
+                (
+                    fill.quantity,
+                    fill.price.to_bits(),
+                    fill.commission.to_bits(),
+                    fill.stamp_tax.to_bits(),
+                    fill.transfer_fee.to_bits(),
+                    fill.execution_timestamp,
+                    fill.order_id,
+                )
+            })
+            .collect::<Vec<_>>()
+    };
+    assert_eq!(canonical(&fills), canonical(&reference.fill_events));
+    assert_eq!(account.cash(), synchronous_account.cash());
+    assert_eq!(fills.iter().map(|fill| fill.quantity).sum::<u32>(), 900);
+    assert_eq!(fills.iter().map(|fill| fill.commission).sum::<f64>(), 5.);
+    assert!(fills.iter().map(|fill| -fill.net_cash_flow).sum::<f64>() <= 10_000.);
+    assert!(events.iter().all(|event| event.order_id == Some(1)));
+    assert_eq!(events.last().unwrap().status, OrderStatus::Filled);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn partial_algorithm_cancel_releases_reservation_and_never_executes_the_remainder() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (2, 10., 4_000),
+        (5, 10., 4_000),
+        (10, 10., 4_000),
+    ]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    assert_eq!(broker.open_order_views()[0].reserved_cash, Some(10_000.));
+    let partial = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        partial
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    let working = broker.open_order_views();
+    assert_eq!(working[0].order_id, 1);
+    assert_eq!(working[0].filled_quantity, 100);
+    assert_eq!(
+        working[0].reserved_cash,
+        Some(10_000. + partial.fill_events[0].net_cash_flow)
+    );
+    let cancel = step(
+        &broker,
+        &mut account,
+        &data,
+        3,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::CancelAll {
+                reason: "explicit-user-cancel".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert!(cancel.fill_events.is_empty());
+    assert_eq!(
+        cancel.order_events.last().unwrap().status,
+        OrderStatus::Canceled
+    );
+    assert_eq!(cancel.order_events.last().unwrap().filled_quantity, 100);
+    assert!(broker.open_order_views().is_empty());
+    assert!(
+        step(
+            &broker,
+            &mut account,
+            &data,
+            10,
+            &StrategyDecision::default()
+        )
+        .fill_events
+        .is_empty()
+    );
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+}
+
+#[test]
+fn algorithm_expiry_without_a_quote_does_not_reuse_old_liquidity() {
+    let data = data(&[(0, 10., 4_000), (2, 10., 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        broker.next_day_order_expiry(limit_test_snapshot().date),
+        Some(time(10))
+    );
+    let terminal = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert!(terminal.fill_events.is_empty());
+    assert_eq!(
+        terminal.order_events.last().unwrap().status,
+        OrderStatus::Expired
+    );
+    assert_eq!(terminal.order_events.last().unwrap().filled_quantity, 100);
+    assert!(
+        terminal
+            .process_events
+            .iter()
+            .any(|event| event.detail.contains("Expired")),
+        "{:?}",
+        terminal.process_events
+    );
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn separate_buy_cannot_spend_the_working_algorithms_cash_budget() {
+    let data = data(&[
+        (0, 10., 4_000),
+        (1, 10., 4_000),
+        (2, 10., 4_000),
+        (10, 10., 4_000),
+    ]);
+    let broker = broker();
+    let mut account = PortfolioState::new(11_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    let other = step(
+        &broker,
+        &mut account,
+        &data,
+        1,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "000001.SZ".into(),
+                quantity: 1_000,
+                reason: "separate-buy".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert!(
+        other.fill_events.is_empty(),
+        "cash reserved for order 1 was spent: {:?}",
+        other.fill_events
+    );
+    let final_batch = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert!(
+        final_batch
+            .fill_events
+            .iter()
+            .all(|fill| fill.order_id == Some(1))
+    );
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 900);
+    assert!(account.cash() >= 1_000.);
+}
+
+#[test]
+fn changing_the_later_daily_close_does_not_resize_an_algorithm_submitted_now() {
+    let quotes = [(0, 10., 4_000), (2, 10.1, 4_000), (10, 10.2, 4_000)];
+    let mut changed = limit_test_snapshot();
+    changed.close = 100.;
+    changed.last_price = 100.;
+    let run = |data: DataSet| {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        let initial = step(
+            &broker,
+            &mut account,
+            &data,
+            0,
+            &intent(AlgoOrderStyle::Twap, 10_000.),
+        );
+        assert!(initial.fill_events.is_empty());
+        let quantity = broker.open_order_views()[0].requested_quantity;
+        let final_batch = step(
+            &broker,
+            &mut account,
+            &data,
+            10,
+            &StrategyDecision::default(),
+        );
+        (
+            quantity,
+            final_batch
+                .fill_events
+                .iter()
+                .map(|fill| {
+                    (
+                        fill.quantity,
+                        fill.price.to_bits(),
+                        fill.net_cash_flow.to_bits(),
+                    )
+                })
+                .collect::<Vec<_>>(),
+        )
+    };
+    assert_eq!(
+        run(data(&quotes)),
+        run(data_with_snapshot(&quotes, changed))
+    );
+}
+
+#[test]
+fn vwap_clock_preserves_cash_costs_and_does_not_spend_future_volume() {
+    let data = data(&[
+        (0, 10., 400),
+        (2, 10., 800),
+        (5, 10., 1_200),
+        (10, 10., 4_000),
+    ]);
+    let decision = intent(AlgoOrderStyle::Vwap, 10_000.);
+    let mut synchronous_account = PortfolioState::new(20_000.);
+    let reference = broker()
+        .execute(
+            limit_test_snapshot().date,
+            &mut synchronous_account,
+            &data,
+            &decision,
+        )
+        .unwrap();
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let empty = StrategyDecision::default();
+    let mut filled = 0;
+    let mut commission = 0.;
+    for (minute, expected) in [(0, 100), (2, 300), (5, 600), (10, 900)] {
+        let batch = step(
+            &broker,
+            &mut account,
+            &data,
+            minute,
+            if minute == 0 { &decision } else { &empty },
+        );
+        filled += batch
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>();
+        commission += batch
+            .fill_events
+            .iter()
+            .map(|fill| fill.commission)
+            .sum::<f64>();
+        assert_eq!(filled, expected);
+        assert!(batch.fill_events.iter().all(|fill| fill.order_id == Some(1)
+            && fill.execution_timestamp.unwrap().time() <= time(minute)));
+    }
+    assert_eq!(account.cash(), synchronous_account.cash());
+    assert_eq!(
+        commission,
+        reference
+            .fill_events
+            .iter()
+            .map(|fill| fill.commission)
+            .sum::<f64>()
+    );
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn global_vwap_matching_keeps_the_same_working_order_between_clock_ticks() {
+    let data = data(&[(0, 10., 400), (2, 10., 400), (10, 10., 4_000)]);
+    let broker = broker().with_matching_type(MatchingType::Vwap);
+    let mut account = PortfolioState::new(20_000.);
+    let first = step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &StrategyDecision {
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "000001.SZ".into(),
+                quantity: 900,
+                reason: "configured-vwap".into(),
+            }],
+            ..Default::default()
+        },
+    );
+    assert_eq!(
+        first
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        broker.open_order_views().len(),
+        1,
+        "{:?}",
+        first.order_events
+    );
+    let second = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(second.fill_events[0].quantity, 100);
+    assert_eq!(second.fill_events[0].order_id, Some(1));
+    let final_batch = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(final_batch.fill_events[0].quantity, 700);
+    assert_eq!(final_batch.fill_events[0].order_id, Some(1));
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn algorithm_sell_honors_t_plus_one_and_keeps_original_quantity_after_partial_fills() {
+    let data = data(&[(0, 10., 400), (2, 10., 800), (10, 10., 4_000)]);
+    let date = limit_test_snapshot().date;
+    for acquired_today in [false, true] {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        account.position_mut("000001.SZ").buy(
+            if acquired_today {
+                date
+            } else {
+                date.pred_opt().unwrap()
+            },
+            1_000,
+            10.,
+        );
+        let decision = intent(AlgoOrderStyle::Vwap, -10_000.);
+        let mut fills = Vec::new();
+        let mut events = Vec::new();
+        let empty = StrategyDecision::default();
+        for minute in [0, 2, 10] {
+            let batch = step(
+                &broker,
+                &mut account,
+                &data,
+                minute,
+                if minute == 0 { &decision } else { &empty },
+            );
+            fills.extend(batch.fill_events);
+            events.extend(batch.order_events);
+        }
+        assert_eq!(
+            fills.iter().map(|fill| fill.quantity).sum::<u32>(),
+            if acquired_today { 0 } else { 1_000 }
+        );
+        assert!(events.iter().all(|event| event.order_id == Some(1)));
+        if !acquired_today {
+            assert_eq!(events.last().unwrap().status, OrderStatus::Filled);
+            assert_eq!(events.last().unwrap().requested_quantity, 1_000);
+            assert_eq!(events.last().unwrap().filled_quantity, 1_000);
+        }
+        assert!(broker.open_order_views().is_empty());
+    }
+}
+
+#[test]
+fn an_explicit_ioc_or_fok_does_not_become_a_persistent_algorithm() {
+    let data = data(&[(0, 10., 400), (2, 10., 4_000), (10, 10., 4_000)]);
+    for tif in [
+        OrderTimeInForce::Ioc,
+        OrderTimeInForce::Fok,
+        OrderTimeInForce::Day,
+        OrderTimeInForce::Gtc,
+    ] {
+        let broker = broker();
+        let mut account = PortfolioState::new(20_000.);
+        let mut decision = intent(AlgoOrderStyle::Vwap, 10_000.);
+        if !decision.order_intents[0].supports_time_in_force(tif) {
+            decision.order_intents = decision
+                .order_intents
+                .into_iter()
+                .map(|intent| intent.with_time_in_force(tif))
+                .collect();
+            let error = broker
+                .execute_between(
+                    limit_test_snapshot().date,
+                    &mut account,
+                    &data,
+                    &decision,
+                    Some(time(0)),
+                    Some(time(0)),
+                )
+                .unwrap_err();
+            assert!(
+                error
+                    .to_string()
+                    .contains("is not supported for this order intent")
+            );
+            assert_eq!(account.cash(), 20_000.);
+            assert!(broker.open_order_views().is_empty());
+            continue;
+        }
+        decision.order_intents = decision
+            .order_intents
+            .into_iter()
+            .map(|intent| intent.with_time_in_force(tif))
+            .collect();
+        let first = step(&broker, &mut account, &data, 0, &decision);
+        let persists = matches!(tif, OrderTimeInForce::Day | OrderTimeInForce::Gtc);
+        assert_eq!(
+            !broker.open_order_views().is_empty(),
+            persists,
+            "{tif:?}: {:?}",
+            first.order_events
+        );
+        if !persists {
+            assert!(
+                step(
+                    &broker,
+                    &mut account,
+                    &data,
+                    10,
+                    &StrategyDecision::default()
+                )
+                .fill_events
+                .is_empty()
+            );
+        }
+    }
+}
+
+#[test]
+fn two_working_algorithms_reserve_only_real_cash_without_starving_the_first() {
+    let data = data(&[(0, 10., 40_000), (10, 10., 40_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(15_000.);
+    let mut decision = intent(AlgoOrderStyle::Twap, 10_000.);
+    decision
+        .order_intents
+        .extend(intent(AlgoOrderStyle::Twap, 10_000.).order_intents);
+    step(&broker, &mut account, &data, 0, &decision);
+    assert_eq!(
+        broker
+            .open_order_views()
+            .iter()
+            .map(|order| order.reserved_cash.unwrap())
+            .collect::<Vec<_>>(),
+        vec![10_000., 5_000.]
+    );
+    let report = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        report
+            .fill_events
+            .iter()
+            .map(|fill| (fill.order_id, fill.quantity))
+            .collect::<Vec<_>>(),
+        vec![(Some(1), 900), (Some(2), 500)]
+    );
+    assert!(account.cash() >= 0.);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn a_clock_slice_does_not_turn_window_twap_into_an_unlimited_instant_order() {
+    let data = data(&[(0, 10., 100), (2, 10., 100), (10, 10.1, 100)]);
+    let broker = broker()
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &intent(AlgoOrderStyle::Twap, 10_000.),
+    );
+    let first = step(
+        &broker,
+        &mut account,
+        &data,
+        2,
+        &StrategyDecision::default(),
+    );
+    let last = step(
+        &broker,
+        &mut account,
+        &data,
+        10,
+        &StrategyDecision::default(),
+    );
+    assert_eq!(
+        first
+            .fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        last.fill_events
+            .iter()
+            .map(|fill| fill.quantity)
+            .sum::<u32>(),
+        100
+    );
+    assert_eq!(
+        last.order_events.last().unwrap().status,
+        OrderStatus::Expired
+    );
+    assert_eq!(last.order_events.last().unwrap().filled_quantity, 200);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn non_matching_controls_amend_or_cancel_without_filling_a_crossing_quote() {
+    let data = data(&[(0, 10., 4_000), (2, 9.4, 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    step(
+        &broker,
+        &mut account,
+        &data,
+        0,
+        &StrategyDecision {
+            order_intents: vec![
+                OrderIntent::LimitShares {
+                    symbol: "000001.SZ".into(),
+                    quantity: 100,
+                    limit_price: 9.5,
+                    reason: "resting".into(),
+                }
+                .with_time_in_force(OrderTimeInForce::Gtc),
+            ],
+            ..Default::default()
+        },
+    );
+    assert_eq!(broker.open_order_views().len(), 1);
+    let modify = broker
+        .execute_controls_without_matching(
+            limit_test_snapshot().date,
+            limit_test_snapshot().date,
+            &mut account,
+            &data,
+            &StrategyDecision {
+                order_intents: vec![OrderIntent::ModifyOrder {
+                    order_id: 1,
+                    new_total_quantity: Some(200),
+                    new_limit_price: Some(9.3),
+                    reason: "pre-open-amend".into(),
+                }],
+                ..Default::default()
+            },
+            Some(time(2)),
+        )
+        .unwrap();
+    assert!(modify.fill_events.is_empty());
+    assert_eq!(broker.open_order_views()[0].limit_price, 9.3);
+    assert_eq!(broker.open_order_views()[0].requested_quantity, 200);
+    let cancel = broker
+        .execute_controls_without_matching(
+            limit_test_snapshot().date,
+            limit_test_snapshot().date,
+            &mut account,
+            &data,
+            &StrategyDecision {
+                order_intents: vec![OrderIntent::CancelAll {
+                    reason: "pre-open-cancel".into(),
+                }],
+                ..Default::default()
+            },
+            Some(time(2)),
+        )
+        .unwrap();
+    assert!(cancel.fill_events.is_empty());
+    assert_eq!(
+        cancel.order_events.last().unwrap().status,
+        OrderStatus::Canceled
+    );
+    assert_eq!(account.cash(), 20_000.);
+    assert!(broker.open_order_views().is_empty());
+}
+
+#[test]
+fn control_only_phase_cannot_be_used_to_submit_an_order_or_leave_matching_disabled() {
+    let data = data(&[(0, 10., 4_000)]);
+    let broker = broker();
+    let mut account = PortfolioState::new(20_000.);
+    let submit = StrategyDecision {
+        order_intents: vec![OrderIntent::Shares {
+            symbol: "000001.SZ".into(),
+            quantity: 100,
+            reason: "normal-order".into(),
+        }],
+        ..Default::default()
+    };
+    assert!(
+        broker
+            .execute_controls_without_matching(
+                limit_test_snapshot().date,
+                limit_test_snapshot().date,
+                &mut account,
+                &data,
+                &submit,
+                Some(time(0))
+            )
+            .is_err()
+    );
+    assert_eq!(account.cash(), 20_000.);
+    assert_eq!(
+        step(&broker, &mut account, &data, 0, &submit).fill_events[0].quantity,
+        100
+    );
+}

crates/fidc-core/src/broker_order_recovery_tests.rs

@@ -0,0 +1,515 @@
+// Kept inside broker::tests to inspect internal accepted-order identity as
+// well as the public report. These are simulator states, never GT requests.
+fn recovery_test_data(missing_previous: Option<usize>, intraday: bool) -> DataSet {
+    let previous = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let mut instruments = Vec::new();
+    let mut rows = Vec::new();
+    let mut candidates = Vec::new();
+    let mut quotes = Vec::new();
+    for index in 1..=2 {
+        let symbol = format!("{index:06}.SZ");
+        let mut instrument = limit_test_instrument();
+        instrument.symbol = symbol.clone();
+        instruments.push(instrument);
+        for day in [previous, date] {
+            if day == previous && missing_previous == Some(index) {
+                continue;
+            }
+            let mut row = dated_limit_test_snapshot(day);
+            row.symbol = symbol.clone().into();
+            rows.push(row);
+            let mut candidate = dated_limit_test_candidate(day, false, false, true, true);
+            candidate.symbol = symbol.clone().into();
+            candidates.push(candidate);
+        }
+        if intraday {
+            let mut quote = limit_test_quote(10., 10., 10.);
+            quote.symbol = symbol;
+            quote.date = date;
+            quote.timestamp = date.and_hms_opt(9, 33, 0).unwrap();
+            quotes.push(quote);
+        }
+    }
+    DataSet::from_components_with_actions_and_quotes(
+        instruments,
+        rows,
+        vec![],
+        candidates,
+        vec![
+            dated_limit_test_benchmark(previous),
+            dated_limit_test_benchmark(date),
+        ],
+        vec![],
+        quotes,
+    )
+    .unwrap()
+}
+
+fn recovery_test_broker(
+    intraday: bool,
+    first_side: OrderSide,
+) -> (
+    BrokerSimulator<ChinaAShareCostModel, ChinaEquityRuleHooks>,
+    PortfolioState,
+) {
+    let mut broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+        .with_matching_type(if intraday {
+            MatchingType::MinuteLast
+        } else {
+            MatchingType::CurrentBarClose
+        })
+        .with_volume_limit(false)
+        .with_liquidity_limit(false)
+        .with_slippage_model(SlippageModel::HistoricalVolumeVolatility(
+            super::DynamicSlippageConfig::new(0., 0., 0.1),
+        ));
+    if intraday {
+        broker =
+            broker.with_intraday_execution_start_time(NaiveTime::from_hms_opt(9, 33, 0).unwrap());
+    }
+    let mut first = test_open_order(1);
+    first.filled_quantity = 100;
+    first.remaining_quantity = 100;
+    first.commission_remaining = Some(0.);
+    first.side = first_side;
+    let mut second = test_open_order(2);
+    second.symbol = "000002.SZ".into();
+    broker.upsert_open_order(first);
+    broker.upsert_open_order(second);
+    broker.next_order_id.set(3);
+    let mut account = PortfolioState::new(9000.);
+    account.position_mut("000001.SZ").buy(
+        chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(),
+        if first_side == OrderSide::Buy {
+            100
+        } else {
+            200
+        },
+        10.,
+    );
+    account.begin_trading_day();
+    (broker, account)
+}
+
+fn recovery_report_value(report: &BrokerExecutionReport) -> serde_json::Value {
+    serde_json::json!({"orders":report.order_events,"fills":report.fill_events,
+        "positions":report.position_events,"accounts":report.account_events,
+        "events":report.process_events,"diagnostics":report.diagnostics})
+}
+
+#[test]
+fn failed_resting_order_batch_keeps_accepted_orders_and_unpublished_financial_state() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    for intraday in [false, true] {
+        for first_side in [OrderSide::Buy, OrderSide::Sell] {
+            for missing in [1, 2] {
+                let (broker, mut account) = recovery_test_broker(intraday, first_side);
+                let orders = format!("{:?}", broker.open_orders.borrow());
+                let ledger = account.financial_replay_identity();
+                let error = broker
+                    .execute(
+                        date,
+                        &mut account,
+                        &recovery_test_data(Some(missing), intraday),
+                        &StrategyDecision::default(),
+                    )
+                    .unwrap_err();
+                assert!(
+                    error
+                        .to_string()
+                        .contains("historical_slippage_calibration_missing")
+                );
+                assert_eq!(
+                    format!("{:?}", broker.open_orders.borrow()),
+                    orders,
+                    "intraday={intraday} first={first_side:?} missing={missing}"
+                );
+                assert_eq!(account.financial_replay_identity(), ledger);
+                assert!(broker.same_day_sold_symbols.borrow().is_empty());
+                let recovered = broker
+                    .execute(
+                        date,
+                        &mut account,
+                        &recovery_test_data(None, intraday),
+                        &StrategyDecision::default(),
+                    )
+                    .unwrap();
+                let (clean, mut clean_account) = recovery_test_broker(intraday, first_side);
+                let reference = clean
+                    .execute(
+                        date,
+                        &mut clean_account,
+                        &recovery_test_data(None, intraday),
+                        &StrategyDecision::default(),
+                    )
+                    .unwrap();
+                assert_eq!(
+                    recovery_report_value(&recovered),
+                    recovery_report_value(&reference)
+                );
+                assert_eq!(
+                    account.financial_replay_identity(),
+                    clean_account.financial_replay_identity()
+                );
+                assert!(broker.open_order_views().is_empty());
+                assert_eq!(recovered.fill_events.len(), 2);
+            }
+        }
+    }
+}
+
+#[test]
+fn failed_new_batch_does_not_erase_prior_success_or_double_charge_on_retry() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let (broker, mut account) = recovery_test_broker(true, OrderSide::Buy);
+    let good = recovery_test_data(None, true);
+    let prior = broker
+        .execute(date, &mut account, &good, &StrategyDecision::default())
+        .unwrap();
+    assert_eq!(prior.fill_events.len(), 2);
+    let initial = account.financial_replay_identity();
+    let id = broker.next_order_id.get();
+    let decision = StrategyDecision {
+        order_intents: vec![
+            OrderIntent::Shares {
+                symbol: "000001.SZ".into(),
+                quantity: 100,
+                reason: "next-batch-a".into(),
+            },
+            OrderIntent::Shares {
+                symbol: "000002.SZ".into(),
+                quantity: 100,
+                reason: "next-batch-b".into(),
+            },
+        ],
+        ..Default::default()
+    };
+    // A later quote lets this batch execute independently of the prior fills.
+    let mut parts = good.snapshot_components();
+    for quote in &mut parts.execution_quotes {
+        quote.timestamp += chrono::Duration::minutes(1);
+    }
+    broker
+        .runtime_execution_clock
+        .set(Some(NaiveTime::from_hms_opt(9, 34, 0).unwrap()));
+    let restored = DataSet::from_components_with_actions_and_quotes(
+        parts.instruments.clone(),
+        parts.market.clone(),
+        parts.factors.clone(),
+        parts.candidates.clone(),
+        parts.benchmarks.clone(),
+        vec![],
+        parts.execution_quotes.clone(),
+    )
+    .unwrap();
+    parts
+        .market
+        .retain(|row| !(row.symbol.as_str() == "000002.SZ" && row.date < date));
+    let broken = DataSet::from_components_with_actions_and_quotes(
+        parts.instruments,
+        parts.market,
+        parts.factors,
+        parts.candidates,
+        parts.benchmarks,
+        vec![],
+        parts.execution_quotes,
+    )
+    .unwrap();
+    assert!(
+        broker
+            .execute(date, &mut account, &broken, &decision)
+            .is_err()
+    );
+    assert_eq!(account.financial_replay_identity(), initial);
+    assert_eq!(broker.next_order_id.get(), id);
+    assert!(broker.open_orders.borrow().is_empty());
+    let result = broker
+        .execute(date, &mut account, &restored, &decision)
+        .unwrap();
+    assert_eq!(result.fill_events.len(), 2);
+    assert_eq!(result.fill_events[0].order_id, Some(id));
+    assert_eq!(result.fill_events[1].order_id, Some(id + 1));
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 300);
+    assert_eq!(account.position("000002.SZ").unwrap().quantity, 300);
+    assert_eq!(
+        prior.fill_events.len(),
+        2,
+        "previously returned report remains intact"
+    );
+}
+
+#[test]
+fn unwinding_an_unpublished_simulator_transaction_restores_its_state() {
+    let (broker, mut account) = recovery_test_broker(false, OrderSide::Sell);
+    let initial = account.financial_replay_identity();
+    let orders = format!("{:?}", broker.open_orders.borrow());
+    let result = std::panic::catch_unwind(std::panic::AssertUnwindSafe(|| {
+        let _ = broker.execution_transaction(&mut account, true, None, |account| {
+            account.apply_cash_delta(500.).unwrap();
+            broker.open_orders.borrow_mut().clear();
+            panic!("isolated simulator callback unwind");
+        });
+    }));
+    assert!(result.is_err());
+    assert_eq!(account.financial_replay_identity(), initial);
+    assert_eq!(format!("{:?}", broker.open_orders.borrow()), orders);
+    assert_eq!(broker.execution_transaction_depth.get(), 0);
+}
+
+#[test]
+fn deferred_etf_batch_failure_keeps_both_targets_and_prior_generation_progress() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let previous = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let mut parts = recovery_test_data(None, false).snapshot_components();
+    for instrument in &mut parts.instruments {
+        instrument.board = "ETF".into();
+    }
+    let good = DataSet::from_components_with_actions_and_quotes(
+        parts.instruments.clone(),
+        parts.market.clone(),
+        parts.factors.clone(),
+        parts.candidates.clone(),
+        parts.benchmarks.clone(),
+        vec![],
+        vec![],
+    )
+    .unwrap();
+    parts
+        .market
+        .retain(|row| !(row.date == date && row.symbol.as_str() == "000002.SZ"));
+    let bad = DataSet::from_components_with_actions_and_quotes(
+        parts.instruments,
+        parts.market,
+        parts.factors,
+        parts.candidates,
+        parts.benchmarks,
+        vec![],
+        vec![],
+    )
+    .unwrap();
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    let members = std::sync::Arc::new(
+        (1..=2)
+            .map(|index| crate::stock_pool_execution::StockPoolMemberSpec {
+                symbol: format!("{index:06}.SZ"),
+                requested_order: index,
+                recommendation_reason: String::new(),
+                target_weight_bps: None,
+                stop_loss: None,
+                take_profit: None,
+            })
+            .collect::<Vec<_>>(),
+    );
+    broker
+        .deferred_etf_targets
+        .borrow_mut()
+        .replace_generation("pool", "latest");
+    for index in 1..=2 {
+        broker
+            .deferred_etf_targets
+            .borrow_mut()
+            .upsert(crate::etf_execution::DeferredEtfTarget {
+                pool_id: "pool".into(),
+                generation: "latest".into(),
+                symbol: format!("{index:06}.SZ"),
+                signal_date: previous,
+                signal_at: previous.and_hms_opt(13, 0, 0).unwrap(),
+                execute_on: Some(date),
+                target_value: 1000.into(),
+                target_weight_bps: 5000,
+                side: crate::stock_pool_execution::OrderSide::Buy,
+                max_positions: 2,
+                rule: Default::default(),
+                members: std::sync::Arc::clone(&members),
+                reason: "deferred recovery fixture".into(),
+            });
+    }
+    let queue = format!("{:?}", broker.deferred_etf_targets.borrow());
+    let mut account = PortfolioState::new(10000.);
+    let state = account.stock_pool_execution_state("pool");
+    assert!(
+        broker
+            .execute_deferred_etf_targets(date, &mut account, &bad)
+            .is_err()
+    );
+    assert_eq!(account.cash(), 10000.);
+    assert!(account.positions().is_empty());
+    assert_eq!(account.stock_pool_execution_state("pool"), state);
+    assert_eq!(format!("{:?}", broker.deferred_etf_targets.borrow()), queue);
+    assert_eq!(broker.next_order_id.get(), 1);
+    assert_eq!(broker.execution_transaction_depth.get(), 0);
+    let result = broker
+        .execute_deferred_etf_targets(date, &mut account, &good)
+        .unwrap();
+    assert_eq!(result.fill_events.len(), 2, "{result:?}");
+    assert_eq!(broker.pending_etf_target_count(), 0);
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+    assert_eq!(account.position("000002.SZ").unwrap().quantity, 100);
+}
+
+#[test]
+fn public_callback_unwind_does_not_leak_order_context_or_authoritative_prior_state() {
+    struct PanicRules;
+    impl crate::rules::EquityRuleHooks for PanicRules {
+        fn can_buy(
+            &self,
+            _: chrono::NaiveDate,
+            _: &DailyMarketSnapshot,
+            _: &CandidateEligibility,
+            _: PriceField,
+        ) -> crate::rules::RuleCheck {
+            panic!("isolated rule callback panic")
+        }
+        fn can_sell(
+            &self,
+            _: chrono::NaiveDate,
+            _: &DailyMarketSnapshot,
+            _: &CandidateEligibility,
+            _: &crate::portfolio::Position,
+            _: PriceField,
+        ) -> crate::rules::RuleCheck {
+            unreachable!()
+        }
+    }
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let prior = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), PanicRules)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    broker.runtime_decision_date.set(Some(prior));
+    broker
+        .runtime_buy_denials
+        .borrow_mut()
+        .insert("unrelated".into(), "prior".into());
+    let mut account = PortfolioState::new(10000.);
+    let decision = StrategyDecision {
+        buy_denials: BTreeMap::from([("another".into(), "temporary".into())]),
+        order_intents: vec![
+            OrderIntent::LimitShares {
+                symbol: "000001.SZ".into(),
+                quantity: 100,
+                limit_price: 10.,
+                reason: "panic fixture".into(),
+            }
+            .with_time_in_force(OrderTimeInForce::Gtc),
+        ],
+        ..Default::default()
+    };
+    assert!(
+        std::panic::catch_unwind(std::panic::AssertUnwindSafe(|| {
+            let _ = broker.execute(
+                date,
+                &mut account,
+                &recovery_test_data(None, false),
+                &decision,
+            );
+        }))
+        .is_err()
+    );
+    assert_eq!(account.cash(), 10000.);
+    assert!(account.positions().is_empty());
+    assert!(broker.open_order_views().is_empty());
+    assert_eq!(broker.runtime_decision_date.get(), Some(prior));
+    assert_eq!(
+        *broker.runtime_buy_denials.borrow(),
+        BTreeMap::from([("unrelated".into(), "prior".into())])
+    );
+    assert_eq!(broker.runtime_time_in_force.get(), None);
+    assert_eq!(broker.runtime_target_position_limit.get(), None);
+    assert_eq!(broker.execution_transaction_depth.get(), 0);
+}
+
+#[test]
+fn simulator_transaction_profile_preserves_successful_output() {
+    let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
+    let previous = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let mut instruments = Vec::new();
+    let mut market = Vec::new();
+    let mut candidates = Vec::new();
+    for index in 1..=30 {
+        let symbol = format!("{index:06}.SZ");
+        let mut instrument = limit_test_instrument();
+        instrument.symbol = symbol.clone();
+        instruments.push(instrument);
+        for day in [previous, date] {
+            let mut row = dated_limit_test_snapshot(day);
+            row.symbol = symbol.clone().into();
+            market.push(row);
+            let mut row = dated_limit_test_candidate(day, false, false, true, true);
+            row.symbol = symbol.clone().into();
+            candidates.push(row);
+        }
+    }
+    let data = DataSet::from_components(
+        instruments,
+        market,
+        vec![],
+        candidates,
+        vec![
+            dated_limit_test_benchmark(previous),
+            dated_limit_test_benchmark(date),
+        ],
+    )
+    .unwrap();
+    let mut reference = None;
+    let mut samples = Vec::new();
+    for protected in [false, true, true, false] {
+        let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_volume_limit(false)
+            .with_liquidity_limit(false);
+        // Private comparison only: no runtime option can disable protection.
+        if !protected {
+            broker.execution_transaction_depth.set(1);
+        }
+        let mut account = PortfolioState::new(10_000_000.);
+        for index in 1..=30 {
+            for _ in 0..20 {
+                account
+                    .position_mut(&format!("{index:06}.SZ"))
+                    .buy(previous, 100, 10.);
+            }
+        }
+        account.begin_trading_day();
+        let mut orders = Vec::new();
+        let mut fills = Vec::new();
+        let start = std::time::Instant::now();
+        for index in 0..500 {
+            let report = broker
+                .execute(
+                    date,
+                    &mut account,
+                    &data,
+                    &StrategyDecision {
+                        order_intents: vec![OrderIntent::Shares {
+                            symbol: format!("{:06}.SZ", index % 30 + 1),
+                            quantity: 100,
+                            reason: "transaction profile".into(),
+                        }],
+                        ..Default::default()
+                    },
+                )
+                .unwrap();
+            orders.extend(report.order_events);
+            fills.extend(report.fill_events);
+        }
+        samples.push(
+            serde_json::json!({"protected":protected,"microseconds":start.elapsed().as_micros()}),
+        );
+        assert_eq!(fills.len(), 500);
+        let outcome = serde_json::json!({"orders":orders,"fills":fills,"ledger":account.financial_replay_identity()});
+        if let Some(reference) = &reference {
+            assert_eq!(&outcome, reference);
+        } else {
+            reference = Some(outcome);
+        }
+    }
+    println!(
+        "simulator_transaction_profile={}",
+        serde_json::json!({"securities":30,"initial_lots_per_security":20,"calls":500,"samples":samples,
+        "scope":"isolated broker only; not Source or full backtest throughput"})
+    );
+}

crates/fidc-core/src/broker_stock_pool.rs

@@ -0,0 +1,856 @@
+//! Executes one frozen pool intent against real broker-simulator state.
+use super::*;
+use crate::holding_policy::HoldingLifecycleEvidence;
+use crate::stock_pool_execution as pool;
+use rust_decimal::{Decimal, prelude::ToPrimitive};
+use chrono::Timelike;
+
+#[derive(Debug, Clone)]
+pub(super) struct DeferredStockPoolExecution {
+    date: NaiveDate,
+    contract: Box<pool::FrozenStockPoolIntent>,
+    buy_only: bool,
+    symbols: BTreeSet<String>,
+    initial_holdings: BTreeSet<String>,
+}
+
+impl<C, R> BrokerSimulator<C, R> {
+    pub(crate) fn pending_stock_pool_symbols(&self) -> BTreeSet<String> {
+        self.deferred_stock_pools.borrow().values().flat_map(|pending| pending.symbols.iter().cloned()).collect()
+    }
+
+    pub(crate) fn has_pending_stock_pool_execution(&self) -> bool {
+        !self.deferred_stock_pools.borrow().is_empty()
+    }
+
+    pub(crate) fn finish_stock_pool_session(&self, date: NaiveDate, report: &mut BrokerExecutionReport) {
+        self.deferred_stock_pools.borrow_mut().retain(|_, pending| {
+            if pending.date <= date {
+                report.diagnostics.push(format!("stock_pool_unsubmitted_phase_expired generation={} date={date} no_buy_order_created=true",pending.contract.generation));
+                false
+            } else { true }
+        });
+    }
+}
+
+fn decimal(value: f64, label: &str) -> Result<Decimal, BacktestError> {
+    if !value.is_finite() {
+        return Err(BacktestError::Execution(format!(
+            "stock_pool_nonfinite_{label}"
+        )));
+    }
+    value
+        .to_string()
+        .parse()
+        .map_err(|_| BacktestError::Execution(format!("stock_pool_decimal_range_{label}")))
+}
+
+fn etf_activity(report:&mut BrokerExecutionReport,date:NaiveDate,symbol:&str,side:pool::OrderSide,detail:String) {
+    report.process_events.push(ProcessEvent {date,kind:ProcessEventKind::EtfExecutionFallback,order_id:None,
+        symbol:Some(symbol.into()),side:Some(if side==pool::OrderSide::Buy {OrderSide::Buy} else {OrderSide::Sell}),detail});
+}
+
+fn pool_positions(
+    portfolio: &PortfolioState,
+    date: NaiveDate,
+) -> Result<Vec<pool::Position>, BacktestError> {
+    portfolio
+        .positions()
+        .values()
+        .filter(|p| p.quantity > 0)
+        .map(|p| {
+            Ok(pool::Position {
+                symbol: p.symbol.clone(),
+                quantity: Decimal::from(p.quantity),
+                closable_quantity: Decimal::from(p.sellable_qty(date)),
+                average_cost: decimal(p.average_cost, "position_cost")?,
+            })
+        })
+        .collect()
+}
+
+#[cfg(test)]
+mod successor_protection_tests {
+    use super::*;
+    use crate::holding_policy::{AutomaticTradeLock, AutomaticTradeProtection};
+    fn day(n: u32) -> NaiveDate { NaiveDate::from_ymd_opt(2026, 9, n).unwrap() }
+
+    #[test]
+    fn deferred_etf_open_rechecks_inherited_locks_and_cooldown_before_any_order() {
+        let old = "159915.SZ";
+        let new = "159999.SZ";
+        let data = DataSet::from_components(
+            [old, new].into_iter().map(|symbol| crate::Instrument {
+                symbol: symbol.into(), name: "isolated ETF fixture".into(), board: "ETF".into(), round_lot: 100,
+                listed_at: Some(day(1)), delisted_at: None, status: "active".into(),
+            }).collect(), vec![crate::DailyMarketSnapshot {
+                date: day(15), symbol: new.into(), timestamp: None, day_open: 5., open: 5., high: 5., low: 5.,
+                close: 5., last_price: 5., bid1: 5., ask1: 5., prev_close: 5., volume: 100000,
+                minute_volume: 0, bid1_volume: 100000, ask1_volume: 100000, trading_phase: None,
+                paused: false, upper_limit: 5.5, lower_limit: 4.5, price_tick: 0.001,
+            }], vec![], vec![crate::CandidateEligibility {
+                date: day(15), symbol: new.into(), is_st: false, is_star_st: false, is_new_listing: false,
+                is_paused: false, allow_buy: true, allow_sell: true, is_kcb: false, is_one_yuan: false,
+                risk_level_code: None,
+            }], [11,14,15].into_iter().map(|n| crate::BenchmarkSnapshot {
+                date: day(n), benchmark: "000300.SH".into(), open: 100., close: 100., prev_close: 100., volume: 10000,
+            }).collect()).unwrap();
+        for mode in ["lock", "cooldown", "expired"] {
+            let broker = BrokerSimulator::new(crate::ChinaAShareCostModel::default(), crate::ChinaEquityRuleHooks)
+                .with_volume_limit(false).with_liquidity_limit(false);
+            let mut portfolio = PortfolioState::new(10000.);
+            portfolio.position_mut(old).buy(day(11), 200, 10.);
+            portfolio.position_mut(old).sell(100, 10.).unwrap();
+            broker.mark_same_day_sold(day(11), old);
+            portfolio.apply_successor_conversion(old, new, 2., 0.).unwrap();
+            let policy = AutomaticTradeProtection {
+                sell_cooldown_days: if mode == "cooldown" { 3 } else { 0 },
+                locks: if mode != "cooldown" { vec![AutomaticTradeLock {
+                    symbol: old.into(), start_date: day(11), end_date: Some(day(if mode == "expired" {14} else {15})),
+                }] } else { vec![] }, ..Default::default()
+            };
+            let rule = pool::StockPoolExecutionRule { automatic_trade_protection: policy, ..Default::default() };
+            broker.deferred_etf_targets.borrow_mut().replace_generation("pool", "latest");
+            broker.deferred_etf_targets.borrow_mut().upsert(crate::etf_execution::DeferredEtfTarget {
+                pool_id: "pool".into(), generation: "latest".into(), symbol: new.into(),
+                signal_date: day(14), signal_at: day(14).and_hms_opt(13,0,0).unwrap(), execute_on: Some(day(15)),
+                target_value: 5000.into(), target_weight_bps: 10000, side: pool::OrderSide::Buy, max_positions: 1,
+                rule: std::sync::Arc::new(rule), members: std::sync::Arc::new(vec![pool::StockPoolMemberSpec {
+                    symbol: new.into(), requested_order: 0, recommendation_reason: String::new(),
+                    target_weight_bps: None, stop_loss: None, take_profit: None,
+                }]), reason: "isolated deferred ETF target".into(),
+            });
+            let report = broker.execute_deferred_etf_targets(day(15), &mut portfolio, &data).unwrap();
+            if mode == "expired" {
+                assert_eq!(report.fill_events.len(), 1, "{report:?}");
+                assert_eq!(portfolio.position(new).unwrap().quantity, 1000);
+            } else {
+                assert!(report.order_events.is_empty(), "{mode}: {report:?}");
+                assert!(report.fill_events.is_empty());
+                assert_eq!(portfolio.position(new).unwrap().quantity, 200);
+                assert!(report.diagnostics.iter().any(|text| text.contains(if mode == "lock" {"automatic_trade_locked"} else {"sell_fill_cooldown"})));
+            }
+        }
+    }
+}
+
+impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
+    fn pool_automatic_permission(&self, symbol: &str, date: NaiveDate,
+        policy: &crate::holding_policy::AutomaticTradeProtection,
+        portfolio: &PortfolioState, data: &DataSet)
+        -> Result<crate::holding_policy::AutomaticTradePermission, BacktestError> {
+        let position = portfolio.position(symbol).filter(|position| position.quantity > 0);
+        let sold = self.same_day_sold_symbols.borrow().iter().rev()
+            .find(|(day, symbols)| **day <= date && (symbols.contains(symbol)
+                || portfolio.corporate_predecessors(symbol).any(|previous| symbols.contains(previous))))
+            .map(|(day, _)| *day);
+        let evidence = HoldingLifecycleEvidence {
+            has_position: position.is_some(), opened_date: position.and_then(|position| position.opened_date()),
+            last_buy_date: position.and_then(|position| position.last_buy_date()), last_sell_date: sold,
+        };
+        policy.evaluate_with_predecessors(symbol, date, &evidence, data.calendar(),
+            portfolio.corporate_predecessors(symbol)).map_err(BacktestError::Execution)
+    }
+
+    pub(super) fn resume_stock_pool_executions(&self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet,
+        session: &mut BrokerExecutionSession, report: &mut BrokerExecutionReport) -> Result<(), BacktestError> {
+        let clock = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time);
+        let mut expired = Vec::new();
+        for (id, pending) in self.deferred_stock_pools.borrow().iter() {
+            let end = NaiveTime::parse_from_str(&pending.contract.rule.window_end, "%H:%M")
+                .map_err(|_| BacktestError::Execution("stock_pool_execution_window_invalid".into()))?;
+            if pending.date != date || clock.is_some_and(|clock| clock >= end) { expired.push(id.clone()); }
+        }
+        for id in expired {
+            if let Some(pending) = self.deferred_stock_pools.borrow_mut().remove(&id) {
+                report.diagnostics.push(format!("stock_pool_unsubmitted_phase_expired generation={} date={date} no_buy_order_created=true",pending.contract.generation));
+            }
+        }
+        if self.has_open_orders() || clock.is_none() { return Ok(()); }
+        let pending = std::mem::take(&mut *self.deferred_stock_pools.borrow_mut());
+        for (id, pending) in pending {
+            let now = clock.expect("clock checked above");
+            let start = NaiveTime::parse_from_str(&pending.contract.rule.window_start, "%H:%M")
+                .map_err(|_| BacktestError::Execution("stock_pool_execution_window_invalid".into()))?;
+            if now < start || !pool::stock_pool_is_trading_minute(now.hour() * 60 + now.minute()) {
+                self.deferred_stock_pools.borrow_mut().insert(id, pending);
+                continue;
+            }
+            let prior_followup = self.runtime_stock_pool_followup.replace(true);
+            let prior_decision = self.runtime_decision_date.replace(Some(pending.contract.signal_date));
+            let prior_created = self.runtime_order_created_date.replace(Some(date));
+            let order_start = report.order_events.len();
+            let fill_start = report.fill_events.len();
+            report.diagnostics.push(format!("stock_pool_resume_after_order_reports generation={} clock={} cash={}",pending.contract.generation,clock.unwrap(),portfolio.cash()));
+            let result = self.process_stock_pool_contract_phase(date, portfolio, data, &pending.contract,
+                &mut session.intraday_turnover, &mut session.execution_cursors, &mut session.global_execution_cursor,
+                &mut session.commission_state, report, pending.buy_only, Some(&pending.initial_holdings));
+            self.runtime_stock_pool_followup.set(prior_followup);
+            self.runtime_decision_date.set(prior_decision);
+            self.runtime_order_created_date.set(prior_created);
+            result?;
+            Self::annotate_report_range(report, order_start, fill_start, pending.contract.signal_date, date, date);
+        }
+        Ok(())
+    }
+
+    fn pool_quote_inputs(
+        &self,
+        date: NaiveDate,
+        data: &DataSet,
+        symbols: &BTreeSet<String>,
+        execution_clock: Option<NaiveDateTime>,
+        cumulative_conditions: bool,
+    ) -> Result<(Vec<pool::MarketSnapshot>, Vec<String>), BacktestError> {
+        let mut unavailable = Vec::new();
+        let quotes = symbols
+            .iter()
+            .map(|symbol| {
+                let snapshot = data.market(date, symbol).ok_or_else(|| {
+                    BacktestError::Execution(format!(
+                        "stock_pool_execution_snapshot_missing:{symbol}:{date}"
+                    ))
+                })?;
+                let instrument = data.instruments().get(symbol).ok_or_else(|| {
+                    BacktestError::Execution(format!("stock_pool_instrument_missing:{symbol}"))
+                })?;
+                let fallback = self.pool_etf_fallback_reference(date, data, symbol, execution_clock)?;
+                let (price, prev, volume, amount, bid, ask, buy_price, sell_price) = if let Some(reference) = fallback {
+                    let calibration = self.slippage_calibration(data, snapshot)?;
+                    (reference.price, snapshot.prev_close, None, None, None, None,
+                        self.quote_execution_price(snapshot, OrderSide::Buy, reference.price, None, calibration.as_ref())?,
+                        self.quote_execution_price(snapshot, OrderSide::Sell, reference.price, None, calibration.as_ref())?)
+                } else if self
+                    .matching_type_uses_intraday_quotes()
+                {
+                    let time = self
+                        .runtime_intraday_start_time
+                        .get()
+                        .or(self.intraday_execution_start_time)
+                        .ok_or_else(|| {
+                            BacktestError::Execution(
+                                "stock_pool_intraday_execution_clock_required".into(),
+                            )
+                        })?;
+                    let clock = execution_clock
+                        .unwrap_or(date.and_time(time))
+                        .max(date.and_time(time));
+                    let quote = data
+                        .execution_quotes_on(date, symbol)
+                        .iter()
+                        .rev()
+                        .find(|quote| quote.timestamp <= clock)
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_execution_quote_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    if !quote.last_price.is_finite() || quote.last_price <= 0.0 {
+                        return Err(BacktestError::Execution(format!(
+                            "stock_pool_execution_quote_invalid:{symbol}:{clock}"
+                        )));
+                    }
+                    let raw_buy = self
+                        .select_quote_reference_price(
+                            snapshot,
+                            quote,
+                            OrderSide::Buy,
+                            self.matching_type_for_algo_request(None),
+                        )
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_buy_reference_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    let raw_sell = self
+                        .select_quote_reference_price(
+                            snapshot,
+                            quote,
+                            OrderSide::Sell,
+                            self.matching_type_for_algo_request(None),
+                        )
+                        .ok_or_else(|| {
+                            BacktestError::Execution(format!(
+                                "stock_pool_sell_reference_missing:{symbol}:{clock}"
+                            ))
+                        })?;
+                    let calibration = self.slippage_calibration(data, snapshot)?;
+                    let buy = self.quote_execution_price(
+                        snapshot,
+                        OrderSide::Buy,
+                        raw_buy,
+                        None,
+                        calibration.as_ref(),
+                    )?;
+                    let sell = self.quote_execution_price(
+                        snapshot,
+                        OrderSide::Sell,
+                        raw_sell,
+                        None,
+                        calibration.as_ref(),
+                    )?;
+                    let totals = if cumulative_conditions {
+                        match data.execution_session_totals(symbol, clock) {
+                            Ok(totals) => Some(totals),
+                            Err(reason) => { unavailable.push(reason); None }
+                        }
+                    } else { None };
+                    (
+                        quote.last_price,
+                        snapshot.prev_close,
+                        totals.map(|total| total.0),
+                        totals.map(|total| total.1),
+                        Some(quote.bid1),
+                        Some(quote.ask1),
+                        buy,
+                        sell,
+                    )
+                } else {
+                    let price = snapshot.price(self.effective_execution_price_field(date));
+                    if !price.is_finite() || price <= 0.0 {
+                        return Err(BacktestError::Execution(format!(
+                            "stock_pool_execution_price_missing:{symbol}:{date}"
+                        )));
+                    }
+                    // A daily open does not reveal the session's volume/turnover.
+                    let completed = self.effective_execution_price_field(date) == PriceField::Close;
+                    let totals = if cumulative_conditions && !completed {
+                        let at = execution_clock.unwrap_or_else(|| date.and_hms_opt(9,30,0).unwrap());
+                        match data.execution_session_totals(symbol, at) {
+                            Ok(totals) => Some(totals),
+                            Err(reason) => { unavailable.push(reason); None }
+                        }
+                    } else { None };
+                    let amount = if completed && cumulative_conditions {
+                        data.factor(date, symbol).and_then(|row| row.extra_factors.get("amount")).copied()
+                            .map(|value| decimal(value, "amount")).transpose()?
+                    } else { totals.map(|total| total.1) };
+                    (
+                        price,
+                        snapshot.prev_close,
+                        if completed { Some(Decimal::from(snapshot.volume)) } else { totals.map(|total| total.0) },
+                        amount,
+                        None,
+                        None,
+                        self.snapshot_execution_price(data, snapshot, OrderSide::Buy, None)?,
+                        self.snapshot_execution_price(data, snapshot, OrderSide::Sell, None)?,
+                    )
+                };
+                Ok(pool::MarketSnapshot {
+                    symbol: symbol.clone(),
+                    last_price: decimal(price, "price")?,
+                    prev_close: Some(decimal(prev, "prev_close")?),
+                    volume,
+                    turnover: amount,
+                    bid_price_1: bid.map(|v| decimal(v, "bid")).transpose()?,
+                    ask_price_1: ask.map(|v| decimal(v, "ask")).transpose()?,
+                    is_kcb: Some(instrument.board.eq_ignore_ascii_case("KSH")),
+                    instrument_rules: Some(pool::StockPoolInstrumentRules {
+                        price_tick: decimal(snapshot.price_tick, "price_tick")?,
+                        quantity_step: instrument.order_step_size().into(),
+                        minimum_buy_quantity: instrument.minimum_order_quantity().into(),
+                    }),
+                    buy_sizing_price: Some(decimal(buy_price, "buy_price")?),
+                    sell_sizing_price: Some(decimal(sell_price, "sell_price")?),
+                })
+            })
+            .collect::<Result<Vec<_>, BacktestError>>()?;
+        Ok((quotes, unavailable))
+    }
+
+    fn pool_etf_fallback_reference(&self, date: NaiveDate, data: &DataSet, symbol: &str, clock: Option<NaiveDateTime>) -> Result<Option<crate::etf_execution::EtfFallbackReference>, BacktestError> {
+        if !self.matching_type_uses_intraday_quotes() || !self.has_verified_etf_minute_absence(date, symbol) {
+            return Ok(None);
+        }
+        let time = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time)
+            .ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: execution clock missing".into()))?;
+        let at = clock.unwrap_or(date.and_time(time)).max(date.and_time(time));
+        crate::etf_execution::reference(data, symbol, at).map(Some)
+    }
+
+    pub(super) fn process_stock_pool_contract(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        contract: &pool::FrozenStockPoolIntent,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut IntradayExecutionLedger,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>,
+        report: &mut BrokerExecutionReport,
+    ) -> Result<(), BacktestError> {
+        self.process_stock_pool_contract_phase(date, portfolio, data, contract, intraday_turnover,
+            execution_cursors, global_execution_cursor, commission_state, report, false, None)
+    }
+
+    fn process_stock_pool_contract_phase(
+        &self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet,
+        contract: &pool::FrozenStockPoolIntent, intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut IntradayExecutionLedger, global_execution_cursor: &mut Option<NaiveDateTime>,
+        commission_state: &mut BTreeMap<u64, f64>, report: &mut BrokerExecutionReport, buy_only: bool,
+        initial_holdings: Option<&BTreeSet<String>>,
+    ) -> Result<(), BacktestError> {
+        if contract.signal_date > date
+            || contract.frozen_equity < Decimal::ZERO
+            || contract.generation.is_empty()
+            || contract.pool_id.trim().is_empty()
+        {
+            return Err(BacktestError::Execution(
+                "stock_pool_frozen_intent_invalid".into(),
+            ));
+        }
+        if self.matching_type == MatchingType::NextBarOpen && contract.signal_date >= date {
+            return Err(BacktestError::Execution(
+                "stock_pool_next_open_requires_prior_signal".into(),
+            ));
+        }
+        let mut selection = contract.selection.clone();
+        let mut members = contract.members.clone();
+        for symbol in &contract.selection.requested_symbols {
+            let instrument = data.instruments().get(symbol).ok_or_else(|| {
+                BacktestError::Execution(format!("stock_pool_instrument_missing:{symbol}"))
+            })?;
+            if portfolio.position(symbol).is_none()
+                && let Some(reason) = instrument.dated_market_absence_reason(date)
+            {
+                selection.requested_symbols.retain(|v| v != symbol);
+                selection.normal_trading_symbols.retain(|v| v != symbol);
+                selection.risk_eligible_symbols.retain(|v| v != symbol);
+                selection.final_symbols.retain(|v| v != symbol);
+                members.retain(|v| &v.symbol != symbol);
+                report.diagnostics.push(format!(
+                    "stock_pool_market_absence symbol={symbol} date={date} reason={reason}"
+                ));
+            }
+        }
+        let mut scope = selection
+            .requested_symbols
+            .iter()
+            .cloned()
+            .collect::<BTreeSet<_>>();
+        scope.extend(portfolio.positions().keys().cloned());
+        let before_positions = initial_holdings.cloned().unwrap_or_else(|| portfolio.positions().keys().cloned().collect());
+        let official_dates = data.calendar().iter().collect::<Vec<_>>();
+        let initial_positions = pool_positions(portfolio, date)?;
+        let state = portfolio
+            .stock_pool_execution_state(&contract.pool_id)
+            .observe(
+                contract.signal_date,
+                date,
+                &official_dates,
+                &members,
+                &initial_positions,
+            )
+            .map_err(BacktestError::Execution)?;
+        portfolio
+            .set_stock_pool_execution_state(&contract.pool_id, state)
+            .map_err(BacktestError::Execution)?;
+        let superseded = self.deferred_etf_targets.borrow_mut().replace_generation(&contract.pool_id, &contract.generation);
+        if superseded > 0 { report.diagnostics.push(format!("etf_daily_open_fallback:superseded pool={} generation={} targets={superseded}", contract.pool_id, contract.generation)); }
+        if self.has_open_orders() {
+            self.deferred_stock_pools.borrow_mut().insert(contract.pool_id.clone(), DeferredStockPoolExecution {
+                date, contract: Box::new(contract.clone()), buy_only, symbols: scope, initial_holdings: before_positions,
+            });
+            report
+                .diagnostics
+                .push("stock_pool_waiting_for_active_orders no_new_intent=true".into());
+            return Ok(());
+        }
+        let mut constraints = contract.constraints.clone();
+        constraints.execution_date = Some(date);
+        constraints.frozen_positions.clear();
+        let mut quote_scope = scope.clone();
+        for symbol in &scope {
+            let paused = data.market(date, symbol).is_some_and(|row| row.paused)
+                || data
+                    .candidate(date, symbol)
+                    .is_some_and(|row| row.is_paused);
+            if !paused {
+                continue;
+            }
+            quote_scope.remove(symbol);
+            if let Some(position) = portfolio
+                .position(symbol)
+                .filter(|position| position.quantity > 0)
+            {
+                constraints.frozen_positions.insert(
+                    symbol.clone(),
+                    pool::FrozenStockPoolPosition {
+                        trade_date: date,
+                        reason: "paused".into(),
+                        valuation_price: decimal(position.last_price, "paused_holding_valuation")?,
+                    },
+                );
+            } else {
+                selection
+                    .normal_trading_symbols
+                    .retain(|item| item != symbol);
+                selection
+                    .risk_eligible_symbols
+                    .retain(|item| item != symbol);
+                selection.final_symbols.retain(|item| item != symbol);
+                selection
+                    .exclusion_reasons
+                    .entry(symbol.clone())
+                    .or_default()
+                    .push("paused".into());
+            }
+        }
+        // All delayed symbols in a generation share immutable configuration.
+        // Do not duplicate an N-member pool N times in a large mixed pool.
+        let mut deferred_configuration = None;
+        for side in [pool::OrderSide::Sell, pool::OrderSide::Buy] {
+            if buy_only && side == pool::OrderSide::Sell { continue; }
+            if side == pool::OrderSide::Buy && self.has_open_orders()
+                && self.effective_rebalance_cash_mode() == RebalanceCashMode::SellThenBuy {
+                self.deferred_stock_pools.borrow_mut().insert(contract.pool_id.clone(), DeferredStockPoolExecution {
+                    date, contract: Box::new(contract.clone()), buy_only: true, symbols: quote_scope.clone(), initial_holdings: before_positions.clone(),
+                });
+                report.diagnostics.push(format!("stock_pool_waiting_for_sell_reports generation={} no_buy_order_created=true",contract.generation));
+                break;
+            }
+            let mut fallback_references = BTreeMap::new();
+            for symbol in &quote_scope {
+                if let Some(reference) = self.pool_etf_fallback_reference(date, data, symbol, *global_execution_cursor)? {
+                    let condition = if side == pool::OrderSide::Buy { &contract.rule.buy_condition } else { &contract.rule.sell_condition };
+                    if !condition.trim().is_empty() {
+                        return Err(BacktestError::Execution(format!("etf_daily_open_fallback: intraday condition evidence unavailable symbol={symbol} side={side:?}; daily reference is not a minute or tick signal")));
+                    }
+                    fallback_references.insert(symbol.clone(), reference);
+                }
+            }
+            let (quotes, unavailable) = self.pool_quote_inputs(date, data, &quote_scope, *global_execution_cursor,
+                crate::stock_pool_quote_facts::requires_session_totals(&contract.rule))?;
+            let positions = pool_positions(portfolio, date)?;
+            let execution_state = portfolio
+                .stock_pool_execution_state(&contract.pool_id)
+                .observe(
+                    contract.signal_date,
+                    date,
+                    &official_dates,
+                    &members,
+                    &positions,
+                )
+                .map_err(BacktestError::Execution)?;
+            constraints.pending_entry_symbols = execution_state.pending_symbols();
+            constraints.prior_target_weights = execution_state.last_target_weights.clone();
+            constraints.position_action_bases = execution_state.position_action_bases_for(&contract.generation);
+            constraints.next_day_outside_exit_symbols = execution_state.next_day_exit_symbols(date);
+            let account = pool::AccountSnapshot {
+                total_equity: contract.frozen_equity,
+                cash: decimal(portfolio.cash(), "cash")?,
+                frozen_cash: Decimal::ZERO,
+            };
+            constraints.automatic_permissions.clear();
+            if contract.rule.automatic_trade_protection.enabled() {
+                for symbol in &scope {
+                    let permission = self.pool_automatic_permission(symbol, date,
+                        &contract.rule.automatic_trade_protection, portfolio, data)?;
+                    constraints
+                        .automatic_permissions
+                        .insert(symbol.clone(), permission);
+                }
+            }
+            if side == pool::OrderSide::Buy {
+                for (symbol, reference) in &fallback_references {
+                    if !reference.immediate {
+                        // The sell leg was queued, not filled. Keep its real
+                        // holdings/slots and do not finance buys with proceeds
+                        // from the following session.
+                        constraints.automatic_permissions.entry(symbol.clone()).or_default()
+                            .sell_denial.get_or_insert("etf_daily_open_deferred");
+                    }
+                }
+            }
+            if self
+                .risk_config
+                .static_rules
+                .forbid_same_day_rebuy_after_sell
+            {
+                constraints.same_day_sold_symbols.extend(
+                    self.same_day_sold_symbols
+                        .borrow()
+                        .get(&date)
+                        .into_iter()
+                        .flatten()
+                        .cloned(),
+                );
+            }
+            constraints.same_day_sold_symbols.extend(
+                before_positions
+                    .iter()
+                    .filter(|symbol| portfolio.position(symbol).is_none_or(|p| p.quantity == 0))
+                    .cloned(),
+            );
+            let fee =
+                |symbol: &str, side: pool::OrderSide, gross: Decimal| -> Result<Decimal, String> {
+                    let amount = gross
+                        .to_f64()
+                        .ok_or("stock_pool_cost_amount_out_of_range")?;
+                    decimal(
+                        self.cost_model
+                            .calculate_for_instrument(
+                                date,
+                                if side == pool::OrderSide::Buy {
+                                    OrderSide::Buy
+                                } else {
+                                    OrderSide::Sell
+                                },
+                                amount,
+                                data.instruments().get(symbol),
+                            )
+                            .total(),
+                        "fee",
+                    )
+                    .map_err(|e| e.to_string())
+                };
+            let plan = pool::build_stock_pool_target_plan_with_fee_model(
+                &selection,
+                &members,
+                &contract.rule,
+                &account,
+                &positions,
+                &quotes,
+                contract.invest_ratio_bps,
+                contract.reserve_cash,
+                &contract.out_of_pool_policy,
+                "full_rebalance",
+                &constraints,
+                &contract.generation,
+                Decimal::ZERO,
+                Decimal::ZERO,
+                Decimal::ZERO,
+                Some(&fee),
+            )
+            .map_err(|error| BacktestError::Execution(if !unavailable.is_empty()
+                && (error.contains("requires volume") || error.contains("requires amount")) {
+                    format!("{error}; {}", unavailable.join("; "))
+                } else { error }))?;
+            report.diagnostics.extend(unavailable.into_iter().map(|reason| format!("stock_pool_quote_fact_unavailable {reason}")));
+            let mut updated = execution_state
+                .record_plan(contract.signal_date, &contract.generation, &plan)
+                .map_err(BacktestError::Execution)?;
+            for (symbol, reference) in &fallback_references {
+                if !reference.immediate && let Some(entry) = updated.entries.get_mut(symbol) {
+                    // The signal only fixes money, not shares at a stale close.
+                    entry.completion_quantity = None;
+                }
+            }
+            portfolio
+                .set_stock_pool_execution_state(&contract.pool_id, updated)
+                .map_err(BacktestError::Execution)?;
+            report.diagnostics.push(format!("stock_pool_plan phase={side:?} generation={} requested_bps={} effective_bps={} budget={}",contract.generation,plan.requested_invest_ratio_bps,plan.effective_invest_ratio_bps,plan.budget));
+            let max_positions = constraints
+                .target_holding_count
+                .unwrap_or(selection.final_symbols.len());
+            for row in plan.rows {
+                if side == pool::OrderSide::Buy && row.side.is_none() {
+                    report.diagnostics.push(format!(
+                        "stock_pool_decision symbol={} status={} current={} target={} reason={}",
+                        row.symbol,
+                        row.status,
+                        row.current_quantity,
+                        row.target_quantity,
+                        row.reason
+                    ));
+                }
+                if row.side != Some(side) {
+                    continue;
+                }
+                if let Some(reference) = fallback_references.get(&row.symbol) {
+                    let time = self.runtime_intraday_start_time.get().or(self.intraday_execution_start_time).expect("fallback clock validated");
+                    let at = global_execution_cursor.unwrap_or(date.and_time(time)).max(date.and_time(time));
+                    if !reference.immediate {
+                        report.diagnostics.push(format!("etf_daily_open_fallback:deferred symbol={} signal_at={at} reference_date={} reference_price={} target_value={} execute_on={:?}", row.symbol, reference.reference_date, reference.price, row.target_value, reference.execute_on));
+                        let deferred = deferred_configuration.get_or_insert_with(|| (
+                            std::sync::Arc::new(contract.rule.clone()), std::sync::Arc::new(members.clone()),
+                        ));
+                        let opening_date=reference.execute_on.map(|day|day.to_string()).unwrap_or_else(||"回测区间外（后续日历未加载）".into());
+                        etf_activity(report,date,&row.symbol,side,format!("ETF 顺延执行：信号 {at}，参考 {} 收盘 {}，目标金额 {}，下一正式开盘日 {opening_date}；未生成成交。",reference.reference_date,reference.price,row.target_value));
+                        self.deferred_etf_targets.borrow_mut().upsert(crate::etf_execution::DeferredEtfTarget {
+                            pool_id:contract.pool_id.clone(), generation:contract.generation.clone(), symbol:row.symbol.clone(),
+                            signal_date:contract.signal_date, signal_at:at, execute_on:reference.execute_on,
+                            target_value:row.target_value, target_weight_bps:row.target_weight_bps, side,
+                            max_positions, rule:std::sync::Arc::clone(&deferred.0), members:std::sync::Arc::clone(&deferred.1),
+                            reason:row.source_intent.clone().unwrap_or_else(||"stock_pool_target".into()),
+                        });
+                        continue;
+                    }
+                }
+                if side == pool::OrderSide::Buy
+                    && portfolio
+                        .position(&row.symbol)
+                        .is_none_or(|p| p.quantity == 0)
+                    && Self::positive_position_count(portfolio) >= max_positions
+                {
+                    report.diagnostics.push(format!(
+                        "stock_pool_buy_deferred symbol={} reason=occupied_position_slots",
+                        row.symbol
+                    ));
+                    continue;
+                }
+                let target = row.target_quantity.to_i32().ok_or_else(|| {
+                    BacktestError::Execution("stock_pool_target_quantity_out_of_range".into())
+                })?;
+                let fallback_reason = fallback_references.contains_key(&row.symbol).then(|| format!("{}: etf_daily_open_fallback signal_date={} execution_date={date}", row.source_intent.as_deref().unwrap_or("stock_pool_target"), contract.signal_date));
+                let reason = fallback_reason.as_deref().unwrap_or_else(|| row.source_intent.as_deref().unwrap_or("stock_pool_target"));
+                let first_fill = report.fill_events.len();
+                if fallback_references.contains_key(&row.symbol) {
+                    report.diagnostics.push(format!("etf_daily_open_fallback:opening symbol={} signal_date={} execution_date={date}", row.symbol, contract.signal_date));
+                    etf_activity(report,date,&row.symbol,side,format!("ETF 日线开盘回退：信号日 {}，执行日 {date}，使用正式日线开盘价；不是分钟成交行情。",contract.signal_date));
+                }
+                let mut execute = || if let Some(price) = row.limit_price {
+                    self.process_limit_target_shares(
+                        date,
+                        portfolio,
+                        data,
+                        &row.symbol,
+                        target,
+                        price.to_f64().ok_or_else(|| {
+                            BacktestError::Execution("stock_pool_limit_price_out_of_range".into())
+                        })?,
+                        reason,
+                        intraday_turnover,
+                        execution_cursors,
+                        global_execution_cursor,
+                        commission_state,
+                        report,
+                    )
+                } else {
+                    self.process_target_shares(
+                        date,
+                        portfolio,
+                        data,
+                        &row.symbol,
+                        target,
+                        reason,
+                        intraday_turnover,
+                        execution_cursors,
+                        global_execution_cursor,
+                        commission_state,
+                        report,
+                    )
+                };
+                if fallback_references.contains_key(&row.symbol) {
+                    self.with_etf_daily_open(execute)?;
+                    for fill in &mut report.fill_events[first_fill..] {
+                        fill.execution_start_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                        fill.execution_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                    }
+                } else { execute()?; }
+            }
+        }
+        Ok(())
+    }
+
+    pub(crate) fn pending_etf_target_count(&self) -> usize {
+        self.deferred_etf_targets.borrow().len()
+    }
+
+    /// Called at the opening clock, after settlement/corporate actions and
+    /// auction callbacks. It never sends a stock order or replays a strategy.
+    pub(crate) fn execute_deferred_etf_targets(&self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet) -> Result<BrokerExecutionReport, BacktestError> {
+        self.execution_transaction(portfolio, !self.has_open_orders() && self.pending_etf_target_count() > 0, None,
+            |portfolio| self.execute_deferred_etf_targets_inner(date, portfolio, data))
+    }
+
+    fn execute_deferred_etf_targets_inner(&self, date: NaiveDate, portfolio: &mut PortfolioState, data: &DataSet) -> Result<BrokerExecutionReport, BacktestError> {
+        let mut report = BrokerExecutionReport::default();
+        if self.has_open_orders() {
+            if self.pending_etf_target_count() > 0 {
+                report.diagnostics.push("etf_daily_open_fallback:waiting_for_active_orders".into());
+            }
+            return Ok(report);
+        }
+        let due = self.deferred_etf_targets.borrow_mut().take_due(date);
+        let dates = data.calendar().iter().collect::<Vec<_>>();
+        for target in due {
+            let instrument = data.instrument(&target.symbol).ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: instrument identity missing at execution".into()))?;
+            if !instrument.is_exchange_traded_fund() { return Err(BacktestError::Execution("etf_daily_open_fallback: instrument identity changed".into())); }
+            if let Some(reason) = instrument.dated_market_absence_reason(date) {
+                report.diagnostics.push(format!("etf_daily_open_fallback:blocked symbol={} date={date} reason={reason}", target.symbol));
+                continue;
+            }
+            let snapshot = data.market(date, &target.symbol).ok_or_else(|| BacktestError::Execution(format!("etf_daily_open_fallback: daily_open_missing symbol={} date={date}", target.symbol)))?;
+            if !snapshot.open.is_finite() || snapshot.open <= 0.0 {
+                return Err(BacktestError::Execution(format!("etf_daily_open_fallback: daily_open_invalid symbol={} date={date}", target.symbol)));
+            }
+            let position = portfolio.position(&target.symbol).filter(|p| p.quantity > 0);
+            let before_quantity = position.map_or(0, |p| p.quantity);
+            let permission = self.pool_automatic_permission(&target.symbol, date,
+                &target.rule.automatic_trade_protection, portfolio, data)?;
+            let denial = if target.side == pool::OrderSide::Buy {
+                permission.buy_denial.or(permission.max_holding_exit.then_some("max_holding_exit_pending"))
+            } else { permission.sell_denial };
+            if let Some(denial) = denial {
+                report.diagnostics.push(format!("etf_daily_open_fallback:protected symbol={} date={date} reason={denial}", target.symbol));
+                etf_activity(&mut report,date,&target.symbol,target.side,format!("ETF 顺延目标受持有保护限制：{denial}；未提交委托。"));
+                continue;
+            }
+            if target.side == pool::OrderSide::Buy && before_quantity == 0 && Self::positive_position_count(portfolio) >= target.max_positions {
+                report.diagnostics.push(format!("etf_daily_open_fallback:blocked symbol={} reason=occupied_position_slots", target.symbol));
+                continue;
+            }
+            let value = target.target_value.to_f64().ok_or_else(|| BacktestError::Execution("etf_daily_open_fallback: target value out of range".into()))?;
+            let current_value = snapshot.open * f64::from(before_quantity);
+            let satisfied = (target.side == pool::OrderSide::Buy && value <= current_value)
+                || (target.side == pool::OrderSide::Sell && value >= current_value);
+            let reason = format!("{}: etf_daily_open_fallback signal_at={} execution_at={} target_value={}", target.reason, target.signal_at, date.and_time(crate::etf_execution::opening_time()), target.target_value);
+            let mut sub = BrokerExecutionReport::default();
+            if !satisfied {
+                let (_, limit) = pool::resolve_stock_pool_order_price(&target.rule, &target.symbol, decimal(snapshot.open, "etf_open")?, target.side, decimal(snapshot.price_tick, "etf_tick")?).map_err(BacktestError::Execution)?;
+                let intent = match limit {
+                    Some(limit) => OrderIntent::LimitTargetValue { symbol:target.symbol.clone(), target_value:value, limit_price:limit.to_f64().ok_or_else(|| BacktestError::Execution("ETF limit out of range".into()))?, reason:reason.clone() },
+                    None => OrderIntent::TargetValue { symbol:target.symbol.clone(), target_value:value, reason:reason.clone() },
+                };
+                let old_time = self.runtime_intraday_start_time.replace(Some(crate::etf_execution::opening_time()));
+                let old_origin = self.runtime_resting_order_origin.replace(Some(RestingOrderOrigin { created_date:Some(target.signal_at.date()), submission_time:Some(target.signal_at.time()), accepted_date:date }));
+                let outcome = self.with_etf_daily_open(|| self.execute_with_event_dates(date, target.signal_date, target.signal_at.date(), portfolio, data, &StrategyDecision {
+                    order_intents:vec![OrderIntent::WithTimeInForce { intent:Box::new(intent), time_in_force:OrderTimeInForce::Day }], ..Default::default()
+                }));
+                self.runtime_intraday_start_time.set(old_time);
+                self.runtime_resting_order_origin.set(old_origin);
+                sub = outcome?;
+            }
+            // The actual open determines the full requested shares. A clipped
+            // or rejected execution must not be recorded as completed entry.
+            let order = sub.order_events.iter().rev().find(|order| order.symbol == target.symbol);
+            let goal_quantity = order.map_or(before_quantity, |order| match order.side {
+                OrderSide::Buy => before_quantity.saturating_add(order.requested_quantity),
+                OrderSide::Sell => before_quantity.saturating_sub(order.requested_quantity),
+            });
+            let status = if satisfied || (order.is_none() && !self.has_open_orders()) { "BELOW_MINIMUM_TRADE_UNIT_ALREADY_SATISFIED" } else { "READY" };
+            let positions = pool_positions(portfolio, date)?;
+            let state = portfolio.stock_pool_execution_state(&target.pool_id)
+                .observe(target.signal_date, date, &dates, &target.members, &positions).map_err(BacktestError::Execution)?
+                .record_targets(target.signal_date, &target.generation, [crate::stock_pool_state::StockPoolGoalObservation {
+                    symbol:&target.symbol, target_weight_bps:target.target_weight_bps, target_value:target.target_value,
+                    current_quantity:before_quantity.into(), target_quantity:goal_quantity.into(), status,
+                }]).map_err(BacktestError::Execution)?
+                .observe(target.signal_date, date, &dates, &target.members, &positions).map_err(BacktestError::Execution)?;
+            portfolio.set_stock_pool_execution_state(&target.pool_id, state).map_err(BacktestError::Execution)?;
+            for fill in &mut sub.fill_events {
+                fill.decision_date.get_or_insert(target.signal_date);
+                fill.order_created_date.get_or_insert(target.signal_at.date());
+                fill.execution_date.get_or_insert(date);
+                fill.execution_start_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+                fill.execution_timestamp.get_or_insert(date.and_time(crate::etf_execution::opening_time()));
+            }
+            for order in &mut sub.order_events {
+                order.decision_date.get_or_insert(target.signal_date);
+                order.order_created_date.get_or_insert(target.signal_at.date());
+                order.execution_date.get_or_insert(date);
+            }
+            report.diagnostics.push(reason);
+            etf_activity(&mut report,date,&target.symbol,target.side,format!("ETF 顺延目标开盘处理：原信号 {}，本次 {date} 09:30，冻结目标金额 {}，持仓 {before_quantity} → {}；按本日开盘价、资金与风控重新定量。",target.signal_at,target.target_value,portfolio.position(&target.symbol).map_or(0,|position|position.quantity)));
+            report.order_events.extend(sub.order_events);
+            report.fill_events.extend(sub.fill_events);
+            report.position_events.extend(sub.position_events);
+            report.account_events.extend(sub.account_events);
+            report.process_events.extend(sub.process_events);
+            report.diagnostics.extend(sub.diagnostics);
+        }
+        Ok(report)
+    }
+}

crates/fidc-core/src/broker_stock_pool_batch_tests.rs

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

crates/fidc-core/src/corporate_book.rs

@@ -0,0 +1,868 @@
+use crate::{
+    AccountEvent, BacktestError, BrokerExecutionReport, CashReceivable, DataSet, FillEvent,
+    OrderSide, PortfolioState, PositionEvent, PriceField, ProcessEvent, ProcessEventKind,
+};
+use chrono::{NaiveDate, TimeZone};
+
+pub(crate) fn validate_action<'a>(
+    action: &'a crate::CorporateAction,
+    data: &DataSet,
+) -> Result<Option<(&'a str, f64, f64)>, String> {
+    let terms = action.validated_successor_terms()?;
+    crate::finite_serialization::validate(action).map_err(|error| {
+        format!(
+            "corporate_action_invalid_number: symbol={} action_date={} detail={error}",
+            action.symbol, action.date
+        )
+    })?;
+    if let Some((successor, _, _)) = terms {
+        for (symbol, role) in [(&*action.symbol, "source"), (successor, "successor")] {
+            if data.instrument(symbol).is_none() {
+                return Err(format!(
+                    "corporate_action_{role}_instrument_missing: symbol={symbol} action_date={} source_symbol={}",
+                    action.date, action.symbol
+                ));
+            }
+        }
+    }
+    Ok(terms)
+}
+
+/// One corporate-action calculation for normal processing and audited replay.
+pub(crate) fn apply(
+    date: NaiveDate,
+    data: &DataSet,
+    portfolio: &mut PortfolioState,
+    notes: &mut Vec<String>,
+    cash_dividends_enabled: bool,
+    cash_dividend_adjusts_cost_basis: bool,
+) -> Result<BrokerExecutionReport, BacktestError> {
+    let actions = data.corporate_actions_on(date);
+    for action in actions {
+        validate_action(action, data).map_err(BacktestError::Execution)?;
+    }
+    if !actions.iter().any(|action| {
+        action.has_effect()
+            && portfolio
+                .position(&action.symbol)
+                .is_some_and(|position| position.quantity > 0)
+    }) {
+        return Ok(BrokerExecutionReport::default());
+    }
+    // An entire settlement batch is a single ledger update. A later invalid
+    // cash leg must not leave an earlier split, receivable, target unit, or
+    // note applied to the observed account.
+    let mut next = portfolio.clone();
+    let mut recorded = Vec::new();
+    let report = apply_inner(
+        date,
+        data,
+        &mut next,
+        &mut recorded,
+        cash_dividends_enabled,
+        cash_dividend_adjusts_cost_basis,
+    )?;
+    *portfolio = next;
+    notes.extend(recorded);
+    Ok(report)
+}
+
+fn apply_inner(
+    date: NaiveDate,
+    data: &DataSet,
+    portfolio: &mut PortfolioState,
+    notes: &mut Vec<String>,
+    cash_dividends_enabled: bool,
+    cash_dividend_adjusts_cost_basis: bool,
+) -> Result<BrokerExecutionReport, BacktestError> {
+    let mut report = BrokerExecutionReport::default();
+    for action in data.corporate_actions_on(date) {
+        if !action.has_effect() {
+            continue;
+        }
+        let Some(existing_position) = portfolio.position(&action.symbol) else {
+            continue;
+        };
+        if existing_position.quantity == 0 {
+            continue;
+        }
+
+        if cash_dividends_enabled && action.share_cash.abs() > f64::EPSILON {
+            let cash_before = portfolio.cash();
+            let (cash_delta, quantity_after, average_cost) = {
+                let position = portfolio
+                    .position_mut_if_exists(&action.symbol)
+                    .expect("position exists for dividend action");
+                let cash_delta = if cash_dividend_adjusts_cost_basis {
+                    position.apply_cash_dividend(action.share_cash)
+                } else {
+                    position.apply_cash_dividend_preserve_cost_basis(action.share_cash)
+                };
+                (cash_delta, position.quantity, position.average_cost)
+            };
+            if cash_delta.abs() > f64::EPSILON {
+                let payable_date = action.payable_date.unwrap_or(date);
+                portfolio.add_cash_receivable(CashReceivable {
+                    symbol: action.symbol.clone(),
+                    ex_date: date,
+                    payable_date,
+                    amount: cash_delta,
+                    reason: format!("cash_dividend {:.6}", action.share_cash),
+                });
+                let note = format!(
+                    "cash_dividend_receivable {} share_cash={:.6} quantity={} payable_date={} cash={:.2}",
+                    action.symbol, action.share_cash, quantity_after, payable_date, cash_delta
+                );
+                notes.push(note.clone());
+                report.account_events.push(AccountEvent {
+                    date,
+                    cash_before,
+                    cash_after: portfolio.cash(),
+                    total_equity: portfolio.total_equity(),
+                    note,
+                });
+                report.position_events.push(PositionEvent {
+                    date,
+                    symbol: action.symbol.clone(),
+                    delta_quantity: 0,
+                    quantity_after,
+                    average_cost,
+                    realized_pnl_delta: 0.0,
+                    reason: format!("cash_dividend {:.6}", action.share_cash),
+                });
+            }
+        }
+
+        let split_ratio = action.split_ratio();
+        if (split_ratio - 1.0).abs() > f64::EPSILON {
+            checked_quantity(
+                &action.symbol,
+                date,
+                portfolio
+                    .position(&action.symbol)
+                    .expect("position exists for split")
+                    .quantity,
+                split_ratio,
+                0,
+            )?;
+            portfolio
+                .adjust_stock_pool_split(&action.symbol, split_ratio)
+                .map_err(BacktestError::Execution)?;
+            let (delta_quantity, quantity_after, average_cost) = {
+                let position = portfolio
+                    .position_mut_if_exists(&action.symbol)
+                    .expect("position exists for split action");
+                let delta_quantity = position.apply_split_ratio(split_ratio);
+                (delta_quantity, position.quantity, position.average_cost)
+            };
+            if delta_quantity != 0 {
+                let note = format!(
+                    "stock_split {} ratio={:.6} delta_qty={}",
+                    action.symbol, split_ratio, delta_quantity
+                );
+                notes.push(note);
+                report.position_events.push(PositionEvent {
+                    date,
+                    symbol: action.symbol.clone(),
+                    delta_quantity,
+                    quantity_after,
+                    average_cost,
+                    realized_pnl_delta: 0.0,
+                    reason: format!("stock_split {:.6}", split_ratio),
+                });
+            }
+        }
+
+        if let Some((successor_symbol, ratio, cash_per_share)) = action
+            .validated_successor_terms()
+            .map_err(BacktestError::Execution)?
+        {
+            checked_quantity(
+                &action.symbol,
+                date,
+                portfolio
+                    .position(&action.symbol)
+                    .expect("position exists for conversion")
+                    .quantity,
+                ratio,
+                portfolio
+                    .position(successor_symbol)
+                    .map_or(0, |position| position.quantity),
+            )?;
+            let Some(outcome) = portfolio.apply_successor_conversion(
+                &action.symbol,
+                successor_symbol,
+                ratio,
+                cash_per_share,
+            ) else {
+                continue;
+            };
+            let reason = format!(
+                "successor_conversion {}->{} ratio={:.6} cash_per_share={:.6}",
+                outcome.old_symbol, outcome.new_symbol, ratio, cash_per_share
+            );
+            notes.push(reason.clone());
+            report.position_events.push(PositionEvent {
+                date,
+                symbol: outcome.old_symbol.clone(),
+                delta_quantity: -(outcome.old_quantity as i32),
+                quantity_after: 0,
+                average_cost: 0.0,
+                realized_pnl_delta: 0.0,
+                reason: reason.clone(),
+            });
+            report.position_events.push(PositionEvent {
+                date,
+                symbol: outcome.new_symbol.clone(),
+                delta_quantity: outcome.new_quantity_delta,
+                quantity_after: outcome.new_quantity_after,
+                average_cost: outcome.new_average_cost_after,
+                realized_pnl_delta: 0.0,
+                reason: reason.clone(),
+            });
+            if outcome.cash_delta.abs() > f64::EPSILON {
+                let cash_before = portfolio.cash();
+                portfolio
+                    .apply_cash_delta(outcome.cash_delta)
+                    .map_err(BacktestError::Execution)?;
+                report.account_events.push(AccountEvent {
+                    date,
+                    cash_before,
+                    cash_after: portfolio.cash(),
+                    total_equity: portfolio.total_equity(),
+                    note: format!("{} cash={:.2}", reason, outcome.cash_delta),
+                });
+            }
+        }
+    }
+
+    portfolio.prune_flat_positions();
+    Ok(report)
+}
+
+fn checked_quantity(
+    symbol: &str,
+    date: NaiveDate,
+    quantity: u32,
+    ratio: f64,
+    merged: u32,
+) -> Result<(), BacktestError> {
+    let scaled = (f64::from(quantity) * ratio).round();
+    if !scaled.is_finite()
+        || scaled < 0.
+        || scaled > f64::from(i32::MAX)
+        || scaled + f64::from(merged) > f64::from(u32::MAX)
+    {
+        return Err(BacktestError::Execution(format!(
+            "corporate_action_quantity_overflow: symbol={symbol} action_date={date}"
+        )));
+    }
+    Ok(())
+}
+/// Preserve the declared fee-free accounting allocation model; this does not
+/// submit a market order or use a later opening quote as an earlier fact.
+pub(crate) fn settle_receivables(
+    date: NaiveDate,
+    data: &DataSet,
+    portfolio: &mut PortfolioState,
+    notes: &mut Vec<String>,
+    reinvest_enabled: bool,
+    runtime_input: Option<&crate::manual_execution::ManualExecutionReplay>,
+) -> Result<BrokerExecutionReport, BacktestError> {
+    if !portfolio
+        .cash_receivables()
+        .iter()
+        .any(|row| row.payable_date <= date)
+    {
+        return Ok(BrokerExecutionReport::default());
+    }
+    let mut next = portfolio.clone();
+    let mut recorded = Vec::new();
+    let control = if reinvest_enabled {
+        manual_reinvestment_control(date, runtime_input)?
+    } else {
+        None
+    };
+    let report = settle_receivables_inner(
+        date,
+        data,
+        &mut next,
+        &mut recorded,
+        reinvest_enabled,
+        control,
+    )?;
+    *portfolio = next;
+    notes.extend(recorded);
+    Ok(report)
+}
+
+/// The accounting stage precedes the market session. A later same-day setting
+/// must not retroactively change an allocation already observed at settlement.
+#[derive(Clone, Copy)]
+enum ManualReinvestmentControl<'a> {
+    Event(&'a crate::position_exposure::PositionExposureEvent),
+    LegacyZero(NaiveDate),
+}
+
+impl ManualReinvestmentControl<'_> {
+    fn suppression(self, symbol: &str) -> Option<String> {
+        use crate::position_exposure::PositionExposureAction as Action;
+        match self {
+            Self::LegacyZero(date) => Some(format!(
+                "runtime_zero_exposure legacy_effective_date={date}"
+            )),
+            Self::Event(event) => {
+                if matches!(event.action, Action::Restore) {
+                    return None;
+                }
+                let reason = if matches!(
+                    event.action,
+                    Action::Scale { requested_bps: 0 }
+                        | Action::Set {
+                            target_exposure_bps: 0
+                        }
+                ) {
+                    "runtime_zero_exposure"
+                } else if event
+                    .allocation_weights_bps
+                    .as_ref()
+                    .is_some_and(|weights| weights.get(symbol).copied().unwrap_or(0) == 0)
+                {
+                    "runtime_zero_allocation"
+                } else {
+                    return None;
+                };
+                Some(format!(
+                    "{reason} event_sequence={} effective_at={}",
+                    event.sequence, event.effective_at
+                ))
+            }
+        }
+    }
+}
+
+fn manual_reinvestment_control(
+    date: NaiveDate,
+    runtime_input: Option<&crate::manual_execution::ManualExecutionReplay>,
+) -> Result<Option<ManualReinvestmentControl<'_>>, BacktestError> {
+    let Some(input) = runtime_input else {
+        return Ok(None);
+    };
+    let at = chrono::FixedOffset::east_opt(8 * 3600)
+        .unwrap()
+        .from_local_datetime(&date.and_hms_opt(0, 0, 0).unwrap())
+        .single()
+        .ok_or_else(|| {
+            BacktestError::Execution(
+                "dividend_reinvestment: accounting stage clock is out of range".into(),
+            )
+        })?
+        .with_timezone(&chrono::Utc);
+    // The input has already been validated and bound to the runtime audit.
+    // Keep the same (time, sequence) precedence as PositionExposureTimeline.
+    if let Some(event) = input
+        .position_exposure_events
+        .iter()
+        .filter(|event| event.effective_at <= at)
+        .max_by_key(|event| (event.effective_at, event.sequence))
+    {
+        return Ok(Some(ManualReinvestmentControl::Event(event)));
+    }
+    Ok(input
+        .legacy_position_exposure_bps
+        .range(..=date)
+        .next_back()
+        .filter(|(_, bps)| **bps == 0)
+        .map(|(day, _)| ManualReinvestmentControl::LegacyZero(*day)))
+}
+
+fn settle_receivables_inner(
+    date: NaiveDate,
+    data: &DataSet,
+    portfolio: &mut PortfolioState,
+    notes: &mut Vec<String>,
+    reinvest_enabled: bool,
+    control: Option<ManualReinvestmentControl<'_>>,
+) -> Result<BrokerExecutionReport, BacktestError> {
+    let mut report = BrokerExecutionReport::default();
+    let due = portfolio.take_due_cash_receivables(date);
+    for receivable in due {
+        let cash_before = portfolio.cash();
+        portfolio
+            .settle_cash_receivable(&receivable)
+            .map_err(BacktestError::Execution)?;
+        let mut note = format!(
+            "cash_receivable_settled {} ex_date={} payable_date={} cash={:.2}",
+            receivable.symbol, receivable.ex_date, receivable.payable_date, receivable.amount
+        );
+        if let Some(suppression) =
+            control.and_then(|control| control.suppression(&receivable.symbol))
+            && receivable.reason.starts_with("cash_dividend")
+            && receivable.amount > 0.
+        {
+            note.push_str(&format!(
+                " dividend_reinvestment_not_applied reason={suppression} cash_retained=true"
+            ));
+        } else if reinvest_enabled
+            && receivable.reason.starts_with("cash_dividend")
+            && receivable.amount > 0.0
+        {
+            let instrument = data.instrument(&receivable.symbol).ok_or_else(|| BacktestError::Execution(format!(
+                "dividend_reinvestment: instrument metadata missing symbol={} payable_date={date}", receivable.symbol)))?;
+            if let Some(reason) = instrument.dated_market_absence_reason(date) {
+                note.push_str(&format!(
+                    " dividend_reinvestment_not_applied reason={reason} cash_retained=true"
+                ));
+            } else {
+                let (reinvest_price, reference_basis) = if let Some(position) = portfolio
+                    .position(&receivable.symbol)
+                    .filter(|position| position.quantity > 0)
+                {
+                    (Some(position.last_price), "adjusted_carried_mark")
+                } else {
+                    (
+                        data.calendar().previous_day(date).and_then(|prev_date| {
+                            data.price_on_or_before(
+                                prev_date,
+                                &receivable.symbol,
+                                PriceField::Close,
+                            )
+                        }),
+                        "previous_completed_close",
+                    )
+                };
+                let price = reinvest_price.filter(|price| price.is_finite() && *price > 0.).ok_or_else(|| BacktestError::Execution(format!(
+                "dividend_reinvestment: accounting reference missing or invalid symbol={} payable_date={date} basis={reference_basis}", receivable.symbol)))?;
+                let round_lot = instrument.round_lot;
+                if round_lot == 0 {
+                    return Err(BacktestError::Execution(format!(
+                        "dividend_reinvestment: invalid quantity unit symbol={}",
+                        receivable.symbol
+                    )));
+                }
+                {
+                    let raw = (receivable.amount / price).floor();
+                    if !raw.is_finite() || raw > i32::MAX as f64 {
+                        return Err(BacktestError::Execution("dividend_reinvestment: accounting allocation quantity exceeds the ledger contract".into()));
+                    }
+                    let raw_quantity = raw as u32;
+                    let reinvest_quantity = (raw_quantity / round_lot) * round_lot;
+                    if reinvest_quantity > 0 {
+                        // Report the same micro-unit amount actually posted to
+                        // the ledger, not a floating multiplication residue.
+                        let reinvest_money =
+                            crate::FixedMoney::from_f64(reinvest_quantity as f64 * price)
+                                .ok_or_else(|| {
+                                    BacktestError::Execution(
+                                        "dividend_reinvestment: allocation amount out of range"
+                                            .into(),
+                                    )
+                                })?;
+                        let cash_delta = reinvest_money.checked_neg().ok_or_else(|| {
+                            BacktestError::Execution(
+                                "dividend_reinvestment: cash amount out of range".into(),
+                            )
+                        })?;
+                        let residual_cash = crate::FixedMoney::from_f64(receivable.amount)
+                            .and_then(|cash| cash.checked_sub(reinvest_money))
+                            .ok_or_else(|| {
+                                BacktestError::Execution(
+                                    "dividend_reinvestment: residual amount out of range".into(),
+                                )
+                            })?
+                            .to_f64();
+                        let reinvest_cash = reinvest_money.to_f64();
+                        portfolio
+                            .apply_cash_delta_fixed(cash_delta)
+                            .map_err(BacktestError::Execution)?;
+                        portfolio.position_mut(&receivable.symbol).buy(
+                            date,
+                            reinvest_quantity,
+                            price,
+                        );
+
+                        note = format!(
+                            "cash_receivable_reinvested {} ex_date={} payable_date={} cash={:.2} reinvest_qty={} reinvest_price={:.4} residual_cash={:.2}",
+                            receivable.symbol,
+                            receivable.ex_date,
+                            receivable.payable_date,
+                            receivable.amount,
+                            reinvest_quantity,
+                            price,
+                            residual_cash
+                        );
+                        report.fill_events.push(FillEvent {
+                            origin: crate::events::FillOrigin::DividendReinvestment,
+                            date,
+                            decision_date: None,
+                            order_created_date: None,
+                            execution_date: None,
+                            execution_start_timestamp: date.and_hms_opt(0, 0, 0),
+                            execution_timestamp: date.and_hms_opt(0, 0, 0),
+                            order_id: None,
+                            symbol: receivable.symbol.clone(),
+                            side: OrderSide::Buy,
+                            quantity: reinvest_quantity,
+                            price,
+                            gross_amount: reinvest_cash,
+                            commission: 0.0,
+                            stamp_tax: 0.0,
+                            transfer_fee: 0.0,
+                            net_cash_flow: cash_delta.to_f64(),
+                            reason: "dividend_reinvestment".to_string(),
+                        });
+                        report.position_events.push(PositionEvent {
+                            date,
+                            symbol: receivable.symbol.clone(),
+                            delta_quantity: reinvest_quantity as i32,
+                            quantity_after: portfolio
+                                .position(&receivable.symbol)
+                                .map(|position| position.quantity)
+                                .unwrap_or(0),
+                            average_cost: portfolio
+                                .position(&receivable.symbol)
+                                .map(|position| position.average_cost)
+                                .unwrap_or(0.0),
+                            realized_pnl_delta: 0.0,
+                            reason: "dividend_reinvestment".to_string(),
+                        });
+                        report.process_events.push(ProcessEvent {
+                        date,
+                        kind: ProcessEventKind::Trade,
+                        order_id: None,
+                        symbol: Some(receivable.symbol.clone()),
+                        side: Some(OrderSide::Buy),
+                        detail: format!("dividend_reinvestment model=fee_free_accounting booked_at={} quantity={} price={} reference_basis={} ex_date={} payable_date={} residual_cash={}",
+                            date.and_hms_opt(0,0,0).unwrap(), reinvest_quantity, price, reference_basis,
+                            receivable.ex_date, receivable.payable_date, residual_cash),
+                    });
+                    }
+                }
+            }
+        }
+        notes.push(note.clone());
+        report.account_events.push(AccountEvent {
+            date,
+            cash_before,
+            cash_after: portfolio.cash(),
+            total_equity: portfolio.total_equity(),
+            note,
+        });
+    }
+    Ok(report)
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    fn date() -> NaiveDate {
+        NaiveDate::from_ymd_opt(2026, 9, 14).unwrap()
+    }
+    fn data(delisted: bool) -> DataSet {
+        DataSet::from_components(
+            vec![crate::Instrument {
+                symbol: "000001.SZ".into(),
+                name: "fixture".into(),
+                board: "SZ".into(),
+                round_lot: 100,
+                listed_at: Some(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap()),
+                delisted_at: delisted.then_some(date()),
+                status: "active".into(),
+            }],
+            vec![],
+            vec![],
+            vec![],
+            vec![crate::BenchmarkSnapshot {
+                date: date(),
+                benchmark: "000300.SH".into(),
+                open: 100.,
+                close: 100.,
+                prev_close: 100.,
+                volume: 0,
+            }],
+        )
+        .unwrap()
+    }
+    fn book() -> PortfolioState {
+        let mut book = PortfolioState::new(10.);
+        book.add_cash_receivable(CashReceivable {
+            symbol: "000001.SZ".into(),
+            ex_date: date().pred_opt().unwrap(),
+            payable_date: date(),
+            amount: 100.,
+            reason: "cash_dividend 1".into(),
+        });
+        book
+    }
+    #[test]
+    fn missing_accounting_reference_is_atomic_not_a_silent_cash_only_success() {
+        let mut book = book();
+        let before = book.financial_replay_identity();
+        let error =
+            settle_receivables(date(), &data(false), &mut book, &mut Vec::new(), true, None)
+                .unwrap_err();
+        assert!(error.to_string().contains("accounting reference missing"));
+        assert_eq!(book.financial_replay_identity(), before);
+    }
+    #[test]
+    fn terminated_security_keeps_paid_cash_and_is_not_recreated_by_reinvestment() {
+        let mut book = book();
+        let mut notes = Vec::new();
+        let report =
+            settle_receivables(date(), &data(true), &mut book, &mut notes, true, None).unwrap();
+        assert_eq!(book.cash(), 110.);
+        assert!(book.positions().is_empty());
+        assert!(book.cash_receivables().is_empty());
+        assert!(report.fill_events.is_empty());
+        assert!(notes[0].contains("dividend_reinvestment_not_applied"));
+    }
+
+    #[test]
+    fn manual_zero_skips_only_unused_allocation_facts_not_invalid_cash_evidence() {
+        let mut input = crate::manual_execution::ManualExecutionReplay {
+            schema: crate::manual_execution::MANUAL_REPLAY_SCHEMA.into(),
+            runtime_id: "runtime".into(),
+            account_id: "account".into(),
+            source_contract_sha256: "a".repeat(64),
+            content_sha256: String::new(),
+            observation_cutoff: "2026-09-14T08:00:00Z".parse().unwrap(),
+            actions: vec![],
+            position_exposure_events: vec![],
+            legacy_position_exposure_bps: std::collections::BTreeMap::from([(date(), 0)]),
+        };
+        input.content_sha256 = input.content_digest().unwrap();
+        input.validate().unwrap();
+        let mut account = book();
+        let mut notes = Vec::new();
+        // No historical price is present, but no optional purchase is wanted.
+        let report = settle_receivables(
+            date(),
+            &data(false),
+            &mut account,
+            &mut notes,
+            true,
+            Some(&input),
+        )
+        .unwrap();
+        assert_eq!(account.cash(), 110.);
+        assert!(account.positions().is_empty());
+        assert!(report.fill_events.is_empty());
+        assert!(notes[0].contains("runtime_zero_exposure"));
+        let mut account = book();
+        account.add_cash_receivable(CashReceivable {
+            symbol: "000001.SZ".into(),
+            ex_date: date(),
+            payable_date: date(),
+            amount: f64::NAN,
+            reason: "cash_dividend invalid fixture".into(),
+        });
+        let mut notes = vec!["prior".into()];
+        assert!(
+            settle_receivables(
+                date(),
+                &data(false),
+                &mut account,
+                &mut notes,
+                true,
+                Some(&input)
+            )
+            .is_err()
+        );
+        assert_eq!(account.cash(), 10.);
+        assert_eq!(account.cash_receivables().len(), 2);
+        assert!(account.cash_receivables()[1].amount.is_nan());
+        assert_eq!(notes, ["prior"]);
+    }
+
+    fn conversion() -> crate::CorporateAction {
+        crate::CorporateAction {
+            date: date(),
+            symbol: "000001.SZ".into(),
+            payable_date: None,
+            share_cash: 0.,
+            share_bonus: 0.,
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: Some("000002.SZ".into()),
+            successor_ratio: Some(1.5),
+            successor_cash: Some(0.5),
+        }
+    }
+
+    fn conversion_data(actions: Vec<crate::CorporateAction>, include_successor: bool) -> DataSet {
+        let mut instruments = data(false)
+            .instruments()
+            .values()
+            .cloned()
+            .collect::<Vec<_>>();
+        if include_successor {
+            let mut successor = instruments[0].clone();
+            successor.symbol = "000002.SZ".into();
+            instruments.push(successor);
+        }
+        DataSet::from_components_with_actions(
+            instruments,
+            vec![],
+            vec![],
+            vec![],
+            vec![crate::BenchmarkSnapshot {
+                date: date(),
+                benchmark: "000300.SH".into(),
+                open: 100.,
+                close: 100.,
+                prev_close: 100.,
+                volume: 0,
+            }],
+            actions,
+        )
+        .unwrap()
+    }
+
+    fn conversion_book() -> PortfolioState {
+        let mut book = PortfolioState::new(1000.);
+        book.position_mut("000001.SZ")
+            .buy(date().pred_opt().unwrap(), 100, 10.);
+        book
+    }
+
+    #[test]
+    fn successor_without_frozen_instrument_metadata_is_not_an_implicit_new_security() {
+        let mut action = conversion();
+        action.share_cash = 1.;
+        action.share_bonus = 1.;
+        let data = conversion_data(vec![action], false);
+        let mut book = conversion_book();
+        let before = book.financial_replay_identity();
+        let mut notes = vec!["prior".into()];
+        let error = apply(date(), &data, &mut book, &mut notes, true, true).unwrap_err();
+        assert!(error.to_string().contains("successor_instrument_missing"));
+        assert_eq!(book.financial_replay_identity(), before);
+        assert_eq!(notes, ["prior"]);
+    }
+
+    #[test]
+    fn invalid_successor_terms_cannot_be_replaced_with_one_share_or_zero_cash() {
+        let base = conversion();
+        let mut cases = Vec::new();
+        for ratio in [
+            None,
+            Some(0.),
+            Some(-1.),
+            Some(f64::NAN),
+            Some(f64::INFINITY),
+        ] {
+            let mut row = base.clone();
+            row.successor_ratio = ratio;
+            cases.push(row);
+        }
+        for symbol in [
+            None,
+            Some(""),
+            Some("  "),
+            Some("000001.SZ"),
+            Some(" 000002.SZ"),
+        ] {
+            let mut row = base.clone();
+            row.successor_symbol = symbol.map(str::to_owned);
+            cases.push(row);
+        }
+        for cash in [f64::NAN, f64::INFINITY, f64::NEG_INFINITY] {
+            let mut row = base.clone();
+            row.successor_cash = Some(cash);
+            cases.push(row);
+        }
+        for action in cases {
+            let mut book = conversion_book();
+            let before = book.financial_replay_identity();
+            let data = conversion_data(vec![action.clone()], true);
+            let mut notes = Vec::new();
+            assert!(
+                apply(date(), &data, &mut book, &mut notes, true, true).is_err(),
+                "accepted {action:?}"
+            );
+            assert_eq!(book.financial_replay_identity(), before);
+            assert!(notes.is_empty());
+        }
+    }
+
+    #[test]
+    fn a_late_corporate_batch_failure_keeps_prior_cash_positions_and_notes() {
+        let mut dividend = conversion();
+        dividend.successor_symbol = None;
+        dividend.successor_ratio = None;
+        dividend.successor_cash = None;
+        dividend.share_cash = 1.;
+        dividend.share_bonus = 1.;
+        let mut failure = conversion();
+        failure.successor_cash = Some(1e100);
+        let data = conversion_data(vec![dividend, failure], true);
+        let mut book = conversion_book();
+        let mut state = crate::stock_pool_state::StockPoolExecutionState {
+            last_execution_date: date().pred_opt(),
+            ..Default::default()
+        };
+        state.position_action_bases.insert(
+            "000001.SZ".into(),
+            crate::stock_pool_state::StockPoolPositionActionBasis {
+                generation: "original".into(),
+                first_execution_date: date().pred_opt().unwrap(),
+                quantity: rust_decimal::Decimal::from(100),
+            },
+        );
+        state.last_target_weights.insert("000001.SZ".into(), 10000);
+        book.set_stock_pool_execution_state("pool", state.clone())
+            .unwrap();
+        let before = book.financial_replay_identity();
+        let mut notes = vec!["prior".into()];
+        assert!(apply(date(), &data, &mut book, &mut notes, true, true).is_err());
+        assert_eq!(book.financial_replay_identity(), before);
+        assert_eq!(book.stock_pool_execution_state("pool"), state);
+        assert_eq!(notes, ["prior"]);
+    }
+
+    #[test]
+    fn corporate_quantity_overflow_fails_without_saturation_or_a_negative_delta() {
+        for split in [false, true] {
+            let mut action = conversion();
+            if split {
+                action.share_bonus = 1e100;
+            } else {
+                action.successor_ratio = Some(1e100);
+            }
+            let data = conversion_data(vec![action], true);
+            let mut book = conversion_book();
+            let before = book.financial_replay_identity();
+            let mut notes = Vec::new();
+            let error = apply(date(), &data, &mut book, &mut notes, true, true).unwrap_err();
+            assert!(
+                error
+                    .to_string()
+                    .contains("corporate_action_quantity_overflow")
+            );
+            assert_eq!(book.financial_replay_identity(), before);
+            assert!(notes.is_empty());
+        }
+    }
+
+    #[test]
+    fn verified_conversion_preserves_lots_without_creating_orders_or_fills() {
+        let data = conversion_data(vec![conversion()], true);
+        let mut book = conversion_book();
+        book.position_mut("000002.SZ").buy(date(), 50, 20.);
+        let mut notes = Vec::new();
+        let report = apply(date(), &data, &mut book, &mut notes, true, true).unwrap();
+        assert!(book.position("000001.SZ").is_none());
+        let successor = book.position("000002.SZ").unwrap();
+        assert_eq!(successor.quantity, 200);
+        assert_eq!(successor.opened_date(), date().pred_opt());
+        assert_eq!(successor.last_buy_date(), Some(date()));
+        assert_eq!(book.cash(), 1050.);
+        assert!(report.fill_events.is_empty());
+        assert!(report.order_events.is_empty());
+        assert_eq!(report.position_events.len(), 2);
+        assert!(notes[0].contains("ratio=1.500000"));
+    }
+}

crates/fidc-core/src/cost.rs

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

crates/fidc-core/src/etf_execution.rs

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

crates/fidc-core/src/events.rs

@@ -181,8 +181,22 @@ impl OrderEvent {
     }
 }
 
+#[derive(Debug, Clone, Copy, Default, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum FillOrigin {
+    #[default]
+    MarketExecution,
+    DividendReinvestment,
+}
+
+impl FillOrigin {
+    pub fn is_market_execution(&self) -> bool { *self == Self::MarketExecution }
+}
+
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct FillEvent {
+    #[serde(default, skip_serializing_if = "FillOrigin::is_market_execution")]
+    pub origin: FillOrigin,
     #[serde(with = "date_format")]
     pub date: NaiveDate,
     #[serde(default, with = "optional_date_format")]
@@ -219,6 +233,14 @@ pub struct FillEvent {
 
 impl FillEvent {
     pub fn validate(&self) -> Result<(), String> {
+        if self.origin == FillOrigin::DividendReinvestment && (
+            self.order_id.is_some() || self.side != OrderSide::Buy
+            || self.commission != 0. || self.stamp_tax != 0. || self.transfer_fee != 0.
+            || self.execution_timestamp != self.date.and_hms_opt(0, 0, 0)
+            || self.execution_start_timestamp != self.execution_timestamp
+        ) {
+            return Err("dividend accounting allocation cannot carry an exchange order, fees, or a market clock".into());
+        }
         if self.symbol.trim().is_empty()
             || self.quantity == 0
             || !self.price.is_finite()
@@ -311,12 +333,15 @@ pub enum ProcessEventKind {
     OrderUpdateReject,
     OrderUnsolicitedUpdate,
     Trade,
+    ManualExecutionObserved,
     UniverseUpdated,
     UniverseSubscribed,
     UniverseUnsubscribed,
     AccountDepositWithdraw,
     AccountFinanceRepay,
     AccountManagementFee,
+    SessionCapacityAudit,
+    EtfExecutionFallback,
 }
 
 impl ProcessEventKind {
@@ -356,12 +381,15 @@ impl ProcessEventKind {
             Self::OrderUpdateReject => "order_update_reject",
             Self::OrderUnsolicitedUpdate => "order_unsolicited_update",
             Self::Trade => "trade",
+            Self::ManualExecutionObserved => "manual_execution_observed",
             Self::UniverseUpdated => "universe_updated",
             Self::UniverseSubscribed => "universe_subscribed",
             Self::UniverseUnsubscribed => "universe_unsubscribed",
             Self::AccountDepositWithdraw => "account_deposit_withdraw",
             Self::AccountFinanceRepay => "account_finance_repay",
             Self::AccountManagementFee => "account_management_fee",
+            Self::SessionCapacityAudit => "session_capacity_audit",
+            Self::EtfExecutionFallback => "etf_execution_fallback",
         }
     }
 
@@ -387,12 +415,15 @@ impl ProcessEventKind {
                 | Self::OrderUpdateReject
                 | Self::OrderUnsolicitedUpdate
                 | Self::Trade
+                | Self::ManualExecutionObserved
                 | Self::UniverseUpdated
                 | Self::UniverseSubscribed
                 | Self::UniverseUnsubscribed
                 | Self::AccountDepositWithdraw
                 | Self::AccountFinanceRepay
                 | Self::AccountManagementFee
+                | Self::SessionCapacityAudit
+                | Self::EtfExecutionFallback
                 | Self::Settlement
         )
     }
@@ -416,7 +447,7 @@ pub struct ProcessEvent {
 mod tests {
     use chrono::{NaiveDate, NaiveDateTime};
 
-    use super::{FillEvent, OrderEvent, OrderSide, OrderStatus, ProcessEventKind};
+    use super::{FillEvent, FillOrigin, OrderEvent, OrderSide, OrderStatus, ProcessEventKind};
 
     fn order_event(status: OrderStatus, filled_quantity: u32) -> OrderEvent {
         OrderEvent {
@@ -460,6 +491,7 @@ mod tests {
 
     fn fill_event(start: Option<NaiveDateTime>, end: Option<NaiveDateTime>) -> FillEvent {
         FillEvent {
+            origin: crate::events::FillOrigin::MarketExecution,
             date: NaiveDate::from_ymd_opt(2025, 1, 2).unwrap(),
             decision_date: None,
             order_created_date: None,
@@ -480,6 +512,27 @@ mod tests {
         }
     }
 
+    #[test]
+    fn accounting_origin_cannot_disguise_an_exchange_order_or_fee() {
+        let at = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap().and_hms_opt(0, 0, 0).unwrap();
+        let mut fill = fill_event(Some(at), Some(at));
+        fill.origin = FillOrigin::DividendReinvestment;
+        fill.order_id = None;
+        fill.commission = 0.;
+        fill.net_cash_flow = -1000.;
+        assert!(fill.validate().is_ok());
+        for kind in 0..3 {
+            let mut invalid = fill.clone();
+            match kind {
+                0 => invalid.order_id = Some(1),
+                1 => invalid.commission = 1.,
+                _ => { invalid.execution_timestamp = Some(at + chrono::Duration::hours(9)); invalid.execution_start_timestamp = invalid.execution_timestamp; }
+            }
+            assert!(invalid.validate().is_err());
+        }
+        assert!(serde_json::to_value(fill_event(None, None)).unwrap().get("origin").is_none());
+    }
+
     #[test]
     fn fill_execution_timestamp_range_is_explicit_and_backward_compatible() {
         let start = NaiveDate::from_ymd_opt(2025, 1, 2)

crates/fidc-core/src/execution_capacity.rs

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

crates/fidc-core/src/execution_schedule.rs

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

crates/fidc-core/src/finite_serialization.rs

@@ -0,0 +1,196 @@
+//! Check typed pending intent numbers before JSON could replace NaN/Inf with null.
+//! This traverses the original Serialize representation without materializing it.
+use serde::{Serialize, Serializer, ser};
+
+#[derive(Clone, Copy)]
+struct Finite;
+
+pub(crate) fn validate(value: &impl Serialize) -> Result<(), serde_json::Error> {
+    value.serialize(Finite)
+}
+
+macro_rules! scalar {
+    ($($method:ident: $ty:ty),* $(,)?) => {$(
+        fn $method(self, _: $ty) -> Result<(), Self::Error> { Ok(()) }
+    )*};
+}
+
+impl Serializer for Finite {
+    type Ok = ();
+    type Error = serde_json::Error;
+    type SerializeSeq = Self;
+    type SerializeTuple = Self;
+    type SerializeTupleStruct = Self;
+    type SerializeTupleVariant = Self;
+    type SerializeMap = Self;
+    type SerializeStruct = Self;
+    type SerializeStructVariant = Self;
+
+    scalar!(serialize_bool: bool, serialize_i8: i8, serialize_i16: i16,
+        serialize_i32: i32, serialize_i64: i64, serialize_i128: i128,
+        serialize_u8: u8, serialize_u16: u16, serialize_u32: u32,
+        serialize_u64: u64, serialize_u128: u128, serialize_char: char,
+        serialize_str: &str, serialize_bytes: &[u8]);
+    fn serialize_f32(self, value: f32) -> Result<(), Self::Error> {
+        self.serialize_f64(f64::from(value))
+    }
+    fn serialize_f64(self, value: f64) -> Result<(), Self::Error> {
+        if value.is_finite() {
+            Ok(())
+        } else {
+            Err(ser::Error::custom(
+                "pending strategy intent contains a non-finite number",
+            ))
+        }
+    }
+    fn serialize_none(self) -> Result<(), Self::Error> {
+        Ok(())
+    }
+    fn serialize_some<T: ?Sized + Serialize>(self, value: &T) -> Result<(), Self::Error> {
+        value.serialize(self)
+    }
+    fn serialize_unit(self) -> Result<(), Self::Error> {
+        Ok(())
+    }
+    fn serialize_unit_struct(self, _: &'static str) -> Result<(), Self::Error> {
+        Ok(())
+    }
+    fn serialize_unit_variant(
+        self,
+        _: &'static str,
+        _: u32,
+        _: &'static str,
+    ) -> Result<(), Self::Error> {
+        Ok(())
+    }
+    fn serialize_newtype_struct<T: ?Sized + Serialize>(
+        self,
+        _: &'static str,
+        value: &T,
+    ) -> Result<(), Self::Error> {
+        value.serialize(self)
+    }
+    fn serialize_newtype_variant<T: ?Sized + Serialize>(
+        self,
+        _: &'static str,
+        _: u32,
+        _: &'static str,
+        value: &T,
+    ) -> Result<(), Self::Error> {
+        value.serialize(self)
+    }
+    fn serialize_seq(self, _: Option<usize>) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_tuple(self, _: usize) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_tuple_struct(self, _: &'static str, _: usize) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_tuple_variant(
+        self,
+        _: &'static str,
+        _: u32,
+        _: &'static str,
+        _: usize,
+    ) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_map(self, _: Option<usize>) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_struct(self, _: &'static str, _: usize) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+    fn serialize_struct_variant(
+        self,
+        _: &'static str,
+        _: u32,
+        _: &'static str,
+        _: usize,
+    ) -> Result<Self, Self::Error> {
+        Ok(self)
+    }
+}
+
+macro_rules! sequence {
+    ($trait:ident, $method:ident) => {
+        impl ser::$trait for Finite {
+            type Ok = ();
+            type Error = serde_json::Error;
+            fn $method<T: ?Sized + Serialize>(&mut self, value: &T) -> Result<(), Self::Error> {
+                value.serialize(*self)
+            }
+            fn end(self) -> Result<(), Self::Error> {
+                Ok(())
+            }
+        }
+    };
+}
+sequence!(SerializeSeq, serialize_element);
+sequence!(SerializeTuple, serialize_element);
+sequence!(SerializeTupleStruct, serialize_field);
+sequence!(SerializeTupleVariant, serialize_field);
+
+impl ser::SerializeMap for Finite {
+    type Ok = ();
+    type Error = serde_json::Error;
+    fn serialize_key<T: ?Sized + Serialize>(&mut self, value: &T) -> Result<(), Self::Error> {
+        value.serialize(*self)
+    }
+    fn serialize_value<T: ?Sized + Serialize>(&mut self, value: &T) -> Result<(), Self::Error> {
+        value.serialize(*self)
+    }
+    fn end(self) -> Result<(), Self::Error> {
+        Ok(())
+    }
+}
+
+macro_rules! structure {
+    ($trait:ident) => {
+        impl ser::$trait for Finite {
+            type Ok = ();
+            type Error = serde_json::Error;
+            fn serialize_field<T: ?Sized + Serialize>(
+                &mut self,
+                _: &'static str,
+                value: &T,
+            ) -> Result<(), Self::Error> {
+                value.serialize(*self)
+            }
+            fn end(self) -> Result<(), Self::Error> {
+                Ok(())
+            }
+        }
+    };
+}
+structure!(SerializeStruct);
+structure!(SerializeStructVariant);
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use crate::strategy::{OrderIntent, StrategyDecision};
+
+    #[test]
+    fn pending_numbers_cannot_be_silently_serialized_as_optional_nulls() {
+        for value in [f64::NAN, f64::INFINITY, f64::NEG_INFINITY] {
+            let decision = StrategyDecision {
+                order_intents: vec![
+                    OrderIntent::LimitTargetPercent {
+                        symbol: "000001.SZ".into(),
+                        target_percent: 0.5,
+                        limit_price: value,
+                        reason: "test".into(),
+                    }
+                    .with_time_in_force(crate::strategy::OrderTimeInForce::Day),
+                ],
+                ..Default::default()
+            };
+            assert!(validate(&decision).is_err());
+            assert!(validate(&vec![Some(value)]).is_err());
+        }
+        assert!(validate(&(None::<f64>, vec![0., -0., 0.123456789], "NaN")).is_ok());
+    }
+}

crates/fidc-core/src/fixed_point.rs

@@ -28,6 +28,17 @@ impl FixedMoney {
         self.0
     }
 
+    pub fn to_decimal_string(self) -> String {
+        let magnitude = self.0.unsigned_abs();
+        let scale = MONEY_SCALE as u128;
+        let sign = if self.0 < 0 { "-" } else { "" };
+        let width = MONEY_SCALE.ilog10() as usize;
+        format!("{sign}{}.{:0width$}", magnitude / scale, magnitude % scale)
+            .trim_end_matches('0')
+            .trim_end_matches('.')
+            .to_string()
+    }
+
     pub fn from_decimal_str(value: &str) -> Result<Self, String> {
         let value = value.trim();
         if value.is_empty() {

crates/fidc-core/src/futures.rs

@@ -26,7 +26,7 @@ fn sum_futures_money(values: impl IntoIterator<Item = FixedMoney>, label: &str)
     })
 }
 
-#[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord)]
+#[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord, Serialize)]
 pub enum FuturesDirection {
     Long,
     Short,
@@ -62,7 +62,7 @@ impl FuturesDirection {
     }
 }
 
-#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize)]
 pub enum FuturesPositionEffect {
     Open,
     Close,
@@ -81,7 +81,7 @@ impl FuturesPositionEffect {
     }
 }
 
-#[derive(Debug, Clone, Copy)]
+#[derive(Debug, Clone, Copy, Serialize)]
 pub struct FuturesContractSpec {
     pub contract_multiplier: f64,
     pub long_margin_rate: f64,
@@ -190,7 +190,7 @@ impl FuturesTransactionCostModel {
     }
 }
 
-#[derive(Debug, Clone)]
+#[derive(Debug, Clone, Serialize)]
 pub struct FuturesOrderIntent {
     pub symbol: String,
     pub direction: FuturesDirection,
@@ -1048,6 +1048,7 @@ impl FuturesAccountState {
                 )
                 .to_f64();
                 report.fill_events.push(FillEvent {
+                    origin: crate::events::FillOrigin::MarketExecution,
                     date,
                     decision_date: None,
                     order_created_date: None,

crates/fidc-core/src/holding_policy.rs

@@ -63,7 +63,7 @@ pub struct HoldingLifecycleEvidence {
     pub last_sell_date: Option<NaiveDate>,
 }
 
-#[derive(Debug, Clone, Default, PartialEq, Eq)]
+#[derive(Debug, Clone, Default, PartialEq, Eq, Serialize)]
 pub struct AutomaticTradePermission {
     pub buy_denial: Option<&'static str>,
     pub sell_denial: Option<&'static str>,
@@ -120,10 +120,25 @@ impl AutomaticTradeProtection {
         execution_date: NaiveDate,
         evidence: &HoldingLifecycleEvidence,
         calendar: &TradingCalendar,
+    ) -> Result<AutomaticTradePermission, String> {
+        self.evaluate_with_predecessors(symbol, execution_date, evidence, calendar, std::iter::empty())
+    }
+
+    /// Only accept predecessors from validated, actually applied holding
+    /// conversions. Catalog aliases or requested strategy symbols are not
+    /// evidence that a configured lock covers another security.
+    pub fn evaluate_with_predecessors<'a>(
+        &self,
+        symbol: &str,
+        execution_date: NaiveDate,
+        evidence: &HoldingLifecycleEvidence,
+        calendar: &TradingCalendar,
+        verified_predecessors: impl IntoIterator<Item = &'a str>,
     ) -> Result<AutomaticTradePermission, String> {
         self.validate()?;
+        let predecessors = verified_predecessors.into_iter().collect::<std::collections::BTreeSet<_>>();
         if self.locks.iter().any(|lock| {
-            lock.symbol == symbol
+            (lock.symbol == symbol || predecessors.contains(lock.symbol.as_str()))
                 && lock.start_date <= execution_date
                 && lock.end_date.is_none_or(|end| execution_date <= end)
         }) {

crates/fidc-core/src/instrument.rs

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

crates/fidc-core/src/lib.rs

@@ -1,11 +1,16 @@
 pub mod broker;
 pub mod calendar;
 pub mod cost;
+mod corporate_book;
 pub mod data;
+mod numeric_factors;
 pub mod daily_patterns;
 pub mod pattern_context;
 pub mod session_events;
 pub mod factor_events;
+pub mod execution_capacity;
+mod etf_execution;
+mod execution_schedule;
 mod factor_event_catalog;
 pub mod factor_cross_section;
 pub mod market_event_context;
@@ -13,20 +18,31 @@ pub mod engine;
 pub mod event_bus;
 pub mod events;
 pub mod fixed_point;
+mod finite_serialization;
 pub mod futures;
 pub mod instrument;
 pub mod metrics;
+pub mod manual_execution;
+mod manual_corporate_replay;
 mod numeric_expr_vm;
 pub mod platform_expr_strategy;
 pub mod platform_runtime_schema;
 pub mod platform_strategy_spec;
 pub mod portfolio;
 pub mod portfolio_loss;
+pub mod position_exposure;
 pub mod risk_control;
 pub mod rules;
 pub mod scheduler;
 pub mod strategy;
 pub mod holding_policy;
+pub mod stock_pool_candidates;
+pub mod stock_pool_indicators;
+pub mod stock_pool_execution;
+pub mod stock_pool_index_policy;
+pub mod stock_pool_market_cap;
+pub mod stock_pool_state;
+pub mod stock_pool_quote_facts;
 pub mod signal_contract;
 pub mod strategy_ai;
 pub mod universe;
@@ -49,11 +65,11 @@ pub use engine::{
     AnalyzerTradeRow, BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError,
     BacktestResult, BacktestTerminalAssetClass, BacktestTerminalAudit, BacktestTerminalOpenOrder,
     BacktestTerminalStatus, DailyEquityPoint, ExecutionQuoteRequest, FuturesValidationConfig,
-    ProcessEventRetention, backtest_execution_dates,
+    ProcessEventRetention, backtest_execution_dates, backtest_execution_dates_with_rules,
 };
 pub use event_bus::{BacktestProcessMod, BacktestProcessModLoader, ProcessEventBus};
 pub use events::{
-    AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
+    AccountEvent, FillEvent, FillOrigin, OrderEvent, OrderSide, OrderStatus, PositionEvent, ProcessEvent,
     ProcessEventKind,
 };
 pub use fixed_point::{

crates/fidc-core/src/manual_corporate_replay.rs

@@ -0,0 +1,434 @@
+use std::cell::{Cell, RefCell};
+use std::collections::{BTreeMap, BTreeSet};
+
+use chrono::{DateTime, FixedOffset, NaiveDate, NaiveDateTime, Utc};
+use sha2::{Digest, Sha256};
+
+use crate::manual_execution::{
+    AppliedManualFill, ManualCorporateActionReference, ManualCorporateAdjustment,
+    ManualCorporatePositionChange, ManualExecutionReplay, ManualFillObservation,
+};
+use crate::{DataSet, FillEvent, FixedMoney, MatchingType, OrderSide, PortfolioState, PriceField};
+
+#[derive(Debug, Clone)]
+struct CashEffect {
+    at: NaiveDateTime,
+    amount: FixedMoney,
+}
+
+/// Replays issued financial facts, never strategy callbacks or hypothetical orders.
+/// The ordinary book remains observable until an actual receipt is delivered.
+pub(crate) struct ManualCorporateReplay {
+    first_date: NaiveDate,
+    sessions: RefCell<BTreeSet<NaiveDate>>,
+    closed: RefCell<BTreeSet<NaiveDate>>,
+    cash: RefCell<Vec<CashEffect>>,
+    reconciled_count: Cell<usize>,
+    cash_dividends: bool,
+    adjust_cost: bool,
+    reinvest: bool,
+    matching: MatchingType,
+    daily_price: PriceField,
+    same_day_mark_at_fill: bool,
+}
+
+impl ManualCorporateReplay {
+    pub(crate) fn new(
+        first_date: NaiveDate,
+        cash_dividends: bool,
+        adjust_cost: bool,
+        reinvest: bool,
+        matching: MatchingType,
+        daily_price: PriceField,
+        same_day_mark_at_fill: bool,
+    ) -> Self {
+        Self {
+            first_date,
+            sessions: RefCell::new(BTreeSet::new()),
+            closed: RefCell::new(BTreeSet::new()),
+            cash: RefCell::new(Vec::new()),
+            reconciled_count: Cell::new(0),
+            cash_dividends,
+            adjust_cost,
+            reinvest,
+            matching,
+            daily_price,
+            same_day_mark_at_fill,
+        }
+    }
+
+    pub(crate) fn record_session(&self, date: NaiveDate) {
+        self.sessions.borrow_mut().insert(date);
+    }
+    pub(crate) fn record_close(&self, date: NaiveDate) {
+        self.closed.borrow_mut().insert(date);
+    }
+    pub(crate) fn committed(&self, count: usize) {
+        self.reconciled_count.set(count);
+    }
+
+    pub(crate) fn record_cash(
+        &self,
+        at: Option<NaiveDateTime>,
+        before: FixedMoney,
+        after: FixedMoney,
+    ) -> Result<(), String> {
+        let amount = after
+            .checked_sub(before)
+            .ok_or("manual corporate cash observation overflow")?;
+        if amount != FixedMoney::ZERO {
+            self.cash.borrow_mut().push(CashEffect {
+                at: at.ok_or("manual corporate cash observation has no execution clock")?,
+                amount,
+            });
+        }
+        Ok(())
+    }
+
+    fn action_references(
+        &self,
+        observation: ManualFillObservation<'_>,
+        data: &DataSet,
+    ) -> Result<Vec<ManualCorporateActionReference>, String> {
+        let mut symbols = BTreeSet::from([observation.order.symbol.clone()]);
+        let observed_date = local(observation.fill.observed_at).date();
+        let mut actions = Vec::new();
+        for date in self.sessions.borrow().range((
+            std::ops::Bound::Excluded(observation.fill.trade_date),
+            std::ops::Bound::Included(observed_date),
+        )) {
+            for action in data.corporate_actions_on(*date) {
+                if !symbols.contains(&action.symbol) {
+                    continue;
+                }
+                let successor_terms = crate::corporate_book::validate_action(action, data)?;
+                let effective = (action.split_ratio() - 1.).abs() > f64::EPSILON
+                    || action.has_successor_conversion()
+                    || (self.cash_dividends && action.share_cash.abs() > f64::EPSILON);
+                if !effective {
+                    continue;
+                }
+                if let Some((successor, _, _)) = successor_terms {
+                    symbols.insert(successor.to_owned());
+                }
+                actions.push(ManualCorporateActionReference {
+                    date: *date,
+                    symbol: action.symbol.clone(),
+                    successor_symbol: action.successor_symbol.clone(),
+                    share_cash: action.share_cash.to_string(),
+                    split_ratio: action.split_ratio().to_string(),
+                    successor_ratio: action.successor_ratio.map(|value| value.to_string()),
+                    successor_cash: action.successor_cash.map(|value| value.to_string()),
+                    sha256: digest(
+                        &serde_json::to_value(action).map_err(|error| error.to_string())?,
+                    )?,
+                });
+            }
+        }
+        Ok(actions)
+    }
+
+    pub(crate) fn required(
+        &self,
+        observation: ManualFillObservation<'_>,
+        data: &DataSet,
+    ) -> Result<bool, String> {
+        Ok(!self.action_references(observation, data)?.is_empty())
+    }
+
+    pub(crate) fn project(
+        &self,
+        source: &ManualExecutionReplay,
+        applied_count: usize,
+        observation: ManualFillObservation<'_>,
+        current: &mut PortfolioState,
+        data: &DataSet,
+        fills: &[FillEvent],
+        has_pending: bool,
+    ) -> Result<(AppliedManualFill, ManualCorporateAdjustment), String> {
+        if has_pending {
+            return Err("manual observation conflicts with pending shadow orders".into());
+        }
+        let all = source.observations()?;
+        if all.get(applied_count).is_none_or(|next| {
+            next.fill.observation_event_id != observation.fill.observation_event_id
+        }) {
+            return Err(
+                "manual corporate observation prefix differs from the immutable trace".into(),
+            );
+        }
+        let actions = self.action_references(observation, data)?;
+        if actions.is_empty() {
+            return Err("manual corporate projection has no processed corporate action".into());
+        }
+        let at = local(observation.fill.observed_at);
+        let reference = self.replay(
+            source,
+            current.initial_cash_fixed(),
+            &all[..applied_count],
+            self.reconciled_count.get(),
+            data,
+            fills,
+            at,
+        )?;
+        let expected = current.financial_replay_identity();
+        let reference_identity = reference.financial_replay_identity();
+        if reference_identity != expected {
+            return Err(format!(
+                "manual corporate ledger coverage mismatch: symbol={} observed_at={} expected={} replayed={}",
+                observation.order.symbol,
+                observation.fill.observed_at,
+                digest(&expected)?,
+                digest(&reference_identity)?
+            ));
+        }
+        let replayed = self.replay(
+            source,
+            current.initial_cash_fixed(),
+            &all[..=applied_count],
+            applied_count + 1,
+            data,
+            fills,
+            at,
+        )?;
+        let replayed_identity = replayed.financial_replay_identity();
+        let gross = FixedMoney::from_decimal_str(&observation.fill.gross_amount()?.to_string())?;
+        let fees = FixedMoney::from_decimal_str(&observation.fill.total_fees()?.to_string())?;
+        let cash_delta = match observation.order.side {
+            OrderSide::Buy => gross.checked_add(fees).and_then(FixedMoney::checked_neg),
+            OrderSide::Sell => gross.checked_sub(fees),
+        }
+        .ok_or("manual corporate trade cash overflow")?;
+        let before = current.cash_fixed();
+        let after = replayed.cash_fixed();
+        let corporate_cash = after
+            .checked_sub(before)
+            .and_then(|delta| delta.checked_sub(cash_delta))
+            .ok_or("manual corporate adjustment overflow")?;
+        let symbols = current
+            .positions()
+            .keys()
+            .chain(replayed.positions().keys())
+            .cloned()
+            .chain(std::iter::once(observation.order.symbol.clone()))
+            .collect::<BTreeSet<_>>();
+        let mut positions = BTreeMap::new();
+        for symbol in symbols {
+            let change = ManualCorporatePositionChange {
+                quantity_before: current
+                    .position(&symbol)
+                    .map_or(0, |position| position.quantity),
+                quantity_after: replayed
+                    .position(&symbol)
+                    .map_or(0, |position| position.quantity),
+                cost_basis_before: current
+                    .financial_position_basis(&symbol)
+                    .to_decimal_string(),
+                cost_basis_after: replayed
+                    .financial_position_basis(&symbol)
+                    .to_decimal_string(),
+            };
+            if change.quantity_before != change.quantity_after
+                || change.cost_basis_before != change.cost_basis_after
+            {
+                positions.insert(symbol, change);
+            }
+        }
+        let quantity_after = replayed
+            .position(&observation.order.symbol)
+            .map_or(0, |position| position.quantity);
+        let adjustment = ManualCorporateAdjustment {
+            schema: "fidc.manual-corporate-adjustment/v1".into(),
+            observed_at: observation.fill.observed_at,
+            cash_dividends_enabled: self.cash_dividends,
+            dividend_cost_basis_adjustment: self.adjust_cost,
+            dividend_reinvestment: self.reinvest,
+            actions,
+            cash_before: before.to_decimal_string(),
+            cash_after: after.to_decimal_string(),
+            corporate_cash_delta: corporate_cash.to_decimal_string(),
+            positions,
+            reference_sha256: digest(&reference_identity)?,
+            replayed_sha256: digest(&replayed_identity)?,
+        };
+        current.replace_replayed_financial_book(replayed)?;
+        Ok((
+            AppliedManualFill {
+                gross,
+                fees,
+                cash_delta,
+                quantity_after,
+            },
+            adjustment,
+        ))
+    }
+
+    fn replay(
+        &self,
+        runtime_input: &ManualExecutionReplay,
+        initial_cash: FixedMoney,
+        manual: &[ManualFillObservation<'_>],
+        economic_count: usize,
+        data: &DataSet,
+        fills: &[FillEvent],
+        at: NaiveDateTime,
+    ) -> Result<PortfolioState, String> {
+        enum Event<'a> {
+            Session,
+            Cash(&'a CashEffect),
+            Corporate(NaiveDate),
+            Settle(NaiveDate),
+            Manual(ManualFillObservation<'a>),
+            Simulated(&'a FillEvent),
+            Close(NaiveDate),
+        }
+        let mut events = Vec::new();
+        let sessions = self.sessions.borrow();
+        let closed = self.closed.borrow();
+        let cash = self.cash.borrow();
+        for date in &*sessions {
+            let clock = date.and_hms_opt(0, 0, 0).unwrap();
+            events.push((clock, 0, 0, Event::Session));
+            events.push((clock, 2, 0, Event::Corporate(*date)));
+            events.push((clock, 3, 0, Event::Settle(*date)));
+        }
+        for (index, effect) in cash.iter().enumerate() {
+            events.push((effect.at, 1, index, Event::Cash(effect)));
+        }
+        for (index, observation) in manual.iter().enumerate() {
+            let clock = if index < economic_count {
+                local(observation.fill.executed_at)
+            } else {
+                local(observation.fill.observed_at)
+            };
+            if clock.date() < self.first_date {
+                return Err("manual corporate execution precedes the represented initial ledger; opening facts are required".into());
+            }
+            events.push((clock, 4, fills.len() + index, Event::Manual(*observation)));
+        }
+        for (index, fill) in fills.iter().enumerate() {
+            fill.validate()?;
+            if fill.origin == crate::events::FillOrigin::DividendReinvestment {
+                // The declared accounting model is recalculated from the
+                // corrected entitlements; this was never a submitted order.
+                continue;
+            }
+            let date = fill.execution_date.unwrap_or(fill.date);
+            // This is the frozen daily matching model, not a broker timestamp.
+            // Intraday contracts must supply their actual execution clock.
+            let clock = match fill.execution_timestamp {
+                Some(clock) => clock,
+                None if matches!(
+                    self.matching,
+                    MatchingType::OpenAuction | MatchingType::NextBarOpen
+                ) =>
+                {
+                    date.and_hms_opt(9, 30, 0).unwrap()
+                }
+                None if self.matching == MatchingType::CurrentBarClose
+                    && self.daily_price == PriceField::Close =>
+                {
+                    date.and_hms_opt(15, 0, 0).unwrap()
+                }
+                None => {
+                    return Err(
+                        "manual corporate replay lacks an intraday fill execution clock".into(),
+                    );
+                }
+            };
+            events.push((clock, 4, index, Event::Simulated(fill)));
+        }
+        for date in &*closed {
+            events.push((
+                date.and_hms_nano_opt(23, 59, 59, 999_999_999)
+                    .unwrap()
+                    .min(at),
+                5,
+                0,
+                Event::Close(*date),
+            ));
+        }
+        events.sort_by_key(|(clock, priority, sequence, _)| (*clock, *priority, *sequence));
+        let mut book = PortfolioState::from_fixed_initial_cash(initial_cash);
+        for (clock, _, _, event) in events {
+            if clock > at {
+                return Err("manual corporate replay contains a future financial fact".into());
+            }
+            match event {
+                Event::Session => book.begin_trading_day(),
+                Event::Cash(effect) => {
+                    book.apply_cash_delta_fixed(effect.amount)?;
+                    if book.cash_fixed() < FixedMoney::ZERO {
+                        return Err(
+                            "manual corporate replay conflicts with prior cash facts".into()
+                        );
+                    }
+                }
+                Event::Corporate(date) => {
+                    crate::corporate_book::apply(
+                        date,
+                        data,
+                        &mut book,
+                        &mut Vec::new(),
+                        self.cash_dividends,
+                        self.adjust_cost,
+                    )
+                    .map_err(|error| error.to_string())?;
+                }
+                Event::Settle(date) => {
+                    crate::corporate_book::settle_receivables(date, data, &mut book, &mut Vec::new(), self.reinvest, Some(runtime_input))
+                        .map_err(|error| error.to_string())?;
+                }
+                Event::Manual(observation) => {
+                    observation.apply(&mut book, data, false)?;
+                }
+                Event::Simulated(fill) => {
+                    let gross = FixedMoney::from_f64(fill.gross_amount)
+                        .ok_or("invalid simulated gross amount")?;
+                    let fees = FixedMoney::checked_sum_f64([
+                        fill.commission,
+                        fill.stamp_tax,
+                        fill.transfer_fee,
+                    ])
+                    .ok_or("invalid simulated fee amount")?;
+                    book.apply_observed_manual_fill(
+                        fill.execution_date.unwrap_or(fill.date),
+                        &fill.symbol,
+                        fill.side,
+                        fill.quantity,
+                        fill.price,
+                        fill.price,
+                        gross,
+                        fees,
+                    )?;
+                    book.prune_flat_positions();
+                }
+                Event::Close(date) => {
+                    book.update_prices_with_options(
+                        date,
+                        data,
+                        PriceField::Close,
+                        self.same_day_mark_at_fill,
+                    )
+                    .map_err(|error| error.to_string())?;
+                }
+            }
+            if book.cash_fixed() < FixedMoney::ZERO {
+                return Err("manual corporate replay would borrow unobserved cash".into());
+            }
+        }
+        Ok(book)
+    }
+}
+
+fn local(value: DateTime<Utc>) -> NaiveDateTime {
+    value
+        .with_timezone(&FixedOffset::east_opt(8 * 3600).unwrap())
+        .naive_local()
+}
+fn digest(value: &serde_json::Value) -> Result<String, String> {
+    Ok(format!(
+        "{:x}",
+        Sha256::digest(serde_json::to_vec(value).map_err(|error| error.to_string())?)
+    ))
+}

crates/fidc-core/src/manual_execution.rs

@@ -0,0 +1,748 @@
+//! Confirmed manual fills are external observations, not simulated broker fills.
+//! The producer must bind these records to the runtime's durable order/audit facts.
+
+use std::collections::{BTreeMap, BTreeSet};
+
+use chrono::{DateTime, FixedOffset, NaiveDate, Timelike, Utc};
+use rust_decimal::Decimal;
+use serde::{Deserialize, Serialize};
+use sha2::{Digest, Sha256};
+
+use crate::events::OrderSide;
+use crate::{DataSet, FixedMoney, PortfolioState};
+use rust_decimal::prelude::ToPrimitive;
+
+pub const MANUAL_REPLAY_SCHEMA: &str = "fidc.observed-manual-executions/v3";
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualExecutionReplay {
+    pub schema: String,
+    pub runtime_id: String,
+    pub account_id: String,
+    pub source_contract_sha256: String,
+    pub content_sha256: String,
+    pub observation_cutoff: DateTime<Utc>,
+    pub actions: Vec<ManualExecutionAction>,
+    #[serde(default, skip_serializing_if = "Vec::is_empty")]
+    pub position_exposure_events: Vec<crate::position_exposure::PositionExposureEvent>,
+    #[serde(default, skip_serializing_if = "BTreeMap::is_empty")]
+    pub legacy_position_exposure_bps: BTreeMap<NaiveDate, i32>,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualExecutionAction {
+    pub action_id: String,
+    pub source: ManualExecutionSource,
+    pub audit_event_ids: Vec<String>,
+    pub confirmed_at: DateTime<Utc>,
+    pub confirmation_observed_at: DateTime<Utc>,
+    pub outcome: ManualActionOutcome,
+    pub orders: Vec<ManualExecutionOrder>,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum ManualActionOutcome {
+    NoOrdersNeeded,
+    NotExecuted,
+    OrdersTerminal,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum ManualExecutionSource {
+    ManualSecurityTrade,
+    ManualPositionAction,
+    ManualRebalance,
+    StockPoolAllocation,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualExecutionOrder {
+    pub order_id: String,
+    pub broker_order_id: Option<String>,
+    pub source_adapter: Option<String>,
+    pub symbol: String,
+    pub side: OrderSide,
+    pub quantity: u32,
+    pub order_created_at: DateTime<Utc>,
+    pub terminal_observed_at: DateTime<Utc>,
+    pub terminal_status: ManualOrderTerminalStatus,
+    pub fills: Vec<ManualExecutionFill>,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum ManualOrderTerminalStatus {
+    Filled,
+    Cancelled,
+    Rejected,
+    Expired,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualExecutionFill {
+    pub trade_id: String,
+    pub observation_event_id: String,
+    pub observation_sequence: u64,
+    pub fee_observation_event_id: String,
+    pub fee_observation_sequence: u64,
+    pub fee_observed_at: DateTime<Utc>,
+    pub trade_date: NaiveDate,
+    pub executed_at: DateTime<Utc>,
+    pub observed_at: DateTime<Utc>,
+    pub timestamp_precision: ManualTimestampPrecision,
+    pub quantity: u32,
+    #[serde(with = "rust_decimal::serde::str")]
+    pub price: Decimal,
+    #[serde(default, with = "rust_decimal::serde::str_option")]
+    pub commission: Option<Decimal>,
+    #[serde(default, with = "rust_decimal::serde::str_option")]
+    pub stamp_tax: Option<Decimal>,
+    #[serde(default, with = "rust_decimal::serde::str_option")]
+    pub transfer_fee: Option<Decimal>,
+    /// Full observed charge, including any venue fees not itemized above.
+    #[serde(with = "rust_decimal::serde::str")]
+    pub total_fee: Decimal,
+}
+
+#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, Eq)]
+#[serde(rename_all = "snake_case")]
+pub enum ManualTimestampPrecision {
+    Second,
+    Millisecond,
+    Microsecond,
+    Nanosecond,
+}
+
+impl ManualTimestampPrecision {
+    fn nanoseconds(self) -> i64 {
+        match self {
+            Self::Second => 1_000_000_000,
+            Self::Millisecond => 1_000_000,
+            Self::Microsecond => 1_000,
+            Self::Nanosecond => 1,
+        }
+    }
+}
+
+impl ManualExecutionFill {
+    pub fn gross_amount(&self) -> Result<Decimal, String> {
+        self.price
+            .checked_mul(Decimal::from(self.quantity))
+            .ok_or_else(|| "manual fill gross amount overflow".into())
+    }
+
+    pub fn total_fees(&self) -> Result<Decimal, String> {
+        let known = [self.commission, self.stamp_tax, self.transfer_fee]
+            .into_iter()
+            .flatten()
+            .try_fold(Decimal::ZERO, |sum, fee| {
+                if fee < Decimal::ZERO {
+                    return Err("manual fill fee component is negative");
+                }
+                sum.checked_add(fee).ok_or("manual fill fees overflow")
+            })?;
+        if self.total_fee < known {
+            return Err("manual total fee is below its known components".into());
+        }
+        Ok(self.total_fee)
+    }
+}
+
+fn identifier(value: &str) -> Result<(), String> {
+    if value.is_empty()
+        || value.trim() != value
+        || value.len() > 256
+        || value.chars().any(char::is_control)
+    {
+        return Err("manual execution identity is empty, untrimmed or invalid".into());
+    }
+    Ok(())
+}
+
+impl ManualExecutionReplay {
+    /// Market/indicator data is needed for securities whose observed fills
+    /// change the portfolio. A rejected, never-filled order is not data demand.
+    pub fn required_data_symbols(&self) -> Result<BTreeSet<String>, String> {
+        self.validate()?;
+        Ok(self
+            .actions
+            .iter()
+            .flat_map(|action| &action.orders)
+            .filter(|order| !order.fills.is_empty())
+            .map(|order| order.symbol.clone())
+            .collect())
+    }
+
+    pub fn observations(&self) -> Result<Vec<ManualFillObservation<'_>>, String> {
+        self.validate()?;
+        let mut observations = Vec::new();
+        for action in &self.actions {
+            for order in &action.orders {
+                for fill in &order.fills {
+                    observations.push(ManualFillObservation {
+                        action,
+                        order,
+                        fill,
+                    });
+                }
+            }
+        }
+        observations.sort_by_key(|entry| (entry.fill.observed_at, entry.fill.observation_sequence));
+        Ok(observations)
+    }
+    pub fn content_digest(&self) -> Result<String, String> {
+        let mut value = serde_json::to_value(self).map_err(|error| error.to_string())?;
+        value
+            .as_object_mut()
+            .ok_or("manual replay is not an object")?
+            .remove("contentSha256");
+        let bytes = serde_json::to_vec(&value).map_err(|error| error.to_string())?;
+        Ok(format!("{:x}", Sha256::digest(bytes)))
+    }
+
+    pub fn validate(&self) -> Result<(), String> {
+        if self.schema != MANUAL_REPLAY_SCHEMA
+            && self.schema != "fidc.observed-manual-executions/v2"
+        {
+            return Err("unsupported manual replay schema".into());
+        }
+        if self.schema == "fidc.observed-manual-executions/v2"
+            && (!self.position_exposure_events.is_empty()
+                || !self.legacy_position_exposure_bps.is_empty())
+        {
+            return Err("runtime configuration requires manual replay v3".into());
+        }
+        crate::position_exposure::PositionExposureTimeline::from_events(
+            &self.position_exposure_events,
+        )?;
+        if self.position_exposure_events.iter().any(|event| event.effective_at > self.observation_cutoff) {
+            return Err("observed runtime position event is after the evidence cutoff".into());
+        }
+        if self
+            .legacy_position_exposure_bps
+            .values()
+            .any(|value| !(0..=10000).contains(value))
+        {
+            return Err("legacy manual exposure is outside 0..10000 bps".into());
+        }
+        identifier(&self.runtime_id)?;
+        identifier(&self.account_id)?;
+        if self.source_contract_sha256.len() != 64
+            || !self
+                .source_contract_sha256
+                .bytes()
+                .all(|v| v.is_ascii_hexdigit())
+        {
+            return Err("manual replay source contract hash is invalid".into());
+        }
+        if self.content_digest()? != self.content_sha256 {
+            return Err("manual replay content digest mismatch".into());
+        }
+        if self.actions.len() > 100_000 {
+            return Err("manual replay action limit exceeded; trace was not truncated".into());
+        }
+        let shanghai = FixedOffset::east_opt(8 * 3600).unwrap();
+        let mut actions = BTreeSet::new();
+        let mut audits = BTreeSet::new();
+        let mut orders = BTreeSet::new();
+        let mut broker_orders = BTreeSet::new();
+        let mut trades = BTreeSet::new();
+        let mut observation_events = BTreeSet::new();
+        let mut observation_sequences = BTreeSet::new();
+        let mut fee_observations = BTreeSet::new();
+        let mut receipt_ids = BTreeMap::new();
+        let mut receipt_sequences = BTreeMap::new();
+        for action in &self.actions {
+            identifier(&action.action_id)?;
+            if !actions.insert(action.action_id.as_str())
+                || action.confirmed_at > self.observation_cutoff
+                || action.confirmation_observed_at < action.confirmed_at
+                || action.confirmation_observed_at > self.observation_cutoff
+            {
+                return Err("duplicate manual action or confirmation after cutoff".into());
+            }
+            if action.audit_event_ids.is_empty() {
+                return Err("manual action has no immutable audit binding".into());
+            }
+            if (action.outcome != ManualActionOutcome::OrdersTerminal) != action.orders.is_empty() {
+                return Err("manual action outcome does not prove its order coverage".into());
+            }
+            for id in &action.audit_event_ids {
+                identifier(id)?;
+                if !audits.insert(id.as_str()) {
+                    return Err("manual audit event is bound more than once".into());
+                }
+            }
+            for order in &action.orders {
+                identifier(&order.order_id)?;
+                if let Some(adapter) = &order.source_adapter {
+                    identifier(adapter)?;
+                }
+                identifier(&order.symbol)?;
+                if let Some(id) = &order.broker_order_id {
+                    identifier(id)?;
+                    if !broker_orders.insert((
+                        order
+                            .source_adapter
+                            .as_deref()
+                            .ok_or("broker identity requires its source adapter")?,
+                        order.order_created_at.with_timezone(&shanghai).date_naive(),
+                        id.as_str(),
+                    )) {
+                        return Err("manual local orders share one broker order identity".into());
+                    }
+                }
+                if !order.fills.is_empty() && order.source_adapter.is_none() {
+                    return Err("manual fills require a known source adapter".into());
+                }
+                if !order.fills.is_empty()
+                    && order.source_adapter.as_deref() != Some("paper")
+                    && order.broker_order_id.is_none()
+                {
+                    return Err(
+                        "manual broker fills require their original broker order identity".into(),
+                    );
+                }
+                if !orders.insert(order.order_id.as_str())
+                    || order.quantity == 0
+                    || order.quantity > i32::MAX as u32
+                {
+                    return Err("duplicate manual order or invalid quantity".into());
+                }
+                if order.order_created_at < action.confirmed_at
+                    || order.terminal_observed_at < order.order_created_at
+                    || order.terminal_observed_at > self.observation_cutoff
+                {
+                    return Err(
+                        "manual order confirmation/submission/terminal time is inconsistent".into(),
+                    );
+                }
+                let mut filled = 0_u32;
+                for fill in &order.fills {
+                    identifier(&fill.trade_id)?;
+                    identifier(&fill.observation_event_id)?;
+                    identifier(&fill.fee_observation_event_id)?;
+                    if fill.observation_sequence == 0
+                        || fill.observation_sequence > i64::MAX as u64
+                        || !observation_events.insert(fill.observation_event_id.as_str())
+                        || !observation_sequences.insert(fill.observation_sequence)
+                    {
+                        return Err(
+                            "manual fill requires a unique durable observation event and sequence"
+                                .into(),
+                        );
+                    }
+                    if fill.fee_observation_sequence == 0
+                        || fill.fee_observation_sequence > i64::MAX as u64
+                        || fill.fee_observed_at < fill.observed_at
+                        || fill.fee_observed_at > self.observation_cutoff
+                        || !fee_observations.insert((
+                            fill.fee_observation_event_id.as_str(),
+                            fill.fee_observation_sequence,
+                        ))
+                    {
+                        return Err("manual finalized fees require their own unique observation within the cutoff".into());
+                    }
+                    if (fill.fee_observation_event_id == fill.observation_event_id)
+                        != (fill.fee_observation_sequence == fill.observation_sequence)
+                        || (fill.fee_observation_event_id == fill.observation_event_id
+                            && fill.fee_observed_at != fill.observed_at)
+                    {
+                        return Err("manual fill and fee observation identities disagree".into());
+                    }
+                    if !trades.insert((fill.trade_date, fill.trade_id.as_str()))
+                        || fill.quantity == 0
+                    {
+                        return Err("duplicate manual trade or zero fill quantity".into());
+                    }
+                    for (id, sequence) in [
+                        (&fill.observation_event_id, fill.observation_sequence),
+                        (
+                            &fill.fee_observation_event_id,
+                            fill.fee_observation_sequence,
+                        ),
+                    ] {
+                        if receipt_ids
+                            .insert(id, (&fill.trade_id, sequence))
+                            .is_some_and(|owner| owner != (&fill.trade_id, sequence))
+                            || receipt_sequences
+                                .insert(sequence, (&fill.trade_id, id))
+                                .is_some_and(|owner| owner != (&fill.trade_id, id))
+                        {
+                            return Err("manual observation identity is reused by a different trade or sequence".into());
+                        }
+                    }
+                    if fill.executed_at.with_timezone(&shanghai).date_naive() != fill.trade_date
+                        || fill.observed_at > self.observation_cutoff
+                        || fill.observed_at < order.order_created_at
+                        || fill.observed_at < action.confirmation_observed_at
+                        || fill.observed_at < fill.executed_at
+                        || fill.executed_at > order.terminal_observed_at
+                    {
+                        return Err("manual fill execution/observation time is inconsistent".into());
+                    }
+                    if i64::from(fill.executed_at.nanosecond())
+                        % fill.timestamp_precision.nanoseconds()
+                        != 0
+                    {
+                        return Err(
+                            "broker timestamp contains digits finer than its declared precision"
+                                .into(),
+                        );
+                    }
+                    let upper = fill
+                        .executed_at
+                        .checked_add_signed(chrono::Duration::nanoseconds(
+                            fill.timestamp_precision.nanoseconds(),
+                        ))
+                        .ok_or("manual execution timestamp overflow")?;
+                    let earliest = order.order_created_at.max(action.confirmation_observed_at);
+                    if fill.executed_at < earliest && earliest >= upper {
+                        return Err("manual fill predates its order or durable confirmation".into());
+                    }
+                    if fill.price <= Decimal::ZERO {
+                        return Err("manual fill requires a positive price".into());
+                    }
+                    fill.gross_amount()?
+                        .checked_add(fill.total_fees()?)
+                        .ok_or("manual fill cash amount overflow")?;
+                    filled = filled
+                        .checked_add(fill.quantity)
+                        .ok_or("manual cumulative fill quantity overflow")?;
+                }
+                if filled > order.quantity
+                    || (order.terminal_status == ManualOrderTerminalStatus::Filled
+                        && filled != order.quantity)
+                    || (order.terminal_status == ManualOrderTerminalStatus::Rejected && filled != 0)
+                    || (matches!(
+                        order.terminal_status,
+                        ManualOrderTerminalStatus::Cancelled | ManualOrderTerminalStatus::Expired
+                    ) && filled == order.quantity)
+                {
+                    return Err("manual terminal status disagrees with cumulative fills".into());
+                }
+            }
+        }
+        Ok(())
+    }
+}
+
+#[derive(Debug, Clone, Copy)]
+pub struct ManualFillObservation<'a> {
+    pub action: &'a ManualExecutionAction,
+    pub order: &'a ManualExecutionOrder,
+    pub fill: &'a ManualExecutionFill,
+}
+
+#[derive(Debug, Clone, PartialEq)]
+pub struct AppliedManualFill {
+    pub gross: FixedMoney,
+    pub fees: FixedMoney,
+    pub cash_delta: FixedMoney,
+    pub quantity_after: u32,
+}
+
+/// One replay owns its immutable trace and progress. Advancing is atomic even
+/// if a later receipt in the same step disagrees with the shadow account.
+pub struct ManualReplayCursor {
+    replay: std::sync::Arc<ManualExecutionReplay>,
+    indices: Vec<(usize, usize, usize)>,
+    cursor: usize,
+    clock: Option<DateTime<Utc>>,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(rename_all = "camelCase")]
+pub struct ManualReplayApplication {
+    pub action_id: String,
+    pub order_id: String,
+    pub trade_id: String,
+    pub observation_event_id: String,
+    pub observation_sequence: u64,
+    pub observed_at: DateTime<Utc>,
+    pub fee_observation_event_id: String,
+    pub fee_observed_at: DateTime<Utc>,
+    pub executed_at: DateTime<Utc>,
+    pub symbol: String,
+    pub side: OrderSide,
+    pub quantity: u32,
+    pub quantity_after: u32,
+    pub price: String,
+    pub commission: Option<String>,
+    pub stamp_tax: Option<String>,
+    pub transfer_fee: Option<String>,
+    pub source_total_fee: String,
+    pub source_gross_amount: String,
+    pub ledger_gross_amount: String,
+    pub ledger_fees: String,
+    pub cash_delta: String,
+    #[serde(default, skip_serializing_if = "Option::is_none")]
+    pub corporate_adjustment: Option<ManualCorporateAdjustment>,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualCorporateAdjustment {
+    pub schema: String,
+    pub observed_at: DateTime<Utc>,
+    pub cash_dividends_enabled: bool,
+    pub dividend_cost_basis_adjustment: bool,
+    #[serde(default, skip_serializing_if = "disabled_flag")]
+    pub dividend_reinvestment: bool,
+    pub actions: Vec<ManualCorporateActionReference>,
+    pub cash_before: String,
+    pub cash_after: String,
+    pub corporate_cash_delta: String,
+    pub positions: BTreeMap<String, ManualCorporatePositionChange>,
+    pub reference_sha256: String,
+    pub replayed_sha256: String,
+}
+
+fn disabled_flag(value: &bool) -> bool { !value }
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualCorporateActionReference {
+    pub date: NaiveDate,
+    pub symbol: String,
+    pub successor_symbol: Option<String>,
+    pub share_cash: String,
+    pub split_ratio: String,
+    pub successor_ratio: Option<String>,
+    pub successor_cash: Option<String>,
+    pub sha256: String,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
+#[serde(deny_unknown_fields, rename_all = "camelCase")]
+pub struct ManualCorporatePositionChange {
+    pub quantity_before: u32,
+    pub quantity_after: u32,
+    pub cost_basis_before: String,
+    pub cost_basis_after: String,
+}
+
+impl ManualReplayCursor {
+    pub(crate) fn frozen_source(&self) -> std::sync::Arc<ManualExecutionReplay> {
+        self.replay.clone()
+    }
+
+    pub(crate) fn next_observation(&self) -> Option<ManualFillObservation<'_>> {
+        self.indices.get(self.cursor).map(|&(a, o, f)| ManualFillObservation {
+            action: &self.replay.actions[a], order: &self.replay.actions[a].orders[o],
+            fill: &self.replay.actions[a].orders[o].fills[f],
+        })
+    }
+
+    pub(crate) fn advance_next_projected<F>(
+        &mut self, portfolio: &mut PortfolioState, project: F,
+    ) -> Result<Option<ManualReplayApplication>, String>
+    where F: FnOnce(ManualFillObservation<'_>, &mut PortfolioState) -> Result<(AppliedManualFill, ManualCorporateAdjustment), String> {
+        let Some(observation) = self.next_observation() else { return Ok(None); };
+        let at = observation.fill.observed_at;
+        if at > self.replay.observation_cutoff || self.clock.is_some_and(|clock| at < clock) {
+            return Err("manual projected observation clock violates the frozen trace".into());
+        }
+        let mut next = portfolio.clone();
+        let (applied, adjustment) = project(observation, &mut next)?;
+        let mut application = observation.application(applied)?;
+        application.corporate_adjustment = Some(adjustment);
+        crate::finite_serialization::validate(&application).map_err(|error| error.to_string())?;
+        *portfolio = next;
+        self.cursor += 1;
+        self.clock = Some(at);
+        Ok(Some(application))
+    }
+
+    pub fn new(replay: ManualExecutionReplay) -> Result<Self, String> {
+        Self::from_shared(std::sync::Arc::new(replay))
+    }
+
+    pub fn from_shared(replay: std::sync::Arc<ManualExecutionReplay>) -> Result<Self, String> {
+        replay.validate()?;
+        let mut indices = Vec::new();
+        for (a, action) in replay.actions.iter().enumerate() {
+            for (o, order) in action.orders.iter().enumerate() {
+                for f in 0..order.fills.len() {
+                    indices.push((a, o, f));
+                }
+            }
+        }
+        indices.sort_by_key(|&(a, o, f)| {
+            let fill = &replay.actions[a].orders[o].fills[f];
+            (fill.observed_at, fill.observation_sequence)
+        });
+        Ok(Self {
+            replay,
+            indices,
+            cursor: 0,
+            clock: None,
+        })
+    }
+
+    pub fn next_observation_at(&self) -> Option<DateTime<Utc>> {
+        self.indices
+            .get(self.cursor)
+            .map(|&(a, o, f)| self.replay.actions[a].orders[o].fills[f].observed_at)
+    }
+
+    pub fn applied_count(&self) -> usize {
+        self.cursor
+    }
+
+    pub fn advance(
+        &mut self,
+        at: DateTime<Utc>,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        has_pending_orders: bool,
+    ) -> Result<Vec<ManualReplayApplication>, String> {
+        let end = self.cursor
+            + self.indices[self.cursor..].iter().take_while(|&&(a, o, f)| {
+                self.replay.actions[a].orders[o].fills[f].observed_at <= at
+            }).count();
+        self.advance_through(at, end, portfolio, data, has_pending_orders)
+    }
+
+    /// One receipt at a time lets callbacks observe the intermediate state
+    /// when multiple fills share a timestamp but have distinct durable sequences.
+    pub fn advance_next(
+        &mut self, portfolio: &mut PortfolioState, data: &DataSet, has_pending_orders: bool,
+    ) -> Result<Option<ManualReplayApplication>, String> {
+        let Some(at) = self.next_observation_at() else { return Ok(None); };
+        let mut applications = self.advance_through(at, self.cursor + 1, portfolio, data, has_pending_orders)?;
+        Ok(applications.pop())
+    }
+
+    fn advance_through(
+        &mut self, at: DateTime<Utc>, end: usize, portfolio: &mut PortfolioState,
+        data: &DataSet, has_pending_orders: bool,
+    ) -> Result<Vec<ManualReplayApplication>, String> {
+        if at > self.replay.observation_cutoff {
+            return Err("manual observation clock exceeds the frozen evidence cutoff".into());
+        }
+        if self.clock.is_some_and(|clock| at < clock) {
+            return Err("manual observation clock moved backwards".into());
+        }
+        if end == self.cursor {
+            self.clock = Some(at);
+            return Ok(vec![]);
+        }
+        let mut next = portfolio.clone();
+        let mut applications = Vec::with_capacity(end - self.cursor);
+        for &(a, o, f) in &self.indices[self.cursor..end] {
+            let action = &self.replay.actions[a];
+            let order = &action.orders[o];
+            let fill = &order.fills[f];
+            let applied = ManualFillObservation {
+                action,
+                order,
+                fill,
+            }
+            .apply(&mut next, data, has_pending_orders)?;
+            applications.push(ManualReplayApplication {
+                action_id: action.action_id.clone(),
+                order_id: order.order_id.clone(),
+                trade_id: fill.trade_id.clone(),
+                observation_event_id: fill.observation_event_id.clone(),
+                observation_sequence: fill.observation_sequence,
+                observed_at: fill.observed_at,
+                fee_observation_event_id: fill.fee_observation_event_id.clone(),
+                fee_observed_at: fill.fee_observed_at,
+                executed_at: fill.executed_at,
+                symbol: order.symbol.clone(),
+                side: order.side,
+                quantity: fill.quantity,
+                quantity_after: applied.quantity_after,
+                price: fill.price.to_string(),
+                commission: fill.commission.map(|fee| fee.to_string()),
+                stamp_tax: fill.stamp_tax.map(|fee| fee.to_string()),
+                transfer_fee: fill.transfer_fee.map(|fee| fee.to_string()),
+                source_total_fee: fill.total_fee.to_string(),
+                source_gross_amount: fill.gross_amount()?.to_string(),
+                ledger_gross_amount: applied.gross.to_decimal_string(),
+                ledger_fees: applied.fees.to_decimal_string(),
+                cash_delta: applied.cash_delta.to_decimal_string(),
+                corporate_adjustment: None,
+            });
+        }
+        *portfolio = next;
+        self.cursor = end;
+        self.clock = Some(at);
+        Ok(applications)
+    }
+}
+
+impl ManualFillObservation<'_> {
+    fn application(&self, applied: AppliedManualFill) -> Result<ManualReplayApplication, String> {
+        Ok(ManualReplayApplication {
+            action_id: self.action.action_id.clone(), order_id: self.order.order_id.clone(),
+            trade_id: self.fill.trade_id.clone(), observation_event_id: self.fill.observation_event_id.clone(),
+            observation_sequence: self.fill.observation_sequence, observed_at: self.fill.observed_at,
+            fee_observation_event_id: self.fill.fee_observation_event_id.clone(), fee_observed_at: self.fill.fee_observed_at,
+            executed_at: self.fill.executed_at, symbol: self.order.symbol.clone(), side: self.order.side,
+            quantity: self.fill.quantity, quantity_after: applied.quantity_after, price: self.fill.price.to_string(),
+            commission: self.fill.commission.map(|fee| fee.to_string()), stamp_tax: self.fill.stamp_tax.map(|fee| fee.to_string()),
+            transfer_fee: self.fill.transfer_fee.map(|fee| fee.to_string()), source_total_fee: self.fill.total_fee.to_string(),
+            source_gross_amount: self.fill.gross_amount()?.to_string(), ledger_gross_amount: applied.gross.to_decimal_string(),
+            ledger_fees: applied.fees.to_decimal_string(), cash_delta: applied.cash_delta.to_decimal_string(), corporate_adjustment: None,
+        })
+    }
+
+    pub(crate) fn apply(
+        &self,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        has_pending_orders: bool,
+    ) -> Result<AppliedManualFill, String> {
+        if has_pending_orders {
+            return Err("manual observation conflicts with pending shadow orders".into());
+        }
+        let instrument = data
+            .instrument(&self.order.symbol)
+            .ok_or("manual observation instrument is absent from frozen source data")?;
+        if instrument
+            .dated_market_absence_reason(self.fill.trade_date)
+            .is_some()
+        {
+            return Err("manual execution contradicts the frozen instrument lifecycle".into());
+        }
+        let gross = FixedMoney::from_decimal_str(&self.fill.gross_amount()?.to_string())?;
+        let fees = FixedMoney::from_decimal_str(&self.fill.total_fees()?.to_string())?;
+        let price = self
+            .fill
+            .price
+            .to_f64()
+            .filter(|price| price.is_finite() && *price > 0.)
+            .ok_or("manual execution price cannot be represented for valuation")?;
+        // This is the real observed trade price, not a fabricated quote. The
+        // normal market clock remains responsible for subsequent marks.
+        let cash_delta = portfolio.apply_observed_manual_fill(
+            self.fill.trade_date,
+            &self.order.symbol,
+            self.order.side,
+            self.fill.quantity,
+            price,
+            price,
+            gross,
+            fees,
+        )?;
+        Ok(AppliedManualFill {
+            gross,
+            fees,
+            cash_delta,
+            quantity_after: portfolio
+                .position(&self.order.symbol)
+                .map_or(0, |position| position.quantity),
+        })
+    }
+}
+
+#[cfg(test)]
+mod tests;

crates/fidc-core/src/manual_execution/tests.rs

@@ -0,0 +1,761 @@
+use super::*;
+use serde_json::{Value, json};
+
+fn sample() -> ManualExecutionReplay {
+    let fill = json!({"tradeId":"trade-1","observationEventId":"received-1","observationSequence":1,"tradeDate":"2026-09-14","executedAt":"2026-09-14T01:30:00Z",
+        "feeObservationEventId":"received-1","feeObservationSequence":1,"feeObservedAt":"2026-09-14T01:30:01Z",
+        "observedAt":"2026-09-14T01:30:01Z","timestampPrecision":"second","quantity":100,
+        "price":"10.1234567891","commission":"0.1000001","stampTax":"0","transferFee":"0.02","totalFee":"0.1200001"});
+    let mut input:ManualExecutionReplay=serde_json::from_value(json!({
+        "schema":MANUAL_REPLAY_SCHEMA,"runtimeId":"runtime-1","accountId":"account-1",
+        "sourceContractSha256":"a".repeat(64),"contentSha256":"", "observationCutoff":"2026-09-14T08:00:00Z",
+        "actions":[{"actionId":"action-1","source":"manual_security_trade","auditEventIds":["audit-1"],
+            "confirmedAt":"2026-09-14T01:30:00.500Z","confirmationObservedAt":"2026-09-14T01:30:00.550Z","outcome":"orders_terminal","orders":[{
+                "orderId":"order-1","brokerOrderId":"broker-1","sourceAdapter":"gt-api","symbol":"000001.SZ","side":"Buy","quantity":100,
+                "orderCreatedAt":"2026-09-14T01:30:00.600Z","terminalObservedAt":"2026-09-14T01:30:00.900Z","terminalStatus":"filled",
+                "fills":[fill]
+            }]}]
+    })).unwrap();
+    reseal(&mut input);
+    input
+}
+
+fn reseal(input: &mut ManualExecutionReplay) {
+    input.content_sha256 = input.content_digest().unwrap();
+}
+
+#[test]
+fn a_failed_corporate_projection_does_not_change_the_book_or_receipt_cursor() {
+    let mut cursor = ManualReplayCursor::new(sample()).unwrap();
+    let mut portfolio = PortfolioState::new(10000.);
+    let before = portfolio.financial_replay_identity();
+    let error = cursor.advance_next_projected(&mut portfolio, |_, next| {
+        next.apply_cash_delta(-50.)?;
+        next.position_mut("000001.SZ").buy(NaiveDate::from_ymd_opt(2026, 9, 11).unwrap(), 100, 10.);
+        Err("financial coverage mismatch".into())
+    }).unwrap_err();
+    assert_eq!(error, "financial coverage mismatch");
+    assert_eq!(portfolio.financial_replay_identity(), before);
+    assert_eq!(cursor.applied_count(), 0);
+}
+
+fn delayed_buy_replay() -> ManualExecutionReplay {
+    let mut input = sample();
+    let template = input.actions[0].clone();
+    input.actions.clear();
+    for (index, side, executed, observed, price, fee) in [
+        (
+            0,
+            OrderSide::Buy,
+            "2026-09-14T01:30:00Z",
+            "2026-09-14T01:30:01Z",
+            "20",
+            "0.25",
+        ),
+        (
+            1,
+            OrderSide::Buy,
+            "2026-09-11T06:00:00Z",
+            "2026-09-14T01:30:02Z",
+            "10",
+            "0.75",
+        ),
+        (
+            2,
+            OrderSide::Sell,
+            "2026-09-14T01:31:00Z",
+            "2026-09-14T01:31:01Z",
+            "10",
+            "0.5",
+        ),
+        (
+            3,
+            OrderSide::Sell,
+            "2026-09-14T01:32:00Z",
+            "2026-09-14T01:32:01Z",
+            "10",
+            "0.5",
+        ),
+    ] {
+        let executed: DateTime<Utc> = executed.parse().unwrap();
+        let observed: DateTime<Utc> = observed.parse().unwrap();
+        let mut action = template.clone();
+        action.action_id = format!("action-{index}");
+        action.audit_event_ids = vec![format!("audit-{index}")];
+        action.confirmed_at = executed - chrono::Duration::seconds(2);
+        action.confirmation_observed_at = action.confirmed_at;
+        let order = &mut action.orders[0];
+        order.order_id = format!("order-{index}");
+        order.broker_order_id = Some(format!("broker-{index}"));
+        order.side = side;
+        order.order_created_at = executed - chrono::Duration::seconds(1);
+        order.terminal_observed_at = observed;
+        let fill = &mut order.fills[0];
+        fill.trade_id = format!("trade-{index}");
+        fill.observation_event_id = format!("receipt-{index}");
+        fill.observation_sequence = index + 1;
+        fill.fee_observation_event_id = fill.observation_event_id.clone();
+        fill.fee_observation_sequence = fill.observation_sequence;
+        fill.trade_date = executed
+            .with_timezone(&FixedOffset::east_opt(8 * 3600).unwrap())
+            .date_naive();
+        fill.executed_at = executed;
+        fill.observed_at = observed;
+        fill.fee_observed_at = observed;
+        fill.price = price.parse().unwrap();
+        fill.commission = None;
+        fill.stamp_tax = None;
+        fill.transfer_fee = None;
+        fill.total_fee = fee.parse().unwrap();
+        input.actions.push(action);
+    }
+    reseal(&mut input);
+    input.validate().unwrap();
+    input
+}
+
+#[test]
+fn late_buy_retains_the_earliest_opening_and_latest_buy_dates() {
+    let mut cursor = ManualReplayCursor::new(delayed_buy_replay()).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut portfolio = PortfolioState::new(10000.);
+    let applications = cursor
+        .advance(
+            "2026-09-14T01:30:02Z".parse().unwrap(),
+            &mut portfolio,
+            &data,
+            false,
+        )
+        .unwrap();
+    assert_eq!(
+        applications
+            .iter()
+            .map(|row| row.trade_id.as_str())
+            .collect::<Vec<_>>(),
+        ["trade-0", "trade-1"]
+    );
+    let position = portfolio.position("000001.SZ").unwrap();
+    assert_eq!(position.opened_date(), NaiveDate::from_ymd_opt(2026, 9, 11));
+    assert_eq!(
+        position.last_buy_date(),
+        NaiveDate::from_ymd_opt(2026, 9, 14)
+    );
+    assert_eq!(position.quantity, 200);
+    let calendar = crate::TradingCalendar::new(
+        [11, 14, 15, 16, 17, 18]
+            .map(|day| NaiveDate::from_ymd_opt(2026, 9, day).unwrap())
+            .into(),
+    );
+    let evidence = crate::holding_policy::HoldingLifecycleEvidence {
+        has_position: true,
+        opened_date: position.opened_date(),
+        last_buy_date: position.last_buy_date(),
+        last_sell_date: None,
+    };
+    let mut policy = crate::holding_policy::AutomaticTradeProtection {
+        max_holding_days: 1,
+        ..Default::default()
+    };
+    assert!(
+        policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, 14).unwrap(),
+                &evidence,
+                &calendar
+            )
+            .unwrap()
+            .max_holding_exit
+    );
+    policy.buy_protection_days = 3;
+    for day in [14, 15, 16, 17] {
+        let permission = policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, day).unwrap(),
+                &evidence,
+                &calendar,
+            )
+            .unwrap();
+        assert_eq!(permission.sell_denial, Some("buy_fill_protection"));
+        assert!(!permission.max_holding_exit);
+    }
+    assert!(
+        policy
+            .evaluate(
+                "000001.SZ",
+                NaiveDate::from_ymd_opt(2026, 9, 18).unwrap(),
+                &evidence,
+                &calendar
+            )
+            .unwrap()
+            .max_holding_exit
+    );
+}
+
+#[test]
+fn late_buy_fifo_depletion_preserves_costs_and_cannot_unlock_today_lots() {
+    let mut cursor = ManualReplayCursor::new(delayed_buy_replay()).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut portfolio = PortfolioState::new(10000.);
+    let applications = cursor
+        .advance(
+            "2026-09-14T01:31:01Z".parse().unwrap(),
+            &mut portfolio,
+            &data,
+            false,
+        )
+        .unwrap();
+    assert_eq!(applications.len(), 3);
+    let position = portfolio.position("000001.SZ").unwrap();
+    assert_eq!(position.quantity, 100);
+    assert_eq!(position.unrealized_pnl(), -1000.25);
+    assert_eq!(
+        position.sellable_qty(NaiveDate::from_ymd_opt(2026, 9, 14).unwrap()),
+        0
+    );
+    assert_eq!(position.realized_pnl(), -0.75);
+    assert_eq!(portfolio.cash(), 7998.5);
+    assert_eq!(portfolio.external_cash_flow_total(), 0.);
+    assert!(
+        cursor
+            .advance(
+                "2026-09-14T01:32:01Z".parse().unwrap(),
+                &mut portfolio,
+                &data,
+                false
+            )
+            .unwrap_err()
+            .contains("T+1")
+    );
+    assert_eq!(cursor.applied_count(), 3);
+    assert_eq!(portfolio.cash(), 7998.5);
+    assert_eq!(portfolio.position("000001.SZ").unwrap().quantity, 100);
+}
+fn semantic_result(input: &ManualExecutionReplay) -> Result<(), String> {
+    let mut input = input.clone();
+    reseal(&mut input);
+    input.validate()
+}
+
+#[test]
+fn complete_exact_decimal_evidence_allows_later_observation_and_retains_source_digits() {
+    let input = sample();
+    input.validate().unwrap();
+    let fill = &input.actions[0].orders[0].fills[0];
+    assert_eq!(fill.gross_amount().unwrap().to_string(), "1012.3456789100");
+    assert_eq!(fill.total_fees().unwrap().to_string(), "0.1200001");
+    assert_eq!(
+        serde_json::to_value(&input).unwrap()["actions"][0]["orders"][0]["fills"][0]["price"],
+        "10.1234567891"
+    );
+}
+
+#[test]
+fn data_scope_only_contains_actual_filled_securities_and_validates_the_source() {
+    let mut input = sample();
+    let mut rejected = input.actions[0].orders[0].clone();
+    rejected.order_id = "rejected-order".into();
+    rejected.broker_order_id = None;
+    rejected.source_adapter = None;
+    rejected.symbol = "510300.SH".into();
+    rejected.terminal_status = ManualOrderTerminalStatus::Rejected;
+    rejected.fills.clear();
+    input.actions[0].orders.push(rejected);
+    reseal(&mut input);
+    assert_eq!(
+        input.required_data_symbols().unwrap(),
+        BTreeSet::from(["000001.SZ".into()])
+    );
+    input.actions[0].orders[0].symbol = "600000.SH".into();
+    assert!(input.required_data_symbols().is_err());
+}
+
+#[test]
+fn v2_facts_keep_their_encoding_but_cannot_silently_carry_new_runtime_settings() {
+    let mut input = sample();
+    input.schema = "fidc.observed-manual-executions/v2".into();
+    reseal(&mut input);
+    input.validate().unwrap();
+    let old = serde_json::to_value(&input).unwrap();
+    assert!(old.get("positionExposureEvents").is_none());
+    assert!(old.get("legacyPositionExposureBps").is_none());
+    input
+        .legacy_position_exposure_bps
+        .insert(NaiveDate::from_ymd_opt(2026, 9, 14).unwrap(), 5000);
+    reseal(&mut input);
+    assert!(input.validate().is_err());
+    input.schema = MANUAL_REPLAY_SCHEMA.into();
+    reseal(&mut input);
+    input.validate().unwrap();
+}
+
+#[test]
+fn runtime_position_events_cannot_claim_observations_after_the_source_cutoff() {
+    let mut input = sample();
+    input.position_exposure_events.push(serde_json::from_value(json!({
+        "eventId": "position-event", "sequence": 1, "effectiveAt": input.observation_cutoff,
+        "action": "scale", "requestedBps": 5000
+    })).unwrap());
+    semantic_result(&input).unwrap();
+    input.position_exposure_events[0].effective_at += chrono::Duration::nanoseconds(1);
+    assert!(semantic_result(&input).unwrap_err().contains("after the evidence cutoff"));
+}
+
+#[test]
+fn all_required_money_and_binding_fields_reject_missing_or_wrong_values() {
+    let original = serde_json::to_value(sample()).unwrap();
+    for field in ["price", "totalFee"] {
+        let mut missing = original.clone();
+        missing["actions"][0]["orders"][0]["fills"][0]
+            .as_object_mut()
+            .unwrap()
+            .remove(field);
+        assert!(
+            serde_json::from_value::<ManualExecutionReplay>(missing).is_err(),
+            "{field}"
+        );
+        let mut numeric = original.clone();
+        numeric["actions"][0]["orders"][0]["fills"][0][field] = json!(1.1);
+        assert!(
+            serde_json::from_value::<ManualExecutionReplay>(numeric).is_err(),
+            "numeric {field}"
+        );
+    }
+    for mutate in [
+        ("schema", json!("unknown")),
+        ("sourceContractSha256", json!("broken")),
+        ("accountId", json!(" ")),
+    ] {
+        let mut value = original.clone();
+        value[mutate.0] = mutate.1;
+        assert!(
+            semantic_result(&serde_json::from_value::<ManualExecutionReplay>(value).unwrap())
+                .is_err()
+        );
+    }
+}
+
+#[test]
+fn inconsistent_counts_terminals_audits_and_duplicate_facts_are_rejected() {
+    let original = sample();
+    let mut invalid = original.clone();
+    invalid.actions[0].orders[0].quantity = 200;
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    invalid.actions[0].orders[0].terminal_status = ManualOrderTerminalStatus::Rejected;
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    invalid.actions[0].audit_event_ids.clear();
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    invalid.actions.push(invalid.actions[0].clone());
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    let duplicate = invalid.actions[0].orders[0].fills[0].clone();
+    invalid.actions[0].orders[0].fills.push(duplicate);
+    assert!(semantic_result(&invalid).is_err());
+    let mut invalid = original.clone();
+    invalid.actions[0].orders[0].broker_order_id = None;
+    assert!(semantic_result(&invalid).is_err());
+    invalid.actions[0].orders[0].source_adapter = Some("paper".into());
+    reseal(&mut invalid);
+    invalid.validate().unwrap();
+}
+
+#[test]
+fn source_time_precision_is_not_invented_and_submitted_time_must_fit_the_interval() {
+    let mut input = sample();
+    input.actions[0].orders[0].order_created_at = "2026-09-14T01:30:00.999999Z".parse().unwrap();
+    input.actions[0].orders[0].terminal_observed_at = "2026-09-14T01:30:01.500Z".parse().unwrap();
+    input.actions[0].orders[0].fills[0].observed_at = "2026-09-14T01:30:02Z".parse().unwrap();
+    input.actions[0].orders[0].fills[0].fee_observed_at =
+        input.actions[0].orders[0].fills[0].observed_at;
+    reseal(&mut input);
+    input.validate().unwrap();
+    input.actions[0].orders[0].order_created_at = "2026-09-14T01:30:01Z".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+    let mut input = sample();
+    input.actions[0].orders[0].fills[0].executed_at = "2026-09-14T01:30:00.800Z".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+    input.actions[0].orders[0].fills[0].timestamp_precision = ManualTimestampPrecision::Millisecond;
+    reseal(&mut input);
+    input.validate().unwrap();
+    input.actions[0].orders[0].fills[0].executed_at =
+        "2026-09-14T01:30:00.800001Z".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+}
+
+#[test]
+fn confirmed_no_order_outcome_is_distinct_from_unconfirmed_or_unknown_work() {
+    let mut input = sample();
+    input.actions[0].orders.clear();
+    assert!(semantic_result(&input).is_err());
+    input.actions[0].outcome = ManualActionOutcome::NoOrdersNeeded;
+    reseal(&mut input);
+    input.validate().unwrap();
+    input.actions[0].outcome = ManualActionOutcome::NotExecuted;
+    reseal(&mut input);
+    input.validate().unwrap();
+    let mut value = serde_json::to_value(input).unwrap();
+    value["actions"][0]["outcome"] = json!("result_unknown");
+    assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
+}
+
+#[test]
+fn raw_timezone_and_cutoff_are_required() {
+    let mut value = serde_json::to_value(sample()).unwrap();
+    value["actions"][0]["orders"][0]["fills"][0]["executedAt"] = json!("2026-09-14T09:30:00");
+    assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
+    let mut input = sample();
+    input.observation_cutoff = "2026-09-14T01:30:00.700Z".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+    let mut value = serde_json::to_value(sample()).unwrap();
+    value["actions"][0]["orders"][0]["fills"][0]["totalFee"] = Value::Null;
+    assert!(serde_json::from_value::<ManualExecutionReplay>(value).is_err());
+}
+
+#[test]
+fn authoritative_total_fee_does_not_require_inventing_unknown_components() {
+    let mut input = sample();
+    let fill = &mut input.actions[0].orders[0].fills[0];
+    fill.commission = None;
+    fill.stamp_tax = None;
+    fill.transfer_fee = None;
+    assert_eq!(
+        fill.total_fees().unwrap(),
+        "0.1200001".parse::<Decimal>().unwrap()
+    );
+    assert!(semantic_result(&input).is_ok());
+    let value = serde_json::to_value(&input).unwrap();
+    assert!(value["actions"][0]["orders"][0]["fills"][0]["commission"].is_null());
+    assert_eq!(
+        value["actions"][0]["orders"][0]["fills"][0]["totalFee"],
+        "0.1200001"
+    );
+    for field in ["commission", "stampTax", "transferFee"] {
+        let mut numeric = value.clone();
+        numeric["actions"][0]["orders"][0]["fills"][0][field] = json!(0.1);
+        assert!(serde_json::from_value::<ManualExecutionReplay>(numeric).is_err());
+    }
+}
+
+#[test]
+fn manual_fee_total_includes_extra_charges_and_rejects_inconsistent_components() {
+    let mut input = sample();
+    input.actions[0].orders[0].fills[0].total_fee = "0.15".parse().unwrap();
+    assert!(semantic_result(&input).is_ok());
+    assert_eq!(
+        input.actions[0].orders[0].fills[0]
+            .total_fees()
+            .unwrap()
+            .to_string(),
+        "0.15"
+    );
+    input.actions[0].orders[0].fills[0].total_fee = "0.1".parse().unwrap();
+    assert!(semantic_result(&input).is_err());
+    input.actions[0].orders[0].fills[0].total_fee = "0.15".parse().unwrap();
+    input.actions[0].orders[0].fills[0].commission = Some(Decimal::NEGATIVE_ONE);
+    assert!(semantic_result(&input).is_err());
+}
+
+#[test]
+fn late_fee_evidence_keeps_the_original_fill_observation_clock() {
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut input = sample();
+    let fill = &mut input.actions[0].orders[0].fills[0];
+    let original = fill.observed_at;
+    fill.fee_observation_event_id = "fee-receipt-1".into();
+    fill.fee_observation_sequence = 2;
+    fill.fee_observed_at = original + chrono::Duration::hours(1);
+    let fee_time = fill.fee_observed_at;
+    reseal(&mut input);
+    let mut cursor = ManualReplayCursor::new(input).unwrap();
+    assert_eq!(cursor.next_observation_at(), Some(original));
+    let mut portfolio = PortfolioState::new(10_000.);
+    let result = cursor
+        .advance(original, &mut portfolio, &data, false)
+        .unwrap();
+    assert_eq!(result.len(), 1);
+    assert_eq!(result[0].observed_at, original);
+    assert_eq!(result[0].fee_observed_at, fee_time);
+    assert_eq!(result[0].source_total_fee, "0.1200001");
+    assert!(
+        cursor
+            .advance(fee_time, &mut portfolio, &data, false)
+            .unwrap()
+            .is_empty()
+    );
+}
+
+#[test]
+fn changing_any_external_price_or_identity_invalidates_the_frozen_trace() {
+    let input = sample();
+    let original = input.content_sha256.clone();
+    let mut changed = input.clone();
+    changed.actions[0].orders[0].fills[0].price += Decimal::ONE;
+    assert_ne!(changed.content_digest().unwrap(), original);
+    assert_eq!(
+        changed.validate().unwrap_err(),
+        "manual replay content digest mismatch"
+    );
+    let mut changed = input;
+    changed.account_id = "another-account".into();
+    assert_ne!(changed.content_digest().unwrap(), original);
+    assert!(changed.validate().is_err());
+}
+
+fn identity_data(listed: NaiveDate) -> DataSet {
+    DataSet::from_components(
+        vec![crate::Instrument {
+            symbol: "000001.SZ".into(),
+            name: "test".into(),
+            board: "SZ".into(),
+            round_lot: 100,
+            listed_at: Some(listed),
+            delisted_at: None,
+            status: "active".into(),
+        }],
+        vec![],
+        vec![],
+        vec![],
+        vec![crate::BenchmarkSnapshot {
+            date: listed,
+            benchmark: "000300.SH".into(),
+            open: 100.,
+            close: 100.,
+            prev_close: 100.,
+            volume: 0,
+        }],
+    )
+    .unwrap()
+}
+
+#[test]
+fn confirmed_manual_fill_changes_cash_and_lots_but_not_external_cash_flow_units() {
+    let input = sample();
+    let observations = input.observations().unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut account = PortfolioState::new(10_000.);
+    let applied = observations[0].apply(&mut account, &data, false).unwrap();
+    assert_eq!(
+        applied.gross,
+        FixedMoney::from_decimal_str("1012.345679").unwrap()
+    );
+    assert_eq!(applied.fees, FixedMoney::from_decimal_str("0.12").unwrap());
+    assert_eq!(account.cash(), 8987.534321);
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+    assert_eq!(
+        account
+            .position("000001.SZ")
+            .unwrap()
+            .sellable_qty(input.actions[0].orders[0].fills[0].trade_date),
+        0
+    );
+    assert_eq!(account.external_cash_flow_total(), 0.);
+    assert_eq!(account.starting_cash(), 10_000.);
+}
+
+#[test]
+fn manual_mismatches_are_atomic_and_do_not_borrow_shares_cash_or_override_pending_orders() {
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let input = sample();
+    let observations = input.observations().unwrap();
+    let mut poor = PortfolioState::new(10.);
+    assert!(observations[0].apply(&mut poor, &data, false).is_err());
+    assert_eq!(poor.cash(), 10.);
+    assert!(poor.positions().is_empty());
+    let mut account = PortfolioState::new(10_000.);
+    assert!(observations[0].apply(&mut account, &data, true).is_err());
+    assert_eq!(account.cash(), 10_000.);
+    assert!(account.positions().is_empty());
+    observations[0].apply(&mut account, &data, false).unwrap();
+    let before = account.cash();
+    let mut sell = input.clone();
+    sell.actions[0].orders[0].side = OrderSide::Sell;
+    reseal(&mut sell);
+    assert!(
+        sell.observations().unwrap()[0]
+            .apply(&mut account, &data, false)
+            .unwrap_err()
+            .contains("T+1")
+    );
+    assert_eq!(account.cash(), before);
+    assert_eq!(account.position("000001.SZ").unwrap().quantity, 100);
+    let unlisted = identity_data(NaiveDate::from_ymd_opt(2027, 1, 1).unwrap());
+    assert!(
+        observations[0]
+            .apply(&mut account, &unlisted, false)
+            .unwrap_err()
+            .contains("lifecycle")
+    );
+    assert_eq!(account.cash(), before);
+}
+
+#[test]
+fn the_next_day_manual_sale_keeps_the_actual_quantity_and_fee_contract() {
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let input = sample();
+    let mut account = PortfolioState::new(10_000.);
+    input.observations().unwrap()[0]
+        .apply(&mut account, &data, false)
+        .unwrap();
+    let mut sell = input.clone();
+    let order = &mut sell.actions[0].orders[0];
+    order.side = OrderSide::Sell;
+    order.order_created_at += chrono::Duration::days(1);
+    order.terminal_observed_at += chrono::Duration::days(1);
+    order.fills[0].trade_date = order.fills[0].trade_date.succ_opt().unwrap();
+    order.fills[0].executed_at += chrono::Duration::days(1);
+    order.fills[0].observed_at += chrono::Duration::days(1);
+    order.fills[0].fee_observed_at += chrono::Duration::days(1);
+    sell.observation_cutoff += chrono::Duration::days(1);
+    reseal(&mut sell);
+    let applied = sell.observations().unwrap()[0]
+        .apply(&mut account, &data, false)
+        .unwrap();
+    assert_eq!(applied.quantity_after, 0);
+    assert_eq!(account.cash(), 9999.76);
+    assert_eq!(account.external_cash_flow_total(), 0.);
+}
+
+#[test]
+fn observations_follow_durable_receipt_order_and_not_input_array_order() {
+    let mut input = sample();
+    let mut second = input.actions[0].orders[0].fills[0].clone();
+    second.trade_id = "trade-2".into();
+    second.observation_event_id = "received-2".into();
+    second.observation_sequence = 2;
+    second.fee_observation_event_id = "received-2".into();
+    second.fee_observation_sequence = 2;
+    input.actions[0].orders[0].quantity = 200;
+    input.actions[0].orders[0].fills.insert(0, second);
+    reseal(&mut input);
+    assert_eq!(
+        input
+            .observations()
+            .unwrap()
+            .iter()
+            .map(|row| row.fill.observation_sequence)
+            .collect::<Vec<_>>(),
+        vec![1, 2]
+    );
+    let mut invalid = input.clone();
+    invalid.actions[0].orders[0].fills[0].observation_sequence = 1;
+    assert!(
+        semantic_result(&invalid)
+            .unwrap_err()
+            .contains("observation")
+    );
+    let mut invalid = input;
+    invalid.actions[0].orders[0].fills[0].observation_event_id = "received-1".into();
+    assert!(
+        semantic_result(&invalid)
+            .unwrap_err()
+            .contains("observation")
+    );
+}
+
+#[test]
+fn partial_cancel_is_valid_but_full_fill_cannot_be_reported_as_cancelled() {
+    let mut input = sample();
+    input.actions[0].orders[0].quantity = 200;
+    input.actions[0].orders[0].terminal_status = ManualOrderTerminalStatus::Cancelled;
+    semantic_result(&input).unwrap();
+    input.actions[0].orders[0].quantity = 100;
+    assert!(
+        semantic_result(&input)
+            .unwrap_err()
+            .contains("terminal status")
+    );
+}
+
+#[test]
+fn cursor_waits_for_observation_and_never_reapplies_or_rewinds() {
+    let input = sample();
+    let at = input.actions[0].orders[0].fills[0].observed_at;
+    let mut replay = ManualReplayCursor::new(input).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut account = PortfolioState::new(10_000.);
+    assert_eq!(replay.next_observation_at(), Some(at));
+    assert!(
+        replay
+            .advance(
+                at - chrono::Duration::milliseconds(1),
+                &mut account,
+                &data,
+                false
+            )
+            .unwrap()
+            .is_empty()
+    );
+    assert_eq!(account.cash(), 10_000.);
+    let records = replay.advance(at, &mut account, &data, false).unwrap();
+    assert_eq!(records.len(), 1);
+    assert_eq!(records[0].cash_delta, "-1012.465679");
+    assert_eq!(replay.applied_count(), 1);
+    assert_eq!(replay.next_observation_at(), None);
+    let cash = account.cash();
+    assert!(
+        replay
+            .advance(at, &mut account, &data, false)
+            .unwrap()
+            .is_empty()
+    );
+    assert_eq!(account.cash(), cash);
+    assert!(
+        replay
+            .advance(
+                at - chrono::Duration::seconds(1),
+                &mut account,
+                &data,
+                false
+            )
+            .unwrap_err()
+            .contains("backwards")
+    );
+}
+
+#[test]
+fn failed_multi_receipt_advance_keeps_both_progress_and_portfolio_unchanged() {
+    let mut input = sample();
+    let mut next = input.actions[0].orders[0].fills[0].clone();
+    next.trade_id = "trade-2".into();
+    next.observation_event_id = "received-2".into();
+    next.observation_sequence = 2;
+    next.fee_observation_event_id = "received-2".into();
+    next.fee_observation_sequence = 2;
+    input.actions[0].orders[0].quantity = 200;
+    input.actions[0].orders[0].fills.push(next);
+    reseal(&mut input);
+    let at = input.actions[0].orders[0].fills[0].observed_at;
+    let mut replay = ManualReplayCursor::new(input).unwrap();
+    let data = identity_data(NaiveDate::from_ymd_opt(2020, 1, 1).unwrap());
+    let mut account = PortfolioState::new(1_500.);
+    assert!(replay.advance(at, &mut account, &data, false).is_err());
+    assert_eq!(account.cash(), 1_500.);
+    assert!(account.positions().is_empty());
+    assert_eq!(replay.applied_count(), 0);
+    assert_eq!(replay.next_observation_at(), Some(at));
+}
+
+#[test]
+fn fixed_money_decimal_text_preserves_micro_units_without_float_conversion() {
+    for text in [
+        "0",
+        "100",
+        "-100",
+        "0.000001",
+        "-0.000001",
+        "12345678901234567890123456.123456",
+    ] {
+        assert_eq!(
+            FixedMoney::from_decimal_str(text)
+                .unwrap()
+                .to_decimal_string(),
+            text
+        );
+    }
+    let min = FixedMoney::from_raw(i128::MIN);
+    assert!(min.to_decimal_string().starts_with('-'));
+}

crates/fidc-core/src/metrics.rs

@@ -93,6 +93,15 @@ pub fn compute_backtest_metrics(
     account_events: &[AccountEvent],
     initial_cash: f64,
     risk_free_contract: Option<&RiskFreeRateContract>,
+) -> Result<BacktestMetrics, String> {
+    compute_backtest_metrics_with_manual(equity_curve, fills, &[], daily_holdings, account_events, initial_cash, risk_free_contract)
+}
+
+pub fn compute_backtest_metrics_with_manual(
+    equity_curve: &[DailyEquityPoint], fills: &[FillEvent],
+    manual_executions: &[crate::manual_execution::ManualReplayApplication],
+    daily_holdings: &[HoldingSummary], account_events: &[AccountEvent], initial_cash: f64,
+    risk_free_contract: Option<&RiskFreeRateContract>,
 ) -> Result<BacktestMetrics, String> {
     let Some(first_point) = equity_curve.first() else {
         return Ok(BacktestMetrics {
@@ -229,12 +238,20 @@ pub fn compute_backtest_metrics(
     );
     let monthly_volatility = annualized_std(&monthly_portfolio_returns, MONTHS_PER_YEAR);
 
-    let turnover_by_date = fills
+    let mut turnover_by_date = fills
         .iter()
         .fold(BTreeMap::<NaiveDate, f64>::new(), |mut acc, fill| {
             *acc.entry(fill.date).or_default() += fill.gross_amount.abs();
             acc
         });
+    for execution in manual_executions {
+        use rust_decimal::prelude::ToPrimitive;
+        let gross = execution.ledger_gross_amount.parse::<rust_decimal::Decimal>()
+            .ok().and_then(|value| value.to_f64()).filter(|value| value.is_finite() && *value >= 0.)
+            .ok_or("manual turnover requires its validated ledger gross amount")?;
+        let date = execution.observed_at.with_timezone(&chrono::FixedOffset::east_opt(8 * 3600).unwrap()).date_naive();
+        *turnover_by_date.entry(date).or_default() += gross;
+    }
     let equity_by_date = equity_curve
         .iter()
         .map(|point| (point.date, point.total_equity))

crates/fidc-core/src/numeric_factors.rs

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

crates/fidc-core/src/pattern_context.rs

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

crates/fidc-core/src/platform_stock_pool.rs

@@ -0,0 +1,273 @@
+//! Stock pools emit one frozen framework intent, not a lossy code-strategy translation.
+use super::*;
+use crate::stock_pool_execution as pool;
+use rust_decimal::Decimal;
+
+impl PlatformExprStrategy {
+    pub(super) fn stock_pool_decision(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, BacktestError> {
+        let program = self
+            .config
+            .stock_pool
+            .as_ref()
+            .ok_or_else(|| BacktestError::Execution("stock_pool_program_missing".into()))?
+            .clone();
+        if !self.config.stop_loss_expr.trim().is_empty() || !self.config.take_profit_expr.trim().is_empty()
+            || self.config.position_target_rules.len() != program.exit_signals.len()
+            || self.config.position_target_rules.iter().zip(&program.exit_signals).any(|(compiled, frozen)|
+                compiled.when_expr != frozen.when_expr || compiled.remaining_position_bps != frozen.remaining_position_bps
+                    || compiled.reason != frozen.reason || compiled.stock_pool_role != frozen.role)
+        {
+            return Err(BacktestError::Execution("stock_pool_exit_roles_required: exit rules must remain bound to the frozen stock_pool program".into()));
+        }
+        let mut constraints = pool::stock_pool_constraints_from_configuration(
+            &program.allocation_policy,
+            &program.stop_take_policy,
+        )
+        .map_err(BacktestError::Execution)?;
+        if let Some(policy) = constraints
+            .market_timing_policy
+            .as_ref()
+            .filter(|policy| policy.enabled)
+        {
+            let before_close = !ctx.is_lagged_execution()
+                && ctx
+                    .active_datetime
+                    .is_some_and(|at| at.time() < NaiveTime::from_hms_opt(15, 0, 0).unwrap());
+            let as_of = if before_close {
+                ctx.data
+                    .previous_trading_date(ctx.decision_date, 1)
+                    .ok_or_else(|| {
+                        BacktestError::Execution(
+                            "market_timing_previous_completed_session_missing".into(),
+                        )
+                    })?
+            } else {
+                ctx.decision_date
+            };
+            let required = policy
+                .required_history()
+                .map_err(BacktestError::Execution)?;
+            let mut dates = ctx
+                .data
+                .calendar()
+                .iter()
+                .filter(|date| *date <= as_of)
+                .collect::<Vec<_>>();
+            if dates.len() < required {
+                return Err(BacktestError::Execution(format!(
+                    "market_timing_official_calendar_incomplete:required={required}:available={}",
+                    dates.len()
+                )));
+            }
+            dates = dates.split_off(dates.len() - required);
+            let index = policy.index_code.as_ref().expect("validated index policy");
+            let closes = dates
+                .iter()
+                .map(|date| {
+                    let row = ctx.data.market(*date, index).ok_or_else(|| {
+                        BacktestError::Execution(format!(
+                            "market_timing_completed_index_row_missing:{index}:{date}"
+                        ))
+                    })?;
+                    Ok(crate::stock_pool_index_policy::IndexClose {
+                        date: *date,
+                        close: row.close,
+                    })
+                })
+                .collect::<Result<Vec<_>, BacktestError>>()?;
+            constraints.market_timing_input =
+                Some(crate::stock_pool_index_policy::MarketTimingInput {
+                    index_code: index.clone(),
+                    as_of_date: as_of,
+                    official_dates: dates,
+                    closes,
+                });
+        }
+        let rule = pool::normalize_stock_pool_execution_rule_with_exit_roles(
+            Some(&program.timing_policy),
+            !self.config.buy_filter_expr.trim().is_empty(),
+            self.config.position_target_rules.iter().any(|rule| rule.stock_pool_role == pool::StockPoolExitRole::OrdinarySell),
+            self.config.position_target_rules.iter().any(|rule| rule.stock_pool_role == pool::StockPoolExitRole::RiskExit),
+        )
+        .map_err(BacktestError::Execution)?;
+        if self.config.in_skip_window(ctx.decision_date) {
+            return Ok(StrategyDecision::default());
+        }
+        let explicit_quote_condition = self.selection_quote_usage != StockFilterQuoteUsage::DailyOnly
+            || [self.config.buy_filter_expr.as_str(), self.config.stop_loss_expr.as_str(), self.config.take_profit_expr.as_str()]
+                .into_iter().chain(self.config.position_target_rules.iter().map(|rule|rule.when_expr.as_str()))
+                .any(|expression|Self::stock_filter_quote_usage_for_expr(expression)!=StockFilterQuoteUsage::DailyOnly);
+        if explicit_quote_condition && ctx.active_datetime.is_some_and(|at|at.time()<NaiveTime::from_hms_opt(15,0,0).unwrap()) {
+            for symbol in program.members.iter().map(|member|&member.symbol).chain(ctx.portfolio.positions().keys()) {
+                if ctx.data.instrument(symbol).is_some_and(|instrument|instrument.is_exchange_traded_fund()&&instrument.dated_market_absence_reason(ctx.execution_date).is_none())
+                    && self.scheduled_quote_at_time(ctx,ctx.execution_date,symbol,None).is_none()
+                {
+                    return Err(BacktestError::Execution(format!("etf_intraday_condition_evidence_missing:{symbol}; completed daily references cannot make minute/tick conditions true")));
+                }
+            }
+        }
+        let day = self.day_state(ctx, ctx.decision_date)?;
+        let (market_date, universe_date, factor_date) = self.selection_dates(ctx);
+        let (low, high) = self.market_cap_band(ctx, &day)?;
+        let (ranked, mut diagnostics, risk_decisions) = self.select_symbols(
+            ctx,
+            market_date,
+            universe_date,
+            factor_date,
+            &day,
+            low,
+            high,
+            usize::MAX,
+        )?;
+        let held = ctx
+            .portfolio
+            .positions()
+            .values()
+            .filter(|p| p.quantity > 0)
+            .map(|p| p.symbol.clone())
+            .collect::<BTreeSet<_>>();
+        if !self.config.buy_filter_expr.trim().is_empty() {
+            for symbol in &ranked {
+                let stock =
+                    self.stock_state_with_factor_date(ctx, market_date, factor_date, symbol)?;
+                if !self.eval_bool(ctx, &self.config.buy_filter_expr, &day, Some(&stock), None)? {
+                    constraints
+                        .buy_denials
+                        .insert(symbol.clone(), vec!["frozen_buy_condition_not_met".into()]);
+                }
+            }
+        }
+        for (role, targets) in self.current_position_target_rules_by_role(ctx, ctx.decision_date, factor_date, &day)? {
+            let output = match role { pool::StockPoolExitRole::OrdinarySell => &mut constraints.position_target_bps, pool::StockPoolExitRole::RiskExit => &mut constraints.independent_position_target_bps };
+            for (symbol, (bps, _)) in targets { output.insert(symbol, bps); }
+        }
+        let limit = constraints.target_holding_count.unwrap_or(ranked.len());
+        let final_symbols = ranked
+            .iter()
+            .take(limit)
+            .cloned()
+            .collect();
+        let generation = format!(
+            "stock-pool:{}:{}:{}",
+            program.pool_id,
+            program.version_id,
+            ctx.active_datetime
+                .map(|date| date.to_string())
+                .unwrap_or_else(|| ctx.decision_date.to_string())
+        );
+        let selection = pool::StockPoolSelection {
+            trade_date: ctx.decision_date,
+            requested_symbols: ranked.clone(),
+            normal_trading_symbols: ranked.clone(),
+            risk_eligible_symbols: ranked.clone(),
+            final_symbols,
+            exclusion_reasons: BTreeMap::new(),
+            inherited_from_generation: None,
+            explicit_empty: program.members.is_empty()
+                && self.config.candidate_symbols_by_date.is_empty(),
+            generation: Some(generation.clone()),
+        };
+        let by_symbol = program
+            .members
+            .iter()
+            .map(|member| (member.symbol.as_str(), member))
+            .collect::<BTreeMap<_, _>>();
+        let mut scope = ranked.clone();
+        // Kept rules are execution metadata, not additional selection candidates.
+        for symbol in held {
+            if by_symbol.contains_key(symbol.as_str()) && !scope.contains(&symbol) {
+                scope.push(symbol)
+            }
+        }
+        let allocation_weights = self
+            .config
+            .runtime_position_exposure_timeline
+            .allocation_weights_at(portfolio_loss_decision_at(ctx))
+            .or_else(|| {
+                self.config
+                    .position_exposure_timeline
+                    .allocation_weights_at(portfolio_loss_decision_at(ctx))
+            });
+        let members = scope
+            .iter()
+            .enumerate()
+            .map(|(index, symbol)| {
+                let mut member = by_symbol
+                    .get(symbol.as_str())
+                    .map(|member| (*member).clone())
+                    .unwrap_or_else(|| pool::StockPoolMemberSpec {
+                        symbol: symbol.clone(),
+                        requested_order: index as i32,
+                        recommendation_reason: String::new(),
+                        target_weight_bps: None,
+                        stop_loss: constraints.default_stop_loss,
+                        take_profit: constraints.default_take_profit,
+                    });
+                member.requested_order = index as i32;
+                if let Some(weights) = allocation_weights {
+                    member.target_weight_bps = Some(*weights.get(symbol).unwrap_or(&0));
+                }
+                member
+            })
+            .collect();
+        let (base_ratio, reserve_cash) =
+            pool::stock_pool_funding_from_configuration(&program.allocation_policy)
+                .map_err(BacktestError::Execution)?;
+        let base_exposure = self
+            .config
+            .position_exposure_timeline
+            .exposure_at(
+                portfolio_loss_decision_at(ctx),
+                ctx.execution_date,
+                &self.config.position_exposure_schedule,
+                f64::from(base_ratio) / 10000.,
+            )
+            .unwrap_or(f64::from(base_ratio) / 10000.);
+        let ratio = self
+            .config
+            .runtime_position_exposure_timeline
+            .exposure_at(
+                portfolio_loss_decision_at(ctx),
+                ctx.execution_date,
+                &self.config.runtime_position_exposure_schedule,
+                base_exposure,
+            )
+            .or(Some(base_exposure))
+            .map(|value| (value * 10000.).round() as i64)
+            .unwrap_or(i64::from(base_ratio));
+        let invest_ratio_bps = i32::try_from(ratio)
+            .ok()
+            .filter(|ratio| (0..=10000).contains(ratio))
+            .ok_or_else(|| BacktestError::Execution("stock_pool_invest_ratio_invalid".into()))?;
+        let signal_equity =
+            self.signal_visible_total_value(ctx, ctx.decision_date, ctx.is_lagged_execution());
+        let frozen_equity = signal_equity
+            .to_string()
+            .parse::<Decimal>()
+            .map_err(|_| BacktestError::Execution("stock_pool_signal_equity_invalid".into()))?;
+        diagnostics.push(format!("stock_pool_signal_frozen generation={generation} candidate_count={} frozen_equity={frozen_equity}",ranked.len()));
+        Ok(StrategyDecision {
+            order_intents: vec![OrderIntent::StockPool {
+                contract: Box::new(pool::FrozenStockPoolIntent {
+                    pool_id:program.pool_id.clone(),
+                    signal_date: ctx.decision_date,
+                    frozen_equity,
+                    selection,
+                    members,
+                    rule,
+                    constraints,
+                    invest_ratio_bps,
+                    reserve_cash,
+                    out_of_pool_policy: program.out_of_pool_policy,
+                    generation,
+                }),
+            }],
+            diagnostics,
+            risk_decisions,
+            ..Default::default()
+        })
+    }
+}

crates/fidc-core/src/platform_strategy_spec.rs

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

crates/fidc-core/src/portfolio.rs

@@ -138,18 +138,30 @@ impl Position {
         if quantity == 0 {
             return;
         }
+        let gross_amount = fixed_money_or_panic(execution_price * quantity as f64, "position buy gross amount");
+        self.buy_with_fixed_gross(date,quantity,execution_price,mark_price,gross_amount);
+    }
 
+    fn buy_with_fixed_gross(
+        &mut self,
+        date: NaiveDate,
+        quantity: u32,
+        execution_price: f64,
+        mark_price: f64,
+        gross_amount: FixedMoney,
+    ) {
         let previous_quantity = self.quantity;
-        self.last_buy_date = Some(self.last_buy_date.map_or(date, |previous| previous.max(date)));
+        self.last_buy_date = Some(
+            self.last_buy_date
+                .map_or(date, |previous| previous.max(date)),
+        );
         if previous_quantity == 0 {
             self.opened_date = Some(date);
+        } else if let Some(opened) = self.opened_date {
+            self.opened_date = Some(opened.min(date));
         }
         let previous_average_price = self.average_price;
         let previous_average_cost = self.average_cost;
-        let gross_amount = fixed_money_or_panic(
-            execution_price * quantity as f64,
-            "position buy gross amount",
-        );
         self.lots.push(PositionLot {
             acquired_date: date,
             quantity,
@@ -200,6 +212,20 @@ impl Position {
         quantity: u32,
         execution_price: f64,
         mark_price: f64,
+    ) -> Result<f64, String> {
+        if quantity > self.quantity {
+            return Err(format!("sell quantity {} exceeds current quantity {} for {}",quantity,self.quantity,self.symbol));
+        }
+        let total_proceeds = fixed_money(execution_price * quantity as f64,"position sell gross amount")?;
+        self.sell_with_fixed_gross(quantity,execution_price,mark_price,total_proceeds)
+    }
+
+    fn sell_with_fixed_gross(
+        &mut self,
+        quantity: u32,
+        execution_price: f64,
+        mark_price: f64,
+        total_proceeds: FixedMoney,
     ) -> Result<f64, String> {
         if quantity > self.quantity {
             return Err(format!(
@@ -208,10 +234,17 @@ impl Position {
             ));
         }
 
-        let total_proceeds = fixed_money(
-            execution_price * quantity as f64,
-            "position sell gross amount",
-        )?;
+        // A delayed receipt or a successor conversion can append an older
+        // acquisition after a newer lot. Deplete by actual acquisition date;
+        // stable ordering preserves same-day receipts and their attached fees.
+        if quantity > 0
+            && self
+                .lots
+                .windows(2)
+                .any(|pair| pair[0].acquired_date > pair[1].acquired_date)
+        {
+            self.lots.sort_by_key(|lot| lot.acquired_date);
+        }
         let mut remaining = quantity;
         let mut remaining_proceeds = total_proceeds;
         let mut realized = FixedMoney::ZERO;
@@ -676,6 +709,31 @@ pub struct PortfolioState {
     cash_receivables: Vec<CashReceivable>,
     pending_cash_flows: Vec<PendingCashFlow>,
     day_sold_symbols: BTreeSet<String>,
+    // Observed holding conversions, never a catalog alias or a new target.
+    // Kept after a position becomes flat so an active date lock is not lost.
+    corporate_predecessors: BTreeMap<String, BTreeSet<String>>,
+    stock_pool_states: std::collections::BTreeMap<String,crate::stock_pool_state::StockPoolExecutionState>,
+}
+
+pub(crate) struct PortfolioCheckpoint {
+    saved: PortfolioState,
+    position_order: Option<Vec<String>>,
+}
+
+impl PortfolioCheckpoint {
+    pub(crate) fn restore(mut self, current: &mut PortfolioState) {
+        if let Some(order) = self.position_order.take() {
+            let mut positions = IndexMap::with_capacity(order.len());
+            for symbol in order {
+                let position = self.saved.positions.shift_remove(&symbol)
+                    .or_else(|| current.positions.shift_remove(&symbol))
+                    .expect("unchanged checkpoint position must remain present");
+                positions.insert(symbol, position);
+            }
+            self.saved.positions = positions;
+        }
+        *current = self.saved;
+    }
 }
 
 #[derive(Debug, Clone)]
@@ -697,9 +755,36 @@ pub(crate) struct SuccessorConversionOutcome {
 }
 
 impl PortfolioState {
+    /// Ordinary single-security orders need not duplicate every other lot.
+    /// Complex portfolio intents request the complete checkpoint instead.
+    pub(crate) fn checkpoint(&self, symbols: Option<&BTreeSet<String>>) -> PortfolioCheckpoint {
+        let Some(symbols) = symbols else {
+            return PortfolioCheckpoint { saved: self.clone(), position_order: None };
+        };
+        PortfolioCheckpoint {
+            saved: Self {
+                initial_cash: self.initial_cash, units: self.units, cash: self.cash,
+                external_cash_flow_total: self.external_cash_flow_total,
+                cash_liabilities: self.cash_liabilities, management_fee_rate: self.management_fee_rate,
+                management_fees: self.management_fees,
+                // prune_flat_positions can remove an unrelated zero row.
+                positions: self.positions.iter().filter(|(symbol, position)| position.quantity == 0 || symbols.contains(*symbol))
+                    .map(|(symbol, position)| (symbol.clone(), position.clone())).collect(),
+                cash_receivables: self.cash_receivables.clone(), pending_cash_flows: self.pending_cash_flows.clone(),
+                day_sold_symbols: self.day_sold_symbols.clone(), corporate_predecessors: self.corporate_predecessors.clone(),
+                stock_pool_states: self.stock_pool_states.clone(),
+            },
+            position_order: Some(self.positions.keys().cloned().collect()),
+        }
+    }
+
     pub fn new(initial_cash: f64) -> Self {
         let initial_cash = fixed_money(initial_cash, "initial cash")
             .expect("initial cash must be finite fixed-point money");
+        Self::from_fixed_initial_cash(initial_cash)
+    }
+
+    pub(crate) fn from_fixed_initial_cash(initial_cash: FixedMoney) -> Self {
         Self {
             initial_cash,
             units: initial_cash,
@@ -712,6 +797,8 @@ impl PortfolioState {
             cash_receivables: Vec::new(),
             pending_cash_flows: Vec::new(),
             day_sold_symbols: BTreeSet::new(),
+            corporate_predecessors: BTreeMap::new(),
+            stock_pool_states: std::collections::BTreeMap::new(),
         }
     }
 
@@ -721,6 +808,35 @@ impl PortfolioState {
         self.initial_cash.to_f64()
     }
 
+    pub(crate) fn initial_cash_fixed(&self) -> FixedMoney { self.initial_cash }
+
+    pub(crate) fn corporate_predecessors(&self, symbol: &str) -> impl Iterator<Item = &str> {
+        self.corporate_predecessors.get(symbol).into_iter().flatten().map(String::as_str)
+    }
+
+    pub(crate) fn observed_successor_symbols(&self) -> impl Iterator<Item = &str> {
+        self.corporate_predecessors.keys().map(String::as_str)
+    }
+
+    pub(crate) fn stock_pool_execution_state(&self,pool_id:&str)->crate::stock_pool_state::StockPoolExecutionState{
+        self.stock_pool_states.get(pool_id).cloned().unwrap_or_default()
+    }
+
+    pub(crate) fn set_stock_pool_execution_state(&mut self,pool_id:&str,state:crate::stock_pool_state::StockPoolExecutionState)->Result<(),String>{
+        if pool_id.trim().is_empty(){return Err("stock_pool_state_identity_missing".into())}
+        state.validate()?;self.stock_pool_states.insert(pool_id.into(),state);Ok(())
+    }
+
+    pub(crate) fn adjust_stock_pool_split(&mut self, symbol: &str, ratio: f64) -> Result<(), String> {
+        let ratio = rust_decimal::Decimal::from_str_exact(&ratio.to_string())
+            .map_err(|_| "stock_pool_execution_state_split_invalid".to_string())?;
+        let adjusted = self.stock_pool_states.iter()
+            .map(|(pool, state)| Ok((pool.clone(), state.adjust_for_split(symbol, ratio)?)))
+            .collect::<Result<BTreeMap<_, _>, String>>()?;
+        self.stock_pool_states = adjusted;
+        Ok(())
+    }
+
     pub fn initial_cash(&self) -> f64 {
         self.initial_cash.to_f64()
     }
@@ -733,6 +849,53 @@ impl PortfolioState {
         self.cash.to_f64()
     }
 
+    pub(crate) fn cash_fixed(&self) -> FixedMoney { self.cash }
+
+    pub(crate) fn financial_replay_identity(&self) -> serde_json::Value {
+        let positions = self.positions.iter().filter(|(_, position)| position.quantity > 0)
+            .map(|(symbol, position)| {
+                let mut lots = position.lots.iter().map(|lot| (lot.acquired_date, lot.quantity,
+                    lot.entry_value.to_decimal_string(), lot.cost_basis.to_decimal_string())).collect::<Vec<_>>();
+                lots.sort();
+                (symbol.clone(), serde_json::json!({"quantity":position.quantity,"lots":lots,
+                    "openedDate":position.opened_date,"lastBuyDate":position.last_buy_date}))
+            }).collect::<std::collections::BTreeMap<_, _>>();
+        let mut receivables = self.cash_receivables.iter().map(|row| (row.symbol.clone(), row.ex_date,
+            row.payable_date, fixed_money_or_panic(row.amount, "receivable identity").to_decimal_string(), row.reason.clone())).collect::<Vec<_>>();
+        receivables.sort();
+        let mut identity = serde_json::json!({"cash":self.cash.to_decimal_string(),"positions":positions,"receivables":receivables});
+        if !self.corporate_predecessors.is_empty() {
+            identity["corporatePredecessors"] = serde_json::json!(self.corporate_predecessors);
+        }
+        identity
+    }
+
+    pub(crate) fn financial_position_basis(&self, symbol: &str) -> FixedMoney {
+        self.positions.get(symbol).map_or(FixedMoney::ZERO, Position::total_cost_basis)
+    }
+
+    pub(crate) fn replace_replayed_financial_book(&mut self, mut replayed: PortfolioState) -> Result<(), String> {
+        if replayed.cash < FixedMoney::ZERO || replayed.initial_cash != self.initial_cash {
+            return Err("manual corporate replay changed initial capital or borrowed cash".into());
+        }
+        for (symbol, position) in &mut replayed.positions {
+            if let Some(current) = self.positions.get(symbol).filter(|current| current.quantity > 0) {
+                position.last_price = current.last_price;
+                position.refresh_day_pnl();
+            }
+        }
+        self.cash = replayed.cash;
+        self.positions = replayed.positions;
+        self.cash_receivables = replayed.cash_receivables;
+        self.day_sold_symbols = replayed.day_sold_symbols;
+        // Corrected actual receipts can prove a position was fully sold
+        // before conversion. Do not retain a now-disproved financial link.
+        self.corporate_predecessors = replayed.corporate_predecessors;
+        // Existing issued units, explicit cash-flow/financing facts, and task
+        // target state are observed controls, not counterfactual new orders.
+        Ok(())
+    }
+
     pub fn external_cash_flow_total(&self) -> f64 {
         self.external_cash_flow_total.to_f64()
     }
@@ -768,13 +931,117 @@ impl PortfolioState {
     }
 
     pub fn apply_cash_delta(&mut self, delta: f64) -> Result<(), String> {
+        self.apply_cash_delta_fixed(fixed_money(delta, "cash delta")?)
+    }
+
+    pub(crate) fn apply_cash_delta_fixed(&mut self, delta: FixedMoney) -> Result<(), String> {
         self.cash = self
             .cash
-            .checked_add(fixed_money(delta, "cash delta")?)
+            .checked_add(delta)
             .ok_or_else(|| "fixed-point cash overflow".to_string())?;
         Ok(())
     }
 
+    /// Apply one fully observed external fill atomically. Its money is already
+    /// quantized from the original decimal amounts, not from a float product.
+    pub(crate) fn apply_observed_manual_fill(
+        &mut self,
+        trade_date: NaiveDate,
+        symbol: &str,
+        side: crate::events::OrderSide,
+        quantity: u32,
+        price: f64,
+        mark_price: f64,
+        gross: FixedMoney,
+        fees: FixedMoney,
+    ) -> Result<FixedMoney, String> {
+        use crate::events::OrderSide;
+        if symbol.trim().is_empty()
+            || quantity == 0
+            || quantity > i32::MAX as u32
+            || !price.is_finite()
+            || price <= 0.
+            || !mark_price.is_finite()
+            || mark_price <= 0.
+            || gross <= FixedMoney::ZERO
+            || fees < FixedMoney::ZERO
+        {
+            return Err("invalid observed manual fill".into());
+        }
+        let mut position = self
+            .positions
+            .get(symbol)
+            .cloned()
+            .unwrap_or_else(|| Position::new(symbol));
+        let delta = match side {
+            OrderSide::Buy => gross.checked_add(fees).and_then(FixedMoney::checked_neg),
+            OrderSide::Sell => gross.checked_sub(fees),
+        }
+        .ok_or("manual fill cash delta overflow")?;
+        let next_cash = self
+            .cash
+            .checked_add(delta)
+            .filter(|cash| *cash >= FixedMoney::ZERO)
+            .ok_or("manual fill disagrees with shadow available cash")?;
+        let next_cost = position
+            .day_trade_cost
+            .checked_add(fees)
+            .ok_or("manual trade cost overflow")?;
+        match side {
+            OrderSide::Buy => {
+                let total_quantity = position
+                    .quantity
+                    .checked_add(quantity)
+                    .ok_or("manual position quantity overflow")?;
+                FixedMoney::from_f64(mark_price * f64::from(total_quantity))
+                    .ok_or("manual marked position value overflow")?;
+                position
+                    .day_buy_quantity
+                    .checked_add(quantity)
+                    .ok_or("manual daily buy quantity overflow")?;
+                position
+                    .day_trade_quantity_delta
+                    .checked_add(quantity as i32)
+                    .ok_or("manual daily quantity delta overflow")?;
+                position
+                    .day_buy_value
+                    .checked_add(gross)
+                    .ok_or("manual daily buy value overflow")?;
+                let total_basis = gross.checked_add(fees).ok_or("manual lot basis overflow")?;
+                position
+                    .total_cost_basis()
+                    .checked_add(total_basis)
+                    .ok_or("manual aggregate position basis overflow")?;
+                position.buy_with_fixed_gross(trade_date, quantity, price, mark_price, gross);
+                position
+                    .lots
+                    .last_mut()
+                    .ok_or("manual buy produced no lot")?
+                    .cost_basis = total_basis;
+                position.average_cost += fees.to_f64() / f64::from(position.quantity);
+            }
+            OrderSide::Sell => {
+                if quantity > position.sellable_qty(trade_date) {
+                    return Err("manual fill disagrees with shadow sellable holdings or T+1".into());
+                }
+                position
+                    .day_sell_quantity
+                    .checked_add(quantity)
+                    .ok_or("manual daily sell quantity overflow")?;
+                position
+                    .day_trade_quantity_delta
+                    .checked_sub(quantity as i32)
+                    .ok_or("manual daily quantity delta overflow")?;
+                position.sell_with_fixed_gross(quantity, price, mark_price, gross)?;
+            }
+        }
+        position.day_trade_cost = next_cost;
+        position.refresh_day_pnl();
+        self.positions.insert(symbol.to_string(), position);
+        self.cash = next_cash;
+        Ok(delta)
+    }
+
     pub fn prune_flat_positions(&mut self) {
         let mut sold_symbols = Vec::new();
         self.positions.retain(|symbol, position| {
@@ -1353,7 +1620,7 @@ impl PortfolioState {
         }
         successor.refresh_day_pnl();
 
-        Some(SuccessorConversionOutcome {
+        let outcome = SuccessorConversionOutcome {
             old_symbol: old_symbol_owned,
             new_symbol: new_symbol.to_string(),
             old_quantity,
@@ -1365,7 +1632,14 @@ impl PortfolioState {
             } else {
                 0.0
             },
-        })
+        };
+        if converted_quantity > 0 {
+            let mut predecessors = self.corporate_predecessors.get(old_symbol).cloned().unwrap_or_default();
+            predecessors.insert(old_symbol.to_owned());
+            predecessors.remove(new_symbol);
+            self.corporate_predecessors.entry(new_symbol.to_owned()).or_default().extend(predecessors);
+        }
+        Some(outcome)
     }
 
     fn sum_fixed_money(
@@ -1417,7 +1691,34 @@ mod tests {
         BenchmarkSnapshot, CandidateEligibility, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
         PriceField,
     };
-    use std::collections::BTreeMap;
+
+    #[test]
+    fn scoped_checkpoint_restores_order_flat_rows_and_progress_without_copying_untouched_lots() {
+        let date = NaiveDate::from_ymd_opt(2026,9,15).unwrap();
+        let mut portfolio = PortfolioState::new(10000.);
+        portfolio.position_mut("000001.SZ").buy(date,100,10.);
+        portfolio.position_mut("000002.SZ").buy(date,200,10.);
+        portfolio.position_mut("000003.SZ").buy(date,100,10.);
+        portfolio.position_mut("000003.SZ").sell(100,11.).unwrap();
+        let flat_realized = portfolio.position("000003.SZ").unwrap().realized_pnl;
+        let untouched_lots = portfolio.position("000002.SZ").unwrap().lots.as_ptr();
+        let before = portfolio.financial_replay_identity();
+        let order = portfolio.positions.keys().cloned().collect::<Vec<_>>();
+        let checkpoint = portfolio.checkpoint(Some(&BTreeSet::from(["000001.SZ".into(), "000004.SZ".into()])));
+        assert!(!checkpoint.saved.positions.contains_key("000002.SZ"));
+        portfolio.position_mut("000001.SZ").sell(100,11.).unwrap();
+        portfolio.prune_flat_positions();
+        portfolio.position_mut("000004.SZ").buy(date,100,12.);
+        portfolio.apply_cash_delta(100.).unwrap();
+        portfolio.stock_pool_states.insert("changed".into(), Default::default());
+        checkpoint.restore(&mut portfolio);
+        assert_eq!(portfolio.financial_replay_identity(), before);
+        assert_eq!(portfolio.positions.keys().cloned().collect::<Vec<_>>(), order);
+        assert_eq!(portfolio.position("000002.SZ").unwrap().lots.as_ptr(), untouched_lots);
+        assert_eq!(portfolio.position("000003.SZ").unwrap().realized_pnl, flat_realized);
+        assert!(portfolio.stock_pool_states.is_empty());
+        assert!(portfolio.position("000004.SZ").is_none());
+    }
 
     #[test]
     fn cash_ledger_accumulates_micro_yuan_exactly() {
@@ -1620,7 +1921,7 @@ mod tests {
                     vec![
                         DailyMarketSnapshot {
                             date: prev_date,
-                            symbol: "000001.SZ".to_string(),
+                            symbol: "000001.SZ".into(),
                             timestamp: None,
                             day_open: 10.0,
                             open: 10.0,
@@ -1643,7 +1944,7 @@ mod tests {
                         },
                         DailyMarketSnapshot {
                             date,
-                            symbol: "000001.SZ".to_string(),
+                            symbol: "000001.SZ".into(),
                             timestamp: None,
                             day_open: 10.5,
                             open: 10.5,
@@ -1667,18 +1968,18 @@ mod tests {
                     ],
                     vec![DailyFactorSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         market_cap_bn: 50.0,
                         free_float_cap_bn: 45.0,
                         pe_ttm: 10.0,
                         turnover_ratio: Some(1.0),
                         effective_turnover_ratio: Some(1.0),
                         adjustment_factor_backward1: None,
-                        extra_factors: BTreeMap::new(),
+                        extra_factors: Default::default(),
                     }],
                     vec![CandidateEligibility {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         is_st: false,
                         is_star_st: false,
                         is_new_listing: false,
@@ -1733,7 +2034,7 @@ mod tests {
                     }],
                     vec![DailyMarketSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         timestamp: None,
                         day_open: 10.5,
                         open: 10.5,
@@ -1756,18 +2057,18 @@ mod tests {
                     }],
                     vec![DailyFactorSnapshot {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         market_cap_bn: 50.0,
                         free_float_cap_bn: 45.0,
                         pe_ttm: 10.0,
                         turnover_ratio: Some(1.0),
                         effective_turnover_ratio: Some(1.0),
                         adjustment_factor_backward1: None,
-                        extra_factors: BTreeMap::new(),
+                        extra_factors: Default::default(),
                     }],
                     vec![CandidateEligibility {
                         date,
-                        symbol: "000001.SZ".to_string(),
+                        symbol: "000001.SZ".into(),
                         is_st: false,
                         is_star_st: false,
                         is_new_listing: false,
@@ -1819,7 +2120,7 @@ mod tests {
             }],
             vec![DailyMarketSnapshot {
                 date: prev_date,
-                symbol: "601028.SH".to_string(),
+                symbol: "601028.SH".into(),
                 timestamp: None,
                 day_open: 10.2,
                 open: 10.2,
@@ -1902,7 +2203,7 @@ mod tests {
             vec![
                 DailyMarketSnapshot {
                     date: buy_date,
-                    symbol: symbol.to_string(),
+                    symbol: symbol.into(),
                     timestamp: None,
                     day_open: 2.99,
                     open: 2.99,
@@ -1925,7 +2226,7 @@ mod tests {
                 },
                 DailyMarketSnapshot {
                     date: next_date,
-                    symbol: symbol.to_string(),
+                    symbol: symbol.into(),
                     timestamp: None,
                     day_open: 3.03,
                     open: 3.03,

crates/fidc-core/src/position_exposure.rs

@@ -0,0 +1,536 @@
+//! Dated manual adjustments are ordered facts; restoring is not a 100% target.
+use chrono::{DateTime, NaiveDate, Utc};
+use serde::{Deserialize, Serialize};
+use std::collections::{BTreeMap, BTreeSet};
+
+#[derive(Debug, Clone, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(tag = "action", rename_all = "snake_case", deny_unknown_fields)]
+pub enum PositionExposureAction {
+    Scale {
+        #[serde(rename = "requestedBps", alias = "requested_bps")]
+        requested_bps: i32,
+    },
+    Set {
+        #[serde(rename = "targetExposureBps", alias = "target_exposure_bps")]
+        target_exposure_bps: i32,
+    },
+    Restore,
+}
+
+#[derive(Debug, Clone, PartialEq, Eq, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase")]
+pub struct PositionExposureEvent {
+    #[serde(alias = "event_id")]
+    pub event_id: String,
+    pub sequence: u64,
+    #[serde(alias = "effective_at")]
+    pub effective_at: DateTime<Utc>,
+    #[serde(
+        default,
+        skip_serializing_if = "Option::is_none",
+        alias = "allocation_weights_bps"
+    )]
+    pub allocation_weights_bps: Option<BTreeMap<String, i32>>,
+    #[serde(flatten)]
+    pub action: PositionExposureAction,
+}
+
+#[derive(Debug, Clone, Default)]
+pub struct PositionExposureTimeline {
+    events: BTreeMap<(DateTime<Utc>, u64), (PositionExposureAction, Option<BTreeMap<String, i32>>)>,
+}
+
+impl PositionExposureTimeline {
+    pub fn from_events(events: &[PositionExposureEvent]) -> Result<Self, String> {
+        let mut result = Self::default();
+        let mut ids = BTreeSet::new();
+        let mut sequences = BTreeSet::new();
+        for event in events {
+            if event.event_id.trim().is_empty() || !ids.insert(event.event_id.as_str()) {
+                return Err("position exposure event id is missing or duplicated".into());
+            }
+            if event.sequence == 0 || !sequences.insert(event.sequence) {
+                return Err("position exposure event sequence must be positive and unique".into());
+            }
+            if let PositionExposureAction::Scale { requested_bps } = event.action
+                && !(0..=10000).contains(&requested_bps)
+            {
+                return Err("position exposure scale must be between 0 and 10000 bps".into());
+            }
+            if let PositionExposureAction::Set {
+                target_exposure_bps,
+            } = event.action
+                && !(0..=10_000).contains(&target_exposure_bps)
+            {
+                return Err("position exposure target must be between 0 and 10000 bps".into());
+            }
+            if let Some(weights) = &event.allocation_weights_bps {
+                let target = match event.action {
+                    PositionExposureAction::Set {
+                        target_exposure_bps,
+                    } => target_exposure_bps,
+                    PositionExposureAction::Scale { requested_bps } => requested_bps,
+                    PositionExposureAction::Restore => {
+                        return Err(
+                            "restoring strategy allocation cannot carry manual weights".into()
+                        );
+                    }
+                };
+                validate_allocation_weights(weights, target)?;
+            }
+            result.events.insert(
+                (event.effective_at, event.sequence),
+                (event.action.clone(), event.allocation_weights_bps.clone()),
+            );
+        }
+        Ok(result)
+    }
+
+    /// Legacy day-level contracts remain day-level; never invent intraday times.
+    pub fn exposure_at(
+        &self,
+        at: DateTime<Utc>,
+        execution_date: NaiveDate,
+        legacy: &BTreeMap<NaiveDate, f64>,
+        strategy_exposure: f64,
+    ) -> Option<f64> {
+        match self
+            .events
+            .range(..=(at, u64::MAX))
+            .next_back()
+            .map(|(_, (action, _))| action)
+        {
+            Some(PositionExposureAction::Scale { requested_bps }) => {
+                Some(strategy_exposure * f64::from(*requested_bps) / 10000.)
+            }
+            Some(PositionExposureAction::Set {
+                target_exposure_bps,
+            }) => Some(f64::from(*target_exposure_bps) / 10_000.),
+            Some(PositionExposureAction::Restore) => None,
+            None => legacy
+                .range(..=execution_date)
+                .next_back()
+                .map(|(_, value)| *value),
+        }
+    }
+
+    pub fn scale_at(&self, at: DateTime<Utc>) -> Option<i32> {
+        match self
+            .events
+            .range(..=(at, u64::MAX))
+            .next_back()
+            .map(|(_, (action, _))| action)
+        {
+            Some(PositionExposureAction::Scale { requested_bps }) => Some(*requested_bps),
+            _ => None,
+        }
+    }
+
+    pub fn allocation_weights_at(&self, at: DateTime<Utc>) -> Option<&BTreeMap<String, i32>> {
+        self.events
+            .range(..=(at, u64::MAX))
+            .next_back()
+            .and_then(|(_, (_, weights))| weights.as_ref())
+    }
+}
+
+pub fn validate_allocation_weights(
+    weights: &BTreeMap<String, i32>,
+    exposure_bps: i32,
+) -> Result<(), String> {
+    if !(0..=10000).contains(&exposure_bps) || weights.len() > 10000 {
+        return Err("invalid allocation exposure or weight count".into());
+    }
+    for (symbol, weight) in weights {
+        if !(0..=10000).contains(weight)
+            || !symbol.rsplit_once('.').is_some_and(|(code, exchange)| {
+                code.len() == 6
+                    && code.bytes().all(|byte| byte.is_ascii_digit())
+                    && matches!(exchange, "SH" | "SZ" | "BJ")
+            })
+        {
+            return Err(
+                "allocation weights require canonical stock/ETF symbols and 0..10000 bps".into(),
+            );
+        }
+    }
+    if (weights.is_empty() && exposure_bps != 0)
+        || (!weights.is_empty() && weights.values().sum::<i32>() != 10000)
+    {
+        return Err("manual allocation weights must total 10000 bps; only a zero exposure may have no weights".into());
+    }
+    Ok(())
+}
+
+/// Scale new buys and desired targets without weakening sell/reduction or
+/// cancellation instructions. Prices, subscriptions and cash flows are intact.
+pub fn scale_explicit_intent(
+    mut intent: crate::OrderIntent,
+    bps: i32,
+    open_orders: &[crate::OpenOrderView],
+) -> Result<Option<crate::OrderIntent>, String> {
+    use crate::OrderIntent as I;
+    if !(0..=10000).contains(&bps) {
+        return Err("position scale out of range".into());
+    }
+    if bps == 10000 {
+        return Ok(Some(intent));
+    }
+    if let I::WithTimeInForce {
+        intent: inner,
+        time_in_force,
+    } = intent
+    {
+        return Ok(
+            scale_explicit_intent(*inner, bps, open_orders)?.map(|intent| I::WithTimeInForce {
+                intent: Box::new(intent),
+                time_in_force,
+            }),
+        );
+    }
+    let integer = |value: i32| ((i64::from(value) * i64::from(bps)) / 10000) as i32;
+    let amount = |value: f64, target: bool| -> Result<f64, String> {
+        if !value.is_finite() || (target && value < 0.) {
+            return Err("position override received an invalid original amount".into());
+        }
+        Ok(if value > 0. {
+            value * f64::from(bps) / 10000.
+        } else {
+            value
+        })
+    };
+    match &mut intent {
+        I::Shares { quantity, .. }
+        | I::LimitShares { quantity, .. }
+        | I::Lots { lots: quantity, .. }
+        | I::LimitLots { lots: quantity, .. } => {
+            if *quantity > 0 {
+                *quantity = integer(*quantity);
+                if *quantity == 0 {
+                    return Ok(None);
+                }
+            }
+        }
+        I::TargetShares {
+            target_quantity, ..
+        }
+        | I::LimitTargetShares {
+            target_quantity, ..
+        } => {
+            if *target_quantity < 0 {
+                return Err("position override received a negative target quantity".into());
+            }
+            *target_quantity = integer(*target_quantity);
+        }
+        I::Value { value, .. }
+        | I::LimitValue { value, .. }
+        | I::AlgoValue { value, .. }
+        | I::Percent { percent: value, .. }
+        | I::LimitPercent { percent: value, .. }
+        | I::AlgoPercent { percent: value, .. } => {
+            *value = amount(*value, false)?;
+            if *value == 0. {
+                return Ok(None);
+            }
+        }
+        I::TargetValue { target_value, .. }
+        | I::LimitTargetValue { target_value, .. }
+        | I::TimedTargetValue { target_value, .. }
+        | I::TargetPercent {
+            target_percent: target_value,
+            ..
+        }
+        | I::LimitTargetPercent {
+            target_percent: target_value,
+            ..
+        } => {
+            *target_value = amount(*target_value, true)?;
+        }
+        I::TargetPortfolioSmart { target_weights, .. } => {
+            for value in target_weights.values_mut() {
+                *value = amount(*value, true)?;
+            }
+        }
+        I::ModifyOrder {
+            order_id,
+            new_total_quantity: Some(quantity),
+            ..
+        } => {
+            let order = open_orders
+                .iter()
+                .find(|order| order.order_id == *order_id)
+                .ok_or("position override cannot resolve the order being modified")?;
+            if order.side == crate::OrderSide::Buy && *quantity > order.requested_quantity {
+                let extra = u64::from(*quantity - order.requested_quantity) * bps as u64 / 10000;
+                *quantity = order.requested_quantity + extra as u32;
+            }
+        }
+        I::Futures { .. } | I::StockPool { .. } => {
+            return Err("manual equity scaling cannot transform this intent kind".into());
+        }
+        I::ModifyOrder { .. }
+        | I::CancelOrder { .. }
+        | I::CancelSymbol { .. }
+        | I::CancelAll { .. }
+        | I::UpdateUniverse { .. }
+        | I::Subscribe { .. }
+        | I::Unsubscribe { .. }
+        | I::DepositWithdraw { .. }
+        | I::FinanceRepay { .. }
+        | I::SetManagementFeeRate { .. } => {}
+        I::WithTimeInForce { .. } => unreachable!("wrapper handled first"),
+    }
+    Ok(Some(intent))
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use serde_json::json;
+
+    #[test]
+    fn scalar_preserves_strategy_risk_off_and_restore_keeps_original_exposure() {
+        let at = DateTime::parse_from_rfc3339("2026-01-05T09:30:00+08:00")
+            .unwrap()
+            .with_timezone(&Utc);
+        let event = PositionExposureEvent {
+            event_id: "scale".into(),
+            sequence: 1,
+            effective_at: at,
+            allocation_weights_bps: None,
+            action: PositionExposureAction::Scale {
+                requested_bps: 5000,
+            },
+        };
+        let timeline = PositionExposureTimeline::from_events(&[event.clone()]).unwrap();
+        assert_eq!(
+            timeline.exposure_at(at, at.date_naive(), &BTreeMap::new(), 0.),
+            Some(0.)
+        );
+        assert_eq!(
+            timeline.exposure_at(at, at.date_naive(), &BTreeMap::new(), 0.2),
+            Some(0.1)
+        );
+        let restored = PositionExposureEvent {
+            event_id: "restore".into(),
+            sequence: 2,
+            effective_at: at,
+            allocation_weights_bps: None,
+            action: PositionExposureAction::Restore,
+        };
+        let timeline = PositionExposureTimeline::from_events(&[event, restored]).unwrap();
+        assert_eq!(
+            timeline
+                .exposure_at(
+                    at,
+                    at.date_naive(),
+                    &BTreeMap::from([(at.date_naive(), 1.)]),
+                    0.2
+                )
+                .unwrap_or(0.2),
+            0.2
+        );
+    }
+
+    #[test]
+    fn allocation_is_dated_and_any_later_scalar_or_restore_clears_it() {
+        let at = DateTime::parse_from_rfc3339("2026-09-14T10:00:00+08:00")
+            .unwrap()
+            .with_timezone(&Utc);
+        let weights = BTreeMap::from([("000001.SZ".into(), 3000), ("510300.SH".into(), 7000)]);
+        let event = PositionExposureEvent {
+            event_id: "allocation".into(),
+            sequence: 1,
+            effective_at: at,
+            action: PositionExposureAction::Set {
+                target_exposure_bps: 8000,
+            },
+            allocation_weights_bps: Some(weights.clone()),
+        };
+        let timeline = PositionExposureTimeline::from_events(&[event.clone()]).unwrap();
+        assert!(
+            timeline
+                .allocation_weights_at(at - chrono::Duration::seconds(1))
+                .is_none()
+        );
+        assert_eq!(timeline.allocation_weights_at(at), Some(&weights));
+        for action in [
+            PositionExposureAction::Set {
+                target_exposure_bps: 5000,
+            },
+            PositionExposureAction::Restore,
+        ] {
+            let next = PositionExposureEvent {
+                event_id: "new".into(),
+                sequence: 2,
+                effective_at: at + chrono::Duration::seconds(1),
+                action,
+                allocation_weights_bps: None,
+            };
+            assert!(
+                PositionExposureTimeline::from_events(&[event.clone(), next])
+                    .unwrap()
+                    .allocation_weights_at(at + chrono::Duration::seconds(1))
+                    .is_none()
+            );
+        }
+        assert!(
+            validate_allocation_weights(&BTreeMap::from([("000001.SZ".into(), 9000)]), 5000)
+                .is_err()
+        );
+        assert!(validate_allocation_weights(&BTreeMap::new(), 1).is_err());
+        assert!(validate_allocation_weights(&BTreeMap::new(), 0).is_ok());
+    }
+
+    #[test]
+    fn explicit_equity_targets_and_buys_scale_but_sales_cashflows_and_prices_do_not() {
+        use crate::OrderIntent as I;
+        let symbol = "000001.SZ".to_string();
+        let reason = "fixture".to_string();
+        for bps in [0, 3000, 5000, 10000] {
+            let ratio = f64::from(bps) / 10000.;
+            let buy = I::LimitShares {
+                symbol: symbol.clone(),
+                quantity: 1000,
+                limit_price: 12.345,
+                reason: reason.clone(),
+            };
+            let scaled = scale_explicit_intent(buy, bps, &[]).unwrap();
+            if bps == 0 {
+                assert!(scaled.is_none())
+            } else if let Some(I::LimitShares {
+                quantity,
+                limit_price,
+                ..
+            }) = scaled
+            {
+                assert_eq!(quantity, (1000. * ratio) as i32);
+                assert_eq!(limit_price, 12.345);
+            } else {
+                panic!("wrong intent")
+            }
+            let sell = I::Shares {
+                symbol: symbol.clone(),
+                quantity: -1000,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(sell, bps, &[]).unwrap(),
+                Some(I::Shares {
+                    quantity: -1000,
+                    ..
+                })
+            ));
+            let clear = I::TargetShares {
+                symbol: symbol.clone(),
+                target_quantity: 0,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(clear, bps, &[]).unwrap(),
+                Some(I::TargetShares {
+                    target_quantity: 0,
+                    ..
+                })
+            ));
+            let target = I::TargetPercent {
+                symbol: symbol.clone(),
+                target_percent: 0.2,
+                reason: reason.clone(),
+            };
+            if let Some(I::TargetPercent { target_percent, .. }) =
+                scale_explicit_intent(target, bps, &[]).unwrap()
+            {
+                assert!((target_percent - 0.2 * ratio).abs() < 1e-12)
+            } else {
+                panic!("wrong target")
+            }
+            let deposit = I::DepositWithdraw {
+                amount: 123.456,
+                receiving_days: 2,
+                reason: reason.clone(),
+            };
+            assert!(matches!(
+                scale_explicit_intent(deposit, bps, &[]).unwrap(),
+                Some(I::DepositWithdraw {
+                    amount: 123.456,
+                    receiving_days: 2,
+                    ..
+                })
+            ));
+        }
+        assert!(
+            scale_explicit_intent(
+                I::TargetValue {
+                    symbol,
+                    target_value: f64::NAN,
+                    reason
+                },
+                0,
+                &[]
+            )
+            .is_err()
+        );
+    }
+
+    #[test]
+    fn same_day_adjustments_restore_and_future_events_keep_their_own_times() {
+        let events: Vec<PositionExposureEvent> = serde_json::from_value(json!([
+            {"eventId":"first","sequence":1,"effectiveAt":"2026-09-10T10:00:00+08:00","action":"set","targetExposureBps":0},
+            {"eventId":"second","sequence":2,"effectiveAt":"2026-09-10T13:00:00+08:00","action":"set","targetExposureBps":5000},
+            {"eventId":"restore","sequence":3,"effectiveAt":"2026-09-10T14:00:00+08:00","action":"restore"},
+            {"eventId":"future","sequence":4,"effectiveAt":"2026-09-11T10:00:00+08:00","action":"set","targetExposureBps":1000}
+        ])).unwrap();
+        let timeline = PositionExposureTimeline::from_events(&events).unwrap();
+        let date = NaiveDate::from_ymd_opt(2026, 9, 10).unwrap();
+        let legacy = BTreeMap::from([(date.pred_opt().unwrap(), 0.8)]);
+        for (time, expected) in [
+            ("09:30:00", Some(0.8)),
+            ("10:00:00", Some(0.)),
+            ("12:59:59", Some(0.)),
+            ("13:00:00", Some(0.5)),
+            ("14:00:00", None),
+            ("15:00:00", None),
+        ] {
+            let at = DateTime::parse_from_rfc3339(&format!("2026-09-10T{time}+08:00"))
+                .unwrap()
+                .with_timezone(&Utc);
+            assert_eq!(
+                timeline.exposure_at(at, date, &legacy, 0.2),
+                expected,
+                "{time}"
+            );
+        }
+        let next_open = DateTime::parse_from_rfc3339("2026-09-11T09:30:00+08:00")
+            .unwrap()
+            .with_timezone(&Utc);
+        assert_eq!(
+            timeline.exposure_at(next_open, date.succ_opt().unwrap(), &legacy, 0.2),
+            None
+        );
+    }
+
+    #[test]
+    fn rejects_unknown_actions_duplicate_identity_and_invalid_bps() {
+        let valid = json!({"eventId":"one","sequence":1,"effectiveAt":"2026-09-10T09:30:00+08:00","action":"set","targetExposureBps":5000});
+        for (key, value) in [
+            ("action", json!("other")),
+            ("effectiveAt", json!("2026-09-10 09:30:00")),
+            ("targetExposureBps", json!(null)),
+        ] {
+            let mut invalid = valid.clone();
+            invalid[key] = value;
+            assert!(serde_json::from_value::<PositionExposureEvent>(invalid).is_err());
+        }
+        let event: PositionExposureEvent = serde_json::from_value(valid).unwrap();
+        assert!(PositionExposureTimeline::from_events(&[event.clone(), event.clone()]).is_err());
+        let mut invalid = event.clone();
+        invalid.action = PositionExposureAction::Set {
+            target_exposure_bps: 10001,
+        };
+        assert!(PositionExposureTimeline::from_events(&[invalid]).is_err());
+        let mut duplicate = event.clone();
+        duplicate.event_id = "two".into();
+        assert!(PositionExposureTimeline::from_events(&[event, duplicate]).is_err());
+    }
+}

crates/fidc-core/src/risk_control.rs

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

crates/fidc-core/src/scheduler.rs

@@ -233,7 +233,7 @@ impl<'a> Scheduler<'a> {
 pub fn default_stage_time(stage: ScheduleStage) -> Option<NaiveTime> {
     match stage {
         ScheduleStage::BeforeTrading => Some(NaiveTime::from_hms_opt(9, 0, 0).expect("valid time")),
-        ScheduleStage::OpenAuction => Some(NaiveTime::from_hms_opt(9, 31, 0).expect("valid time")),
+        ScheduleStage::OpenAuction => Some(NaiveTime::from_hms_opt(9, 25, 0).expect("valid time")),
         ScheduleStage::Bar => Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid time")),
         ScheduleStage::Minute => None,
         ScheduleStage::OnDay => Some(NaiveTime::from_hms_opt(10, 18, 0).expect("valid time")),

crates/fidc-core/src/series_columns.rs

@@ -0,0 +1,191 @@
+use std::ops::Index;
+
+use super::prefix_sums;
+
+#[derive(Debug, Clone)]
+pub(super) enum ReferenceMatchedValues {
+    Identical,
+    Owned(Vec<f64>),
+}
+
+impl ReferenceMatchedValues {
+    pub(super) fn push(&mut self, value: f64, reference: &[f64], capacity: usize) {
+        let previous_len = reference.len().checked_sub(1).expect("reference row is missing");
+        match self {
+            Self::Identical if value.to_bits() == reference[previous_len].to_bits() => {}
+            Self::Identical => {
+                let mut values = Vec::with_capacity(capacity);
+                values.extend_from_slice(&reference[..previous_len]);
+                values.push(value);
+                *self = Self::Owned(values);
+            }
+            Self::Owned(values) => {
+                debug_assert_eq!(values.len(), previous_len);
+                values.push(value);
+            }
+        }
+    }
+
+    pub(super) fn values<'a>(&'a self, reference: &'a [f64]) -> &'a [f64] {
+        match self {
+            Self::Identical => reference,
+            Self::Owned(values) => {
+                debug_assert_eq!(values.len(), reference.len());
+                values
+            }
+        }
+    }
+
+    pub(super) fn set(&mut self, index: usize, value: f64, reference: &[f64]) {
+        assert!(index < reference.len(), "series index out of bounds");
+        match self {
+            Self::Owned(values) => values[index] = value,
+            Self::Identical if value.to_bits() == reference[index].to_bits() => {}
+            Self::Identical => {
+                let mut values = reference.to_vec();
+                values[index] = value;
+                *self = Self::Owned(values);
+            }
+        }
+    }
+
+    pub(super) fn prefix(&self) -> Self {
+        match self {
+            Self::Identical => Self::Identical,
+            Self::Owned(values) => Self::Owned(prefix_sums(values)),
+        }
+    }
+}
+
+#[derive(Debug, Clone)]
+pub(super) struct RepeatedValues<T> {
+    repeated: T,
+    values: Option<Vec<T>>,
+    len: usize,
+}
+
+impl<T: Default + Clone + Eq> RepeatedValues<T> {
+    pub(super) fn new() -> Self {
+        Self { repeated: T::default(), values: None, len: 0 }
+    }
+
+    pub(super) fn push(&mut self, value: &T, capacity: usize) {
+        if let Some(values) = &mut self.values {
+            values.push(value.clone());
+        } else if self.len == 0 {
+            self.repeated = value.clone();
+        } else if *value != self.repeated {
+            let mut values = Vec::with_capacity(capacity);
+            values.resize(self.len, std::mem::take(&mut self.repeated));
+            values.push(value.clone());
+            self.values = Some(values);
+        }
+        self.len += 1;
+    }
+
+    pub(super) fn set(&mut self, index: usize, value: T) {
+        assert!(index < self.len, "series index out of bounds");
+        if let Some(values) = &mut self.values {
+            values[index] = value;
+        } else if value != self.repeated {
+            let mut values = vec![std::mem::take(&mut self.repeated); self.len];
+            values[index] = value;
+            self.values = Some(values);
+        }
+    }
+}
+
+impl<T> Index<usize> for RepeatedValues<T> {
+    type Output = T;
+
+    fn index(&self, index: usize) -> &T {
+        assert!(index < self.len, "series index out of bounds");
+        match &self.values {
+            Some(values) => &values[index],
+            None => &self.repeated,
+        }
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    fn bits(values: &[f64]) -> Vec<u64> {
+        values.iter().map(|value| value.to_bits()).collect()
+    }
+
+    #[test]
+    fn identical_prices_share_only_after_exact_bit_comparison() {
+        let reference = [10., -0., f64::from_bits(0x7ff8_0000_0000_0042), f64::INFINITY];
+        let mut column = ReferenceMatchedValues::Identical;
+        for (index, value) in reference.iter().copied().enumerate() {
+            column.push(value, &reference[..=index], reference.len());
+        }
+        assert!(matches!(column, ReferenceMatchedValues::Identical));
+        assert_eq!(column.values(&reference).as_ptr(), reference.as_ptr());
+        let prefix = prefix_sums(&reference);
+        assert_eq!(bits(column.prefix().values(&prefix)), bits(&prefix));
+
+        let original = column.clone();
+        column.set(1, 0., &reference);
+        assert!(matches!(column, ReferenceMatchedValues::Owned(_)));
+        assert_eq!(column.values(&reference)[1].to_bits(), 0_f64.to_bits());
+        assert_eq!(bits(original.values(&reference)), bits(&reference));
+        assert_eq!(bits(column.prefix().values(&prefix)), bits(&prefix_sums(column.values(&reference))));
+    }
+
+    #[test]
+    fn differing_prices_preserve_zero_nan_payloads_and_prior_rows() {
+        let reference = [10., 11., f64::from_bits(0x7ff8_0000_0000_0042), 13.];
+        for actual in [
+            [10., 0., reference[2], 13.],
+            [10., 11., f64::from_bits(0x7ff8_0000_0000_0043), 13.],
+        ] {
+            let mut column = ReferenceMatchedValues::Identical;
+            for (index, value) in actual.iter().copied().enumerate() {
+                column.push(value, &reference[..=index], actual.len());
+            }
+            assert!(matches!(column, ReferenceMatchedValues::Owned(_)));
+            assert_eq!(bits(column.values(&reference)), bits(&actual));
+        }
+    }
+
+    #[test]
+    fn repeated_values_preserve_nonzero_values_and_copy_on_change() {
+        let mut column = RepeatedValues::new();
+        for _ in 0..128 { column.push(&7_u64, 128); }
+        assert!(column.values.is_none());
+        assert_eq!(column[127], 7);
+        column.set(0, 7);
+        assert!(column.values.is_none());
+        let mut changed = column.clone();
+        changed.set(64, 9);
+        assert_eq!(changed[64], 9);
+        assert_eq!(changed[63], 7);
+        assert_eq!(column[64], 7);
+    }
+
+    #[test]
+    fn optional_values_keep_none_distinct_from_empty_and_repeated_text() {
+        for repeated in [None, Some(String::new()), Some("continuous".to_string())] {
+            let mut column = RepeatedValues::new();
+            for _ in 0..12 { column.push(&repeated, 16); }
+            assert!(column.values.is_none());
+            assert_eq!(column[0], repeated);
+            column.push(&Some("closing".to_string()), 16);
+            assert_eq!(column[11], repeated);
+            assert_eq!(column[12].as_deref(), Some("closing"));
+            column.set(5, None);
+            assert_eq!(column[5], None);
+            assert_eq!(column[4], repeated);
+        }
+    }
+
+    #[test]
+    #[should_panic(expected = "series index out of bounds")]
+    fn repeated_values_reject_out_of_range_access() {
+        let column = RepeatedValues::<u64>::new();
+        let _ = column[0];
+    }
+}

crates/fidc-core/src/stock_pool_candidates.rs

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

crates/fidc-core/src/stock_pool_frozen.rs

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

crates/fidc-core/src/stock_pool_index_cap.rs

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

crates/fidc-core/src/stock_pool_index_policy.rs

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

crates/fidc-core/src/stock_pool_indicators.rs

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

crates/fidc-core/src/stock_pool_market_cap.rs

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

crates/fidc-core/src/stock_pool_quote_facts.rs

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

crates/fidc-core/src/stock_pool_state.rs

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

crates/fidc-core/src/strategy.rs

@@ -20,6 +20,18 @@ use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSe
 
 pub trait Strategy {
     fn name(&self) -> &str;
+    fn bind_runtime_position_configuration(
+        &mut self,
+        events: &[crate::position_exposure::PositionExposureEvent],
+        legacy: &BTreeMap<NaiveDate, i32>,
+    ) -> Result<(), BacktestError> {
+        if !events.is_empty() || !legacy.is_empty() {
+            return Err(BacktestError::Execution(
+                "strategy does not implement runtime position configuration".into(),
+            ));
+        }
+        Ok(())
+    }
     fn initial_subscriptions(&self) -> BTreeSet<String> {
         BTreeSet::new()
     }
@@ -40,6 +52,12 @@ pub trait Strategy {
     ) -> Result<(), BacktestError> {
         Ok(())
     }
+    /// External, already executed manual activity. It is not a new strategy
+    /// order and must not be run through order generation or transaction costs.
+    fn on_observed_manual_execution(
+        &mut self,
+        _execution: &crate::manual_execution::ManualReplayApplication,
+    ) -> Result<(), BacktestError> { Ok(()) }
     fn schedule_rules(&self) -> Vec<ScheduleRule> {
         Vec::new()
     }
@@ -102,6 +120,7 @@ pub struct OpenOrderView {
     pub avg_price: f64,
     pub transaction_cost: f64,
     pub limit_price: f64,
+    pub reserved_cash: Option<f64>,
     pub reason: String,
 }
 
@@ -497,6 +516,7 @@ impl StrategyContext<'_> {
             .iter()
             .filter(|order| order.side == OrderSide::Buy)
             .map(|order| {
+                if let Some(reserved) = order.reserved_cash { return reserved; }
                 let price = if order.limit_price.is_finite() {
                     order.limit_price.max(0.0)
                 } else {
@@ -975,7 +995,7 @@ fn safe_ratio(numerator: f64, denominator: f64) -> f64 {
     }
 }
 
-#[derive(Debug, Clone, Default)]
+#[derive(Debug, Clone, Default, serde::Serialize)]
 pub struct StrategyDecision {
     pub buy_denials: BTreeMap<String, String>,
     pub rebalance: bool,
@@ -988,6 +1008,15 @@ pub struct StrategyDecision {
 }
 
 impl StrategyDecision {
+    pub(crate) fn is_portfolio_target_only(&self) -> bool {
+        (self.rebalance && self.order_intents.is_empty())
+            || (self.order_intents.len() == 1
+                && matches!(
+                    self.order_intents[0].unwrapped(),
+                    OrderIntent::StockPool { .. } | OrderIntent::TargetPortfolioSmart { .. }
+                ))
+    }
+
     pub fn potential_buy_symbols(&self, open_orders: &[OpenOrderView]) -> BTreeSet<String> {
         let mut symbols = BTreeSet::new();
         if self.rebalance {
@@ -1001,9 +1030,24 @@ impl StrategyDecision {
     }
 
     pub fn merge_from(&mut self, mut other: StrategyDecision) {
+        if self.is_portfolio_target_only() && other.is_portfolio_target_only() {
+            let mut previous = std::mem::replace(self, other);
+            previous
+                .diagnostics
+                .push("unsubmitted_portfolio_target_superseded".into());
+            self.notes.splice(0..0, previous.notes);
+            self.diagnostics.splice(0..0, previous.diagnostics);
+            return;
+        }
         self.buy_denials.append(&mut other.buy_denials);
-        self.rebalance |= other.rebalance;
-        self.target_weights.append(&mut other.target_weights);
+        if other.rebalance {
+            // Rebalance targets are a complete portfolio, not an additive
+            // list. A newer unsent target replaces the earlier allocation.
+            self.rebalance = true;
+            self.target_weights = std::mem::take(&mut other.target_weights);
+        } else {
+            self.target_weights.append(&mut other.target_weights);
+        }
         self.exit_symbols.append(&mut other.exit_symbols);
         self.order_intents.append(&mut other.order_intents);
         self.notes.append(&mut other.notes);
@@ -1023,13 +1067,59 @@ impl StrategyDecision {
     }
 }
 
-#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+#[cfg(test)]
+mod decision_merge_tests {
+    use super::*;
+
+    #[test]
+    fn newer_complete_target_replaces_old_symbols_without_discarding_explicit_actions() {
+        let mut earlier = StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("A".into(), 0.5), ("B".into(), 0.5)]),
+            exit_symbols: BTreeSet::from(["risk_exit".into()]),
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "explicit".into(),
+                quantity: 100,
+                reason: "explicit action".into(),
+            }],
+            ..Default::default()
+        };
+        earlier.merge_from(StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("C".into(), 1.)]),
+            ..Default::default()
+        });
+        assert_eq!(earlier.target_weights, BTreeMap::from([("C".into(), 1.)]));
+        assert!(earlier.rebalance);
+        assert!(earlier.exit_symbols.contains("risk_exit"));
+        assert_eq!(earlier.order_intents.len(), 1);
+    }
+
+    #[test]
+    fn explicit_empty_complete_target_replaces_old_allocation_but_empty_callback_does_not() {
+        let mut decision = StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("A".into(), 1.)]),
+            ..Default::default()
+        };
+        decision.merge_from(StrategyDecision::default());
+        assert_eq!(decision.target_weights.len(), 1);
+        decision.merge_from(StrategyDecision {
+            rebalance: true,
+            ..Default::default()
+        });
+        assert!(decision.target_weights.is_empty());
+        assert!(decision.rebalance);
+    }
+}
+
+#[derive(Debug, Clone, Copy, PartialEq, Eq, serde::Serialize)]
 pub enum AlgoOrderStyle {
     Vwap,
     Twap,
 }
 
-#[derive(Debug, Clone, Copy, PartialEq, Eq)]
+#[derive(Debug, Clone, Copy, PartialEq, Eq, serde::Serialize)]
 pub enum OrderTimeInForce {
     Day,
     Ioc,
@@ -1058,7 +1148,7 @@ impl OrderTimeInForce {
     }
 }
 
-#[derive(Debug, Clone)]
+#[derive(Debug, Clone, serde::Serialize)]
 pub enum TargetPortfolioOrderPricing {
     LimitPrices(BTreeMap<String, f64>),
     AlgoOrder {
@@ -1068,8 +1158,11 @@ pub enum TargetPortfolioOrderPricing {
     },
 }
 
-#[derive(Debug, Clone)]
+#[derive(Debug, Clone, serde::Serialize)]
 pub enum OrderIntent {
+    StockPool {
+        contract: Box<crate::stock_pool_execution::FrozenStockPoolIntent>,
+    },
     WithTimeInForce {
         intent: Box<OrderIntent>,
         time_in_force: OrderTimeInForce,
@@ -1231,6 +1324,7 @@ pub enum OrderIntent {
 impl OrderIntent {
     fn collect_potential_buy_symbols(&self, open_orders: &[OpenOrderView], symbols: &mut BTreeSet<String>) {
         match self.unwrapped() {
+            Self::StockPool { contract } => { symbols.extend(contract.selection.requested_symbols.iter().cloned()); }
             Self::Shares { symbol, quantity, .. } | Self::LimitShares { symbol, quantity, .. } if *quantity > 0 => { symbols.insert(symbol.clone()); }
             Self::Lots { symbol, lots, .. } | Self::LimitLots { symbol, lots, .. } if *lots > 0 => { symbols.insert(symbol.clone()); }
             Self::TargetShares { symbol, target_quantity, .. } | Self::LimitTargetShares { symbol, target_quantity, .. } if *target_quantity > 0 => { symbols.insert(symbol.clone()); }
@@ -1311,6 +1405,7 @@ impl OrderIntent {
 
     pub fn supports_time_in_force(&self, time_in_force: OrderTimeInForce) -> bool {
         let intent = self.unwrapped();
+        if matches!(intent, Self::StockPool { .. }) { return time_in_force == OrderTimeInForce::Day; }
         if matches!(
             intent,
             Self::CancelOrder { .. }
@@ -3179,7 +3274,7 @@ mod tests {
             .enumerate()
             .map(|(index, date)| DailyMarketSnapshot {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 timestamp: Some(format!("{date} 10:18:00")),
                 day_open: 10.0 + index as f64,
                 open: 10.0 + index as f64,
@@ -3205,21 +3300,21 @@ mod tests {
             .iter()
             .map(|date| DailyFactorSnapshot {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 market_cap_bn: 10.0,
                 free_float_cap_bn: 9.0,
                 pe_ttm: 12.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             })
             .collect::<Vec<_>>();
         let candidate_rows = dates
             .iter()
             .map(|date| CandidateEligibility {
                 date: *date,
-                symbol: symbol.to_string(),
+                symbol: symbol.into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,

crates/fidc-core/src/strategy_ai.rs

@@ -254,7 +254,7 @@ pub fn built_in_strategy_manual() -> StrategyAiManual {
             },
             ManualSection {
                 title: "corporate_actions.dividend_reinvestment".to_string(),
-                detail: "支持 corporate_actions.dividend_reinvestment(true)。开启后，现金分红到账会优先按 round lot 回补成同一只股票，零头保留为现金。".to_string(),
+                detail: "历史兼容的回测账务再投模型：corporate_actions.dividend_reinvestment(true) 在分红结算时按调整后的参考价分配整手股数，零头留现金，费用为0；来源标记为 dividend_reinvestment，不是交易所委托或真实自动买入。新策略不应手工处理公司行为。".to_string(),
             },
             ManualSection {
                 title: "execution.matching_type / execution.slippage".to_string(),

crates/fidc-core/src/universe.rs

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

crates/fidc-core/tests/automatic_trade_protection.rs

@@ -105,8 +105,161 @@ fn action(quantity: &str, when: &str) -> PlatformTradeAction {
         reason: "configured_strategy_action".into(),
     }
 }
+
+#[test]
+fn observed_manual_trades_then_split_keep_real_fill_protection_and_lock_dates() {
+    for sell_during_lock in [false, true] {
+    let sale = if sell_during_lock {
+        ("manual-sell", "Sell", "2026-09-16T01:31:00Z", "2026-09-16T01:31:01Z", "5", "0.5", 200)
+    } else {
+        ("manual-sell", "Sell", "2026-09-14T01:31:00Z", "2026-09-14T01:31:01Z", "10", "0.5", 100)
+    };
+    let actions = [
+        ("new-buy", "Buy", "2026-09-14T01:30:00Z", "2026-09-14T01:30:01Z", "10", "0.25", 100),
+        ("late-buy", "Buy", "2026-09-11T06:00:00Z", "2026-09-14T01:30:02Z", "10", "0.75", 100),
+        sale,
+    ].into_iter().enumerate().map(|(index, (id, side, executed, observed, price, fee, quantity))| {
+        let executed: chrono::DateTime<chrono::Utc> = executed.parse().unwrap();
+        let observed: chrono::DateTime<chrono::Utc> = observed.parse().unwrap();
+        let created = executed - chrono::Duration::seconds(1);
+        serde_json::json!({"actionId":id,"source":"manual_security_trade","auditEventIds":[format!("audit-{id}")],
+            "confirmedAt":created,"confirmationObservedAt":created,"outcome":"orders_terminal","orders":[{
+                "orderId":id,"brokerOrderId":id,"sourceAdapter":"paper","symbol":"000001.SZ","side":side,"quantity":quantity,
+                "orderCreatedAt":created,"terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
+                    "tradeId":id,"observationEventId":id,"observationSequence":index+1,
+                    "tradeDate":executed.date_naive(),"executedAt":executed,"observedAt":observed,
+                    "feeObservationEventId":id,"feeObservationSequence":index+1,"feeObservedAt":observed,
+                    "timestampPrecision":"second","quantity":quantity,"price":price,"totalFee":fee
+                }]
+            }]})
+    }).collect::<Vec<_>>();
+    let mut replay: fidc_core::manual_execution::ManualExecutionReplay = serde_json::from_value(serde_json::json!({
+        "schema":fidc_core::manual_execution::MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a",
+        "sourceContractSha256":"a".repeat(64),"contentSha256":"","observationCutoff":"2026-09-18T08:00:00Z","actions":actions,
+    })).unwrap();
+    replay.content_sha256 = replay.content_digest().unwrap();
+    let mut parts = data().snapshot_components();
+    for row in &mut parts.market {
+        if row.date >= d(15) {
+            row.day_open = 5.;
+            row.open = 5.;
+            row.high = 5.;
+            row.low = 5.;
+            row.close = 5.;
+            row.last_price = 5.;
+            row.bid1 = 5.;
+            row.ask1 = 5.;
+            row.prev_close = 5.;
+            row.upper_limit = 5.5;
+            row.lower_limit = 4.5;
+        }
+    }
+    parts.corporate_actions.push(fidc_core::CorporateAction {
+        date: d(15),
+        symbol: "000001.SZ".into(),
+        payable_date: None,
+        share_cash: 0.,
+        share_bonus: 1.,
+        share_gift: 0.,
+        issue_quantity: 0.,
+        issue_price: 0.,
+        reform: false,
+        adjust_factor: None,
+        successor_symbol: None,
+        successor_ratio: None,
+        successor_cash: None,
+    });
+    let data = DataSet::from_components_with_actions(
+        parts.instruments,
+        parts.market,
+        parts.factors,
+        parts.candidates,
+        parts.benchmarks,
+        parts.corporate_actions,
+    )
+    .unwrap();
+    let mut config = PlatformExprStrategyConfig::generic();
+    config.signal_symbol = "000001.SZ".into();
+    config.benchmark_symbol = "000300.SH".into();
+    config.rotation_enabled = false;
+    config.matching_type = MatchingType::CurrentBarClose;
+    config.volume_capacity_mode =
+        fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
+    config.automatic_trade_protection = AutomaticTradeProtection {
+        buy_protection_days: 3,
+        sell_cooldown_days: 3,
+        max_holding_days: 1,
+        locks: vec![AutomaticTradeLock {
+            symbol: "000001.SZ".into(),
+            start_date: d(16),
+            end_date: Some(d(17)),
+        }],
+    };
+    config.explicit_actions = vec![action("-200", "decision_date >= \"2026-09-14\"")];
+    let result = BacktestEngine::new(
+        data,
+        PlatformExprStrategy::new(config),
+        BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_volume_capacity_mode(
+                fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit,
+            ),
+        BacktestConfig {
+            initial_cash: 10000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(d(11)),
+            end_date: Some(d(18)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Close,
+        },
+    )
+    .with_observed_manual_executions(replay)
+    .unwrap()
+    .run()
+    .unwrap();
+    assert_eq!(result.manual_executions.len(), 3);
+    assert_eq!(result.manual_executions[2].quantity_after, if sell_during_lock { 200 } else { 100 });
+    assert_eq!(result.fills.len(), 1, "{:?}", result.fills);
+    assert_eq!(
+        (
+            result.fills[0].date,
+            result.fills[0].side,
+            result.fills[0].quantity,
+            result.fills[0].price
+        ),
+        (d(18), OrderSide::Sell, 200, 5.)
+    );
+    assert!(result.fills[0].reason.contains("max_holding_days_exit"));
+    for day in [14, 15] {
+        for rule in ["buy_fill_protection", "sell_fill_cooldown"] {
+            if rule == "sell_fill_cooldown" && sell_during_lock { continue; }
+            assert!(result.risk_decisions.iter().any(|audit| audit.date == d(day)
+                && audit.symbol == "000001.SZ" && audit.rule_code == rule && !audit.accepted), "day={day} rule={rule}");
+        }
+    }
+    for day in [16, 17] {
+        assert!(result.risk_decisions.iter().any(|audit| audit.date == d(day)
+            && audit.symbol == "000001.SZ" && audit.rule_code == "automatic_trade_locked" && !audit.accepted));
+    }
+    assert!(
+        result
+            .daily_holdings
+            .iter()
+            .any(|row| row.date == d(15) && row.quantity == if sell_during_lock { 400 } else { 200 })
+    );
+    assert!(result.holdings_summary.is_empty());
+    assert!(
+        result
+            .equity_curve
+            .iter()
+            .all(|point| point.external_cash_flow == 0.)
+    );
+    }
+}
+
 fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
     let mut config = PlatformExprStrategyConfig::generic();
+    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
     config.signal_symbol = "000001.SZ".into();
     config.benchmark_symbol = "000300.SH".into();
     config.rotation_enabled = false;
@@ -119,7 +272,7 @@ fn run(policy: AutomaticTradeProtection) -> fidc_core::BacktestResult {
         action("-100", "decision_date >= \"2026-09-14\""),
     ];
     config.matching_type = MatchingType::CurrentBarClose;
-    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
         .with_matching_type(MatchingType::CurrentBarClose);
     BacktestEngine::new(
         data(),
@@ -276,6 +429,7 @@ fn locked_holding_keeps_its_slot_even_when_cash_can_buy_the_next_candidate() {
     )
     .unwrap();
     let mut config = PlatformExprStrategyConfig::generic();
+    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
     config.signal_symbol = "000001.SZ".into();
     config.benchmark_symbol = "000300.SH".into();
     config.strategy_name = "protection_test".into();
@@ -294,7 +448,7 @@ fn locked_holding_keeps_its_slot_even_when_cash_can_buy_the_next_candidate() {
         }],
         ..Default::default()
     };
-    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit)
         .with_matching_type(MatchingType::CurrentBarClose);
     let result = BacktestEngine::new(
         dataset,

crates/fidc-core/tests/core_rules.rs

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

crates/fidc-core/tests/corporate_actions.rs

@@ -113,7 +113,7 @@ impl Strategy for BuyAndHoldStrategy {
 fn stock_market_snapshot(date: NaiveDate) -> DailyMarketSnapshot {
     DailyMarketSnapshot {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         timestamp: Some(format!("{date} 10:18:00")),
         day_open: 10.0,
         open: 10.0,
@@ -139,21 +139,21 @@ fn stock_market_snapshot(date: NaiveDate) -> DailyMarketSnapshot {
 fn stock_factor_snapshot(date: NaiveDate) -> DailyFactorSnapshot {
     DailyFactorSnapshot {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         market_cap_bn: 20.0,
         free_float_cap_bn: 18.0,
         pe_ttm: 10.0,
         turnover_ratio: Some(1.0),
         effective_turnover_ratio: Some(1.0),
         adjustment_factor_backward1: None,
-        extra_factors: BTreeMap::new(),
+        extra_factors: Default::default(),
     }
 }
 
 fn stock_candidate(date: NaiveDate) -> CandidateEligibility {
     CandidateEligibility {
         date,
-        symbol: "000001.SZ".to_string(),
+        symbol: "000001.SZ".into(),
         is_st: false,
         is_star_st: false,
         is_new_listing: false,
@@ -177,6 +177,157 @@ fn benchmark_snapshot(date: NaiveDate) -> BenchmarkSnapshot {
     }
 }
 
+#[test]
+fn successor_conversion_depletes_older_source_lots_before_newer_successor_buys() {
+    struct ConvertedSale {
+        dates: [NaiveDate; 3],
+        seen: std::rc::Rc<std::cell::RefCell<Option<(Option<NaiveDate>, Option<NaiveDate>)>>>,
+    }
+    impl Strategy for ConvertedSale {
+        fn name(&self) -> &str {
+            "successor FIFO"
+        }
+        fn on_day(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+        ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            let (symbol, quantity) = if ctx.execution_date == self.dates[0] {
+                ("000001.SZ", 100)
+            } else if ctx.execution_date == self.dates[1] {
+                ("000002.SZ", 100)
+            } else {
+                let holding = ctx.portfolio.position("000002.SZ").unwrap();
+                *self.seen.borrow_mut() = Some((holding.opened_date(), holding.last_buy_date()));
+                ("000002.SZ", -200)
+            };
+            Ok(StrategyDecision {
+                order_intents: vec![fidc_core::OrderIntent::Shares {
+                    symbol: symbol.into(),
+                    quantity,
+                    reason: "dated lot test".into(),
+                }],
+                ..Default::default()
+            })
+        }
+    }
+    let dates = [d(2026, 9, 11), d(2026, 9, 14), d(2026, 9, 15)];
+    let symbols = ["000001.SZ", "000002.SZ"];
+    let mut market = Vec::new();
+    let mut factors = Vec::new();
+    let mut candidates = Vec::new();
+    for date in dates {
+        for symbol in symbols {
+            let price = if symbol == symbols[0] {
+                10.
+            } else if date == dates[2] {
+                6.
+            } else {
+                20.
+            };
+            let mut quote = stock_market_snapshot(date);
+            quote.symbol = symbol.into();
+            quote.day_open = price;
+            quote.open = price;
+            quote.high = price;
+            quote.low = price;
+            quote.close = price;
+            quote.last_price = price;
+            quote.bid1 = price;
+            quote.ask1 = price;
+            quote.prev_close = price;
+            quote.upper_limit = price * 1.1;
+            quote.lower_limit = price * 0.9;
+            market.push(quote);
+            let mut factor = stock_factor_snapshot(date);
+            factor.symbol = symbol.into();
+            factors.push(factor);
+            let mut candidate = stock_candidate(date);
+            candidate.symbol = symbol.into();
+            candidates.push(candidate);
+        }
+    }
+    let data = DataSet::from_components_with_actions(
+        symbols
+            .into_iter()
+            .map(|symbol| Instrument {
+                symbol: symbol.into(),
+                name: symbol.into(),
+                board: "SZ".into(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".into(),
+            })
+            .collect(),
+        market,
+        factors,
+        candidates,
+        dates.map(benchmark_snapshot).into(),
+        vec![CorporateAction {
+            date: dates[2],
+            symbol: symbols[0].into(),
+            payable_date: None,
+            share_cash: 0.,
+            share_bonus: 0.,
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: Some(symbols[1].into()),
+            successor_ratio: Some(2.),
+            successor_cash: Some(0.),
+        }],
+    )
+    .unwrap();
+    let seen = std::rc::Rc::new(std::cell::RefCell::new(None));
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks,
+        PriceField::Open,
+    )
+    .with_matching_type(fidc_core::MatchingType::NextBarOpen)
+    .with_volume_limit(false)
+    .with_liquidity_limit(false);
+    let result = BacktestEngine::new(
+        data,
+        ConvertedSale {
+            dates,
+            seen: seen.clone(),
+        },
+        broker,
+        BacktestConfig {
+            initial_cash: 10000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(dates[0]),
+            end_date: Some(dates[2]),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .run()
+    .unwrap();
+    assert_eq!(*seen.borrow(), Some((Some(dates[0]), Some(dates[1]))));
+    assert_eq!(result.fills.len(), 3);
+    assert_eq!(result.fills[2].quantity, 200);
+    assert_eq!(result.fills[2].symbol, symbols[1]);
+    let remaining = result
+        .holdings_summary
+        .iter()
+        .find(|row| row.symbol == symbols[1])
+        .unwrap();
+    assert_eq!(remaining.quantity, 100);
+    assert_eq!(remaining.realized_pnl, 200.);
+    assert!(
+        result
+            .position_events
+            .iter()
+            .any(|event| event.symbol == symbols[0]
+                && event.quantity_after == 0
+                && event.reason.starts_with("successor_conversion"))
+    );
+}
+
 #[test]
 fn engine_reinvests_dividend_receivable_in_round_lots() {
     let buy_date = d(2025, 1, 1);
@@ -195,7 +346,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
         vec![
             DailyMarketSnapshot {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-01 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -218,7 +369,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             DailyMarketSnapshot {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-02 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -241,7 +392,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             DailyMarketSnapshot {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 timestamp: Some("2025-01-03 10:18:00".to_string()),
                 day_open: 10.0,
                 open: 10.0,
@@ -266,42 +417,42 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
         vec![
             DailyFactorSnapshot {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
             DailyFactorSnapshot {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 market_cap_bn: 20.0,
                 free_float_cap_bn: 18.0,
                 pe_ttm: 10.0,
                 turnover_ratio: Some(1.0),
                 effective_turnover_ratio: Some(1.0),
                 adjustment_factor_backward1: None,
-                extra_factors: BTreeMap::new(),
+                extra_factors: Default::default(),
             },
         ],
         vec![
             CandidateEligibility {
                 date: buy_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -314,7 +465,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             CandidateEligibility {
                 date: ex_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -327,7 +478,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
             },
             CandidateEligibility {
                 date: payable_date,
-                symbol: "000001.SZ".to_string(),
+                symbol: "000001.SZ".into(),
                 is_st: false,
                 is_star_st: false,
                 is_new_listing: false,
@@ -394,7 +545,7 @@ fn engine_reinvests_dividend_receivable_in_round_lots() {
                 .with_minimum_commission(0.0),
             ChinaEquityRuleHooks::default(),
             PriceField::Open,
-        ),
+        ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
         BacktestConfig {
             initial_cash: 11_008.0,
             benchmark_code: "000300.SH".to_string(),
@@ -475,7 +626,7 @@ fn engine_settles_same_day_dividend_after_split_for_aiquant_semantics() {
             ChinaAShareCostModel::default(),
             ChinaEquityRuleHooks::default(),
             PriceField::Open,
-        ),
+        ).with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
         BacktestConfig {
             initial_cash: 11_008.0,
             benchmark_code: "000300.SH".to_string(),

crates/fidc-core/tests/decision_quote_preload.rs

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

crates/fidc-core/tests/delisting.rs

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

crates/fidc-core/tests/dividend_reinvestment_contract.rs

@@ -0,0 +1,475 @@
+use chrono::{NaiveDate, NaiveTime};
+use fidc_core::{
+    BacktestConfig, BacktestEngine, BrokerSimulator, ChinaAShareCostModel, ChinaEquityRuleHooks,
+    DataSet, MatchingType, OrderIntent, PriceField, Strategy, StrategyContext, StrategyDecision,
+};
+use std::{cell::RefCell, collections::BTreeSet, rc::Rc};
+
+const SYMBOL: &str = "000001.SZ";
+fn day(value: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(2026, 9, value).unwrap()
+}
+
+fn data() -> DataSet {
+    let days = [11, 14, 15].map(day);
+    DataSet::from_components_with_actions_and_quotes(
+        vec![fidc_core::Instrument {
+            symbol: SYMBOL.into(),
+            name: "fixture".into(),
+            board: "SZ".into(),
+            round_lot: 100,
+            listed_at: Some(day(1)),
+            delisted_at: None,
+            status: "active".into(),
+        }],
+        days.iter()
+            .map(|&date| {
+                let price = if date == day(11) { 10. } else { 8.95 };
+                fidc_core::DailyMarketSnapshot {
+                    date,
+                    symbol: SYMBOL.into(),
+                    timestamp: Some(format!("{date} 15:00:00")),
+                    day_open: price,
+                    open: price,
+                    high: price,
+                    low: price,
+                    close: price,
+                    last_price: price,
+                    bid1: price,
+                    ask1: price,
+                    prev_close: price,
+                    volume: 100000,
+                    minute_volume: 100000,
+                    bid1_volume: 100000,
+                    ask1_volume: 100000,
+                    trading_phase: Some("continuous".into()),
+                    paused: false,
+                    upper_limit: price * 1.1,
+                    lower_limit: price * 0.9,
+                    price_tick: 0.01,
+                }
+            })
+            .collect(),
+        days.iter()
+            .map(|&date| fidc_core::DailyFactorSnapshot {
+                date,
+                symbol: SYMBOL.into(),
+                market_cap_bn: 10.,
+                free_float_cap_bn: 10.,
+                pe_ttm: 10.,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                adjustment_factor_backward1: Some(1.),
+                extra_factors: Default::default(),
+            })
+            .collect(),
+        days.iter()
+            .map(|&date| fidc_core::CandidateEligibility {
+                date,
+                symbol: SYMBOL.into(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            })
+            .collect(),
+        days.iter()
+            .map(|&date| fidc_core::BenchmarkSnapshot {
+                date,
+                benchmark: "000300.SH".into(),
+                open: 100.,
+                close: 100.,
+                prev_close: 100.,
+                volume: 100000,
+            })
+            .collect(),
+        vec![fidc_core::CorporateAction {
+            date: day(14),
+            symbol: SYMBOL.into(),
+            payable_date: Some(day(14)),
+            share_cash: 1.05,
+            share_bonus: 0.,
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: None,
+            successor_ratio: None,
+            successor_cash: None,
+        }],
+        [(9, 15), (9, 31)]
+            .into_iter()
+            .map(|(hour, minute)| fidc_core::IntradayExecutionQuote {
+                observation_kind: fidc_core::data::QuoteObservationKind::MinuteBar,
+                date: day(14),
+                symbol: SYMBOL.into(),
+                timestamp: day(14).and_hms_opt(hour, minute, 0).unwrap(),
+                last_price: 8.95,
+                bid1: 8.95,
+                ask1: 8.95,
+                bid1_volume: 100000,
+                ask1_volume: 100000,
+                volume_delta: 10000,
+                amount_delta: 89500.,
+                trading_phase: Some("continuous".into()),
+            })
+            .collect(),
+    )
+    .unwrap()
+}
+
+struct Hold {
+    seen: Rc<RefCell<Vec<(NaiveTime, u32)>>>,
+}
+impl Strategy for Hold {
+    fn name(&self) -> &str {
+        "accounting reinvestment contract"
+    }
+    fn initial_subscriptions(&self) -> BTreeSet<String> {
+        [SYMBOL.into()].into()
+    }
+    fn on_day(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        Ok(if ctx.execution_date == day(11) {
+            StrategyDecision {
+                order_intents: vec![OrderIntent::Shares {
+                    symbol: SYMBOL.into(),
+                    quantity: 1000,
+                    reason: "initial".into(),
+                }],
+                ..Default::default()
+            }
+        } else {
+            StrategyDecision::default()
+        })
+    }
+    fn on_minute(
+        &mut self,
+        ctx: &StrategyContext<'_>,
+        _: &fidc_core::IntradayExecutionQuote,
+    ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        self.seen.borrow_mut().push((
+            ctx.current_time().unwrap(),
+            ctx.portfolio
+                .position(SYMBOL)
+                .map_or(0, |position| position.quantity),
+        ));
+        Ok(Default::default())
+    }
+}
+
+fn engine() -> BacktestEngine<Hold, ChinaAShareCostModel, ChinaEquityRuleHooks> {
+    BacktestEngine::new(
+        data(),
+        Hold {
+            seen: Rc::new(RefCell::new(Vec::new())),
+        },
+        BrokerSimulator::new_with_execution_price(
+            ChinaAShareCostModel::default()
+                .with_commission_rate(0.0008)
+                .with_minimum_commission(0.),
+            ChinaEquityRuleHooks,
+            PriceField::Open,
+        )
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false),
+        BacktestConfig {
+            initial_cash: 50000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(day(11)),
+            end_date: Some(day(15)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_dividend_reinvestment(true)
+}
+
+#[test]
+fn accounting_reinvestment_has_an_explicit_origin_clock_and_progress_delivery() {
+    let mut progress = Vec::new();
+    let result = engine()
+        .run_with_progress(|event| progress.push(event.clone()))
+        .unwrap();
+    let reinvest = result
+        .fills
+        .iter()
+        .find(|fill| fill.reason == "dividend_reinvestment")
+        .unwrap();
+    assert_eq!(
+        (
+            reinvest.quantity,
+            reinvest.price,
+            reinvest.commission,
+            reinvest.order_id
+        ),
+        (100, 8.95, 0., None)
+    );
+    assert_eq!(
+        serde_json::to_value(reinvest).unwrap()["origin"],
+        "dividend_reinvestment"
+    );
+    assert_eq!(reinvest.execution_timestamp, day(14).and_hms_opt(0, 0, 0));
+    let received = progress.iter().find(|event| event.date == day(14)).unwrap();
+    assert!(
+        received
+            .fills
+            .iter()
+            .any(|fill| fill.reason == "dividend_reinvestment")
+    );
+    assert_eq!(
+        progress
+            .iter()
+            .map(|event| event.daily_fill_count)
+            .sum::<usize>(),
+        result.fills.len()
+    );
+}
+
+fn manual_source(delayed: bool) -> fidc_core::manual_execution::ManualExecutionReplay {
+    let observed = if delayed {
+        "2026-09-14T01:15:00Z"
+    } else {
+        "2026-09-11T06:00:01Z"
+    };
+    let mut source: fidc_core::manual_execution::ManualExecutionReplay = serde_json::from_value(serde_json::json!({
+        "schema":fidc_core::manual_execution::MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a","sourceContractSha256":"a".repeat(64),"contentSha256":"",
+        "observationCutoff":"2026-09-15T08:00:00Z","actions":[{"actionId":"manual","source":"manual_security_trade","auditEventIds":["audit"],
+            "confirmedAt":"2026-09-11T05:59:59Z","confirmationObservedAt":"2026-09-11T05:59:59Z","outcome":"orders_terminal","orders":[{
+                "orderId":"manual-order","sourceAdapter":"paper","symbol":SYMBOL,"side":"Buy","quantity":1000,
+                "orderCreatedAt":"2026-09-11T05:59:59Z","terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
+                    "tradeId":"manual-fill","observationEventId":"receipt","observationSequence":1,"feeObservationEventId":"receipt","feeObservationSequence":1,
+                    "feeObservedAt":observed,"tradeDate":"2026-09-11","executedAt":"2026-09-11T06:00:00Z","observedAt":observed,
+                    "timestampPrecision":"second","quantity":1000,"price":"10","totalFee":"1"
+                }]
+            }]}]
+    })).unwrap();
+    source.content_sha256 = source.content_digest().unwrap();
+    source
+}
+
+#[test]
+fn delayed_receipt_before_market_open_reconciles_accounting_not_future_market_fills() {
+    let timely = engine()
+        .with_observed_manual_executions(manual_source(false))
+        .unwrap()
+        .run()
+        .unwrap();
+    let delayed = engine()
+        .with_observed_manual_executions(manual_source(true))
+        .unwrap()
+        .run()
+        .unwrap();
+    assert_eq!(delayed.holdings_summary[0].quantity, 2200);
+    assert_eq!(
+        delayed.holdings_summary[0].quantity,
+        timely.holdings_summary[0].quantity
+    );
+    assert_eq!(
+        delayed.equity_curve.last().unwrap().cash,
+        timely.equity_curve.last().unwrap().cash
+    );
+    assert_eq!(
+        delayed.manual_executions[0]
+            .corporate_adjustment
+            .as_ref()
+            .unwrap()
+            .corporate_cash_delta,
+        "155"
+    );
+}
+
+#[test]
+fn weekend_receipts_and_morning_allocations_are_in_the_next_progress_batch() {
+    let mut source = manual_source(true);
+    let observed = "2026-09-12T02:00:00Z".parse().unwrap();
+    let order = &mut source.actions[0].orders[0];
+    order.terminal_observed_at = observed;
+    order.fills[0].observed_at = observed;
+    order.fills[0].fee_observed_at = observed;
+    source.content_sha256 = source.content_digest().unwrap();
+    let mut progress = Vec::new();
+    let result = engine()
+        .with_observed_manual_executions(source)
+        .unwrap()
+        .run_with_progress(|event| progress.push(event.clone()))
+        .unwrap();
+    let monday = progress.iter().find(|event| event.date == day(14)).unwrap();
+    assert_eq!(monday.daily_manual_fill_count, 1);
+    assert_eq!(monday.manual_executions[0].observed_at, observed);
+    assert!(
+        monday
+            .fills
+            .iter()
+            .any(|fill| fill.origin == fidc_core::FillOrigin::DividendReinvestment)
+    );
+    assert!(
+        monday
+            .process_events
+            .iter()
+            .any(|event| event.kind == fidc_core::ProcessEventKind::ManualExecutionObserved)
+    );
+    assert_eq!(
+        progress
+            .iter()
+            .map(|event| event.daily_fill_count)
+            .sum::<usize>(),
+        result.fills.len() + result.manual_executions.len()
+    );
+}
+
+fn exposure_event(id: &str, sequence: u64, at: &str, action: fidc_core::position_exposure::PositionExposureAction)
+    -> fidc_core::position_exposure::PositionExposureEvent {
+    fidc_core::position_exposure::PositionExposureEvent {
+        event_id: id.into(), sequence, effective_at: at.parse().unwrap(), allocation_weights_bps: None, action,
+    }
+}
+
+fn cleared_reinvestment_case(
+    events: Vec<fidc_core::position_exposure::PositionExposureEvent>,
+    legacy: std::collections::BTreeMap<NaiveDate, i32>,
+    extra_buy_delayed: Option<bool>,
+) -> fidc_core::BacktestResult {
+    let mut parts = data().snapshot_components();
+    parts.corporate_actions[0].payable_date = Some(day(15));
+    let data = DataSet::from_components_with_actions_and_quotes(parts.instruments, parts.market,
+        parts.factors, parts.candidates, parts.benchmarks, parts.corporate_actions, parts.execution_quotes).unwrap();
+    let mut source = manual_source(false);
+    let mut sale = source.actions[0].clone();
+    sale.action_id = "clear".into(); sale.audit_event_ids = vec!["clear-audit".into()];
+    sale.confirmed_at = "2026-09-14T05:59:59Z".parse().unwrap();
+    sale.confirmation_observed_at = sale.confirmed_at;
+    let order = &mut sale.orders[0];
+    order.order_id = "clear-order".into(); order.side = fidc_core::OrderSide::Sell;
+    order.order_created_at = sale.confirmed_at;
+    order.terminal_observed_at = "2026-09-14T06:00:01Z".parse().unwrap();
+    let fill = &mut order.fills[0];
+    fill.trade_id = "clear-fill".into(); fill.observation_event_id = "clear-receipt".into();
+    fill.observation_sequence = 2; fill.fee_observation_event_id = "clear-receipt".into();
+    fill.fee_observation_sequence = 2; fill.trade_date = day(14);
+    fill.executed_at = "2026-09-14T06:00:00Z".parse().unwrap();
+    fill.observed_at = order.terminal_observed_at; fill.fee_observed_at = order.terminal_observed_at;
+    fill.price = "8.95".parse().unwrap();
+    source.actions.push(sale);
+    if let Some(delayed) = extra_buy_delayed {
+        let mut extra = source.actions[0].clone();
+        extra.action_id = "extra".into(); extra.audit_event_ids = vec!["extra-audit".into()];
+        extra.confirmed_at = "2026-09-11T06:00:59Z".parse().unwrap();
+        extra.confirmation_observed_at = extra.confirmed_at;
+        let order = &mut extra.orders[0];
+        order.order_id = "extra-order".into(); order.order_created_at = extra.confirmed_at;
+        order.terminal_observed_at = if delayed { "2026-09-15T01:15:00Z" } else { "2026-09-11T06:01:01Z" }.parse().unwrap();
+        let fill = &mut order.fills[0];
+        fill.trade_id = "extra-fill".into(); fill.observation_event_id = "extra-receipt".into();
+        fill.observation_sequence = if delayed { 3 } else { 2 };
+        fill.fee_observation_event_id = "extra-receipt".into(); fill.fee_observation_sequence = fill.observation_sequence;
+        fill.executed_at = "2026-09-11T06:01:00Z".parse().unwrap(); fill.observed_at = order.terminal_observed_at;
+        fill.fee_observed_at = order.terminal_observed_at;
+        if !delayed {
+            source.actions[1].orders[0].fills[0].observation_sequence = 3;
+            source.actions[1].orders[0].fills[0].fee_observation_sequence = 3;
+        }
+        source.actions.push(extra);
+    }
+    source.position_exposure_events = events;
+    source.legacy_position_exposure_bps = legacy;
+    source.content_sha256 = source.content_digest().unwrap();
+    let mut config = fidc_core::PlatformExprStrategyConfig::generic();
+    config.signal_symbol = SYMBOL.into(); config.benchmark_symbol = "000300.SH".into();
+    config.rotation_enabled = false; config.matching_type = MatchingType::CurrentBarClose;
+    BacktestEngine::new(data, fidc_core::PlatformExprStrategy::new(config),
+        BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose).with_volume_limit(false).with_liquidity_limit(false),
+        BacktestConfig { initial_cash: 50000., benchmark_code: "000300.SH".into(), start_date: Some(day(11)),
+            end_date: Some(day(15)), decision_lag_trading_days: 0, execution_price_field: PriceField::Close })
+        .with_dividend_reinvestment(true).with_observed_manual_executions(source).unwrap().run().unwrap()
+}
+
+#[test]
+fn an_effective_manual_zero_must_not_recreate_a_cleared_position_on_dividend_payment() {
+    use fidc_core::position_exposure::PositionExposureAction as Action;
+    let zero = exposure_event("zero", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 0 });
+    let result = cleared_reinvestment_case(vec![zero], Default::default(), None);
+    assert!(result.fills.is_empty(), "{:?}", result.fills);
+    assert!(result.holdings_summary.is_empty());
+    assert_eq!(result.equity_curve.last().unwrap().cash, 49998.);
+    assert!(result.equity_curve.last().unwrap().notes.contains("runtime_zero_exposure"));
+}
+
+#[test]
+fn a_clear_without_a_manual_zero_keeps_the_declared_legacy_reinvestment_model() {
+    let result = cleared_reinvestment_case(vec![], Default::default(), None);
+    assert_eq!(result.fills.len(), 1);
+    assert_eq!((result.fills[0].quantity, result.fills[0].price, result.fills[0].commission), (100, 8.95, 0.));
+    assert_eq!(result.fills[0].gross_amount, 895.);
+    assert_eq!(result.fills[0].net_cash_flow, -895.);
+    assert!(result.order_events.is_empty());
+}
+
+#[test]
+fn reinvestment_respects_zero_restore_same_instant_sequence_and_legacy_granularity() {
+    use fidc_core::position_exposure::PositionExposureAction as Action;
+    let before = "2026-09-14T07:00:00Z";
+    let settlement = "2026-09-14T16:00:00Z";
+    let later = "2026-09-15T01:31:00Z";
+    let zero = || exposure_event("zero", 1, before, Action::Scale { requested_bps: 0 });
+    let cases = vec![
+        (vec![zero()], Default::default(), false),
+        (vec![exposure_event("zero-at-settlement", 1, settlement, Action::Set { target_exposure_bps: 0 })], Default::default(), false),
+        (vec![exposure_event("later-zero", 1, later, Action::Set { target_exposure_bps: 0 })], Default::default(), true),
+        (vec![zero(), exposure_event("restore", 2, before, Action::Restore)], Default::default(), true),
+        (vec![exposure_event("restore", 1, before, Action::Restore), exposure_event("last-zero", 2, before, Action::Set { target_exposure_bps: 0 })], Default::default(), false),
+        (vec![exposure_event("restore", 2, before, Action::Restore), zero()], Default::default(), true),
+        (vec![zero(), exposure_event("later-restore", 2, later, Action::Restore)], Default::default(), false),
+        (vec![], std::collections::BTreeMap::from([(day(14), 0)]), false),
+        (vec![exposure_event("restore-legacy", 1, before, Action::Restore)], std::collections::BTreeMap::from([(day(14), 0)]), true),
+        (vec![exposure_event("positive", 1, before, Action::Set { target_exposure_bps: 3000 })], Default::default(), true),
+    ];
+    for (events, legacy, allowed) in cases {
+        let result = cleared_reinvestment_case(events, legacy, None);
+        assert_eq!(result.fills.len(), usize::from(allowed));
+        assert_eq!(result.equity_curve.last().unwrap().cash, if allowed { 49103. } else { 49998. });
+        assert_eq!(result.holdings_summary.iter().map(|holding| holding.quantity).sum::<u32>(), if allowed {100} else {0});
+        assert!(result.order_events.is_empty());
+    }
+}
+
+#[test]
+fn an_explicit_zero_member_weight_or_omission_blocks_only_that_reinvestment() {
+    use fidc_core::position_exposure::PositionExposureAction as Action;
+    for included in [false, true] {
+        for weight in [0, 10000] {
+            let mut event = exposure_event("allocation", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 5000 });
+            let mut weights = std::collections::BTreeMap::from([("000002.SZ".into(), if included {10000-weight} else {10000})]);
+            if included { weights.insert(SYMBOL.into(), weight); }
+            event.allocation_weights_bps = Some(weights);
+            let allowed = included && weight > 0;
+            let result = cleared_reinvestment_case(vec![event], Default::default(), None);
+            assert_eq!(result.fills.len(), usize::from(allowed));
+            if !allowed { assert!(result.equity_curve.last().unwrap().notes.contains("runtime_zero_allocation")); }
+        }
+    }
+}
+
+#[test]
+fn late_corporate_replay_uses_the_same_zero_policy_and_retains_actual_manual_shares() {
+    use fidc_core::position_exposure::PositionExposureAction as Action;
+    let event = exposure_event("zero", 1, "2026-09-14T07:00:00Z", Action::Set { target_exposure_bps: 0 });
+    let timely = cleared_reinvestment_case(vec![event.clone()], Default::default(), Some(false));
+    let late = cleared_reinvestment_case(vec![event], Default::default(), Some(true));
+    assert!(timely.fills.is_empty()); assert!(late.fills.is_empty());
+    assert_eq!(timely.equity_curve.last().unwrap().cash, 41047.);
+    assert_eq!(late.equity_curve.last().unwrap().cash, timely.equity_curve.last().unwrap().cash);
+    assert_eq!(late.holdings_summary[0].quantity, 1000);
+    assert_eq!(late.holdings_summary[0].quantity, timely.holdings_summary[0].quantity);
+    assert_eq!(late.manual_executions.last().unwrap().corporate_adjustment.as_ref().unwrap().corporate_cash_delta, "1050");
+}

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

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

crates/fidc-core/tests/intraday_history_performance.rs

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

crates/fidc-core/tests/manual_corporate_observation.rs

@@ -0,0 +1,734 @@
+use chrono::{DateTime, NaiveDate, Utc};
+use fidc_core::manual_execution::{MANUAL_REPLAY_SCHEMA, ManualExecutionReplay};
+use fidc_core::{
+    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
+    ChinaAShareCostModel, ChinaEquityRuleHooks, CorporateAction, DailyFactorSnapshot,
+    DailyMarketSnapshot, DataSet, Instrument, MatchingType, PriceField, Strategy,
+};
+
+fn date(day: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(2026, 9, day).unwrap()
+}
+
+#[derive(Clone, Copy, Debug)]
+enum Action {
+    Split,
+    Dividend,
+    Successor,
+}
+
+fn data(action: Action) -> DataSet {
+    data_with_successor_metadata(action, true)
+}
+
+fn data_with_successor_metadata(action: Action, include_successor: bool) -> DataSet {
+    let days = [10, 11, 14, 15].map(date);
+    let mut market = Vec::new();
+    let mut factors = Vec::new();
+    let mut candidates = Vec::new();
+    for day in days {
+        for symbol in ["000001.SZ", "000002.SZ"] {
+            if matches!(action, Action::Successor) && symbol == "000001.SZ" && day >= date(14) {
+                continue;
+            }
+            let price = if day < date(14)
+                || (symbol == "000002.SZ" && !matches!(action, Action::Successor))
+            {
+                10.
+            } else if matches!(action, Action::Dividend) {
+                9.
+            } else {
+                5.
+            };
+            market.push(DailyMarketSnapshot {
+                date: day,
+                symbol: symbol.into(),
+                timestamp: Some(format!("{day} 15:00:00")),
+                day_open: price,
+                open: price,
+                high: price,
+                low: price,
+                close: price,
+                last_price: price,
+                bid1: price,
+                ask1: price,
+                prev_close: price,
+                volume: 100000,
+                minute_volume: 100000,
+                bid1_volume: 100000,
+                ask1_volume: 100000,
+                trading_phase: Some("continuous".into()),
+                paused: false,
+                upper_limit: price * 1.1,
+                lower_limit: price * 0.9,
+                price_tick: 0.01,
+            });
+            factors.push(DailyFactorSnapshot {
+                date: day,
+                symbol: symbol.into(),
+                market_cap_bn: 10.,
+                free_float_cap_bn: 10.,
+                pe_ttm: 10.,
+                turnover_ratio: None,
+                effective_turnover_ratio: None,
+                adjustment_factor_backward1: Some(1.),
+                extra_factors: Default::default(),
+            });
+            candidates.push(CandidateEligibility {
+                date: day,
+                symbol: symbol.into(),
+                is_st: false,
+                is_star_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+                risk_level_code: None,
+            });
+        }
+    }
+    DataSet::from_components_with_actions(
+        ["000001.SZ", "000002.SZ"]
+            .into_iter()
+            .filter(|symbol| include_successor || *symbol != "000002.SZ")
+            .map(|symbol| Instrument {
+                symbol: symbol.into(),
+                name: symbol.into(),
+                board: "SZ".into(),
+                round_lot: 100,
+                listed_at: Some(date(1)),
+                delisted_at: (matches!(action, Action::Successor) && symbol == "000001.SZ")
+                    .then_some(date(14)),
+                status: "active".into(),
+            })
+            .collect(),
+        market,
+        factors,
+        candidates,
+        days.map(|day| BenchmarkSnapshot {
+            date: day,
+            benchmark: "000300.SH".into(),
+            open: 100.,
+            close: 100.,
+            prev_close: 100.,
+            volume: 100000,
+        })
+        .into(),
+        vec![CorporateAction {
+            date: date(14),
+            symbol: "000001.SZ".into(),
+            payable_date: Some(date(14)),
+            share_cash: if matches!(action, Action::Dividend) {
+                1.
+            } else {
+                0.
+            },
+            share_bonus: if matches!(action, Action::Split) {
+                1.
+            } else {
+                0.
+            },
+            share_gift: 0.,
+            issue_quantity: 0.,
+            issue_price: 0.,
+            reform: false,
+            adjust_factor: None,
+            successor_symbol: matches!(action, Action::Successor).then(|| "000002.SZ".into()),
+            successor_ratio: matches!(action, Action::Successor).then_some(2.),
+            successor_cash: matches!(action, Action::Successor).then_some(0.5),
+        }],
+    )
+    .unwrap()
+}
+
+fn source(delayed: bool, sell: bool) -> ManualExecutionReplay {
+    let trades = if sell {
+        vec![
+            ("initial-buy", "Buy", 10, 200, false),
+            ("sale", "Sell", 11, 100, delayed),
+        ]
+    } else {
+        vec![("buy", "Buy", 11, 100, delayed)]
+    };
+    let actions = trades.into_iter().enumerate().map(|(index, (id, side, day, quantity, late))| {
+        let executed = format!("2026-09-{day:02}T06:00:00Z").parse::<DateTime<Utc>>().unwrap();
+        let observed = if late { "2026-09-15T05:00:00Z".parse().unwrap() } else { executed + chrono::Duration::seconds(1) };
+        let created = executed - chrono::Duration::seconds(1);
+        serde_json::json!({"actionId":id,"source":"manual_security_trade","auditEventIds":[format!("audit-{id}")],
+            "confirmedAt":created,"confirmationObservedAt":created,"outcome":"orders_terminal","orders":[{
+                "orderId":id,"brokerOrderId":id,"sourceAdapter":"paper","symbol":"000001.SZ","side":side,"quantity":quantity,
+                "orderCreatedAt":created,"terminalObservedAt":observed,"terminalStatus":"filled","fills":[{
+                    "tradeId":id,"observationEventId":id,"observationSequence":index+1,"tradeDate":date(day),
+                    "executedAt":executed,"observedAt":observed,"feeObservationEventId":id,"feeObservationSequence":index+1,
+                    "feeObservedAt":observed,"timestampPrecision":"second","quantity":quantity,"price":"10","totalFee":"1"
+                }]
+            }]})
+    }).collect::<Vec<_>>();
+    let mut source: ManualExecutionReplay = serde_json::from_value(serde_json::json!({
+        "schema":MANUAL_REPLAY_SCHEMA,"runtimeId":"r","accountId":"a","sourceContractSha256":"a".repeat(64),
+        "contentSha256":"","observationCutoff":"2026-09-15T08:00:00Z","actions":actions,
+    })).unwrap();
+    source.content_sha256 = source.content_digest().unwrap();
+    source.validate().unwrap();
+    source
+}
+
+struct Hold;
+impl Strategy for Hold {
+    fn name(&self) -> &str {
+        "manual corporate observation"
+    }
+    fn requires_minute_callbacks(&self) -> bool {
+        false
+    }
+}
+
+fn run_custom<S: Strategy>(
+    data: DataSet,
+    source: ManualExecutionReplay,
+    strategy: S,
+    cash_dividends: bool,
+    adjust_cost: bool,
+) -> Result<fidc_core::BacktestResult, fidc_core::BacktestError> {
+    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+        .with_matching_type(MatchingType::NextBarOpen)
+        .with_volume_limit(false)
+        .with_liquidity_limit(false);
+    BacktestEngine::new(
+        data,
+        strategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 10000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(date(10)),
+            end_date: Some(date(15)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_cash_dividends(cash_dividends)
+    .with_cash_dividend_cost_basis_adjustment(adjust_cost)
+    .with_observed_manual_executions(source)
+    .unwrap()
+    .run()
+}
+
+fn run(
+    action: Action,
+    delayed: bool,
+    sell: bool,
+) -> Result<fidc_core::BacktestResult, fidc_core::BacktestError> {
+    run_custom(data(action), source(delayed, sell), Hold, true, true)
+}
+
+#[test]
+fn delayed_buy_does_not_lose_corporate_entitlements() {
+    for action in [Action::Split, Action::Dividend, Action::Successor] {
+        let timely = run(action, false, false).unwrap();
+        let delayed = run(action, true, false).unwrap();
+        let project = |result: &fidc_core::BacktestResult| {
+            (
+                result.equity_curve.last().unwrap().cash,
+                result.equity_curve.last().unwrap().total_equity,
+                result
+                    .holdings_summary
+                    .iter()
+                    .map(|row| (row.symbol.clone(), row.quantity))
+                    .collect::<Vec<_>>(),
+            )
+        };
+        assert_eq!(project(&delayed), project(&timely), "{action:?}");
+        assert_eq!(delayed.manual_executions.len(), 1);
+        assert!(delayed.fills.is_empty());
+        if matches!(action, Action::Successor)
+            && let Ok(directory) = std::env::var("FIDC_CORPORATE_QA_OUTPUT")
+        {
+            use std::io::Write;
+            let path = std::path::Path::new(&directory).join("corporate-successor-result.json");
+            let mut options = std::fs::OpenOptions::new();
+            options.write(true).create_new(true);
+            #[cfg(unix)]
+            {
+                use std::os::unix::fs::OpenOptionsExt;
+                options.mode(0o600);
+            }
+            let mut file = options.open(path).unwrap();
+            file.write_all(&serde_json::to_vec(&serde_json::json!({
+                "source":delayed.manual_execution_source.as_deref(), "applications":delayed.manual_executions,
+            })).unwrap()).unwrap();
+        }
+    }
+}
+
+#[test]
+fn delayed_sale_does_not_keep_unearned_corporate_entitlements() {
+    for action in [Action::Split, Action::Dividend, Action::Successor] {
+        let timely = run(action, false, true).unwrap();
+        let delayed = run(action, true, true).unwrap();
+        let project = |result: &fidc_core::BacktestResult| {
+            (
+                result.equity_curve.last().unwrap().cash,
+                result.equity_curve.last().unwrap().total_equity,
+                result
+                    .holdings_summary
+                    .iter()
+                    .map(|row| (row.symbol.clone(), row.quantity))
+                    .collect::<Vec<_>>(),
+            )
+        };
+        assert_eq!(project(&delayed), project(&timely), "{action:?}");
+        assert_eq!(delayed.manual_executions.len(), 2);
+        assert!(delayed.fills.is_empty());
+    }
+}
+
+#[test]
+fn paper_and_broker_observations_require_the_same_frozen_successor_scope() {
+    for adapter in ["paper", "gt", "qmt"] {
+        for delayed in [false, true] {
+            for sell in [false, true] {
+                let mut replay = source(delayed, sell);
+                for action in &mut replay.actions {
+                    for order in &mut action.orders { order.source_adapter = Some(adapter.into()); }
+                }
+                replay.content_sha256 = replay.content_digest().unwrap();
+                replay.validate().unwrap();
+                let complete = run_custom(data(Action::Successor), replay.clone(), Hold, true, true).unwrap();
+                assert_eq!(complete.holdings_summary[0].symbol, "000002.SZ");
+                assert_eq!(complete.holdings_summary[0].quantity, 200);
+                assert!(complete.fills.is_empty());
+                assert!(complete.order_events.is_empty());
+                let error = run_custom(data_with_successor_metadata(Action::Successor, false),
+                    replay, Hold, true, true).unwrap_err();
+                assert!(error.to_string().contains("successor_instrument_missing"),
+                    "{adapter} delayed={delayed} sell={sell}: {error}");
+            }
+        }
+    }
+}
+
+fn protected_successor_run(delayed: bool, locked: bool, amount: i32)
+    -> fidc_core::BacktestResult {
+    let policy = fidc_core::holding_policy::AutomaticTradeProtection {
+        sell_cooldown_days: if locked { 0 } else { 3 },
+        locks: if locked { vec![fidc_core::holding_policy::AutomaticTradeLock {
+            symbol: "000001.SZ".into(), start_date: date(11), end_date: Some(date(15)),
+        }] } else { vec![] }, ..Default::default()
+    };
+    protected_successor_case(delayed, policy, amount, "partial")
+}
+
+fn protected_successor_case(delayed: bool,
+    policy: fidc_core::holding_policy::AutomaticTradeProtection, amount: i32, scenario: &str)
+    -> fidc_core::BacktestResult {
+    let mut config = fidc_core::PlatformExprStrategyConfig::generic();
+    config.signal_symbol = "000002.SZ".into();
+    config.benchmark_symbol = "000300.SH".into();
+    config.rotation_enabled = false;
+    config.matching_type = MatchingType::CurrentBarClose;
+    config.volume_capacity_mode = fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit;
+    config.explicit_action_schedule = Some(fidc_core::PlatformRebalanceSchedule {
+        frequency: fidc_core::PlatformScheduleFrequency::Daily,
+        time_rule: Some(fidc_core::ScheduleTimeRule::physical_time(14, 30)),
+    });
+    config.automatic_trade_protection = policy;
+    config.explicit_actions = vec![fidc_core::PlatformTradeAction::Order {
+        kind: fidc_core::PlatformExplicitOrderKind::Shares, symbol: "000002.SZ".into(),
+        amount_expr: amount.to_string(), when_expr: Some("decision_date == \"2026-09-15\"".into()),
+        limit_price_expr: None, time_in_force: None, start_time_expr: None, end_time_expr: None,
+        reason: "configured_successor_action".into(),
+    }];
+    let data = successor_execution_data();
+    let mut replay = source(delayed, true);
+    if scenario == "sold_before" {
+        let order = &mut replay.actions[1].orders[0];
+        order.quantity = 200; order.fills[0].quantity = 200;
+    } else if scenario == "cleared_after" {
+        let mut row = serde_json::to_value(&replay.actions[1]).unwrap();
+        let at = "2026-09-15T05:30:00Z";
+        let receipt = "2026-09-15T05:30:01Z";
+        row["actionId"] = "clear".into(); row["auditEventIds"] = serde_json::json!(["audit-clear"]);
+        row["confirmedAt"] = at.into(); row["confirmationObservedAt"] = at.into();
+        let order = &mut row["orders"][0];
+        order["orderId"] = "clear-order".into(); order["brokerOrderId"] = "clear-order".into();
+        order["symbol"] = "000002.SZ".into(); order["quantity"] = 200.into();
+        order["orderCreatedAt"] = at.into(); order["terminalObservedAt"] = receipt.into();
+        let fill = &mut order["fills"][0];
+        fill["tradeId"] = "clear-trade".into(); fill["observationEventId"] = "clear-receipt".into();
+        fill["observationSequence"] = 3.into(); fill["tradeDate"] = "2026-09-15".into();
+        fill["executedAt"] = at.into(); fill["observedAt"] = receipt.into();
+        fill["feeObservationEventId"] = "clear-receipt".into(); fill["feeObservationSequence"] = 3.into();
+        fill["feeObservedAt"] = receipt.into(); fill["price"] = "5".into(); fill["quantity"] = 200.into();
+        replay.actions.push(serde_json::from_value(row).unwrap());
+    }
+    replay.content_sha256 = replay.content_digest().unwrap();
+    BacktestEngine::new(data, fidc_core::PlatformExprStrategy::new(config),
+        BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+            .with_matching_type(MatchingType::CurrentBarClose)
+            .with_volume_capacity_mode(fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit),
+        BacktestConfig { initial_cash: 10000., benchmark_code: "000300.SH".into(),
+            start_date: Some(date(10)), end_date: Some(date(15)), decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Close,
+        }).with_observed_manual_executions(replay).unwrap().run().unwrap()
+}
+
+fn successor_execution_data() -> DataSet {
+    let parts = data(Action::Successor).snapshot_components();
+    DataSet::from_components_with_actions_and_quotes(parts.instruments, parts.market,
+        parts.factors, parts.candidates, parts.benchmarks, parts.corporate_actions,
+        [30, 31].into_iter().map(|minute| fidc_core::IntradayExecutionQuote {
+            observation_kind: fidc_core::data::QuoteObservationKind::MinuteBar,
+            date: date(15), symbol: "000002.SZ".into(), timestamp: date(15).and_hms_opt(14,minute,0).unwrap(),
+            last_price: 5., bid1: 5., ask1: 5., bid1_volume: 100000, ask1_volume: 100000,
+            volume_delta: 100000, amount_delta: 500000., trading_phase: Some("continuous".into()),
+        }).collect()).unwrap()
+}
+
+#[test]
+fn native_pool_rebalance_applies_inherited_protection_without_rewriting_its_target() {
+    use fidc_core::stock_pool_execution as pool;
+    struct NativePool { locked: bool, expires: u32, exposure: i32 }
+    impl Strategy for NativePool {
+        fn name(&self) -> &str { "native pool successor protection" }
+        fn requires_minute_callbacks(&self) -> bool { false }
+        fn schedule_rules(&self) -> Vec<fidc_core::ScheduleRule> {
+            vec![fidc_core::ScheduleRule::daily("pool", fidc_core::ScheduleStage::OnDay)
+                .with_time_rule(fidc_core::ScheduleTimeRule::physical_time(14,30))]
+        }
+        fn on_scheduled(&mut self, ctx: &fidc_core::StrategyContext<'_>, _: &fidc_core::ScheduleRule)
+            -> Result<fidc_core::StrategyDecision, fidc_core::BacktestError> {
+            if ctx.execution_date != date(15) { return Ok(Default::default()); }
+            let symbols = vec!["000002.SZ".to_owned()];
+            let policy = fidc_core::holding_policy::AutomaticTradeProtection {
+                sell_cooldown_days: if self.locked { 0 } else { 3 },
+                locks: if self.locked { vec![fidc_core::holding_policy::AutomaticTradeLock {
+                    symbol: "000001.SZ".into(), start_date: date(11), end_date: Some(date(self.expires)),
+                }] } else { vec![] }, ..Default::default()
+            };
+            let contract = pool::FrozenStockPoolIntent {
+                pool_id: "pool".into(), signal_date: date(15), frozen_equity: 10000.into(),
+                selection: pool::StockPoolSelection { trade_date: date(15), requested_symbols: symbols.clone(),
+                    normal_trading_symbols: symbols.clone(), risk_eligible_symbols: symbols.clone(), final_symbols: symbols,
+                    exclusion_reasons: Default::default(), inherited_from_generation: None, explicit_empty: false,
+                    generation: Some("latest".into()),
+                }, members: vec![pool::StockPoolMemberSpec { symbol: "000002.SZ".into(), requested_order: 0,
+                    recommendation_reason: String::new(), target_weight_bps: None, stop_loss: None, take_profit: None }],
+                rule: pool::StockPoolExecutionRule { pricing_mode: pool::POOL_PRICE_FIRST_TICK.into(),
+                    window_start: "14:30".into(), window_end: "15:00".into(), automatic_trade_protection: policy,
+                    ..Default::default() }, constraints: pool::StockPoolDecisionConstraints {
+                    target_holding_count: Some(1), ..Default::default() },
+                invest_ratio_bps: self.exposure, reserve_cash: 0.into(), out_of_pool_policy: "hold".into(), generation: "latest".into(),
+            };
+            Ok(fidc_core::StrategyDecision { order_intents: vec![fidc_core::OrderIntent::StockPool { contract: Box::new(contract) }], ..Default::default() })
+        }
+    }
+    for delayed in [false, true] {
+        for (locked, expires, exposure) in [(false, 15, 10000), (true, 15, 10000), (true, 15, 0), (true, 14, 10000)] {
+            let result = BacktestEngine::new(successor_execution_data(), NativePool { locked, expires, exposure },
+                BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks)
+                    .with_matching_type(MatchingType::MinuteLast).with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(14,30,0).unwrap())
+                    .with_volume_limit(false).with_liquidity_limit(false),
+                BacktestConfig { initial_cash: 10000., benchmark_code: "000300.SH".into(), start_date: Some(date(10)),
+                    end_date: Some(date(15)), decision_lag_trading_days: 0, execution_price_field: PriceField::Last })
+                .with_observed_manual_executions(source(delayed, true)).unwrap().run().unwrap();
+            if expires == 14 {
+                assert!(!result.fills.is_empty(), "positive control {:?}", result.order_events);
+            } else {
+                assert!(result.fills.is_empty(), "delayed={delayed} locked={locked} exposure={exposure}: {:?}", result.fills);
+                assert!(result.order_events.is_empty());
+                assert_eq!(result.holdings_summary[0].quantity, 200);
+            }
+        }
+    }
+}
+
+#[test]
+fn successor_keeps_sell_cooldown_for_timely_and_delayed_receipts() {
+    for delayed in [false, true] {
+        let result = protected_successor_run(delayed, false, 100);
+        assert!(result.fills.is_empty(), "delayed={delayed}: {:?}", result.fills);
+        assert!(result.order_events.is_empty(), "delayed={delayed}: {:?}", result.order_events);
+        assert!(result.risk_decisions.iter().any(|row| row.symbol == "000002.SZ"
+            && row.date == date(15) && !row.accepted && row.rule_code == "sell_fill_cooldown"),
+            "orders={:?} risk={:?} notes={:?}", result.order_events, result.risk_decisions,
+            result.equity_curve.iter().map(|row| (&row.date, &row.notes)).collect::<Vec<_>>());
+        assert_eq!(result.holdings_summary[0].quantity, 200);
+    }
+}
+
+#[test]
+fn converted_holding_does_not_lose_its_configured_date_lock() {
+    for delayed in [false, true] {
+        for amount in [-100, 100] {
+            let result = protected_successor_run(delayed, true, amount);
+            assert!(result.fills.is_empty(), "delayed={delayed} amount={amount}: {:?}", result.fills);
+            assert!(result.order_events.is_empty(), "delayed={delayed} amount={amount}: {:?}", result.order_events);
+            assert!(result.risk_decisions.iter().any(|row| row.symbol == "000002.SZ"
+                && row.date == date(15) && !row.accepted && row.rule_code == "automatic_trade_locked"),
+                "orders={:?} risk={:?} notes={:?}", result.order_events, result.risk_decisions,
+                result.equity_curve.iter().map(|row| (&row.date, &row.notes)).collect::<Vec<_>>());
+            assert_eq!(result.holdings_summary[0].quantity, 200);
+        }
+    }
+}
+
+#[test]
+fn successor_lock_expires_on_the_original_configured_date_not_the_conversion_date() {
+    for delayed in [false, true] {
+        let policy = fidc_core::holding_policy::AutomaticTradeProtection {
+            locks: vec![fidc_core::holding_policy::AutomaticTradeLock {
+                symbol: "000001.SZ".into(), start_date: date(11), end_date: Some(date(14)),
+            }], ..Default::default()
+        };
+        let result = protected_successor_case(delayed, policy, 100, "partial");
+        assert_eq!(result.fills.len(), 1);
+        assert_eq!(result.fills[0].quantity, 100);
+        assert_eq!(result.holdings_summary[0].quantity, 300);
+    }
+}
+
+#[test]
+fn lock_survives_a_manual_clear_after_conversion_but_not_a_disproved_conversion() {
+    for delayed in [false, true] {
+        let policy = fidc_core::holding_policy::AutomaticTradeProtection {
+            locks: vec![fidc_core::holding_policy::AutomaticTradeLock {
+                symbol: "000001.SZ".into(), start_date: date(11), end_date: Some(date(15)),
+            }], ..Default::default()
+        };
+        let cleared = protected_successor_case(delayed, policy.clone(), 100, "cleared_after");
+        assert!(cleared.fills.is_empty());
+        assert!(cleared.order_events.is_empty());
+        assert!(cleared.holdings_summary.is_empty());
+        assert_eq!(cleared.manual_executions.len(), 3);
+        let unconverted = protected_successor_case(delayed, policy, 100, "sold_before");
+        assert_eq!(unconverted.fills.len(), 1);
+        assert_eq!(unconverted.holdings_summary[0].quantity, 100);
+    }
+}
+
+#[test]
+fn corporate_replay_preserves_issued_orders_cash_flows_financing_and_charged_fees() {
+    struct ExistingActivity {
+        receiving_days: usize,
+    }
+    impl Strategy for ExistingActivity {
+        fn name(&self) -> &str {
+            "corporate replay with original activity"
+        }
+        fn requires_minute_callbacks(&self) -> bool {
+            false
+        }
+        fn on_day(
+            &mut self,
+            ctx: &fidc_core::StrategyContext<'_>,
+        ) -> Result<fidc_core::StrategyDecision, fidc_core::BacktestError> {
+            use fidc_core::OrderIntent;
+            let order_intents = if ctx.execution_date == date(10) {
+                vec![
+                    OrderIntent::DepositWithdraw {
+                        amount: 500.,
+                        receiving_days: self.receiving_days,
+                        reason: "original deposit".into(),
+                    },
+                    OrderIntent::FinanceRepay {
+                        amount: 200.,
+                        reason: "original financing".into(),
+                    },
+                    OrderIntent::SetManagementFeeRate {
+                        rate: 0.001,
+                        reason: "original fee policy".into(),
+                    },
+                ]
+            } else if ctx.execution_date == date(11) {
+                vec![OrderIntent::Shares {
+                    symbol: "000002.SZ".into(),
+                    quantity: 100,
+                    reason: "unrelated stock".into(),
+                }]
+            } else if ctx.execution_date == date(14) {
+                vec![OrderIntent::Shares {
+                    symbol: "000001.SZ".into(),
+                    quantity: 100,
+                    reason: "already issued after corporate action".into(),
+                }]
+            } else {
+                vec![]
+            };
+            Ok(fidc_core::StrategyDecision {
+                order_intents,
+                ..Default::default()
+            })
+        }
+        fn management_fee(
+            &mut self,
+            _: &fidc_core::StrategyContext<'_>,
+            _: f64,
+        ) -> Result<Option<f64>, fidc_core::BacktestError> {
+            Ok(Some(0.25))
+        }
+    }
+    for receiving_days in [0, 1] {
+        for sell in [false, true] {
+            let timely = run_custom(
+                data(Action::Split),
+                source(false, sell),
+                ExistingActivity { receiving_days },
+                true,
+                true,
+            )
+            .unwrap();
+            let delayed = run_custom(
+                data(Action::Split),
+                source(true, sell),
+                ExistingActivity { receiving_days },
+                true,
+                true,
+            )
+            .unwrap();
+            assert_eq!(
+                serde_json::to_value(&timely.fills).unwrap(),
+                serde_json::to_value(&delayed.fills).unwrap()
+            );
+            assert_eq!(delayed.fills.len(), 2);
+            assert_eq!(
+                delayed.equity_curve.last().unwrap().cash,
+                timely.equity_curve.last().unwrap().cash
+            );
+            assert_eq!(
+                delayed.equity_curve.last().unwrap().total_equity,
+                timely.equity_curve.last().unwrap().total_equity
+            );
+            assert_eq!(
+                delayed
+                    .equity_curve
+                    .iter()
+                    .map(|row| row.external_cash_flow)
+                    .sum::<f64>(),
+                500.
+            );
+            assert_eq!(delayed.manual_executions.len(), if sell { 2 } else { 1 });
+        }
+    }
+}
+
+#[test]
+fn pending_and_disabled_dividends_keep_the_configured_cash_and_cost_contract() {
+    for paid in [false, true] {
+        for enabled in [false, true] {
+            for adjust_cost in [false, true] {
+                let fixture = || {
+                    let mut parts = data(Action::Dividend).snapshot_components();
+                    parts.corporate_actions[0].payable_date =
+                        Some(date(if paid { 14 } else { 16 }));
+                    DataSet::from_components_with_actions(
+                        parts.instruments,
+                        parts.market,
+                        parts.factors,
+                        parts.candidates,
+                        parts.benchmarks,
+                        parts.corporate_actions,
+                    )
+                    .unwrap()
+                };
+                let timely =
+                    run_custom(fixture(), source(false, false), Hold, enabled, adjust_cost)
+                        .unwrap();
+                let delayed =
+                    run_custom(fixture(), source(true, false), Hold, enabled, adjust_cost).unwrap();
+                assert_eq!(
+                    delayed.equity_curve.last().unwrap().cash,
+                    timely.equity_curve.last().unwrap().cash
+                );
+                let financial = |result: &fidc_core::BacktestResult| {
+                    result
+                        .holdings_summary
+                        .iter()
+                        .map(|row| {
+                            (
+                                row.symbol.clone(),
+                                row.quantity,
+                                row.average_cost,
+                                row.last_price,
+                                row.market_value,
+                                row.unrealized_pnl,
+                                row.realized_pnl,
+                                row.pnl,
+                                row.dividend_receivable,
+                            )
+                        })
+                        .collect::<Vec<_>>()
+                };
+                // Receipt-day turnover is deliberately different when the
+                // dividend option is disabled and no adjustment is required.
+                assert_eq!(financial(&delayed), financial(&timely));
+                assert_eq!(
+                    delayed.manual_executions[0].corporate_adjustment.is_some(),
+                    enabled
+                );
+                if enabled && !paid {
+                    assert_eq!(delayed.terminal_audit.cash_receivable_count, 1);
+                }
+            }
+        }
+    }
+}
+
+#[test]
+fn late_fill_replays_aggregate_split_rounding_not_an_independent_rounded_fragment() {
+    let fixture = || {
+        let mut parts = data(Action::Split).snapshot_components();
+        parts.corporate_actions[0].share_bonus = 0.125;
+        for row in &mut parts.market {
+            if row.symbol == "000001.SZ" && row.date >= date(14) {
+                row.day_open = 8.89;
+                row.open = 8.89;
+                row.close = 8.89;
+                row.last_price = 8.89;
+                row.high = 8.89;
+                row.low = 8.89;
+                row.prev_close = 8.89;
+                row.bid1 = 8.89;
+                row.ask1 = 8.89;
+                row.upper_limit = 9.78;
+                row.lower_limit = 8.;
+            }
+        }
+        DataSet::from_components_with_actions(
+            parts.instruments,
+            parts.market,
+            parts.factors,
+            parts.candidates,
+            parts.benchmarks,
+            parts.corporate_actions,
+        )
+        .unwrap()
+    };
+    let input = |delayed| {
+        let mut value = source(delayed, true);
+        value.actions[0].orders[0].quantity = 100;
+        value.actions[0].orders[0].fills[0].quantity = 100;
+        value.actions[1].orders[0].side = fidc_core::OrderSide::Buy;
+        value.content_sha256 = value.content_digest().unwrap();
+        value
+    };
+    let timely = run_custom(fixture(), input(false), Hold, true, true).unwrap();
+    let delayed = run_custom(fixture(), input(true), Hold, true, true).unwrap();
+    assert_eq!(timely.holdings_summary[0].quantity, 225);
+    assert_eq!(delayed.holdings_summary[0].quantity, 225);
+    assert_eq!(
+        delayed.equity_curve.last().unwrap().total_equity,
+        timely.equity_curve.last().unwrap().total_equity
+    );
+    assert_eq!(
+        delayed.manual_executions[1]
+            .corporate_adjustment
+            .as_ref()
+            .unwrap()
+            .positions["000001.SZ"]
+            .quantity_before,
+        113
+    );
+}

crates/fidc-core/tests/stock_pool_execution_state.rs

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

crates/fidc-core/tests/strategy_selection.rs

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

docs/automatic-trade-protection-20260911.md

@@ -13,6 +13,7 @@
 - 成交日及后续N个完整正式交易日均受保护。例如周五成交、N=3，保护到下周三结束，周四恢复；不按72小时或自然日替代。
 - 最长持有从连续持仓第一次实际买入开始，跨正式交易日计数；加仓、部分卖出和有证据的证券转换不重置，完全卖出再买入开启新周期。锁定和买入保护优先于最长持有退出。
 - 日期锁定禁止自动买卖，已接受的挂单不自动撤销；手工路径只绕过自动策略保护，不绕过账户授权、T+1、券商和风控。
+- 已校验且实际发生的持仓换股继承原保护期限与日期锁，不因改代码解锁或重计时；无实际转换的目录映射不继承。换股后手工清仓仍受原有效日期锁；确认换股前已清仓时不保留推定关系。原生策略、股票池与ETF顺延消费的修复及未发布边界见 `successor-protection-20260914.md`。
 - 保留的真实持仓继续占用资金与席位，不把未完成卖出当现金。最长持有退出先形成唯一最终目标，不能叠加一笔策略部分卖出和一笔框架全量卖出。
 - 在线上下文重建必须注入已经校验的真实成交/持仓快照，不能把重建日或旧行情日当建仓日。期货或股票期货混合账户未纳入本合同，显式拒绝。
 

docs/callback-context-and-pending-targets-20260914.md

@@ -0,0 +1,55 @@
+# 回报上下文、盘前意图与尚未提交的目标
+
+2026-09-14。本轮已配套发布177，annotated tag `v2026.9.14.5`。Engine81acc54 / Service e81bf47 / Trading94f99d2；完整股票池Goal继续，不据本阶段关闭。
+
+## 已复现问题
+
+1. `on_process_event`总是收到`active_datetime=None`及空委托/成交数组。10:00账本已有100股，但Trade/PostMinute回调的成交数量仍为0；不能靠普通`on_minute`已修复就认为通知链也完整。
+2. 15:05盘后成交后，PreAfterTrading仍被标为15:00；跨日模式的PostOnDay又使用信号日描述执行日已发生的成交。
+3. BeforeTrading调度只处理订阅、账户和期货指令，剩余股票买卖/撤改意图没有后续消费。简单在开盘调用普通broker执行还会让旧挂单先成交再撤单。
+4. 合并完整目标时只追加权重会保留旧证券；更重要的是，不能先提交盘前旧组合，之后才计算同一窗口的新目标，否则T+1可能使错误买入无法纠正。
+5. 策略计算前的空broker调用也会恢复上一目标的未提交买入腿。反例中原持仓100股，09:30卖25股、13:00卖剩余75股；若此时先恢复旧买入，已经准备将新目标设为0%的策略仍会买入另一股票3000股。
+
+## 本轮处理
+
+- 事件通知显式携带当前可见的委托、成交与回调时钟，移动已完成记录后再通知，不按每个回调复制整段历史。上下文是通知时已完成批次的最新状态，不冒充每一历史通知发生瞬间的账本快照。
+- 信号计算回调保留信号日；账户/委托通知使用实际执行日与物理时钟。默认收盘和结算不早于已处理时刻及当前适用的盘后结束点，管理费回调沿用同一完成时钟。
+- 盘前撤改走明确的非撮合控制阶段，保持原订单ID和实际已成交量；该入口拒绝买卖目标，不会顺带撮合旧单。普通显式买卖按原配置窗口执行，后续回调读取撤改后的真实活动订单。
+- 盘前与集合竞价的显式命令保留各自批次及约束。纯完整组合（完整rebalance或单一StockPool/TargetPortfolioSmart）可以被更新的完整意图替换；空回调不等于清仓，显式空完整目标才清仓。被替换意图的旧买入限制不能污染新完整目标。
+- 尚未提交的完整目标保留到当前窗口日度策略算完；新执行意图优先，只有没有新执行意图时才使用前面的目标。已提交挂单可以先更新实际成交，但策略计算前不恢复旧的未提交买入腿，之后再由正常执行路径处理当前意图。
+- 订阅/账户/直接期货指令通知同样获得完成后的历史；本轮不改变期货成交、会话或费用规则。
+
+## 回归证据
+
+- 通知链：09:30为空、10:00/10:01均看到100股及1笔实际成交，Trade通知可找到相同订单。
+- 盘后：15:05成交后的默认收盘/结算和管理费通知不倒退；next-open保持独立信号日和执行日。
+- 盘前：09:00生成100股命令，分别只在09:30/13:00配置窗口成交；保留备注/诊断。跨日撤销原GTC订单后，新订单只成交100股，未让旧单先成交。
+- 完整目标：盘前A、集合竞价B、日度A或显式空目标，最终只采用有效最新目标；日度无新信号时保持B。显式逐股命令不会被目标合并丢弃。
+- 恢复顺序：开启正常旧恢复的单点负向对照确实多买3000股；恢复BeforeStrategy阶段后，只有原股票同一卖单的25+75股成交，无新增买入，最终持仓为空。
+- 本机Core834项通过（9项原有ignore），Trading613、最新main Runner446/API119通过。外部数据库及平台ignore不当作通过。
+
+精确只读快照在Linux通过Core834及Trading613。旧二进制先独立归档，构建保持1GiB磁盘余量；本轮未再次删除缓存或业务文件。
+
+## 发布与真实历史复验
+
+已推送annotated tag `v2026.9.14.5`对应Engine `81acc5422878abc855fca72b35766ffad6159200`、Service `e81bf47806f5ac4ae4798bb5f5955a56638f754c`、Trading `94f99d20f49f6cd1810996706cb94f610c302385`。回测API/Runner于06:15:53 CST切换，五交易单元06:21:09切换，06:22实际运行文件和业务事实复核通过。
+
+三组冻结合同共六次独立原生A/B，完整Canonical及equity/orders/trades/holdings逐行一致；再通过生产HTTP各提交一次，结果分别匹配原生候选，旧记录未改写：
+
+| 案例 | 生产回测ID | 成交 / 持仓 | 期末权益 |
+| --- | --- | --- | ---: |
+| 手选优先四证券 | btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20 | 10 / 4 | 9706248.648662 |
+| 自动优先四证券 | btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237 | 10 / 4 | 9706248.648662 |
+| 许总24只原v3 | btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4 | 51 / 21 | 9685563.876924999 |
+
+重复目标委托0。三条新记录各5个交易日事件落库，持久事件27/18/32条，唯一键计数分别相同；旧流式样本仍27条/5日。仍为原合同下的日终容量审计，不外推实时盘口成交能力；首次Source准备和后续快速返回也不作为性能优化证明。
+
+API SHA `dea170902d77734d0a77c4da7dad71a70b33f76467e0608675dfbcc9d35d67fc`，Runner SHA `b1d93215deb275fbec6217c6b9afbf717d5649600716bf4f3a1bf5d1cfa69731`，运行实现身份 `fed10e9fa61836aa271921f5d58490054210d83da935cad5de11cfacab45c13e`。API发布目录`/srv/fidc/canonical/run/backtest-api/releases/callback-81acc54-7w1zx9fb`，回退目录`/srv/fidc/canonical/run/build/callback-rollback-j7oje2tz`；交易回退`holding-protection-rollback-czuric4r`。
+
+六服务实际SHA与manifest吻合，新增ERROR0。3Paper/0Live、配置、旧活动单、3个未确认Paper预览、迁移、影子配置0及disabled未变；发布后Paper/Live新订单0，未发送真实通知、委托或撤单。Source d5/PID1700096与UI6a2/PID3089476未重启，研究/信号暂停不变。177维护中的Engine9a54156完整保留，实际构建使用81acc54/e81bf47及81acc54/94f99d2的只读Git快照。
+
+原始回放/HTTP证据`/srv/fidc/canonical/run/research/stock-pool-callback-20260914/`；发布和最终审计`/tmp/fidc-callback-{candidate,api-release,trading-release,final-audit}-20260914.json`；非敏感汇总在`docs/evidence/callback-target-20260914/acceptance.json`。
+
+## 继续范围
+
+显式逐笔手工影子回放仍未完成，四类手工来源继续拒绝纯比例影子；原始撤单意图时刻不能用网关回报时刻冒充。还需继续检查会话外调度产生的未提交意图、完整阶段日历与其余参数/生命周期/适配器矩阵。Source冻结、研究/信号暂停、现有任务配置和真实路由不改。

docs/evidence/callback-target-20260914/acceptance.json

@@ -0,0 +1,191 @@
+{
+  "verified_at": "2026-09-13T22:22:38.597836+00:00",
+  "tag": "v2026.9.14.5",
+  "processes": {
+    "fidc-backtest-service-highmem177.service": {
+      "pid": 3692551,
+      "sha256": "dea170902d77734d0a77c4da7dad71a70b33f76467e0608675dfbcc9d35d67fc",
+      "journal_since": "2026-09-13T22:15:53.225719+00:00",
+      "journal_lines": 54,
+      "error_lines": 0
+    },
+    "fidc-trading-control-highmem177.service": {
+      "pid": 3697497,
+      "sha256": "a8f62ba74caf7ce2f5ba9cc6f67f41c844dee3747852611051c8dfb7b36295a3",
+      "journal_since": "2026-09-13T22:21:09.122548+00:00",
+      "journal_lines": 5,
+      "error_lines": 0
+    },
+    "fidc-market-data-highmem177.service": {
+      "pid": 3697498,
+      "sha256": "89395ab4c9e11274f171f4386f88949ce616fe45d15aae9a829216d53ed11db7",
+      "journal_since": "2026-09-13T22:21:09.122548+00:00",
+      "journal_lines": 5,
+      "error_lines": 0
+    },
+    "fidc-strategy-runtime-highmem177.service": {
+      "pid": 3697688,
+      "sha256": "041a0103d2c46c55221d169965ece9fdacee3905abc0d46edd9c8a2a86f6cd54",
+      "journal_since": "2026-09-13T22:21:09.122548+00:00",
+      "journal_lines": 5,
+      "error_lines": 0
+    },
+    "fidc-paper-trading-highmem177.service": {
+      "pid": 3697792,
+      "sha256": "8460008f712810f7d3876b9f2274aef88f82d46cd33e1593dbd0361f6d158b75",
+      "journal_since": "2026-09-13T22:21:09.122548+00:00",
+      "journal_lines": 6,
+      "error_lines": 0
+    },
+    "fidc-live-trading-highmem177.service": {
+      "pid": 3697762,
+      "sha256": "e89d6ba68655a5d4a164793ad67a9003cf2c49733063018497339930feafaac3",
+      "journal_since": "2026-09-13T22:21:09.122548+00:00",
+      "journal_lines": 6,
+      "error_lines": 0
+    }
+  },
+  "source": {
+    "commit": "d5b682c6d097",
+    "pid": 1700096,
+    "loaded_at": "2026-09-12T03:57:06.665536+00:00",
+    "source_stale": false,
+    "loaded_server_sha256": "ef827ce6b95e0ea63047a0068af2677633716e0a5d63cf350de6c91a3413e352"
+  },
+  "source_checkouts": {
+    "fidc-backtest-engine": {
+      "head": "9a54156df94cfbf11a1e6335ec6ef5449bd6ac17",
+      "runtime_commit": "81acc5422878abc855fca72b35766ffad6159200",
+      "tracked_dirty": false
+    },
+    "fidc-backtest-service": {
+      "head": "5ec8dc86d99736a0c0140440bd039d11e118c1c6",
+      "runtime_commit": "e81bf47806f5ac4ae4798bb5f5955a56638f754c",
+      "tracked_dirty": false
+    },
+    "fidc-trading-platform": {
+      "head": "94f99d20f49f6cd1810996706cb94f610c302385",
+      "runtime_commit": "94f99d20f49f6cd1810996706cb94f610c302385",
+      "tracked_dirty": false
+    },
+    "omniquant": {
+      "head": "6a2b2604b40505fa754453307c517fef60743426",
+      "runtime_commit": "6a2b2604b40505fa754453307c517fef60743426",
+      "tracked_dirty": false
+    }
+  },
+  "ui_unchanged": {
+    "commit": "6a2b2604b40505fa754453307c517fef60743426",
+    "pid": 3089476
+  },
+  "http_cases": [
+    {
+      "name": "manual_first",
+      "run_id": "btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20",
+      "status": "succeeded",
+      "canonical_sha256": "0830216850b64d6e83291e072b31a9989f179915ee3341a75a77c73d1f9081a3",
+      "trade_count": 10,
+      "holding_count": 4,
+      "final_equity": 9706248.648662,
+      "old_result_unchanged": true
+    },
+    {
+      "name": "automatic_first",
+      "run_id": "btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237",
+      "status": "succeeded",
+      "canonical_sha256": "c75cabcc03760f415bb664d20060e81c620d7a0201dd348ea71f75c932571de7",
+      "trade_count": 10,
+      "holding_count": 4,
+      "final_equity": 9706248.648662,
+      "old_result_unchanged": true
+    },
+    {
+      "name": "stock24",
+      "run_id": "btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4",
+      "status": "succeeded",
+      "canonical_sha256": "270b403542ab41290c3d6e027b89cdab24dd41a8e2851d8786b33daa51e0051f",
+      "trade_count": 51,
+      "holding_count": 21,
+      "final_equity": 9685563.876924999,
+      "old_result_unchanged": true
+    }
+  ],
+  "durable_events": [
+    {
+      "run_id": "btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20",
+      "count": 27,
+      "unique_keys": 27,
+      "days": 5
+    },
+    {
+      "run_id": "btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237",
+      "count": 18,
+      "unique_keys": 18,
+      "days": 5
+    },
+    {
+      "run_id": "btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4",
+      "count": 32,
+      "unique_keys": 32,
+      "days": 5
+    },
+    {
+      "run_id": "btr_req_a3c3dfe5cd81e27e565064a65665f561c60adebdc6c9c9b4",
+      "count": 27,
+      "unique_keys": 27,
+      "days": 5
+    }
+  ],
+  "trading_state": {
+    "paper": {
+      "configuration": {
+        "count": 3,
+        "hash": "93f3224edef59c381164e0236529dacc"
+      },
+      "active": {
+        "claims": 0,
+        "orders": 0
+      }
+    },
+    "live": {
+      "configuration": {
+        "count": 0,
+        "hash": "d41d8cd98f00b204e9800998ecf8427e"
+      },
+      "active": {
+        "claims": 0,
+        "orders": 1,
+        "today_orders": 0,
+        "orders_hash": "d4b56fbf3a541a41a383ad4e48891bb8",
+        "route_mode": "disabled"
+      }
+    }
+  },
+  "manual_facts_unchanged": {
+    "paper": {
+      "shadow_configurations": 0,
+      "shadow_runs": 0,
+      "manual_count": 3,
+      "manual_hash": "82572901ac0b5fdb4d8b984f71e1763d",
+      "migrations_hash": "21d711b2ee52d2d66a8be4e99b179190",
+      "new_orders": 0
+    },
+    "live": {
+      "shadow_configurations": 0,
+      "shadow_runs": 0,
+      "manual_count": 0,
+      "manual_hash": "d41d8cd98f00b204e9800998ecf8427e",
+      "migrations_hash": "610528d4f350309379c9398c4ea43f66",
+      "new_orders": 0
+    }
+  },
+  "broker_submission": false,
+  "linux_core_tests": {
+    "passed": 834,
+    "failed": 0,
+    "ignored": 9,
+    "log": "/srv/fidc/canonical/run/fidc-private/evidence/callback-candidate-6qumwky7/linux-core-tests.log"
+  },
+  "scope": "Callback and pending-target release verification; historical simulation only. Full manual shadow replay remains incomplete.",
+  "native_replays": 6
+}

docs/evidence/intraday-clock-20260914/acceptance.json

@@ -0,0 +1,258 @@
+{
+  "verified_at": "2026-09-13T20:22:24.750379+00:00",
+  "tag": "v2026.9.14.4",
+  "processes": {
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+}

docs/evidence/late-fill-lifecycle-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/lot-lifecycle-20260914-AEGDYL",
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+}

docs/evidence/late-fill-lifecycle-20260914/runtime.json

@@ -0,0 +1,61 @@
+{
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+}

docs/evidence/manual-corporate-replay-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/corporate-replay-20260914-ZAnvlO",
+  "build": "/srv/fidc/canonical/build/corporate-replay-20260914-ZAnvlO",
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+}

docs/evidence/manual-corporate-replay-20260914/runtime.json

@@ -0,0 +1,61 @@
+{
+  "observed_date": "2026-09-14",
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+  "test_scope": "fidc-corporate-replay-check-20260914-ZAnvlO.scope",
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+  ],
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+}

docs/evidence/manual-zero-reinvestment-20260915/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/zero-reinvestment-20260915-Yovt6m",
+  "build": "/srv/fidc/canonical/build/zero-reinvestment-20260915-Yovt6m",
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+}

docs/evidence/manual-zero-reinvestment-20260915/local-tests.json

@@ -0,0 +1,76 @@
+{
+  "date": "2026-09-15",
+  "baseline_engine": "534ab42906c7e7a4e253b7791cc143dec894a7f2",
+  "candidate_engine": "818552bc969e0ea40081f0770c1d97db574a1981",
+  "reproduced": {
+    "manual_zero_effective_before_payment": true,
+    "original_position_cleared": true,
+    "unexpected_accounting_allocation": {
+      "symbol": "000001.SZ",
+      "quantity": 100,
+      "price": 8.95
+    },
+    "original_gross_output": 894.9999999999999,
+    "actual_posted_amount": 895
+  },
+  "verified": {
+    "global_set_and_scale_zero_leave_cash": true,
+    "zero_or_excluded_manual_member_leaves_cash": true,
+    "same_instant_uses_sequence": true,
+    "input_array_order_does_not_change_result": true,
+    "future_settings_are_not_backdated": true,
+    "restore_does_not_mean_forced_full_exposure": true,
+    "legacy_day_granularity_preserved": true,
+    "normal_settlement_and_late_replay_share_control": true,
+    "actual_manual_fills_and_cash_entitlements_not_erased": true,
+    "invalid_cash_is_rejected_atomically": true,
+    "unused_reinvestment_reference_not_read_under_zero": true,
+    "no_control_keeps_legacy_price_quantity_and_fees": true
+  },
+  "exact_outcomes": {
+    "cleared_with_zero": {
+      "cash": 49998,
+      "quantity": 0
+    },
+    "cleared_without_zero": {
+      "cash": 49103,
+      "quantity": 100,
+      "price": 8.95,
+      "fee": 0,
+      "gross": 895
+    },
+    "actual_extra_buy_timely_and_late": {
+      "cash": 41047,
+      "quantity": 1000,
+      "corporate_cash_adjustment": 1050,
+      "optional_allocations": 0
+    }
+  },
+  "local_tests": {
+    "core": {
+      "passed": 919,
+      "ignored": 9
+    },
+    "trading": {
+      "passed": 625,
+      "ignored": 63
+    },
+    "runner": {
+      "passed": 463,
+      "ignored": 9
+    },
+    "api": {
+      "passed": 129,
+      "ignored": 7
+    }
+  },
+  "new_test_functions": 6,
+  "production_runtime_modified": false,
+  "production_order_or_cancel_requests": 0,
+  "limits": [
+    "isolated replay not actual Source/Runner acceptance",
+    "does not evaluate arbitrary strategy expressions at settlement",
+    "Source runtime freeze unchanged",
+    "no new production UI or broker validation"
+  ]
+}

docs/evidence/manual-zero-reinvestment-20260915/runtime.json

@@ -0,0 +1,53 @@
+{
+  "observed_at": "2026-09-14T16:34:44.320112+00:00",
+  "status": "tested_not_deployed",
+  "runtime_services": [
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+  "source_runtime_commit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
+  "source_runtime_tracked_clean": true,
+  "engine_development_checkout": "818552bc969e0ea40081f0770c1d97db574a1981",
+  "preserved_service_development_checkout": "5991e7733d9e2a770f740e971924b12cc5f7d29d",
+  "immutable_source_file_count": 989,
+  "source_snapshot_manifest_sha256": "9ffdc1bc86e1b4b085caa694e921fc230ce0f09c57d34254058ae28e631d5bb3",
+  "test_scope": "fidc-zero-reinvestment-check-20260915-Yovt6m.scope",
+  "test_cpu_quota_percent": 400,
+  "test_memory_max_gib": 12,
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+  "production_order_or_cancel_requests_by_this_verification": 0,
+  "production_task_configuration_writes_by_this_verification": 0
+}

docs/evidence/opening-clock-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/opening-clock-20260914-UUx5ru",
+  "build": "/srv/fidc/canonical/build/opening-clock-20260914-UUx5ru",
+  "commits": {
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+    "fidc-trading-platform": "ae83fd30f56a5420a235022b0a169aaf0bae55cf"
+  },
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+  "results": [
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+      "passed": 885,
+      "failed": 0,
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+      "log_sha256": "9a887a23fc656d0f448502ecb2fca5fcfd82db15346f567e6a8b0bcaa88180d7"
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+    {
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+      "elapsed_seconds": 90.054,
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+      "log_sha256": "048a7690ce874bccc58e3111decd183c3f88f649397c59cdfbaa3e4533662589"
+    },
+    {
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+      "log_sha256": "ec4f51b30dd69d9c86812cbb1b1e310c277fdfcf29465978b8d87eb83f40204c"
+    }
+  ],
+  "available_bytes": 97373085696
+}

docs/evidence/opening-clock-20260914/runtime.json

@@ -0,0 +1,60 @@
+{
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+  "source_runtime_commit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
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+  "source_runtime_changed": false,
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+      "pid": 987464,
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+    },
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+  "production_order_or_cancel_requests_by_this_verification": 0,
+  "production_task_configuration_writes_by_this_verification": 0,
+  "remaining": [
+    "Source freeze authorization and physical partition validation",
+    "Actual Source and Runner shadow joint acceptance",
+    "Unaccepted Arrow performance candidate gate",
+    "Remaining corporate-action, holding-protection and full parameter matrix"
+  ]
+}

docs/evidence/reinvestment-origin-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/reinvestment-20260914-dBw0O5",
+  "build": "/srv/fidc/canonical/build/reinvestment-20260914-dBw0O5",
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+  },
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+  "available_bytes": 87221923840
+}

docs/evidence/reinvestment-origin-20260914/runtime.json

@@ -0,0 +1,61 @@
+{
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+    "Successor data scope, target state, cleared-position references and cross-mode ETF matrix"
+  ],
+  "source_runtime_tracked_clean": true
+}

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

@@ -0,0 +1,588 @@
+{
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+  "candidateApiSha256": "30ac3b50996e1769c1d93bd5d302a23c4af7ebe773d3e8110ee278c44aeb9501",
+  "bounds": [
+    "All twelve are new runner processes and private result artifacts using the same verified shared input files.",
+    "Input hashing is outside the elapsed benchmark timer; no GDB samples are in these measurements.",
+    "The first control had 12.244s Source validation and a slower preparation phase. Its entire latency difference is not candidate speedup.",
+    "The full input set is identical across the twelve runs, not only a global cache hit counter.",
+    "No Source/trading service was changed and no paused research/signal task resumed.",
+    "The independently recorded intraday-clock counterexample remains open. These day-level replays do not close it."
+  ]
+}

docs/evidence/series-column-storage-20260914/acceptance.json

@@ -0,0 +1,648 @@
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+          },
+          "orderEvents": {
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+          },
+          "riskAudits": {
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+      },
+      "storeSha256": "ff32f177e5e0ec4b4f3f0597b61174efdafac77b4f36e6065448b6e9c414f07e",
+      "verifiedFactBlocks": 281,
+      "source": {
+        "commit": "d5b682c6d097",
+        "pid": 1700096,
+        "source_stale": false
+      }
+    },
+    {
+      "name": "volume-momentum-80-control",
+      "receiptSha256": "0f589d11fec4a37f80635446fa445b7c7a9ae58e202e5b0c2533aa257fd94c81",
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+      "dataSeconds": 5.163,
+      "datasetConstructSeconds": 1.891,
+      "loopSeconds": 1.698,
+      "validationSeconds": 0.004,
+      "resultSeconds": 2.282,
+      "maxRssKiB": 7210220,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 234267,
+        "sha256": "4359817bb1fbd73b02c2c3456e1f0b7ee7428b090529393bd203e8212979a1dc",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 51696,
+            "sha256": "ca4d333cc4768ec4b528475d1833809c7e76a80de937c635e7e933a0f18264c6"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "31865ccfeb71d260757979524a679880070d691c09083c82865c3de6dd47e440"
+          },
+          "fillEvents": {
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+            "sha256": "4f45cc0906b6cd02af9ce12450a52f509f6e80e9b26157695ae04e90ce7ca9ac"
+          },
+          "holdingSnapshots": {
+            "rowCount": 78078,
+            "sha256": "79098ebfa48dcd24b00ba4d19917c291adb80a129b4d90ee1087b5f2210c43aa"
+          },
+          "orderEvents": {
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+            "sha256": "340699c5d04407c5c6f71dc39c41ac2baedc096bb11185f1ccb99ab7100ba8f8"
+          },
+          "riskAudits": {
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+            "sha256": "2aa0a4d6e6078dbea815b536ce0ee8f6ca03f9c44f63cdfecf4e37a0ff9cf561"
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+      },
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+      "verifiedFactBlocks": 309,
+      "source": {
+        "commit": "d5b682c6d097",
+        "pid": 1700096,
+        "source_stale": false
+      }
+    },
+    {
+      "name": "volume-momentum-80-candidate",
+      "receiptSha256": "5ae74a1b311479a39c9863c2fba487951631353f9ae2a523d919f2d0a8f592e7",
+      "wallSeconds": 18.476340716006234,
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+      "datasetConstructSeconds": 1.844,
+      "loopSeconds": 1.645,
+      "validationSeconds": 0.005,
+      "resultSeconds": 2.284,
+      "maxRssKiB": 6527236,
+      "canonical": {
+        "schemaVersion": "fidc-canonical-backtest-result/v2",
+        "algorithm": "sha256",
+        "ordering": "engine_fact_order_v2",
+        "totalRows": 234267,
+        "sha256": "4359817bb1fbd73b02c2c3456e1f0b7ee7428b090529393bd203e8212979a1dc",
+        "sections": {
+          "accountEvents": {
+            "rowCount": 51696,
+            "sha256": "ca4d333cc4768ec4b528475d1833809c7e76a80de937c635e7e933a0f18264c6"
+          },
+          "equityFacts": {
+            "rowCount": 1025,
+            "sha256": "31865ccfeb71d260757979524a679880070d691c09083c82865c3de6dd47e440"
+          },
+          "fillEvents": {
+            "rowCount": 51300,
+            "sha256": "4f45cc0906b6cd02af9ce12450a52f509f6e80e9b26157695ae04e90ce7ca9ac"
+          },
+          "holdingSnapshots": {
+            "rowCount": 78078,
+            "sha256": "79098ebfa48dcd24b00ba4d19917c291adb80a129b4d90ee1087b5f2210c43aa"
+          },
+          "orderEvents": {
+            "rowCount": 51783,
+            "sha256": "340699c5d04407c5c6f71dc39c41ac2baedc096bb11185f1ccb99ab7100ba8f8"
+          },
+          "riskAudits": {
+            "rowCount": 385,
+            "sha256": "2aa0a4d6e6078dbea815b536ce0ee8f6ca03f9c44f63cdfecf4e37a0ff9cf561"
+          }
+        }
+      },
+      "storeSha256": "5748fe4db08f8d81607622b302cc43c1d2e4ef50c3b87739fb6c20cd40de79c0",
+      "verifiedFactBlocks": 309,
+      "source": {
+        "commit": "d5b682c6d097",
+        "pid": 1700096,
+        "source_stale": false
+      }
+    }
+  ],
+  "sharedInputFiles": 9257,
+  "sharedInputBytes": 12596608049,
+  "sharedInputInventorySha256": "1a4818aaab906e77b750e28601d3d405ad9e14e0553f7937cc60b68be0c9b71d",
+  "verifiedFactBlocks": 3506,
+  "status": "candidate-not-deployed",
+  "scope": "exact in-memory column reuse; separate DayOpen correctness fix included in both control and candidate",
+  "controlRunnerSha256": "8859459f54389f12af1ab7d4e36802c01aff63fb10fbb679243ccdd54d013e2d",
+  "candidateRunnerSha256": "40bcf65c1977dbd93ab8bc80e3ff04d0db5e27b61fce1afdce99cf1b5e58eb43",
+  "candidateApiSha256": "c54be3a8196c32051520c709f793bcb974d869467bb12700d846efaad8c2180e",
+  "engineCommit": "996b909608589fb1987f33c0cfb4c62099f69617",
+  "serviceCommit": "443ed421c2c9c854a01fab69ce58957690504570",
+  "boundaries": [
+    "The DayOpen prefix correction is present in both storage A/B binaries.",
+    "No file format, cache schema, input values or execution policy changed for the storage comparison.",
+    "Original shared inputs were hashed and remained unchanged; results were recalculated into private artifacts.",
+    "The last pair ran candidate before control. It did not establish a general latency improvement.",
+    "Source remains frozen and paused research/signal tasks were not resumed.",
+    "The independent same-day intraday clock counterexample remains unresolved."
+  ]
+}

docs/evidence/simulator-order-recovery-20260915/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/order-recovery-20260915-VjcwWa",
+  "build": "/srv/fidc/canonical/build/order-recovery-20260915-VjcwWa",
+  "commits": {
+    "fidc-backtest-engine": "695fdee4b8ba4b456313f06415c128a828b43f56",
+    "fidc-backtest-service": "234d85bdb8ed12b552ba8e9eff47fddc5e683acc",
+    "fidc-trading-platform": "d7d492541e60eb16e58dbff74b664b8ac85f6ccf"
+  },
+  "source_unchanged": true,
+  "results": [
+    {
+      "repository": "fidc-backtest-engine",
+      "exit_code": 0,
+      "elapsed_seconds": 56.009,
+      "passed": 926,
+      "failed": 0,
+      "ignored": 9,
+      "log_sha256": "1e966ddca61fdf592a3333df6c459688988f248e2503d45550634cf1184a5921"
+    },
+    {
+      "repository": "fidc-trading-platform",
+      "exit_code": 0,
+      "elapsed_seconds": 114.012,
+      "passed": 625,
+      "failed": 0,
+      "ignored": 63,
+      "log_sha256": "571a20700bd185304e3e13dbe7cd2d2dcf38f8d7e9d177bddcbf01cee68c0f3b"
+    },
+    {
+      "repository": "fidc-backtest-service",
+      "exit_code": 0,
+      "elapsed_seconds": 146.014,
+      "passed": 594,
+      "failed": 0,
+      "ignored": 16,
+      "log_sha256": "342dad04bade99f034da22cf3dcaadb40854ece7e1b57cfbeeb6240fc1ee8fee"
+    }
+  ],
+  "available_bytes": 73738203136
+}

docs/evidence/simulator-order-recovery-20260915/local-tests.json

@@ -0,0 +1,75 @@
+{
+  "date": "2026-09-15",
+  "baseline_engine": "4c6147e2ee9e76b5d3aaa8b9c3a70a67777b1f98",
+  "candidate_engine": "695fdee4b8ba4b456313f06415c128a828b43f56",
+  "reproduced": {
+    "accepted_simulator_orders_before_error": 2,
+    "accepted_simulator_orders_after_error_before_fix": 0,
+    "first_order_prior_filled_quantity": 100,
+    "error": "historical_slippage_calibration_missing"
+  },
+  "verified": {
+    "original_order_identity_and_cumulative_fills_retained": true,
+    "retry_after_data_repair_matches_clean_call": true,
+    "prior_success_not_rolled_back": true,
+    "etf_targets_and_progress_retained": true,
+    "quote_consumption_and_commission_restored": true,
+    "callback_unwind_restores_unpublished_state_and_context": true,
+    "untouched_lots_not_copied": true,
+    "position_order_and_flat_rows_preserved": true
+  },
+  "local_tests": {
+    "core": {
+      "passed": 926,
+      "ignored": 9
+    },
+    "trading": {
+      "passed": 625,
+      "ignored": 63
+    },
+    "runner": {
+      "passed": 463,
+      "ignored": 9
+    },
+    "api": {
+      "passed": 129,
+      "ignored": 7
+    }
+  },
+  "new_test_functions": 7,
+  "microprofile": {
+    "mode": "unoptimized isolated simulator only",
+    "securities": 30,
+    "initial_lots_per_security": 20,
+    "calls": 500,
+    "full_checkpoint_us": [
+      27608,
+      40229,
+      35652,
+      11085
+    ],
+    "scoped_checkpoint_us": [
+      22132,
+      26813,
+      24778,
+      11539
+    ],
+    "protected_order": [
+      false,
+      true,
+      true,
+      false
+    ],
+    "successful_outcomes_identical": true,
+    "production_throughput_conclusion": false
+  },
+  "limits": [
+    "not real GT/QMT rollback",
+    "not automatic retry",
+    "failed caller must stop or retry its explicit request",
+    "external hook side effects, OOM and power failure not covered",
+    "Source runtime freeze unchanged"
+  ],
+  "production_runtime_modified": false,
+  "production_order_or_cancel_requests": 0
+}

docs/evidence/simulator-order-recovery-20260915/runtime.json

@@ -0,0 +1,53 @@
+{
+  "observed_at": "2026-09-14T17:38:22.023395+00:00",
+  "status": "tested_not_deployed",
+  "runtime_services": [
+    {
+      "service": "omniquant-highmem177.service",
+      "pid": 987464,
+      "state": "active"
+    },
+    {
+      "service": "fidc-backtest-service-highmem177.service",
+      "pid": 4108679,
+      "state": "active",
+      "exe_sha256": "5933b7423c6722e5fe644a604c915a27ceb89900f690b092d1689bfe0fe389b7"
+    },
+    {
+      "service": "fidc-paper-trading-highmem177.service",
+      "pid": 3765829,
+      "state": "active",
+      "exe_sha256": "3ebd7ce815e325ff0bb38632ef5b5e5cd5aff7a4e0601ba0229feb3201cdefe3"
+    },
+    {
+      "service": "fidc-live-trading-highmem177.service",
+      "pid": 3765783,
+      "state": "active",
+      "exe_sha256": "1f4b2d697accdbb76d89cd7cb9c3ae4dad942d86e3dde2e7d211eee5879b9144"
+    },
+    {
+      "service": "fidc-strategy-runtime-highmem177.service",
+      "pid": 3765705,
+      "state": "active",
+      "exe_sha256": "5a160ba9588f0ba9275f7d33152667be176cece310fc3026d4c043d897d44b4c"
+    },
+    {
+      "service": "fidc-trading-control-highmem177.service",
+      "pid": 3765532,
+      "state": "active",
+      "exe_sha256": "9feade5eed04007595f6ef88e076a3f501631b06cb6dc9d9b6d7f5be379b0a20"
+    }
+  ],
+  "source_runtime_commit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
+  "source_runtime_tracked_clean": true,
+  "engine_development_checkout": "695fdee4b8ba4b456313f06415c128a828b43f56",
+  "preserved_service_development_checkout": "5991e7733d9e2a770f740e971924b12cc5f7d29d",
+  "immutable_source_file_count": 994,
+  "source_snapshot_manifest_sha256": "bcefde438955ff4eda51494e96913a23d5e628375d45f8f09a498020224a7bb6",
+  "test_scope": "fidc-order-recovery-check-20260915-VjcwWa.scope",
+  "test_cpu_quota_percent": 400,
+  "test_memory_max_gib": 12,
+  "source_runtime_modified": false,
+  "production_order_or_cancel_requests_by_this_verification": 0,
+  "production_task_configuration_writes_by_this_verification": 0
+}

docs/evidence/successor-contract-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/successor-20260914-Sx15GO",
+  "build": "/srv/fidc/canonical/build/successor-20260914-Sx15GO",
+  "commits": {
+    "fidc-backtest-engine": "59a0c95aaec9c14ddd7384bb451d6d90eb3abec7",
+    "fidc-backtest-service": "234d85bdb8ed12b552ba8e9eff47fddc5e683acc",
+    "fidc-trading-platform": "d7d492541e60eb16e58dbff74b664b8ac85f6ccf"
+  },
+  "source_unchanged": true,
+  "results": [
+    {
+      "repository": "fidc-backtest-engine",
+      "exit_code": 0,
+      "elapsed_seconds": 58.008,
+      "passed": 907,
+      "failed": 0,
+      "ignored": 9,
+      "log_sha256": "9fa0e1cfcc55722beaacf22e743f4a4e097df8c967894b13b4d7dfd7e18540bc"
+    },
+    {
+      "repository": "fidc-trading-platform",
+      "exit_code": 0,
+      "elapsed_seconds": 88.009,
+      "passed": 625,
+      "failed": 0,
+      "ignored": 63,
+      "log_sha256": "50c659d618fccf51ce33e15a879d086934efb4a537f82dafb5f4c133d46eecce"
+    },
+    {
+      "repository": "fidc-backtest-service",
+      "exit_code": 0,
+      "elapsed_seconds": 110.011,
+      "passed": 594,
+      "failed": 0,
+      "ignored": 16,
+      "log_sha256": "7a2676f29c4d5867b6df64779d356c33217004ed0ddad73af75255eb0143d57a"
+    }
+  ],
+  "available_bytes": 83883585536
+}

docs/evidence/successor-contract-20260914/local-tests.json

@@ -0,0 +1,46 @@
+{
+  "observed_date": "2026-09-14",
+  "baseline_engine": "d4e7cdd5b53e97666afb40c512223def0401539c",
+  "candidate_engine": "59a0c95aaec9c14ddd7384bb451d6d90eb3abec7",
+  "scope": "isolated core regression; not Source or broker acceptance",
+  "reproduced": [
+    {
+      "test": "successor_without_frozen_instrument_metadata_is_not_an_implicit_new_security",
+      "before": "returned success and created 300 shares of an instrument absent from the frozen metadata",
+      "after": "successor_instrument_missing, original ledger and notes unchanged"
+    },
+    {
+      "test": "invalid_successor_terms_cannot_be_replaced_with_one_share_or_zero_cash",
+      "before": "missing ratio accepted as 1.0",
+      "after": "all 13 malformed term cases rejected without mutation"
+    },
+    {
+      "test": "a_late_corporate_batch_failure_keeps_prior_cash_positions_and_notes",
+      "before": "an overflowing cash leg failed after deleting the old position and retaining a successor plus a cash receivable",
+      "after": "whole batch rejected, including original target quantity and weight state, notes unchanged"
+    }
+  ],
+  "local_tests": {
+    "core": {
+      "passed": 907,
+      "ignored": 9
+    },
+    "trading": {
+      "passed": 625,
+      "ignored": 63
+    },
+    "runner": {
+      "passed": 463,
+      "ignored": 9
+    },
+    "api": {
+      "passed": 129,
+      "ignored": 7
+    }
+  },
+  "completed_engine_replay_cases": 12,
+  "engine_replay_cases": "paper/gt/qmt observation origins x timely/late x buy/sell; each paired with complete/missing successor metadata",
+  "live_order_or_cancel_requests": 0,
+  "source_runtime_modified": false,
+  "ui_modified": false
+}

docs/evidence/successor-contract-20260914/runtime.json

@@ -0,0 +1,53 @@
+{
+  "observed_at": "2026-09-14T15:05:40.175433+00:00",
+  "status": "tested_not_deployed",
+  "runtime_services": [
+    {
+      "service": "omniquant-highmem177.service",
+      "pid": 987464,
+      "state": "active"
+    },
+    {
+      "service": "fidc-backtest-service-highmem177.service",
+      "pid": 4108679,
+      "state": "active",
+      "exe_sha256": "5933b7423c6722e5fe644a604c915a27ceb89900f690b092d1689bfe0fe389b7"
+    },
+    {
+      "service": "fidc-paper-trading-highmem177.service",
+      "pid": 3765829,
+      "state": "active",
+      "exe_sha256": "3ebd7ce815e325ff0bb38632ef5b5e5cd5aff7a4e0601ba0229feb3201cdefe3"
+    },
+    {
+      "service": "fidc-live-trading-highmem177.service",
+      "pid": 3765783,
+      "state": "active",
+      "exe_sha256": "1f4b2d697accdbb76d89cd7cb9c3ae4dad942d86e3dde2e7d211eee5879b9144"
+    },
+    {
+      "service": "fidc-strategy-runtime-highmem177.service",
+      "pid": 3765705,
+      "state": "active",
+      "exe_sha256": "5a160ba9588f0ba9275f7d33152667be176cece310fc3026d4c043d897d44b4c"
+    },
+    {
+      "service": "fidc-trading-control-highmem177.service",
+      "pid": 3765532,
+      "state": "active",
+      "exe_sha256": "9feade5eed04007595f6ef88e076a3f501631b06cb6dc9d9b6d7f5be379b0a20"
+    }
+  ],
+  "source_runtime_commit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
+  "source_runtime_tracked_clean": true,
+  "engine_development_checkout": "59a0c95aaec9c14ddd7384bb451d6d90eb3abec7",
+  "preserved_service_development_checkout": "5991e7733d9e2a770f740e971924b12cc5f7d29d",
+  "immutable_source_file_count": 981,
+  "source_snapshot_manifest_sha256": "a8da0ee559821758d98eb7e4ae27beaa683ce32b708dc29f90bc751808382ff3",
+  "test_scope": "fidc-successor-check-20260914-Sx15GO.scope",
+  "test_cpu_quota_percent": 400,
+  "test_memory_max_gib": 12,
+  "source_runtime_modified": false,
+  "production_order_or_cancel_requests_by_this_verification": 0,
+  "production_task_configuration_writes_by_this_verification": 0
+}

docs/evidence/successor-protection-20260914/linux-tests.json

@@ -0,0 +1,40 @@
+{
+  "source": "/srv/fidc/programs/runtime-snapshots/conversion-protection-20260914-51wBBB",
+  "build": "/srv/fidc/canonical/build/conversion-protection-20260914-51wBBB",
+  "commits": {
+    "fidc-backtest-engine": "ba4b77fd746963687b8029b47806f943ed6ce03f",
+    "fidc-backtest-service": "234d85bdb8ed12b552ba8e9eff47fddc5e683acc",
+    "fidc-trading-platform": "d7d492541e60eb16e58dbff74b664b8ac85f6ccf"
+  },
+  "source_unchanged": true,
+  "results": [
+    {
+      "repository": "fidc-backtest-engine",
+      "exit_code": 0,
+      "elapsed_seconds": 56.007,
+      "passed": 913,
+      "failed": 0,
+      "ignored": 9,
+      "log_sha256": "07ee830295ac22961dc877f75d0016e3755917037b167ac65f9e31d449c68991"
+    },
+    {
+      "repository": "fidc-trading-platform",
+      "exit_code": 0,
+      "elapsed_seconds": 90.009,
+      "passed": 625,
+      "failed": 0,
+      "ignored": 63,
+      "log_sha256": "e88a14c056fa69f0186eb681cd16ea1ce254b57e8cc48e34f0231bce7901588a"
+    },
+    {
+      "repository": "fidc-backtest-service",
+      "exit_code": 0,
+      "elapsed_seconds": 110.011,
+      "passed": 594,
+      "failed": 0,
+      "ignored": 16,
+      "log_sha256": "0ea63308d32bfc8ab0da4d71f73e770e7a6f273117e714dfcccb50e26ef70b54"
+    }
+  ],
+  "available_bytes": 80519344128
+}

docs/evidence/successor-protection-20260914/local-tests.json

@@ -0,0 +1,67 @@
+{
+  "date": "2026-09-14",
+  "baseline_engine": "ad76bdb6ae13f8ccd963e8fed4badff72a3846c3",
+  "candidate_engine": "ba4b77fd746963687b8029b47806f943ed6ce03f",
+  "reproduced_before_fix": [
+    {
+      "case": "timely sale then conversion inside sell cooldown",
+      "unexpected_market_fill": {
+        "symbol": "000002.SZ",
+        "side": "Buy",
+        "quantity": 100,
+        "price": 5
+      }
+    },
+    {
+      "case": "original security lock still active after conversion",
+      "unexpected_market_fill": {
+        "symbol": "000002.SZ",
+        "side": "Sell",
+        "quantity": 100,
+        "price": 5
+      }
+    }
+  ],
+  "verified": {
+    "configured_dates_preserved": true,
+    "no_new_orders_when_protected": true,
+    "expiration_positive_control_fills": true,
+    "clear_after_conversion_keeps_active_lock": true,
+    "full_sale_before_conversion_removes_disproved_link": true,
+    "original_strategy_members_and_weights_not_rewritten": true,
+    "entry_points": [
+      "platform explicit strategy",
+      "native stock pool",
+      "deferred ETF open consumer"
+    ],
+    "new_test_functions": 6,
+    "isolated_configuration_cases": 23
+  },
+  "local_tests": {
+    "core": {
+      "passed": 913,
+      "ignored": 9
+    },
+    "trading": {
+      "passed": 625,
+      "ignored": 63
+    },
+    "runner": {
+      "passed": 463,
+      "ignored": 9
+    },
+    "api": {
+      "passed": 129,
+      "ignored": 7
+    }
+  },
+  "ui_modified": false,
+  "production_runtime_modified": false,
+  "production_order_or_cancel_requests": 0,
+  "limits": [
+    "not production Source/Runner acceptance",
+    "not a broker connection or corporate action acceptance",
+    "online conversion lineage facts still required",
+    "Source runtime freeze unchanged"
+  ]
+}

docs/evidence/successor-protection-20260914/runtime.json

@@ -0,0 +1,53 @@
+{
+  "observed_at": "2026-09-14T15:47:13.093567+00:00",
+  "status": "tested_not_deployed",
+  "runtime_services": [
+    {
+      "service": "omniquant-highmem177.service",
+      "pid": 987464,
+      "state": "active"
+    },
+    {
+      "service": "fidc-backtest-service-highmem177.service",
+      "pid": 4108679,
+      "state": "active",
+      "exe_sha256": "5933b7423c6722e5fe644a604c915a27ceb89900f690b092d1689bfe0fe389b7"
+    },
+    {
+      "service": "fidc-paper-trading-highmem177.service",
+      "pid": 3765829,
+      "state": "active",
+      "exe_sha256": "3ebd7ce815e325ff0bb38632ef5b5e5cd5aff7a4e0601ba0229feb3201cdefe3"
+    },
+    {
+      "service": "fidc-live-trading-highmem177.service",
+      "pid": 3765783,
+      "state": "active",
+      "exe_sha256": "1f4b2d697accdbb76d89cd7cb9c3ae4dad942d86e3dde2e7d211eee5879b9144"
+    },
+    {
+      "service": "fidc-strategy-runtime-highmem177.service",
+      "pid": 3765705,
+      "state": "active",
+      "exe_sha256": "5a160ba9588f0ba9275f7d33152667be176cece310fc3026d4c043d897d44b4c"
+    },
+    {
+      "service": "fidc-trading-control-highmem177.service",
+      "pid": 3765532,
+      "state": "active",
+      "exe_sha256": "9feade5eed04007595f6ef88e076a3f501631b06cb6dc9d9b6d7f5be379b0a20"
+    }
+  ],
+  "source_runtime_commit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
+  "source_runtime_tracked_clean": true,
+  "engine_development_checkout": "ba4b77fd746963687b8029b47806f943ed6ce03f",
+  "preserved_service_development_checkout": "5991e7733d9e2a770f740e971924b12cc5f7d29d",
+  "immutable_source_file_count": 985,
+  "source_snapshot_manifest_sha256": "6ae0cb8f0e571b4848e2cba6b39368a19434cc43729cfe07aad6fdce531d2814",
+  "test_scope": "fidc-conversion-protection-check-20260914-51wBBB.scope",
+  "test_cpu_quota_percent": 400,
+  "test_memory_max_gib": 12,
+  "source_runtime_modified": false,
+  "production_order_or_cancel_requests_by_this_verification": 0,
+  "production_task_configuration_writes_by_this_verification": 0
+}

docs/expression-context-performance-20260913.md

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

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

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

docs/framework-execution-comparison-20260911.md

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