docs(perf): record expression context CPU and real HTTP parity evidence

crates/fidc-core/src/broker.rs

@@ -8324,7 +8324,7 @@ mod tests {
 
     fn limit_test_quote(last_price: f64, bid1: f64, ask1: f64) -> IntradayExecutionQuote {
         let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
-        IntradayExecutionQuote {
+        IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000001.SZ".to_string(),
             timestamp: date.and_hms_opt(9, 33, 0).expect("valid timestamp"),
@@ -11729,7 +11729,7 @@ mod tests {
             lower_limit: 5.27,
             price_tick: 0.01,
         };
-        let quote = IntradayExecutionQuote {
+        let quote = IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: symbol.to_string(),
             timestamp: date.and_hms_opt(10, 39, 59).expect("valid timestamp"),

crates/fidc-core/src/broker_stock_pool.rs

@@ -47,8 +47,10 @@ impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
         data: &DataSet,
         symbols: &BTreeSet<String>,
         execution_clock: Option<NaiveDateTime>,
-    ) -> Result<Vec<pool::MarketSnapshot>, BacktestError> {
+        cumulative_conditions: bool,
-        symbols
+    ) -> 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(|| {
@@ -134,11 +136,17 @@ impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
                         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,
-                        Some(quote.volume_delta as f64),
+                        totals.map(|total| total.0),
-                        Some(quote.amount_delta),
+                        totals.map(|total| total.1),
                         Some(quote.bid1),
                         Some(quote.ask1),
                         buy,
@@ -153,13 +161,24 @@ impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
                     }
                     // 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,
-                        completed.then_some(snapshot.volume as f64),
+                        if completed { Some(Decimal::from(snapshot.volume)) } else { totals.map(|total| total.0) },
+                        amount,
+                        None,
                         None,
-                        Some(price),
-                        Some(price),
                         self.snapshot_execution_price(data, snapshot, OrderSide::Buy, None)?,
                         self.snapshot_execution_price(data, snapshot, OrderSide::Sell, None)?,
                     )
@@ -168,8 +187,8 @@ impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
                     symbol: symbol.clone(),
                     last_price: decimal(price, "price")?,
                     prev_close: Some(decimal(prev, "prev_close")?),
-                    volume: volume.map(|v| decimal(v, "volume")).transpose()?,
+                    volume,
-                    turnover: amount.map(|v| decimal(v, "amount")).transpose()?,
+                    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")),
@@ -182,7 +201,8 @@ impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
                     sell_sizing_price: Some(decimal(sell_price, "sell_price")?),
                 })
             })
-            .collect()
+            .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> {
@@ -328,8 +348,8 @@ impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
                     fallback_references.insert(symbol.clone(), reference);
                 }
             }
-            let quotes =
+            let (quotes, unavailable) = self.pool_quote_inputs(date, data, &quote_scope, *global_execution_cursor,
-                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)
@@ -448,7 +468,11 @@ impl<C: CostModel, R: EquityRuleHooks> BrokerSimulator<C, R> {
                 Decimal::ZERO,
                 Some(&fee),
             )
-            .map_err(BacktestError::Execution)?;
+            .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)?;

crates/fidc-core/src/data.rs

@@ -284,6 +284,8 @@ pub struct CorporateAction {
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct IntradayExecutionQuote {
+    #[serde(default)]
+    pub observation_kind: QuoteObservationKind,
     #[serde(with = "date_format")]
     pub date: NaiveDate,
     pub symbol: String,
@@ -301,6 +303,14 @@ pub struct IntradayExecutionQuote {
     pub trading_phase: Option<String>,
 }
 
+#[derive(Debug, Clone, Copy, Default, PartialEq, Eq, Serialize, Deserialize)]
+#[serde(rename_all = "snake_case")]
+pub enum QuoteObservationKind {
+    #[default]
+    Unspecified,
+    MinuteBar,
+}
+
 /// Sparse same-day fields layered onto an already-built immutable daily panel.
 ///
 /// These fields do not participate in daily price series, adjustment series,
@@ -1407,6 +1417,7 @@ pub struct DataSet {
     corporate_actions_by_date: Arc<BTreeMap<NaiveDate, Vec<CorporateAction>>>,
     execution_quotes_by_date: Arc<HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>>,
     execution_quote_dates: Arc<Vec<NaiveDate>>,
+    condition_totals: Arc<std::sync::Mutex<crate::stock_pool_quote_facts::SessionTotalsCache>>,
     order_book_depth_index: Arc<HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>>,
     benchmark_by_date: Arc<BTreeMap<NaiveDate, BenchmarkSnapshot>>,
     market_series_by_symbol: Arc<AHashMap<String, Arc<SymbolPriceSeries>>>,
@@ -1575,48 +1586,15 @@ impl DataSet {
             benchmark_by_date: BTreeMap::new(),
             corporate_actions_by_date: BTreeMap::new(),
         };
-        for mut bundle in bundles {
+        // Indexed collection retains chronological error precedence while each
+        // worker validates and normalizes only its owned day buffers.
+        let prepared = bundles
+            .into_par_iter()
+            .map(normalize_daily_snapshot_bundle)
+            .collect::<Vec<_>>();
+        for bundle in prepared {
+            let bundle = bundle?;
             let date = bundle.date;
-            if bundle.benchmark.date != date {
-                return Err(DataSetError::InvalidDailyBundleComponentDate {
-                    kind: "benchmark",
-                    bundle_date: date,
-                    row_date: bundle.benchmark.date,
-                    symbol: bundle.benchmark.benchmark.clone(),
-                });
-            }
-            validate_daily_bundle_component_dates(
-                &bundle.market,
-                date,
-                "market",
-                |row| row.date,
-                |row| row.symbol.as_str(),
-            )?;
-            validate_daily_bundle_component_dates(
-                &bundle.factors,
-                date,
-                "factor",
-                |row| row.date,
-                |row| row.symbol.as_str(),
-            )?;
-            validate_daily_bundle_component_dates(
-                &bundle.candidates,
-                date,
-                "candidate",
-                |row| row.date,
-                |row| row.symbol.as_str(),
-            )?;
-            validate_daily_bundle_component_dates(
-                &bundle.corporate_actions,
-                date,
-                "corporate_action",
-                |row| row.date,
-                |row| row.symbol.as_str(),
-            )?;
-            sort_rows_by_symbol_if_needed(&mut bundle.market, |row| row.symbol.as_str());
-            bundle.factors = normalize_factor_snapshots(bundle.factors)?;
-            sort_rows_by_symbol_if_needed(&mut bundle.factors, |row| row.symbol.as_str());
-            sort_rows_by_symbol_if_needed(&mut bundle.candidates, |row| row.symbol.as_str());
             if !bundle.market.is_empty() {
                 grouped.market_by_date.insert(date, bundle.market);
             }
@@ -1941,6 +1919,7 @@ impl DataSet {
             candidate_row_positions_by_date: Arc::new(candidate_row_positions_by_date),
             corporate_actions_by_date: Arc::new(corporate_actions_by_date),
             execution_quotes_by_date: Arc::new(execution_quotes_by_date),
+            condition_totals: Arc::new(std::sync::Mutex::new(Default::default())),
             execution_quote_dates: Arc::new(execution_quote_dates),
             order_book_depth_index: Arc::new(order_book_depth_index),
             benchmark_by_date: Arc::new(benchmark_by_date),
@@ -2279,6 +2258,15 @@ impl DataSet {
             .unwrap_or(&[])
     }
 
+    pub fn execution_session_totals(&self, symbol: &str, at: NaiveDateTime) -> Result<(rust_decimal::Decimal, rust_decimal::Decimal), String> {
+        let mut cache = self.condition_totals.lock().map_err(|_| "stock_pool_session_prefix_cache_poisoned")?;
+        if cache.date != Some(at.date()) {
+            cache.date = Some(at.date());
+            cache.symbols.clear();
+        }
+        cache.symbols.entry(symbol.into()).or_insert_with(|| crate::stock_pool_quote_facts::MinutePrefix::build(at.date(), symbol, self.execution_quotes_on(at.date(), symbol))).at(at)
+    }
+
     pub fn has_execution_quotes_on_date(&self, date: NaiveDate) -> bool {
         self.execution_quotes_by_date
             .get(&date)
@@ -2451,6 +2439,7 @@ impl DataSet {
     /// Replaces the run-local execution quote layer without touching the
     /// immutable daily panel.
     pub fn replace_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
+        self.condition_totals = Arc::new(std::sync::Mutex::new(Default::default()));
         let execution_quotes_by_date = build_execution_quote_index(quotes);
         let quote_count = execution_quotes_by_date
             .values()
@@ -2466,6 +2455,7 @@ impl DataSet {
     }
 
     pub fn add_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
+        self.condition_totals = Arc::new(std::sync::Mutex::new(Default::default()));
         let mut grouped = HashMap::<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>::new();
         for quote in quotes {
             grouped
@@ -2566,6 +2556,7 @@ impl DataSet {
     }
 
     pub fn remove_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize {
+        self.condition_totals = Arc::new(std::sync::Mutex::new(Default::default()));
         let removed = Arc::make_mut(&mut self.execution_quotes_by_date).remove(&date);
         let Some(rows_by_symbol) = removed else {
             return 0;
@@ -2578,6 +2569,7 @@ impl DataSet {
     }
 
     pub fn release_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize {
+        self.condition_totals = Arc::new(std::sync::Mutex::new(Default::default()));
         let row_count = self
             .execution_quotes_by_date
             .get(&date)
@@ -4447,6 +4439,38 @@ fn normalize_history_frequency(frequency: &str) -> Option<String> {
     }
 }
 
+fn normalize_daily_snapshot_bundle(
+    mut bundle: DailySnapshotBundle,
+) -> Result<DailySnapshotBundle, DataSetError> {
+    let date = bundle.date;
+    if bundle.benchmark.date != date {
+        return Err(DataSetError::InvalidDailyBundleComponentDate {
+            kind: "benchmark",
+            bundle_date: date,
+            row_date: bundle.benchmark.date,
+            symbol: bundle.benchmark.benchmark.clone(),
+        });
+    }
+    validate_daily_bundle_component_dates(
+        &bundle.market, date, "market", |row| row.date, |row| row.symbol.as_str(),
+    )?;
+    validate_daily_bundle_component_dates(
+        &bundle.factors, date, "factor", |row| row.date, |row| row.symbol.as_str(),
+    )?;
+    validate_daily_bundle_component_dates(
+        &bundle.candidates, date, "candidate", |row| row.date, |row| row.symbol.as_str(),
+    )?;
+    validate_daily_bundle_component_dates(
+        &bundle.corporate_actions, date, "corporate_action", |row| row.date,
+        |row| row.symbol.as_str(),
+    )?;
+    sort_rows_by_symbol_if_needed(&mut bundle.market, |row| row.symbol.as_str());
+    bundle.factors = normalize_factor_snapshots(bundle.factors)?;
+    sort_rows_by_symbol_if_needed(&mut bundle.factors, |row| row.symbol.as_str());
+    sort_rows_by_symbol_if_needed(&mut bundle.candidates, |row| row.symbol.as_str());
+    Ok(bundle)
+}
+
 fn validate_daily_bundle_component_dates<T, D, S>(
     rows: &[T],
     bundle_date: NaiveDate,
@@ -5158,7 +5182,7 @@ mod tests {
             &run_data.execution_quote_dates
         ));
 
-        run_data.add_execution_quotes(vec![IntradayExecutionQuote {
+        run_data.add_execution_quotes(vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             timestamp: NaiveDateTime::parse_from_str("2025-01-02 10:18:00", "%Y-%m-%d %H:%M:%S")
                 .unwrap(),
@@ -5301,7 +5325,7 @@ mod tests {
             vec![benchmark_row("2025-01-02", 12.0)],
         )
         .unwrap();
-        let quote = IntradayExecutionQuote {
+        let quote = IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000001.SZ".to_string(),
             timestamp,
@@ -5403,7 +5427,7 @@ mod tests {
                 successor_cash: None,
             };
             corporate_actions.push(corporate_action.clone());
-            execution_quotes.push(IntradayExecutionQuote {
+            execution_quotes.push(IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbols[0].to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
@@ -5517,6 +5541,39 @@ mod tests {
         ));
     }
 
+    #[test]
+    fn parallel_daily_bundle_validation_keeps_earliest_error_and_component_order() {
+        let bundles = || (2..30).rev().map(|day| {
+            let date = NaiveDate::from_ymd_opt(2025, 1, day).unwrap();
+            let mut benchmark = benchmark_row("2025-01-01", 20.0);
+            benchmark.date = date;
+            DailySnapshotBundle {
+                date, benchmark,
+                market: vec![market_row("2025-01-01", 10.0, 100)],
+                factors: Vec::new(), candidates: Vec::new(), corporate_actions: Vec::new(),
+            }
+        }).collect::<Vec<_>>();
+        for threads in [1, 2, 8] {
+            let pool = rayon::ThreadPoolBuilder::new().num_threads(threads).build().unwrap();
+            for _ in 0..4 {
+                let result = pool.install(|| DataSet::from_daily_bundles_with_execution_quotes(
+                    Vec::new(), bundles(), Vec::new(),
+                ));
+                assert!(matches!(result, Err(DataSetError::InvalidDailyBundleComponentDate {
+                    kind: "market", bundle_date, ..
+                }) if bundle_date == NaiveDate::from_ymd_opt(2025, 1, 2).unwrap()));
+            }
+            let mut values = bundles();
+            values.last_mut().unwrap().benchmark.date = NaiveDate::from_ymd_opt(2025, 1, 1).unwrap();
+            let result = pool.install(|| DataSet::from_daily_bundles_with_execution_quotes(
+                Vec::new(), values, Vec::new(),
+            ));
+            assert!(matches!(result, Err(DataSetError::InvalidDailyBundleComponentDate {
+                kind: "benchmark", bundle_date, ..
+            }) if bundle_date == NaiveDate::from_ymd_opt(2025, 1, 2).unwrap()));
+        }
+    }
+
     #[test]
     fn direct_symbol_id_snapshot_lookups_preserve_alignment_for_sparse_rows() {
         let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
@@ -6114,7 +6171,7 @@ mod tests {
             vec![benchmark_row("2025-01-02", 12.0)],
         )
         .unwrap();
-        let quote = |symbol: &str, time: &str| IntradayExecutionQuote {
+        let quote = |symbol: &str, time: &str| IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             timestamp: NaiveDateTime::parse_from_str(
                 &format!("2025-01-02 {time}"),
@@ -6193,7 +6250,7 @@ mod tests {
     #[test]
     fn shared_execution_quote_release_does_not_clone_the_base_map() {
         let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
-        let quote = IntradayExecutionQuote {
+        let quote = IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             timestamp: NaiveDateTime::parse_from_str("2025-01-02 10:18:00", "%Y-%m-%d %H:%M:%S")
                 .unwrap(),

crates/fidc-core/src/engine.rs

@@ -746,6 +746,15 @@ where
         if self.execution_quote_loader.is_none() {
             return Ok(());
         }
+        let cumulative_conditions = decision.order_intents.iter().any(|intent| {
+            matches!(intent.unwrapped(), OrderIntent::StockPool { contract }
+                if crate::stock_pool_quote_facts::requires_session_totals(&contract.rule))
+        });
+        if cumulative_conditions && (self.broker.execution_price_field() != PriceField::Close
+            || start_time.is_some() || self.broker.intraday_execution_start_time().is_some()) {
+            let mut symbols = execution_quote_symbols_for_decision(decision, portfolio, open_orders);
+            self.load_missing_execution_quotes(execution_date, None, None, &mut symbols)?;
+        }
         let submission_time = start_time.or_else(|| self.broker.intraday_execution_start_time());
         let post_close_window = self.broker.post_close_execution_quote_window_for_order(
             execution_date,
@@ -5796,7 +5805,7 @@ mod tests {
     fn physical_on_day_rules_keep_each_actual_submission_time() {
         let date = d(2026, 7, 6);
         let quotes = vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: SYMBOL.to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).expect("morning timestamp"),
@@ -5809,7 +5818,7 @@ mod tests {
                 amount_delta: 110_000.0,
                 trading_phase: Some("continuous_auction".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: SYMBOL.to_string(),
                 timestamp: date.and_hms_opt(10, 19, 0).expect("future timestamp"),
@@ -5822,7 +5831,7 @@ mod tests {
                 amount_delta: 990_000.0,
                 trading_phase: Some("continuous_auction".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: SYMBOL.to_string(),
                 timestamp: date.and_hms_opt(15, 10, 0).expect("post-close timestamp"),
@@ -5950,7 +5959,7 @@ mod tests {
         let closing_only = matches!(scenario,2|3);
         let delayed = scenario == 4;
         let date = if closing_only { d(2026, 7, 6) } else if delayed { d(2026, 6, 2) } else { d(2026, 6, 1) };
-        let quote = |hour, minute, price| IntradayExecutionQuote {
+        let quote = |hour, minute, price| IntradayExecutionQuote { observation_kind: Default::default(),
             date, symbol: SYMBOL.into(), timestamp: date.and_hms_opt(hour, minute, 0).unwrap(),
             last_price: price, bid1: price, ask1: price, bid1_volume: 10_000, ask1_volume: 10_000,
             volume_delta: 10_000, amount_delta: price * 10_000.0, trading_phase: None,
@@ -6073,7 +6082,7 @@ mod tests {
             Ok(request
                 .symbols
                 .into_iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date: request.date,
                     symbol,
                     timestamp: request.date.and_hms_opt(15, 5, 0).expect("valid timestamp"),

crates/fidc-core/src/lib.rs

@@ -37,6 +37,7 @@ pub mod stock_pool_execution;
 pub mod stock_pool_index_policy;
 pub mod stock_pool_market_cap;
 pub mod stock_pool_state;
+pub mod stock_pool_quote_facts;
 pub mod signal_contract;
 pub mod strategy_ai;
 pub mod universe;

crates/fidc-core/src/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)?),
@@ -268,9 +273,15 @@ mod tests {
         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);
     }

crates/fidc-core/src/platform_expr_strategy.rs

@@ -27,6 +27,7 @@ use crate::numeric_expr_vm::{
     self, EvalError as NumericVmEvalError, Program as NumericVmProgram,
     Scratch as NumericVmScratch, Value as NumericVmValue, ValueType as NumericVmValueType,
 };
+use crate::numeric_factors::NumericFactorMap;
 use crate::portfolio::PortfolioState;
 use crate::holding_policy::{AutomaticTradeProtection, AutomaticTradePermission, HoldingLifecycleEvidence};
 
@@ -1010,7 +1011,7 @@ struct StockExpressionState {
     stock_volume_ma60: f64,
     stock_volume_ma100: f64,
     current_series_end: Option<usize>,
-    extra_factors: BTreeMap<String, f64>,
+    extra_factors: NumericFactorMap,
     extra_text_factors: BTreeMap<String, String>,
 }
 
@@ -4390,11 +4391,14 @@ impl PlatformExprStrategy {
                     .factor_snapshot_rows_on(date)
                     .iter()
                     .flat_map(|row| {
-                        row.extra_factors.keys().map(|key| key.to_string()).chain(
+                        row.extra_factors.keys().map(|key| key.as_ref()).chain(
                             row.adjustment_factor_backward1
-                                .map(|_| BACKWARD_ADJUSTMENT_FACTOR_FIELD.to_string()),
+                                .map(|_| BACKWARD_ADJUSTMENT_FACTOR_FIELD),
                         )
                     })
+                    .collect::<BTreeSet<_>>()
+                    .into_iter()
+                    .map(str::to_owned)
                     .collect()
             } else {
                 BTreeSet::new()
@@ -4403,7 +4407,10 @@ impl PlatformExprStrategy {
                 ctx.data
                     .factor_text_rows_on(date)
                     .iter()
-                    .map(|row| row.field.clone())
+                    .map(|row| row.field.as_str())
+                    .collect::<BTreeSet<_>>()
+                    .into_iter()
+                    .map(str::to_owned)
                     .collect()
             } else {
                 BTreeSet::new()
@@ -4896,10 +4903,10 @@ impl PlatformExprStrategy {
                     self.stock_extra_factor_map_required
                         || self.stock_extra_factor_identifiers.contains(field.as_ref())
                 })
-                .map(|(field, value)| (field.to_string(), *value))
+                .map(|(field, value)| (field.clone(), *value))
                 .collect()
         } else {
-            BTreeMap::new()
+            NumericFactorMap::new()
         };
         if !self.config.completed_session_factor_fields.is_empty() {
             let visible_date = completed_session_factor_date(
@@ -4914,7 +4921,7 @@ impl PlatformExprStrategy {
                         .and_then(|row| row.extra_factors.get(field.as_str()))
                         .copied()
                         .unwrap_or(f64::NAN);
-                    extra_factors.insert(field.clone(), value);
+                    extra_factors.insert(field.clone().into(), value);
                 }
             }
         }
@@ -4925,7 +4932,7 @@ impl PlatformExprStrategy {
                     .contains(BACKWARD_ADJUSTMENT_FACTOR_FIELD))
             && let Some(value) = factor.adjustment_factor_backward1
         {
-            extra_factors.insert(BACKWARD_ADJUSTMENT_FACTOR_FIELD.to_string(), value);
+            extra_factors.insert(BACKWARD_ADJUSTMENT_FACTOR_FIELD.into(), value);
         }
 
         let state = StockExpressionState {
@@ -5642,7 +5649,7 @@ impl PlatformExprStrategy {
                     Dynamic::from(stock.stock_volume_ma100),
                 );
                 for (key, value) in &stock.extra_factors {
-                    factors.insert(key.clone().into(), Dynamic::from(*value));
+                    factors.insert(key.as_ref().into(), Dynamic::from(*value));
                 }
                 for (key, value) in &stock.extra_text_factors {
                     factors.insert(key.clone().into(), Dynamic::from(value.clone()));
@@ -14546,6 +14553,7 @@ mod tests {
     use std::sync::Arc;
 
     use chrono::{NaiveDate, NaiveTime};
+    use rhai::{Dynamic, Map};
 
     use super::{
         CompiledRuntimeHelperArgs, PlatformAccountActionKind, PlatformExplicitActionStage,
@@ -14718,7 +14726,7 @@ mod tests {
         let date = d(2025, 1, 2);
         let symbol = "000001.SZ";
         let parts = single_symbol_platform_data(&[date], symbol).snapshot_components();
-        let quotes = [(10, 18, 9.5), (14, 59, 10.5)].into_iter().map(|(hour, minute, price)| IntradayExecutionQuote {
+        let quotes = [(10, 18, 9.5), (14, 59, 10.5)].into_iter().map(|(hour, minute, price)| IntradayExecutionQuote { observation_kind: Default::default(),
             date, symbol: symbol.to_string(), timestamp: date.and_hms_opt(hour, minute, 0).unwrap(),
             last_price: price, bid1: price, ask1: price, bid1_volume: 1000, ask1_volume: 1000,
             volume_delta: 1000, amount_delta: price * 1000.0, trading_phase: Some("continuous".to_string()),
@@ -17542,6 +17550,18 @@ mod tests {
             .stock_state_with_factor_date(&ctx, date, date, present_symbol)
             .expect("factor map stock state");
         assert!(map_stock.extra_factors.contains_key("unused_factor"));
+        let mut numeric_state = (*map_stock).clone();
+        numeric_state.extra_factors.insert("negative_zero".into(), -0.0);
+        numeric_state.extra_factors.insert("undefined_value".into(), f64::NAN);
+        let copied_state = numeric_state.clone();
+        assert_eq!(copied_state.extra_factors["negative_zero"].to_bits(), (-0.0_f64).to_bits());
+        assert!(copied_state.extra_factors["undefined_value"].is_nan());
+        let exposed = copied_state.extra_factors.iter()
+            .map(|(key, value)| (key.as_ref().into(), Dynamic::from(*value)))
+            .collect::<Map>();
+        assert_eq!(exposed["negative_zero"].as_float().unwrap().to_bits(), (-0.0_f64).to_bits());
+        assert!(exposed["undefined_value"].as_float().unwrap().is_nan());
+        assert!(!exposed.contains_key("missing_factor"));
         let map_day = map_strategy
             .day_state(&ctx, date)
             .expect("factor map day state");
@@ -17846,7 +17866,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
@@ -17989,7 +18009,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
@@ -18077,7 +18097,7 @@ mod tests {
             lower_limit: 4.50,
             price_tick: 0.01,
         };
-        let quote = IntradayExecutionQuote {
+        let quote = IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: symbol.to_string(),
             timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
@@ -18209,7 +18229,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
@@ -18454,7 +18474,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 39, 59).unwrap(),
@@ -18871,7 +18891,7 @@ mod tests {
             ],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date: first_date,
                     symbol: symbol.to_string(),
                     timestamp: first_date.and_hms_opt(10, 40, 0).expect("valid timestamp"),
@@ -18884,7 +18904,7 @@ mod tests {
                     amount_delta: 23_990.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date: second_date,
                     symbol: symbol.to_string(),
                     timestamp: second_date.and_hms_opt(10, 31, 0).expect("valid timestamp"),
@@ -19149,7 +19169,7 @@ mod tests {
             }],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: delayed_symbol.to_string(),
                     timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
@@ -19162,7 +19182,7 @@ mod tests {
                     amount_delta: 146_200.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: delayed_symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -19175,7 +19195,7 @@ mod tests {
                     amount_delta: 145_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: other_symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -19450,7 +19470,7 @@ mod tests {
             }],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: delayed_symbol.to_string(),
                     timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
@@ -19463,7 +19483,7 @@ mod tests {
                     amount_delta: 146_300.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: other_symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -19699,7 +19719,7 @@ mod tests {
             ],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date: first_date,
                     symbol: symbol.to_string(),
                     timestamp: first_date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
@@ -19712,7 +19732,7 @@ mod tests {
                     amount_delta: 56_450.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date: first_date,
                     symbol: symbol.to_string(),
                     timestamp: first_date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -19725,7 +19745,7 @@ mod tests {
                     amount_delta: 49_300.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date: second_date,
                     symbol: symbol.to_string(),
                     timestamp: second_date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
@@ -20027,7 +20047,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
@@ -20485,7 +20505,7 @@ mod tests {
             vec![candidate],
             vec![benchmark],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(9, 30, 0).expect("timestamp"),
@@ -20672,7 +20692,7 @@ mod tests {
             prev_close: 998.0,
             volume: 1_000_000,
         };
-        let quote = |date: NaiveDate, last_price: f64, volume_delta: u64| IntradayExecutionQuote {
+        let quote = |date: NaiveDate, last_price: f64, volume_delta: u64| IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: symbol.to_string(),
             timestamp: date.and_hms_opt(10, 15, 0).expect("timestamp"),
@@ -22285,7 +22305,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
@@ -22936,7 +22956,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
@@ -23090,7 +23110,7 @@ mod tests {
             }],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(9, 31, 0).expect("timestamp"),
@@ -23103,7 +23123,7 @@ mod tests {
                     amount_delta: 110_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
@@ -23247,7 +23267,7 @@ mod tests {
             }],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(9, 31, 0).expect("timestamp"),
@@ -23260,7 +23280,7 @@ mod tests {
                     amount_delta: 108_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
@@ -23404,7 +23424,7 @@ mod tests {
             }],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(9, 31, 0).expect("timestamp"),
@@ -23417,7 +23437,7 @@ mod tests {
                     amount_delta: 110_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
@@ -23574,7 +23594,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("timestamp"),
@@ -23889,7 +23909,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
@@ -24045,7 +24065,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 15, 0).expect("timestamp"),
@@ -24214,7 +24234,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 15, 0).expect("timestamp"),
@@ -24372,7 +24392,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(9, 33, 0).expect("valid timestamp"),
@@ -24494,7 +24514,7 @@ mod tests {
             }],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 40, 0).expect("valid timestamp"),
@@ -24507,7 +24527,7 @@ mod tests {
                     amount_delta: 1_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(14, 58, 59).expect("valid timestamp"),
@@ -24520,7 +24540,7 @@ mod tests {
                     amount_delta: 2_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.to_string(),
                     timestamp: date.and_hms_opt(14, 59, 2).expect("valid timestamp"),
@@ -24743,7 +24763,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 39, 59).unwrap(),
@@ -24980,7 +25000,7 @@ mod tests {
                 .collect(),
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date: execution_date,
                     symbol: limit_symbol.to_string(),
                     timestamp: execution_date
@@ -24995,7 +25015,7 @@ mod tests {
                     amount_delta: 233.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date: execution_date,
                     symbol: fallback_symbol.to_string(),
                     timestamp: execution_date
@@ -25233,7 +25253,7 @@ mod tests {
                 })
                 .collect(),
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date: execution_date,
                 symbol: candidate_symbol.to_string(),
                 timestamp: execution_date.and_hms_opt(9, 33, 0).unwrap(),
@@ -27761,7 +27781,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -28084,7 +28104,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -28242,7 +28262,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
@@ -28572,7 +28592,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
@@ -29342,7 +29362,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(9, 33, 0).expect("valid timestamp"),
@@ -29525,7 +29545,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -29736,7 +29756,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -29987,7 +30007,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -30203,7 +30223,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -30569,7 +30589,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -30750,7 +30770,7 @@ mod tests {
             }],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: delayed_symbol.to_string(),
                     timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
@@ -30763,7 +30783,7 @@ mod tests {
                     amount_delta: 105_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: delayed_symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -30776,7 +30796,7 @@ mod tests {
                     amount_delta: 90_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: held_symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -30789,7 +30809,7 @@ mod tests {
                     amount_delta: 100_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: buy_symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -30978,7 +30998,7 @@ mod tests {
             }],
             Vec::new(),
             vec![
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: delayed_symbol.to_string(),
                     timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
@@ -30991,7 +31011,7 @@ mod tests {
                     amount_delta: 4_200.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: held_symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -31004,7 +31024,7 @@ mod tests {
                     amount_delta: 100_000.0,
                     trading_phase: Some("continuous".to_string()),
                 },
-                IntradayExecutionQuote {
+                IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: buy_symbol.to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -31215,7 +31235,7 @@ mod tests {
                 .flat_map(|symbol| {
                     let mut quotes = Vec::new();
                     if *symbol == delayed_symbol {
-                        quotes.push(IntradayExecutionQuote {
+                        quotes.push(IntradayExecutionQuote { observation_kind: Default::default(),
                             date,
                             symbol: (*symbol).to_string(),
                             timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
@@ -31229,7 +31249,7 @@ mod tests {
                             trading_phase: Some("continuous".to_string()),
                         });
                     }
-                    quotes.push(IntradayExecutionQuote {
+                    quotes.push(IntradayExecutionQuote { observation_kind: Default::default(),
                         date,
                         symbol: (*symbol).to_string(),
                         timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -31455,7 +31475,7 @@ mod tests {
                 .flat_map(|symbol| {
                     let mut quotes = Vec::new();
                     if *symbol == delayed_symbol {
-                        quotes.push(IntradayExecutionQuote {
+                        quotes.push(IntradayExecutionQuote { observation_kind: Default::default(),
                             date,
                             symbol: (*symbol).to_string(),
                             timestamp: date.and_hms_opt(9, 31, 0).expect("valid timestamp"),
@@ -31469,7 +31489,7 @@ mod tests {
                             trading_phase: Some("continuous".to_string()),
                         });
                     }
-                    quotes.push(IntradayExecutionQuote {
+                    quotes.push(IntradayExecutionQuote { observation_kind: Default::default(),
                         date,
                         symbol: (*symbol).to_string(),
                         timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -32141,7 +32161,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(9, 33, 0).expect("valid timestamp"),
@@ -32430,7 +32450,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -32641,7 +32661,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: symbol.clone(),
                     timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -32848,7 +32868,7 @@ mod tests {
             Vec::new(),
             symbols
                 .iter()
-                .map(|symbol| IntradayExecutionQuote {
+                .map(|symbol| IntradayExecutionQuote { observation_kind: Default::default(),
                     date,
                     symbol: (*symbol).to_string(),
                     timestamp: date.and_hms_opt(14, 59, 0).expect("valid timestamp"),
@@ -32991,7 +33011,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).expect("valid timestamp"),
@@ -33214,7 +33234,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(9, 33, 0).expect("valid timestamp"),
@@ -33351,7 +33371,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: other_symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
@@ -33492,7 +33512,7 @@ mod tests {
                 volume: 1_000_000,
             }],
             Vec::new(),
-            vec![IntradayExecutionQuote {
+            vec![IntradayExecutionQuote { observation_kind: Default::default(),
                 date: decision_date,
                 symbol: other_symbol.to_string(),
                 timestamp: decision_date.and_hms_opt(10, 18, 0).unwrap(),

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/tests/decision_quote_preload.rs

@@ -196,7 +196,7 @@ fn engine_uses_preplanned_decision_symbols_without_recomputing_strategy_plan() {
             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)),
@@ -411,7 +411,7 @@ 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)),
@@ -556,7 +556,7 @@ 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 +569,7 @@ 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)),
@@ -826,7 +826,7 @@ 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/engine_hooks.rs

@@ -2209,7 +2209,7 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
         }],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000001.SZ".to_string(),
                 timestamp: dt(2025, 1, 2, 10, 18, 0),
@@ -2222,7 +2222,7 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
                 amount_delta: 10_200.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: dt(2025, 1, 2, 10, 18, 0),
@@ -2235,7 +2235,7 @@ fn engine_runs_minute_hooks_and_executes_minute_orders() {
                 amount_delta: 20_400.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000001.SZ".to_string(),
                 timestamp: dt(2025, 1, 2, 10, 19, 0),
@@ -2341,7 +2341,7 @@ fn engine_skips_empty_platform_style_minute_callbacks_between_schedule_times() {
     let date = d(2025, 1, 2);
     let mut data = single_day_anchor_data(date);
     data.add_execution_quotes(vec![
-        IntradayExecutionQuote {
+        IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000001.SZ".to_string(),
             timestamp: dt(2025, 1, 2, 10, 18, 0),
@@ -2354,7 +2354,7 @@ fn engine_skips_empty_platform_style_minute_callbacks_between_schedule_times() {
             amount_delta: 10_200.0,
             trading_phase: Some("continuous".to_string()),
         },
-        IntradayExecutionQuote {
+        IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000001.SZ".to_string(),
             timestamp: dt(2025, 1, 2, 10, 19, 0),
@@ -2519,7 +2519,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
     })
     .collect::<Vec<_>>();
     let quotes = vec![
-        IntradayExecutionQuote {
+        IntradayExecutionQuote { observation_kind: Default::default(),
             date: date2,
             symbol: "000001.SZ".to_string(),
             timestamp: dt(2025, 1, 3, 14, 30, 0),
@@ -2532,7 +2532,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
             amount_delta: 10_150.0,
             trading_phase: Some("continuous".to_string()),
         },
-        IntradayExecutionQuote {
+        IntradayExecutionQuote { observation_kind: Default::default(),
             date: date3,
             symbol: "000001.SZ".to_string(),
             timestamp: dt(2025, 1, 6, 10, 18, 0),
@@ -2545,7 +2545,7 @@ fn strategy_context_exposes_engine_native_data_helpers() {
             amount_delta: 10_250.0,
             trading_phase: Some("continuous".to_string()),
         },
-        IntradayExecutionQuote {
+        IntradayExecutionQuote { observation_kind: Default::default(),
             date: date3,
             symbol: "000001.SZ".to_string(),
             timestamp: dt(2025, 1, 6, 10, 19, 0),

crates/fidc-core/tests/explicit_order_flow.rs

@@ -146,7 +146,7 @@ fn intraday_liquidity_data(date: NaiveDate, symbol: &str) -> DataSet {
         }],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
@@ -159,7 +159,7 @@ fn intraday_liquidity_data(date: NaiveDate, symbol: &str) -> DataSet {
                 amount_delta: 10_000.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 19, 0).unwrap(),
@@ -172,7 +172,7 @@ fn intraday_liquidity_data(date: NaiveDate, symbol: &str) -> DataSet {
                 amount_delta: 10_000.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: symbol.to_string(),
                 timestamp: date.and_hms_opt(10, 20, 0).unwrap(),
@@ -373,7 +373,7 @@ fn broker_executes_explicit_order_value_buy() {
             volume: 1_000_000,
         }],
         Vec::new(),
-        vec![IntradayExecutionQuote {
+        vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000002.SZ".to_string(),
             timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
@@ -527,7 +527,7 @@ fn broker_delayed_limit_open_sell_uses_minute_price() {
             volume: 1_000_000,
         }],
         Vec::new(),
-        vec![IntradayExecutionQuote {
+        vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: symbol.to_string(),
             timestamp: date.and_hms_opt(9, 31, 0).unwrap(),
@@ -663,7 +663,7 @@ fn broker_executes_order_shares_and_order_lots() {
             volume: 1_000_000,
         }],
         Vec::new(),
-        vec![IntradayExecutionQuote {
+        vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000002.SZ".to_string(),
             timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
@@ -1104,7 +1104,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
         }],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(9, 31, 0).unwrap(),
@@ -1117,7 +1117,7 @@ fn broker_executes_target_portfolio_smart_with_algo_order_style() {
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(9, 35, 0).unwrap(),
@@ -1920,7 +1920,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
             volume: 1_000_000,
         }],
         Vec::new(),
-        vec![IntradayExecutionQuote {
+        vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000002.SZ".to_string(),
             timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
@@ -2153,7 +2153,7 @@ fn broker_executes_intraday_last_on_start_quote_with_trade_delta() {
             volume: 1_000_000,
         }],
         Vec::new(),
-        vec![IntradayExecutionQuote {
+        vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000002.SZ".to_string(),
             timestamp: date.and_hms_opt(9, 33, 0).unwrap(),
@@ -2273,7 +2273,7 @@ fn broker_cancels_market_order_remainder_when_intraday_quote_liquidity_exhausted
             volume: 1_000_000,
         }],
         Vec::new(),
-        vec![IntradayExecutionQuote {
+        vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000002.SZ".to_string(),
             timestamp: date.and_hms_opt(10, 18, 0).unwrap(),
@@ -2509,7 +2509,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
         }],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
@@ -2522,7 +2522,7 @@ fn broker_splits_intraday_quote_fills_and_tracks_commission_by_order() {
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 18, 6).unwrap(),
@@ -2682,7 +2682,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
         }],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
@@ -2695,7 +2695,7 @@ fn broker_aggregates_intraday_quote_fills_into_vwap_leg() {
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 18, 6).unwrap(),
@@ -2839,7 +2839,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
         }],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 17, 59).unwrap(),
@@ -2852,7 +2852,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
@@ -2865,7 +2865,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 18, 6).unwrap(),
@@ -2878,7 +2878,7 @@ fn broker_executes_algo_vwap_value_with_time_window() {
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 18, 40).unwrap(),
@@ -3001,7 +3001,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
         }],
         Vec::new(),
         vec![
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 0, 0).unwrap(),
@@ -3014,7 +3014,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 15, 0).unwrap(),
@@ -3027,7 +3027,7 @@ fn broker_executes_algo_twap_percent_across_window_quotes() {
                 amount_delta: 0.0,
                 trading_phase: Some("continuous".to_string()),
             },
-            IntradayExecutionQuote {
+            IntradayExecutionQuote { observation_kind: Default::default(),
                 date,
                 symbol: "000002.SZ".to_string(),
                 timestamp: date.and_hms_opt(10, 30, 0).unwrap(),
@@ -3165,7 +3165,7 @@ fn broker_uses_best_own_price_for_intraday_matching() {
             volume: 1_000_000,
         }],
         Vec::new(),
-        vec![IntradayExecutionQuote {
+        vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000002.SZ".to_string(),
             timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
@@ -3284,7 +3284,7 @@ fn broker_uses_best_counterparty_price_for_intraday_matching() {
             volume: 1_000_000,
         }],
         Vec::new(),
-        vec![IntradayExecutionQuote {
+        vec![IntradayExecutionQuote { observation_kind: Default::default(),
             date,
             symbol: "000002.SZ".to_string(),
             timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
@@ -4915,7 +4915,7 @@ fn two_day_limit_order_data(day1_open: f64, day2_open: f64) -> DataSet {
             },
         ],
         Vec::new(),
-        [(day1, day1_open), (day2, day2_open)].into_iter().map(|(date, price)| IntradayExecutionQuote {
+        [(day1, day1_open), (day2, day2_open)].into_iter().map(|(date, price)| IntradayExecutionQuote { observation_kind: Default::default(),
             date, symbol: "000002.SZ".into(), timestamp: date.and_hms_opt(9, 30, 0).unwrap(),
             last_price: price, bid1: price, ask1: price, bid1_volume: 0, ask1_volume: 0,
             volume_delta: 100_000, amount_delta: 100_000.0 * price,

crates/fidc-core/tests/intraday_history_performance.rs

@@ -55,7 +55,7 @@ fn dataset(day_count: usize, bars_per_day: usize) -> (DataSet, Vec<NaiveDate>) {
         let session_start = date.and_hms_opt(9, 30, 0).expect("valid session start");
         for offset in 0..bars_per_day {
             let timestamp = session_start + Duration::minutes(offset as i64);
-            quotes.push(IntradayExecutionQuote {
+            quotes.push(IntradayExecutionQuote { observation_kind: Default::default(),
                 date: *date,
                 symbol: SYMBOL.to_string(),
                 timestamp,

crates/fidc-core/tests/stock_pool_execution_contract.rs

@@ -7,6 +7,7 @@ use fidc_core::{
     PortfolioState, PriceField, StrategyDecision, platform_expr_config_from_value,
 };
 use rust_decimal::Decimal;
+use fidc_core::IntradayExecutionQuote;
 use std::collections::{BTreeMap, BTreeSet};
 
 fn day(n: u32) -> NaiveDate {
@@ -142,7 +143,7 @@ fn data_with_fund_rules(
             })
         })
         .collect();
-    let quotes = market.iter().filter(|row| row.symbol != "000300.SH").map(|row| fidc_core::IntradayExecutionQuote {
+    let quotes = market.iter().filter(|row| row.symbol != "000300.SH").map(|row| fidc_core::IntradayExecutionQuote { observation_kind: Default::default(),
         date: row.date, symbol: row.symbol.to_string(), timestamp: row.date.and_hms_opt(9, 30, 0).unwrap(),
         last_price: row.open, bid1: row.open, ask1: row.open, bid1_volume: 0, ask1_volume: 0,
         volume_delta: row.volume, amount_delta: row.open * row.volume as f64,
@@ -489,6 +490,72 @@ fn repeating_the_same_partial_exit_generation_does_not_reduce_again() {
     assert_eq!(new_signal.fill_events.iter().filter(|fill|fill.symbol==code(1)).map(|fill|fill.quantity).sum::<u32>(),300);
 }
 
+#[test]
+fn daily_execution_price_does_not_satisfy_an_unobserved_order_book_condition() {
+    let data = data(false);
+    for field in ["bid1", "ask1"] {
+        let broker = broker(false);
+        let mut account = PortfolioState::new(30000.);
+        let mut intent = contract(day(2), 1, false);
+        intent.rule.trigger_mode = "condition".into();
+        intent.rule.buy_condition = format!("{field}>0");
+        let result = broker.execute_with_event_dates(day(5), day(2), day(2), &mut account, &data, &decision(intent));
+        assert!(result.unwrap_err().to_string().contains(field));
+        assert!(account.positions().is_empty());
+        assert_eq!(account.cash(), 30000.);
+    }
+}
+
+#[test]
+fn cumulative_conditions_do_not_consume_future_bars_or_inflate_fill_capacity() {
+    let mut data = data(false);
+    let mut quotes = Vec::new();
+    for n in 1..=2 {
+        let price = if n == 1 {20.} else {10.};
+        for (minute, volume) in [(30,600), (31,0), (32,400)] {
+            quotes.push(IntradayExecutionQuote {
+                observation_kind: fidc_core::data::QuoteObservationKind::MinuteBar,
+                date: day(5), symbol: code(n), timestamp: day(5).and_hms_opt(9,minute,0).unwrap(),
+                last_price: price, bid1: 0., ask1: 0., bid1_volume: 0, ask1_volume: 0,
+                volume_delta: volume, amount_delta: volume as f64 * price, trading_phase: None,
+            });
+        }
+    }
+    data.replace_execution_quotes(quotes.clone());
+    let at = chrono::NaiveTime::from_hms_opt(9,32,0).unwrap();
+    for condition in ["volume>=1000", "amount>=20000"] {
+        let broker=broker(true).with_matching_type(MatchingType::MinuteLast).with_intraday_execution_start_time(at);
+        let mut account=PortfolioState::new(30000.);
+        let mut intent=contract(day(5),1,false);
+        intent.rule.buy_condition=condition.into();intent.rule.trigger_mode="condition".into();
+        let report=broker.execute_with_event_dates(day(5),day(5),day(5),&mut account,&data,&decision(intent)).unwrap();
+        assert_eq!(report.fill_events.iter().map(|fill|fill.quantity).sum::<u32>(),100,"{condition}: {report:?}");
+        assert_eq!(data.execution_quotes_on(day(5),&code(1))[2].volume_delta,400);
+    }
+    let mut future=quotes.last().unwrap().clone();future.symbol=code(1);future.timestamp=day(5).and_hms_opt(9,33,0).unwrap();future.volume_delta=9000;future.amount_delta=180000.;
+    data.add_execution_quotes(vec![future]);
+    let broker=broker(false).with_matching_type(MatchingType::MinuteLast).with_intraday_execution_start_time(at);
+    let mut account=PortfolioState::new(30000.);
+    let mut intent=contract(day(5),1,false);intent.rule.buy_condition="volume>1000".into();intent.rule.trigger_mode="condition".into();
+    let report=broker.execute_with_event_dates(day(5),day(5),day(5),&mut account,&data,&decision(intent)).unwrap();
+    assert!(report.fill_events.is_empty(),"future volume must not satisfy this signal: {report:?}");
+}
+
+#[test]
+fn session_total_cache_is_invalidated_without_mutating_other_dataset_clones() {
+    let mut original=data(false);
+    let quote=IntradayExecutionQuote { observation_kind:fidc_core::data::QuoteObservationKind::MinuteBar,date:day(5),symbol:code(1),timestamp:day(5).and_hms_opt(9,30,0).unwrap(),last_price:20.,bid1:0.,ask1:0.,bid1_volume:0,ask1_volume:0,volume_delta:100,amount_delta:2000.,trading_phase:None };
+    original.replace_execution_quotes(vec![quote.clone()]);
+    assert_eq!(original.execution_session_totals(&code(1),quote.timestamp).unwrap().0,Decimal::from(100));
+    let mut changed=original.clone();let mut next=quote.clone();next.timestamp=day(5).and_hms_opt(9,31,0).unwrap();
+    changed.add_execution_quotes(vec![next.clone()]);
+    assert_eq!(changed.execution_session_totals(&code(1),next.timestamp).unwrap().0,Decimal::from(200));
+    assert!(original.execution_session_totals(&code(1),next.timestamp).is_err());
+    changed.remove_execution_quotes_on_date(day(5));
+    assert!(changed.execution_session_totals(&code(1),quote.timestamp).is_err());
+    assert_eq!(original.execution_session_totals(&code(1),quote.timestamp).unwrap().0,Decimal::from(100));
+}
+
 #[test]
 fn parsed_pool_program_executes_daily_membership_changes_without_legacy_translation() {
     let intent = contract(day(2), 1, false);

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。