修复回报上下文与盘前意图并在提交前采用最新完整目标

crates/fidc-core/src/broker.rs

@@ -216,6 +216,9 @@ struct OpenOrder {
     commission_remaining: Option<f64>,
     execution_cursor: Option<NaiveDateTime>,
     reason: String,
+    algo_request: Option<AlgoExecutionRequest>,
+    value_budget: Option<f64>,
+    reserved_cash: Option<f64>,
 }
 
 #[derive(Debug, Clone, Copy)]
@@ -225,6 +228,13 @@ struct RestingOrderOrigin {
     accepted_date: NaiveDate,
 }
 
+#[derive(Clone, Copy, PartialEq, Eq)]
+enum BrokerCallbackPhase {
+    Normal,
+    ControlsOnly,
+    BeforeStrategy,
+}
+
 #[derive(Debug, Default)]
 struct BrokerExecutionSession {
     date: Option<NaiveDate>,
@@ -420,6 +430,15 @@ struct AlgoExecutionRequest {
     style: AlgoExecutionStyle,
     start_time: Option<NaiveTime>,
     end_time: Option<NaiveTime>,
+    total_quantity: Option<u32>,
+    filled_quantity: u32,
+    commission_remaining: Option<f64>,
+    order_id: Option<u64>,
+}
+
+struct RestoreCell<'a, T: Copy>(&'a Cell<T>, T);
+impl<T: Copy> Drop for RestoreCell<'_, T> {
+    fn drop(&mut self) { self.0.set(self.1); }
 }
 
 pub struct BrokerSimulator<C, R> {
@@ -450,6 +469,10 @@ pub struct BrokerSimulator<C, R> {
     intraday_execution_start_time: Option<NaiveTime>,
     runtime_intraday_start_time: Cell<Option<NaiveTime>>,
     runtime_intraday_end_time: Cell<Option<NaiveTime>>,
+    runtime_execution_clock: Cell<Option<NaiveTime>>,
+    runtime_callback_phase: Cell<BrokerCallbackPhase>,
+    runtime_algo_schedule: Cell<Option<AlgoExecutionRequest>>,
+    runtime_unprocessed_algorithm_cash: Cell<FixedMoney>,
     runtime_decision_date: Cell<Option<NaiveDate>>,
     runtime_buy_denials: RefCell<BTreeMap<String, String>>,
     runtime_auto_buy_denials: RefCell<BTreeMap<String, String>>,
@@ -494,6 +517,10 @@ impl<C, R> BrokerSimulator<C, R> {
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
+            runtime_execution_clock: Cell::new(None),
+            runtime_callback_phase: Cell::new(BrokerCallbackPhase::Normal),
+            runtime_algo_schedule: Cell::new(None),
+            runtime_unprocessed_algorithm_cash: Cell::new(FixedMoney::ZERO),
             runtime_decision_date: Cell::new(None),
             runtime_buy_denials: RefCell::new(BTreeMap::new()),
             runtime_auto_buy_denials: RefCell::new(BTreeMap::new()),
@@ -542,6 +569,10 @@ impl<C, R> BrokerSimulator<C, R> {
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
+            runtime_execution_clock: Cell::new(None),
+            runtime_callback_phase: Cell::new(BrokerCallbackPhase::Normal),
+            runtime_algo_schedule: Cell::new(None),
+            runtime_unprocessed_algorithm_cash: Cell::new(FixedMoney::ZERO),
             runtime_decision_date: Cell::new(None),
             runtime_buy_denials: RefCell::new(BTreeMap::new()),
             runtime_auto_buy_denials: RefCell::new(BTreeMap::new()),
@@ -726,6 +757,10 @@ impl<C, R> BrokerSimulator<C, R> {
             .or(self.intraday_execution_start_time)
     }
 
+    fn execution_clock(&self) -> Option<NaiveTime> {
+        self.runtime_execution_clock.get().or(self.runtime_intraday_start_time.get())
+    }
+
     fn order_origin(&self) -> (Option<NaiveDate>, Option<NaiveTime>) {
         self.runtime_resting_order_origin.get().map_or(
             (self.runtime_order_created_date.get(), self.submission_time()),
@@ -898,6 +933,7 @@ impl<C, R> BrokerSimulator<C, R> {
                 avg_price: 0.0,
                 transaction_cost: 0.0,
                 limit_price: order.limit_price,
+                reserved_cash: order.reserved_cash,
                 reason: order.reason.clone(),
             })
             .collect()
@@ -916,11 +952,12 @@ impl<C, R> BrokerSimulator<C, R> {
     fn resting_order_session_close(&self, date: NaiveDate, order: &OpenOrder) -> NaiveTime {
         let post_close = self.execution_phase_for_submission(date, order.order_created_date, order.submission_time)
             == EquityExecutionPhase::PostCloseFixedPrice;
-        NaiveTime::from_hms_opt(15, if post_close { 30 } else { 0 }, 0).expect("session end")
+        let close=NaiveTime::from_hms_opt(15, if post_close { 30 } else { 0 }, 0).expect("session end");
+        order.algo_request.and_then(|request|request.end_time).map_or(close,|end|end.min(close))
     }
 
     pub(crate) fn next_day_order_expiry(&self, date: NaiveDate) -> Option<NaiveTime> {
-        self.open_orders.borrow().iter().filter(|order| order.time_in_force == OrderTimeInForce::Day)
+        self.open_orders.borrow().iter().filter(|order| order.time_in_force == OrderTimeInForce::Day || order.algo_request.is_some())
             .map(|order| self.resting_order_session_close(date, order)).min()
     }
 }
@@ -1616,17 +1653,21 @@ where
                 self.deferred_stock_pools.borrow_mut().remove(&contract.pool_id);
             }
         }
-        self.process_open_orders(
-            date,
-            portfolio,
-            data,
-            &mut session.intraday_turnover,
-            &mut session.execution_cursors,
-            &mut session.global_execution_cursor,
-            &mut session.commission_state,
-            &mut report,
-        )?;
-        self.resume_stock_pool_executions(date, portfolio, data, session, &mut report)?;
+        if self.runtime_callback_phase.get() != BrokerCallbackPhase::ControlsOnly {
+            self.process_open_orders(
+                date,
+                portfolio,
+                data,
+                &mut session.intraday_turnover,
+                &mut session.execution_cursors,
+                &mut session.global_execution_cursor,
+                &mut session.commission_state,
+                &mut report,
+            )?;
+            if self.runtime_callback_phase.get() == BrokerCallbackPhase::Normal {
+                self.resume_stock_pool_executions(date, portfolio, data, session, &mut report)?;
+            }
+        }
         if !decision.order_intents.is_empty() {
             let mut ordered_intents = decision.order_intents.iter().collect::<Vec<_>>();
             if self.effective_rebalance_cash_mode() != RebalanceCashMode::PreOpenCash
@@ -1803,6 +1844,110 @@ where
         )
     }
 
+    #[allow(clippy::too_many_arguments)]
+    pub(crate) fn execute_controls_without_matching(
+        &self,
+        date: NaiveDate,
+        decision_date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        decision: &StrategyDecision,
+        clock: Option<NaiveTime>,
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        if decision.rebalance
+            || !decision.target_weights.is_empty()
+            || !decision.exit_symbols.is_empty()
+            || decision.order_intents.iter().any(|intent| {
+                !matches!(
+                    intent.unwrapped(),
+                    OrderIntent::CancelOrder { .. }
+                        | OrderIntent::CancelSymbol { .. }
+                        | OrderIntent::CancelAll { .. }
+                        | OrderIntent::ModifyOrder { .. }
+                )
+            })
+        {
+            return Err(BacktestError::Execution(
+                "non-matching control phase only accepts cancel or modify requests".into(),
+            ));
+        }
+        let _guard = RestoreCell(
+            &self.runtime_callback_phase,
+            self.runtime_callback_phase
+                .replace(BrokerCallbackPhase::ControlsOnly),
+        );
+        self.execute_between_with_event_dates(
+            date,
+            decision_date,
+            decision_date,
+            portfolio,
+            data,
+            decision,
+            clock,
+            clock,
+        )
+    }
+
+    #[allow(clippy::too_many_arguments)]
+    pub(crate) fn execute_coarse_at_clock(
+        &self,
+        date: NaiveDate,
+        decision_date: NaiveDate,
+        order_created_date: NaiveDate,
+        decision_total_equity: Option<f64>,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        decision: &StrategyDecision,
+        clock: Option<NaiveTime>,
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        // Advancing the engine clock must not turn a daily closing-bar order
+        // into an explicitly submitted post-close order.
+        let _clock_guard = RestoreCell(
+            &self.runtime_execution_clock,
+            self.runtime_execution_clock.replace(clock),
+        );
+        self.execute_between_with_event_dates_and_decision_equity(
+            date,
+            decision_date,
+            order_created_date,
+            decision_total_equity,
+            portfolio,
+            data,
+            decision,
+            None,
+            clock,
+        )
+    }
+
+    #[allow(clippy::too_many_arguments)]
+    pub(crate) fn execute_before_strategy_at_clock(
+        &self,
+        date: NaiveDate,
+        decision_date: NaiveDate,
+        order_created_date: NaiveDate,
+        decision_total_equity: Option<f64>,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        decision: &StrategyDecision,
+        clock: Option<NaiveTime>,
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        let _guard = RestoreCell(
+            &self.runtime_callback_phase,
+            self.runtime_callback_phase
+                .replace(BrokerCallbackPhase::BeforeStrategy),
+        );
+        self.execute_coarse_at_clock(
+            date,
+            decision_date,
+            order_created_date,
+            decision_total_equity,
+            portfolio,
+            data,
+            decision,
+            clock,
+        )
+    }
+
     pub fn execute_between_with_event_dates(
         &self,
         date: NaiveDate,
@@ -2682,18 +2827,26 @@ where
             let mut open_orders = self.open_orders.borrow_mut();
             std::mem::take(&mut *open_orders)
         };
+        let reserved=FixedMoney::checked_sum_f64(pending_orders.iter().filter_map(|order|order.reserved_cash))
+            .ok_or_else(||BacktestError::Execution("working order cash reservation is invalid".into()))?;
+        let _reservation_guard=RestoreCell(&self.runtime_unprocessed_algorithm_cash,
+            self.runtime_unprocessed_algorithm_cash.replace(reserved));
         for order in pending_orders {
+            if let Some(reserved)=order.reserved_cash {
+                self.runtime_unprocessed_algorithm_cash.set(self.runtime_unprocessed_algorithm_cash.get()
+                    .checked_sub(FixedMoney::from_f64(reserved).expect("validated reservation")).expect("reserved cash subset"));
+            }
             if self.matching_type == MatchingType::NextBarOpen && self.runtime_intraday_start_time.get().is_none()
-                && order.accepted_date == date {
+                && order.accepted_date == date && order.algo_request.is_none() {
                 self.open_orders.borrow_mut().push(order);
                 continue;
             }
             let close = self.resting_order_session_close(date, &order);
-            let clock = self.submission_time();
-            let past_day = order.time_in_force == OrderTimeInForce::Day
+            let clock = self.execution_clock().or(self.submission_time());
+            let past_day = (order.time_in_force == OrderTimeInForce::Day || order.algo_request.is_some())
                 && order.accepted_date < date;
             if past_day || clock.is_some_and(|time| time > close) {
-                if order.time_in_force == OrderTimeInForce::Day {
+                if order.time_in_force == OrderTimeInForce::Day || order.algo_request.is_some() {
                     Self::emit_resting_day_expiry(report, date, &order, order.filled_quantity);
                 } else {
                     self.open_orders.borrow_mut().push(order);
@@ -2730,7 +2883,18 @@ where
                 accepted_date: order.accepted_date,
             }));
             let previous_decision_date = self.runtime_decision_date.replace(order.decision_date);
-            let execution_result = self.process_limit_shares_internal(
+            let execution_result = if let Some(mut algorithm)=order.algo_request {
+                algorithm.total_quantity=Some(order.requested_quantity);
+                algorithm.filled_quantity=order.filled_quantity;
+                algorithm.commission_remaining=order.commission_remaining;
+                if order.side==OrderSide::Buy {
+                    self.process_buy(date,portfolio,data,&order.symbol,order.remaining_quantity,order.order_id,&order.reason,
+                        intraday_turnover,execution_cursors,global_execution_cursor,commission_state,order.value_budget,None,false,false,Some(&algorithm),report)
+                } else {
+                    self.process_sell(date,portfolio,data,&order.symbol,order.remaining_quantity,order.order_id,&order.reason,
+                        intraday_turnover,execution_cursors,global_execution_cursor,commission_state,None,false,false,Some(&algorithm),report)
+                }
+            } else { self.process_limit_shares_internal(
                 date,
                 portfolio,
                 data,
@@ -2745,7 +2909,7 @@ where
                 global_execution_cursor,
                 commission_state,
                 report,
-            );
+            ) };
             self.runtime_time_in_force.set(previous_time_in_force);
             self.runtime_resting_order_origin.set(previous_origin);
             self.runtime_decision_date.set(previous_decision_date);
@@ -2843,7 +3007,8 @@ where
     }
 
     fn emit_resting_day_expiry(report: &mut BrokerExecutionReport, date: NaiveDate, order: &OpenOrder, filled: u32) {
-        let detail = format!("DAY order expired at market close: {} remaining_quantity={}", order.symbol, order.requested_quantity.saturating_sub(filled));
+        let label=if order.algo_request.is_some() {"algorithm execution window expired"} else {"DAY order expired at market close"};
+        let detail = format!("{label}: {} remaining_quantity={}", order.symbol, order.requested_quantity.saturating_sub(filled));
         report.order_events.push(OrderEvent {
             date, decision_date: order.decision_date, order_created_date: order.order_created_date,
             execution_date: Some(date), order_id: Some(order.order_id), symbol: order.symbol.clone(),
@@ -2929,6 +3094,11 @@ where
 
         let target_total_quantity = new_total_quantity.unwrap_or(existing.requested_quantity);
         let target_limit_price = new_limit_price.unwrap_or(existing.limit_price);
+        if existing.algo_request.is_some() {
+            Self::emit_open_order_update_rejected(report,date,order_id,Some(&existing.symbol),Some(existing.side),reason,
+                "algorithm schedule is immutable; cancel it before submitting a different schedule");
+            return;
+        }
         if target_total_quantity == existing.requested_quantity
             && target_limit_price.to_bits() == existing.limit_price.to_bits()
         {
@@ -3898,6 +4068,10 @@ where
                 },
                 start_time: *start_time,
                 end_time: *end_time,
+                total_quantity: None,
+                filled_quantity: 0,
+                commission_remaining: None,
+                order_id: None,
             }),
             _ => None,
         };
@@ -4173,9 +4347,8 @@ where
             return self.execution_limit_check_price(snapshot, side);
         }
         let matching_type = self.matching_type_for_algo_request(algo_request);
-        let start_cursor = algo_request
-            .and_then(|request| request.start_time)
-            .or(self.runtime_intraday_start_time.get())
+        let start_cursor = self.execution_clock()
+            .or_else(||algo_request.and_then(|request| request.start_time))
             .or(self.intraday_execution_start_time)
             .map(|start_time| date.and_time(start_time));
         self.latest_known_quote_at_or_before(
@@ -4187,7 +4360,9 @@ where
             false,
         )
         .and_then(|quote| self.select_quote_reference_price(snapshot, quote, side, matching_type))
-        .unwrap_or_else(|| self.execution_limit_check_price(snapshot, side))
+        .unwrap_or_else(|| if algo_request.is_some() && self.execution_clock().is_some() {
+            f64::NAN
+        } else {self.execution_limit_check_price(snapshot, side)})
     }
 
     #[cfg(test)]
@@ -4534,6 +4709,8 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
+        let algorithm = self.normalized_algorithm(date, requested_qty, order_id, commission_state.get(&order_id).copied(), algo_request);
+        let algo_request = algorithm.as_ref();
         // Existing accepted orders are not canceled by a subsequently enabled lock.
         if emit_creation_events && self.runtime_auto_sell_denials.borrow().contains_key(symbol) {
             return Ok(());
@@ -4768,6 +4945,9 @@ where
                         time_in_force: Self::pending_time_in_force(remainder_policy),
                         commission_remaining: commission_state.get(&order_id).copied(),
                         execution_cursor: execution_cursors.get(symbol).copied(),
+                        algo_request: None,
+                        value_budget: None,
+                        reserved_cash: None,
                         reason: reason.to_string(),
                     });
                     // Waiting without a fill is not a new order-state transition.
@@ -4859,6 +5039,9 @@ where
                     time_in_force: Self::pending_time_in_force(remainder_policy),
                     commission_remaining: commission_state.get(&order_id).copied(),
                     execution_cursor: execution_cursors.get(symbol).copied(),
+                    algo_request: None,
+                    value_budget: None,
+                    reserved_cash: None,
                     reason: reason.to_string(),
                 });
                 // Waiting without a fill is not a new order-state transition.
@@ -4976,8 +5159,8 @@ where
                             price: execution_price,
                             mark_price: self.snapshot_mark_price(snapshot, OrderSide::Sell),
                             quantity: fillable_qty,
-                            execution_start_timestamp: None,
-                            execution_timestamp: None,
+                            execution_start_timestamp: self.runtime_execution_clock.get().map(|time|date.and_time(time)),
+                            execution_timestamp: self.runtime_execution_clock.get().map(|time|date.and_time(time)),
                         }],
                         None,
                         Vec::new(),
@@ -5014,8 +5197,9 @@ where
             let detail = partial_fill_reason
                 .as_deref()
                 .unwrap_or("limit price not marketable yet");
-            if Self::keeps_remainder_open(remainder_policy)
-                && Self::limit_order_can_remain_open(Some(detail))
+            if (Self::keeps_remainder_open(remainder_policy)
+                && Self::limit_order_can_remain_open(Some(detail)))
+                || self.algorithm_still_working(algo_request, Some(detail))
             {
                 self.upsert_open_order(OpenOrder {
                     order_id,
@@ -5028,10 +5212,13 @@ where
                     requested_quantity: requested_qty,
                     filled_quantity: 0,
                     remaining_quantity: requested_qty,
-                    limit_price: limit_price.expect("limit price for pending limit sell"),
-                    time_in_force: Self::pending_time_in_force(remainder_policy),
+                    limit_price: if algo_request.is_some() {limit_price.unwrap_or(0.0)} else {limit_price.expect("limit price for pending limit sell")},
+                    time_in_force: if algo_request.is_some() {self.runtime_time_in_force.get().unwrap_or(OrderTimeInForce::Day)} else {Self::pending_time_in_force(remainder_policy)},
                     commission_remaining: commission_state.get(&order_id).copied(),
                     execution_cursor: execution_cursors.get(symbol).copied(),
+                    algo_request: Self::progressed_algorithm(algo_request, 0, commission_state.get(&order_id).copied()),
+                    value_budget: None,
+                    reserved_cash: None,
                     reason: reason.to_string(),
                 });
                 // Waiting without a fill is not a new order-state transition.
@@ -5072,7 +5259,7 @@ where
                 side: OrderSide::Sell,
                 requested_quantity: requested_qty,
                 filled_quantity: 0,
-                status: zero_fill_status_for_reason(detail),
+                status: self.unfilled_algorithm_status(algo_request, detail),
                 reason: format!("{reason}: {detail}"),
             });
             Self::emit_order_process_event(
@@ -5084,7 +5271,7 @@ where
                 OrderSide::Sell,
                 format!(
                     "status={:?} reason={detail}",
-                    zero_fill_status_for_reason(detail)
+                    self.unfilled_algorithm_status(algo_request, detail)
                 ),
             );
             self.clear_open_order(order_id);
@@ -5185,9 +5372,10 @@ where
         *intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
 
         let remaining_qty = requested_qty.saturating_sub(filled_qty);
-        let keep_open = Self::keeps_remainder_open(remainder_policy)
+        let keep_open = (Self::keeps_remainder_open(remainder_policy)
             && remaining_qty > 0
-            && Self::limit_order_can_remain_open(partial_fill_reason.as_deref());
+            && Self::limit_order_can_remain_open(partial_fill_reason.as_deref()))
+            || (remaining_qty > 0 && self.algorithm_still_working(algo_request,partial_fill_reason.as_deref()));
         if keep_open {
             self.upsert_open_order(OpenOrder {
                 order_id,
@@ -5200,10 +5388,13 @@ where
                 requested_quantity: requested_qty,
                 filled_quantity: filled_qty,
                 remaining_quantity: remaining_qty,
-                limit_price: limit_price.expect("limit price for pending limit sell"),
-                time_in_force: Self::pending_time_in_force(remainder_policy),
+                limit_price: if algo_request.is_some() {limit_price.unwrap_or(0.0)} else {limit_price.expect("limit price for pending limit sell")},
+                time_in_force: if algo_request.is_some() {self.runtime_time_in_force.get().unwrap_or(OrderTimeInForce::Day)} else {Self::pending_time_in_force(remainder_policy)},
                 commission_remaining: commission_state.get(&order_id).copied(),
                 execution_cursor: execution_cursors.get(symbol).copied(),
+                algo_request: Self::progressed_algorithm(algo_request, filled_qty, commission_state.get(&order_id).copied()),
+                value_budget: None,
+                reserved_cash: None,
                 reason: reason.to_string(),
             });
         } else {
@@ -5213,7 +5404,7 @@ where
         let status = if keep_open {
             OrderStatus::PartiallyFilled
         } else if filled_qty < requested_qty {
-            OrderStatus::Canceled
+            if self.algorithm_window_expired(algo_request, partial_fill_reason.as_deref().unwrap_or("")) {OrderStatus::Expired} else {OrderStatus::Canceled}
         } else {
             OrderStatus::Filled
         };
@@ -5250,7 +5441,7 @@ where
             status,
             reason: order_reason,
         });
-        if matches!(status, OrderStatus::Canceled | OrderStatus::Rejected) {
+        if matches!(status, OrderStatus::Canceled | OrderStatus::Rejected | OrderStatus::Expired) {
             Self::emit_order_process_event(
                 report,
                 date,
@@ -5399,6 +5590,10 @@ where
             },
             start_time,
             end_time,
+            total_quantity: None,
+            filled_quantity: 0,
+            commission_remaining: None,
+            order_id: None,
         };
 
         if target_value <= f64::EPSILON {
@@ -6080,12 +6275,19 @@ where
             },
             start_time,
             end_time,
+            total_quantity: None,
+            filled_quantity: 0,
+            commission_remaining: None,
+            order_id: None,
         };
         if value > 0.0 {
             let round_lot = self.round_lot(data, symbol);
             let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
             let order_step_size = self.order_step_size(data, symbol);
-            let price = self.sizing_price(snapshot);
+            let price = self.execution_order_limit_check_price(date, data, symbol, snapshot, OrderSide::Buy, Some(&algo_request));
+            if !price.is_finite() || price <= 0.0 {
+                return Err(BacktestError::MissingPrice {date, symbol:symbol.to_string(), field:"algorithm_submission_price"});
+            }
             let snapshot_requested_qty = self.value_buy_quantity(
                 date,
                 value.abs(),
@@ -6126,7 +6328,10 @@ where
                 report,
             )
         } else {
-            let price = self.sizing_price(snapshot);
+            let price = self.execution_order_limit_check_price(date, data, symbol, snapshot, OrderSide::Sell, Some(&algo_request));
+            if !price.is_finite() || price <= 0.0 {
+                return Err(BacktestError::MissingPrice {date, symbol:symbol.to_string(), field:"algorithm_submission_price"});
+            }
             let requested_qty = self.round_buy_quantity(
                 (value.abs() / price).floor() as u32,
                 self.minimum_order_quantity(data, symbol),
@@ -6337,6 +6542,9 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
+        let algorithm = self.normalized_algorithm(date, requested_qty, order_id, commission_state.get(&order_id).copied(), algo_request);
+        let algo_request = algorithm.as_ref();
+        let fill_start = report.fill_events.len();
         if emit_creation_events && self.runtime_auto_buy_denials.borrow().contains_key(symbol) {
             return Ok(());
         }
@@ -6592,6 +6800,9 @@ where
                         time_in_force: Self::pending_time_in_force(remainder_policy),
                         commission_remaining: commission_state.get(&order_id).copied(),
                         execution_cursor: execution_cursors.get(symbol).copied(),
+                        algo_request: None,
+                        value_budget: None,
+                        reserved_cash: None,
                         reason: reason.to_string(),
                     });
                     // Waiting without a fill is not a new order-state transition.
@@ -6651,13 +6862,14 @@ where
             }
         };
         let value_gross_limit = self.value_buy_gross_limit(value_budget);
+        let available_cash=self.cash_after_algorithm_reservations(portfolio.cash(),Some(order_id))?;
         let buy_cash_limit = if self.strict_value_budget {
             value_budget
                 .filter(|budget| budget.is_finite() && *budget > 0.0)
-                .map(|budget| portfolio.cash().min(budget))
-                .unwrap_or_else(|| portfolio.cash())
+                .map(|budget| available_cash.min(budget))
+                .unwrap_or(available_cash)
         } else {
-            portfolio.cash()
+            available_cash
         };
 
         let fill = self.resolve_execution_fill(
@@ -6779,8 +6991,8 @@ where
                                     price: execution_price,
                                     mark_price: self.snapshot_mark_price(snapshot, OrderSide::Buy),
                                     quantity: filled_qty,
-                                    execution_start_timestamp: None,
-                                    execution_timestamp: None,
+                                    execution_start_timestamp: self.runtime_execution_clock.get().map(|time|date.and_time(time)),
+                                    execution_timestamp: self.runtime_execution_clock.get().map(|time|date.and_time(time)),
                                 }],
                                 None,
                                 Vec::new(),
@@ -6814,8 +7026,9 @@ where
             let detail = partial_fill_reason
                 .as_deref()
                 .unwrap_or("insufficient cash after fees");
-            if Self::keeps_remainder_open(remainder_policy)
-                && Self::limit_order_can_remain_open(Some(detail))
+            if (Self::keeps_remainder_open(remainder_policy)
+                && Self::limit_order_can_remain_open(Some(detail)))
+                || self.algorithm_still_working(algo_request,Some(detail))
             {
                 self.upsert_open_order(OpenOrder {
                     order_id,
@@ -6828,10 +7041,13 @@ where
                     requested_quantity: requested_qty,
                     filled_quantity: 0,
                     remaining_quantity: requested_qty,
-                    limit_price: limit_price.expect("limit price for pending limit buy"),
-                    time_in_force: Self::pending_time_in_force(remainder_policy),
+                    limit_price: if algo_request.is_some() {limit_price.unwrap_or(0.0)} else {limit_price.expect("limit price for pending limit buy")},
+                    time_in_force: if algo_request.is_some() {self.runtime_time_in_force.get().unwrap_or(OrderTimeInForce::Day)} else {Self::pending_time_in_force(remainder_policy)},
                     commission_remaining: commission_state.get(&order_id).copied(),
                     execution_cursor: execution_cursors.get(symbol).copied(),
+                    algo_request: Self::progressed_algorithm(algo_request, 0, commission_state.get(&order_id).copied()),
+                    value_budget: if algo_request.is_some() {value_budget} else {None},
+                    reserved_cash: if algo_request.is_some() {Some(self.algorithm_cash_reservation(date,value_budget,requested_qty,size_check_price,order_id,commission_state.get(&order_id).copied(),data.instruments().get(symbol),portfolio.cash())?)} else {None},
                     reason: reason.to_string(),
                 });
                 // Waiting without a fill is not a new order-state transition.
@@ -6872,7 +7088,7 @@ where
                 side: OrderSide::Buy,
                 requested_quantity: requested_qty,
                 filled_quantity: 0,
-                status: zero_fill_status_for_reason(detail),
+                status: self.unfilled_algorithm_status(algo_request, detail),
                 reason: format!("{reason}: {detail}"),
             });
             Self::emit_order_process_event(
@@ -6884,7 +7100,7 @@ where
                 OrderSide::Buy,
                 format!(
                     "status={:?} reason={detail}",
-                    zero_fill_status_for_reason(detail)
+                    self.unfilled_algorithm_status(algo_request, detail)
                 ),
             );
             self.clear_open_order(order_id);
@@ -6987,9 +7203,10 @@ where
         *intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
 
         let remaining_qty = requested_qty.saturating_sub(filled_qty);
-        let keep_open = Self::keeps_remainder_open(remainder_policy)
+        let keep_open = (Self::keeps_remainder_open(remainder_policy)
             && remaining_qty > 0
-            && Self::limit_order_can_remain_open(partial_fill_reason.as_deref());
+            && Self::limit_order_can_remain_open(partial_fill_reason.as_deref()))
+            || (remaining_qty > 0 && self.algorithm_still_working(algo_request,partial_fill_reason.as_deref()));
         if keep_open {
             self.upsert_open_order(OpenOrder {
                 order_id,
@@ -7002,10 +7219,13 @@ where
                 requested_quantity: requested_qty,
                 filled_quantity: filled_qty,
                 remaining_quantity: remaining_qty,
-                limit_price: limit_price.expect("limit price for pending limit buy"),
-                time_in_force: Self::pending_time_in_force(remainder_policy),
+                limit_price: if algo_request.is_some() {limit_price.unwrap_or(0.0)} else {limit_price.expect("limit price for pending limit buy")},
+                time_in_force: if algo_request.is_some() {self.runtime_time_in_force.get().unwrap_or(OrderTimeInForce::Day)} else {Self::pending_time_in_force(remainder_policy)},
                 commission_remaining: commission_state.get(&order_id).copied(),
                 execution_cursor: execution_cursors.get(symbol).copied(),
+                algo_request: Self::progressed_algorithm(algo_request, filled_qty, commission_state.get(&order_id).copied()),
+                value_budget: if algo_request.is_some() {self.remaining_algorithm_budget(value_budget,&report.fill_events[fill_start..])?} else {None},
+                reserved_cash: if algo_request.is_some() {Some(self.algorithm_cash_reservation(date,self.remaining_algorithm_budget(value_budget,&report.fill_events[fill_start..])?,remaining_qty,size_check_price,order_id,commission_state.get(&order_id).copied(),data.instruments().get(symbol),portfolio.cash())?)} else {None},
                 reason: reason.to_string(),
             });
         } else {
@@ -7015,7 +7235,7 @@ where
         let status = if keep_open {
             OrderStatus::PartiallyFilled
         } else if filled_qty < requested_qty {
-            OrderStatus::Canceled
+            if self.algorithm_window_expired(algo_request, partial_fill_reason.as_deref().unwrap_or("")) {OrderStatus::Expired} else {OrderStatus::Canceled}
         } else {
             OrderStatus::Filled
         };
@@ -7052,7 +7272,7 @@ where
             status,
             reason: order_reason,
         });
-        if matches!(status, OrderStatus::Canceled | OrderStatus::Rejected) {
+        if matches!(status, OrderStatus::Canceled | OrderStatus::Rejected | OrderStatus::Expired) {
             Self::emit_order_process_event(
                 report,
                 date,
@@ -7569,6 +7789,192 @@ where
         })
     }
 
+    fn normalized_algorithm(
+        &self,
+        date: NaiveDate,
+        quantity: u32,
+        order_id: u64,
+        commission: Option<f64>,
+        request: Option<&AlgoExecutionRequest>,
+    ) -> Option<AlgoExecutionRequest> {
+        request
+            .copied()
+            .or_else(|| {
+                (self.matching_type == MatchingType::Vwap).then_some(AlgoExecutionRequest {
+                    style: AlgoExecutionStyle::Vwap,
+                    start_time: self.submission_time(),
+                    end_time: None,
+                    total_quantity: None,
+                    filled_quantity: 0,
+                    commission_remaining: None,
+                    order_id: None,
+                })
+            })
+            .map(|mut request| {
+                request.total_quantity.get_or_insert(quantity);
+                request.order_id = Some(order_id);
+                request.commission_remaining = commission;
+                if request.start_time.is_none() {
+                    request.start_time = self.execution_clock().or(self.submission_time());
+                }
+                if request.end_time.is_none() && request.style == AlgoExecutionStyle::Vwap {
+                    request.end_time = Some(
+                        self.post_close_execution_window(date)
+                            .map(|(_, end)| end.time())
+                            .unwrap_or_else(|| {
+                                NaiveTime::from_hms_opt(15, 0, 0).expect("cash session close")
+                            }),
+                    );
+                }
+                request
+            })
+    }
+
+    fn cash_after_algorithm_reservations(
+        &self,
+        cash: f64,
+        except: Option<u64>,
+    ) -> Result<f64, BacktestError> {
+        let reserved = FixedMoney::checked_sum_f64(
+            self.open_orders
+                .borrow()
+                .iter()
+                .filter(|order| except != Some(order.order_id))
+                .filter_map(|order| order.reserved_cash),
+        )
+        .and_then(|amount| amount.checked_add(self.runtime_unprocessed_algorithm_cash.get()))
+        .ok_or_else(|| BacktestError::Execution("algorithm reserved cash overflow".into()))?;
+        FixedMoney::from_f64(cash)
+            .and_then(|cash| cash.checked_sub(reserved))
+            .map(|available| available.max(FixedMoney::ZERO).to_f64())
+            .ok_or_else(|| BacktestError::Execution("algorithm available cash is invalid".into()))
+    }
+
+    #[allow(clippy::too_many_arguments)]
+    fn algorithm_cash_reservation(
+        &self,
+        date: NaiveDate,
+        budget: Option<f64>,
+        quantity: u32,
+        price: f64,
+        order_id: u64,
+        commission: Option<f64>,
+        instrument: Option<&Instrument>,
+        cash: f64,
+    ) -> Result<f64, BacktestError> {
+        let available = self.cash_after_algorithm_reservations(cash, Some(order_id))?;
+        if let Some(budget) = budget.filter(|_| self.strict_value_budget) {
+            return Ok(budget.min(available));
+        }
+        let gross = budget.unwrap_or(price * f64::from(quantity));
+        if !gross.is_finite() || gross < 0. {
+            return Err(BacktestError::Execution(
+                "algorithm reservation requires a current price or explicit value budget".into(),
+            ));
+        }
+        let mut state = commission
+            .map(|left| (order_id, left))
+            .into_iter()
+            .collect();
+        let cost = self.cost_model.calculate_with_order_state_for_instrument(
+            date,
+            OrderSide::Buy,
+            gross,
+            Some(order_id),
+            &mut state,
+            instrument,
+        );
+        FixedMoney::checked_sum_f64([gross, cost.total()])
+            .map(|amount| amount.to_f64().min(available))
+            .ok_or_else(|| BacktestError::Execution("algorithm cash reservation overflow".into()))
+    }
+
+    fn algorithm_still_working(
+        &self,
+        request: Option<&AlgoExecutionRequest>,
+        reason: Option<&str>,
+    ) -> bool {
+        request.is_some_and(|request| {
+            self.runtime_intraday_end_time
+                .get()
+                .zip(request.end_time)
+                .is_some_and(|(clock, end)| clock < end)
+        }) && self
+            .runtime_time_in_force
+            .get()
+            .is_none_or(|tif| matches!(tif, OrderTimeInForce::Day | OrderTimeInForce::Gtc))
+            && Self::limit_order_can_remain_open(reason)
+    }
+
+    fn unfilled_algorithm_status(
+        &self,
+        request: Option<&AlgoExecutionRequest>,
+        reason: &str,
+    ) -> OrderStatus {
+        if self.algorithm_window_expired(request, reason) {
+            OrderStatus::Expired
+        } else {
+            zero_fill_status_for_reason(reason)
+        }
+    }
+
+    fn algorithm_window_expired(
+        &self,
+        request: Option<&AlgoExecutionRequest>,
+        reason: &str,
+    ) -> bool {
+        request.is_some_and(|request| {
+            self.runtime_intraday_end_time
+                .get()
+                .zip(request.end_time)
+                .is_some_and(|(clock, end)| clock >= end)
+        }) && matches!(
+            reason,
+            "intraday quote liquidity exhausted"
+                | "no execution quotes after start"
+                | "no execution quotes at or before start"
+        )
+    }
+
+    fn progressed_algorithm(
+        request: Option<&AlgoExecutionRequest>,
+        filled: u32,
+        commission: Option<f64>,
+    ) -> Option<AlgoExecutionRequest> {
+        request.copied().map(|mut request| {
+            request.filled_quantity = request.filled_quantity.saturating_add(filled);
+            request.commission_remaining = commission;
+            request
+        })
+    }
+
+    fn remaining_algorithm_budget(
+        &self,
+        budget: Option<f64>,
+        fills: &[FillEvent],
+    ) -> Result<Option<f64>, BacktestError> {
+        let Some(budget) = budget else {
+            return Ok(None);
+        };
+        let spent = FixedMoney::checked_sum_f64(fills.iter().map(|fill| {
+            if self.strict_value_budget {
+                -fill.net_cash_flow
+            } else {
+                fill.gross_amount
+            }
+        }))
+        .ok_or_else(|| {
+            BacktestError::Execution("algorithm budget spent amount is invalid".into())
+        })?;
+        let remaining = FixedMoney::from_f64(budget)
+            .and_then(|budget| budget.checked_sub(spent))
+            .filter(|remaining| *remaining >= FixedMoney::ZERO)
+            .ok_or_else(|| {
+                BacktestError::Execution("algorithm spent more than its frozen value budget".into())
+            })?;
+        Ok(Some(remaining.to_f64()))
+    }
+
     fn resolve_execution_fill(
         &self,
         date: NaiveDate,
@@ -7614,6 +8020,12 @@ where
         {
             Some(start_cursor.map_or(date.and_time(submitted), |cursor| cursor.max(date.and_time(submitted))))
         } else { start_cursor };
+        let start_cursor = if algo_request.is_some() {
+            match (start_cursor, self.execution_clock().map(|time| date.and_time(time))) {
+                (Some(declared), Some(clock)) => Some(declared.max(clock)),
+                (start, _) => start,
+            }
+        } else { start_cursor };
         let end_cursor = post_close_window.map(|window| {
             runtime_end_time.map_or(window.1, |end| window.1.min(date.and_time(end)))
         }).or_else(|| {
@@ -7630,10 +8042,17 @@ where
         } else {
             end_cursor
         };
+        let end_cursor = if algo_request.is_some() {
+            match (end_cursor, runtime_end_time.map(|time| date.and_time(time))) {
+                (Some(declared), Some(clock)) => Some(declared.min(clock)),
+                (end, _) => end,
+            }
+        } else { end_cursor };
         let quotes = data.execution_quotes_on(date, symbol);
         let calibration = self.slippage_calibration(data, snapshot)?;
 
-        if let Some(fill) = self.select_execution_fill_with_ledger(
+        let previous_schedule = self.runtime_algo_schedule.replace(algo_request.copied());
+        let selected = self.select_execution_fill_with_ledger(
             symbol,
             snapshot,
             quotes,
@@ -7652,7 +8071,9 @@ where
             execution_ledger,
             calibration.as_ref(),
             data.instruments().get(symbol),
-        )? {
+        );
+        self.runtime_algo_schedule.set(previous_schedule);
+        if let Some(fill) = selected? {
             return Ok(Some(fill));
         }
 
@@ -7662,11 +8083,8 @@ where
             || runtime_end_time.is_some()
             || self.intraday_execution_start_time.is_some()
         {
-            let next_cursor = algo_request
-                .and_then(|request| request.start_time)
-                .or(runtime_start_time)
-                .or(self.intraday_execution_start_time)
-                .map(|start_time| date.and_time(start_time) + Duration::seconds(1))
+            let next_cursor = start_cursor
+                .map(|time| time + Duration::seconds(1))
                 .unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
             return Ok(Some(ExecutionFill {
                 quantity: 0,
@@ -7778,16 +8196,24 @@ where
             return Ok(None);
         }
 
+        let algo_schedule = self.runtime_algo_schedule.get();
+        let mut preview_commission_state = BTreeMap::new();
+        let schedule_start = algo_schedule.and_then(|request| request.start_time)
+            .map(|time| snapshot.date.and_time(time)).or(start_cursor);
+        let schedule_end = algo_schedule.and_then(|request| request.end_time)
+            .map(|time| snapshot.date.and_time(time)).or(end_cursor);
         let quote_quantity_limited =
-            self.quote_quantity_limited_for_window(matching_type, start_cursor, end_cursor);
+            self.quote_quantity_limited_for_window(matching_type, schedule_start, schedule_end);
         let twap_schedule = (matching_type == MatchingType::Twap)
-            .then(|| TwapSchedule::new(start_cursor, end_cursor, requested_qty))
+            .then(|| TwapSchedule::new(schedule_start, schedule_end,
+                algo_schedule.and_then(|request|request.total_quantity).unwrap_or(requested_qty)))
             .transpose()?;
         let lot = round_lot.max(1);
         let exact_time_order_quote = matching_type != MatchingType::MinuteLast
             && start_cursor.is_some()
             && end_cursor.is_some()
-            && start_cursor == end_cursor;
+            && start_cursor == end_cursor
+            && !(algo_schedule.is_some() && schedule_start != schedule_end);
         let use_decision_time_quote = !self.is_post_close_fixed_price(snapshot.date)
             && start_cursor.is_some()
             && (matching_type == MatchingType::MinuteLast || exact_time_order_quote);
@@ -7923,7 +8349,8 @@ where
             }
 
             let mut take_qty = if let Some(schedule) = &twap_schedule {
-                remaining_qty.min(available_qty).min(schedule.due_quantity(execution_at, filled_qty))
+                remaining_qty.min(available_qty).min(schedule.due_quantity(execution_at,
+                    algo_schedule.map_or(0,|request|request.filled_quantity).saturating_add(filled_qty)))
             } else {
                 remaining_qty.min(available_qty)
             };
@@ -7984,10 +8411,16 @@ where
                         );
                         continue;
                     }
-                    let candidate_cost = self
-                        .cost_model
-                        .calculate_for_instrument(snapshot.date, OrderSide::Buy, candidate_gross, instrument)
-                        .total();
+                    let candidate_cost = if let Some(request)=algo_schedule {
+                        preview_commission_state.clear();
+                        if let (Some(id),Some(remaining))=(request.order_id,request.commission_remaining) {
+                            preview_commission_state.insert(id,remaining);
+                        }
+                        self.cost_model.calculate_with_order_state_for_instrument(snapshot.date,OrderSide::Buy,
+                            candidate_gross,request.order_id,&mut preview_commission_state,instrument).total()
+                    } else {
+                        self.cost_model.calculate_for_instrument(snapshot.date,OrderSide::Buy,candidate_gross,instrument).total()
+                    };
                     let candidate_cash =
                         FixedMoney::checked_sum_f64([candidate_gross, candidate_cost])
                             .expect("buy cash must be finite fixed-point money")
@@ -8252,6 +8685,8 @@ fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
 
 #[cfg(test)]
 mod tests {
+    mod algorithm_clock;
+
     use std::collections::BTreeMap;
 
     use chrono::NaiveTime;
@@ -8291,6 +8726,9 @@ mod tests {
             time_in_force: OrderTimeInForce::Gtc,
             commission_remaining: None,
             execution_cursor: None,
+            algo_request: None,
+            value_budget: None,
+            reserved_cash: None,
             reason: format!("order_{order_id}"),
         }
     }

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

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

crates/fidc-core/src/platform_expr_strategy.rs

@@ -10353,6 +10353,7 @@ impl PlatformExprStrategy {
     ) -> (Vec<u32>, Vec<FidcRiskDecisionAudit>) {
         let mut symbol_ids = Vec::new();
         let mut decisions = Vec::new();
+        let selection_checks_enabled = self.config.risk_config.static_rules.selection_checks_enabled();
         let mut eligible_symbols = vec![false; ctx.data.symbol_count()];
         let execution_day = ctx.data.daily_snapshot_view(date);
         let factor_day = ctx.data.daily_snapshot_view(factor_date);
@@ -10398,7 +10399,9 @@ impl PlatformExprStrategy {
             let Some(market) = execution_day.market(symbol_id) else {
                 continue;
             };
-            let (reject_from_universe, selection_decision) = if collect_risk_decisions {
+            let (reject_from_universe, selection_decision) = if !selection_checks_enabled {
+                (false, None)
+            } else if collect_risk_decisions {
                 let decision = ChinaAShareRiskControl::selection_rejection_decision_with_config(
                     date,
                     candidate,
@@ -36231,6 +36234,7 @@ mod tests {
             avg_price: 0.0,
             transaction_cost: 0.0,
             limit_price: 10.2,
+            reserved_cash: None,
             reason: "pending_limit_sell".to_string(),
         }];
         let subscriptions = BTreeSet::new();
@@ -36379,6 +36383,7 @@ mod tests {
                 avg_price: 0.0,
                 transaction_cost: 0.0,
                 limit_price: 9.9,
+                reserved_cash: None,
                 reason: "pending_limit_buy".to_string(),
             },
             OpenOrderView {
@@ -36393,6 +36398,7 @@ mod tests {
                 avg_price: 0.0,
                 transaction_cost: 0.0,
                 limit_price: 10.2,
+                reserved_cash: None,
                 reason: "pending_limit_sell".to_string(),
             },
         ];

crates/fidc-core/src/risk_control.rs

@@ -76,6 +76,26 @@ impl Default for StaticRiskRuleConfig {
     }
 }
 
+impl StaticRiskRuleConfig {
+    pub(crate) fn selection_checks_enabled(&self) -> bool {
+        (self.blacklist_enabled && !self.blacklisted_symbols.is_empty())
+            || self.selection_state_checks_enabled()
+    }
+
+    fn selection_state_checks_enabled(&self) -> bool {
+        self.reject_st_selection
+            || self.reject_star_st_selection
+            || self.reject_paused_selection
+            || self.reject_inactive_selection
+            || self.reject_new_listing_selection
+            || self.reject_kcb_selection
+            || self.reject_bjse_selection
+            || self.reject_one_yuan_selection
+            || self.reject_upper_limit_selection
+            || self.reject_lower_limit_selection
+    }
+}
+
 #[derive(Debug, Clone, Copy, PartialEq, Serialize, Deserialize)]
 pub struct TradingConstraintConfig {
     /// Shared execution limits.  These fields intentionally use the same
@@ -654,16 +674,7 @@ fn missing_risk_state_fields(code: &str) -> Vec<String> {
 fn missing_selection_risk_state_rejected(code: &str, config: &FidcRiskControlConfig) -> bool {
     let fields = missing_risk_state_fields(code);
     if fields.is_empty() {
-        return config.static_rules.reject_st_selection
-            || config.static_rules.reject_star_st_selection
-            || config.static_rules.reject_paused_selection
-            || config.static_rules.reject_inactive_selection
-            || config.static_rules.reject_new_listing_selection
-            || config.static_rules.reject_kcb_selection
-            || config.static_rules.reject_bjse_selection
-            || config.static_rules.reject_one_yuan_selection
-            || config.static_rules.reject_upper_limit_selection
-            || config.static_rules.reject_lower_limit_selection;
+        return config.static_rules.selection_state_checks_enabled();
     }
     missing_field_rejected(&fields, config, RiskCheckScope::Selection)
 }
@@ -778,18 +789,7 @@ fn missing_single_field_rejected(
             RiskCheckScope::Sell => config.static_rules.reject_lower_limit_sell,
         },
         _ => match scope {
-            RiskCheckScope::Selection => {
-                config.static_rules.reject_st_selection
-                    || config.static_rules.reject_star_st_selection
-                    || config.static_rules.reject_paused_selection
-                    || config.static_rules.reject_inactive_selection
-                    || config.static_rules.reject_new_listing_selection
-                    || config.static_rules.reject_kcb_selection
-                    || config.static_rules.reject_bjse_selection
-                    || config.static_rules.reject_one_yuan_selection
-                    || config.static_rules.reject_upper_limit_selection
-                    || config.static_rules.reject_lower_limit_selection
-            }
+            RiskCheckScope::Selection => config.static_rules.selection_state_checks_enabled(),
             RiskCheckScope::Buy => {
                 config.static_rules.reject_st_buy
                     || config.static_rules.reject_star_st_buy
@@ -914,6 +914,69 @@ mod tests {
         position
     }
 
+    #[test]
+    fn selection_check_activation_covers_every_configured_flag_and_blacklist_state() {
+        let fields = [
+            "reject_st_selection", "reject_star_st_selection", "reject_paused_selection",
+            "reject_inactive_selection", "reject_new_listing_selection", "reject_kcb_selection",
+            "reject_bjse_selection", "reject_one_yuan_selection", "reject_upper_limit_selection",
+            "reject_lower_limit_selection",
+        ];
+        let base = serde_json::to_value(StaticRiskRuleConfig::default()).unwrap();
+        let declared = base.as_object().unwrap().keys()
+            .filter(|key| key.ends_with("_selection"))
+            .map(String::as_str).collect::<BTreeSet<_>>();
+        assert_eq!(declared, fields.into_iter().collect());
+        for mask in 0..(1_u32 << fields.len()) {
+            for (blacklist_enabled, populated) in [(false, false), (false, true), (true, false), (true, true)] {
+                let mut value = base.clone();
+                for (bit, field) in fields.iter().enumerate() {
+                    value[*field] = serde_json::json!(mask & (1 << bit) != 0);
+                }
+                value["blacklist_enabled"] = serde_json::json!(blacklist_enabled);
+                value["blacklisted_symbols"] = if populated {
+                    serde_json::json!(["002633.SZ"])
+                } else { serde_json::json!([]) };
+                let config: StaticRiskRuleConfig = serde_json::from_value(value).unwrap();
+                assert_eq!(config.selection_checks_enabled(), mask != 0 || (blacklist_enabled && populated));
+            }
+        }
+    }
+
+    #[test]
+    fn inactive_selection_checks_preserve_missing_facts_and_execution_rejections() {
+        let date = d(2025, 2, 6);
+        let mut candidate = candidate(date);
+        candidate.is_st = true;
+        candidate.is_star_st = true;
+        candidate.is_paused = true;
+        candidate.is_new_listing = true;
+        candidate.is_kcb = true;
+        candidate.is_one_yuan = true;
+        candidate.allow_buy = false;
+        let snapshot = market(date, 0.9, 0.9);
+        let config = FidcRiskControlConfig::default();
+        assert!(!config.static_rules.selection_checks_enabled());
+        let instrument = instrument("delisted", Some(date));
+        for code in [None, Some("not_listed"), Some("inactive_or_delisted"),
+            Some("missing_risk_state"), Some("missing_risk_state:is_st;is_kcb|allow_buy"),
+            Some("missing_risk_state:unknown_fact"), Some("missing_risk_state:IS_PAUSED")] {
+            candidate.risk_level_code = code.map(str::to_owned);
+            assert_eq!(ChinaAShareRiskControl::selection_rejection_decision_with_config(
+                date, &candidate, &snapshot, Some(&instrument), &config), None);
+        }
+        candidate.risk_level_code = None;
+        assert_eq!(ChinaAShareRiskControl::buy_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, 0.9, &config), Some("paused"));
+        assert_eq!(ChinaAShareRiskControl::sell_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, None, 0.9, &config), Some("paused"));
+        let mut blacklist_only = config;
+        blacklist_only.static_rules.blacklisted_symbols.insert(candidate.symbol.to_string());
+        assert!(blacklist_only.static_rules.selection_checks_enabled());
+        assert_eq!(ChinaAShareRiskControl::selection_rejection_reason_with_config(
+            date, &candidate, &snapshot, None, &blacklist_only), Some("blacklisted"));
+    }
+
     #[test]
     fn one_yuan_buy_rule_uses_execution_price_not_later_close_or_earlier_open() {
         let day = d(2025, 2, 6);

crates/fidc-core/src/strategy.rs

@@ -102,6 +102,7 @@ pub struct OpenOrderView {
     pub avg_price: f64,
     pub transaction_cost: f64,
     pub limit_price: f64,
+    pub reserved_cash: Option<f64>,
     pub reason: String,
 }
 
@@ -497,6 +498,7 @@ impl StrategyContext<'_> {
             .iter()
             .filter(|order| order.side == OrderSide::Buy)
             .map(|order| {
+                if let Some(reserved) = order.reserved_cash { return reserved; }
                 let price = if order.limit_price.is_finite() {
                     order.limit_price.max(0.0)
                 } else {
@@ -988,6 +990,15 @@ pub struct StrategyDecision {
 }
 
 impl StrategyDecision {
+    pub(crate) fn is_portfolio_target_only(&self) -> bool {
+        (self.rebalance && self.order_intents.is_empty())
+            || (self.order_intents.len() == 1
+                && matches!(
+                    self.order_intents[0].unwrapped(),
+                    OrderIntent::StockPool { .. } | OrderIntent::TargetPortfolioSmart { .. }
+                ))
+    }
+
     pub fn potential_buy_symbols(&self, open_orders: &[OpenOrderView]) -> BTreeSet<String> {
         let mut symbols = BTreeSet::new();
         if self.rebalance {
@@ -1001,9 +1012,24 @@ impl StrategyDecision {
     }
 
     pub fn merge_from(&mut self, mut other: StrategyDecision) {
+        if self.is_portfolio_target_only() && other.is_portfolio_target_only() {
+            let mut previous = std::mem::replace(self, other);
+            previous
+                .diagnostics
+                .push("unsubmitted_portfolio_target_superseded".into());
+            self.notes.splice(0..0, previous.notes);
+            self.diagnostics.splice(0..0, previous.diagnostics);
+            return;
+        }
         self.buy_denials.append(&mut other.buy_denials);
-        self.rebalance |= other.rebalance;
-        self.target_weights.append(&mut other.target_weights);
+        if other.rebalance {
+            // Rebalance targets are a complete portfolio, not an additive
+            // list. A newer unsent target replaces the earlier allocation.
+            self.rebalance = true;
+            self.target_weights = std::mem::take(&mut other.target_weights);
+        } else {
+            self.target_weights.append(&mut other.target_weights);
+        }
         self.exit_symbols.append(&mut other.exit_symbols);
         self.order_intents.append(&mut other.order_intents);
         self.notes.append(&mut other.notes);
@@ -1023,6 +1049,52 @@ impl StrategyDecision {
     }
 }
 
+#[cfg(test)]
+mod decision_merge_tests {
+    use super::*;
+
+    #[test]
+    fn newer_complete_target_replaces_old_symbols_without_discarding_explicit_actions() {
+        let mut earlier = StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("A".into(), 0.5), ("B".into(), 0.5)]),
+            exit_symbols: BTreeSet::from(["risk_exit".into()]),
+            order_intents: vec![OrderIntent::Shares {
+                symbol: "explicit".into(),
+                quantity: 100,
+                reason: "explicit action".into(),
+            }],
+            ..Default::default()
+        };
+        earlier.merge_from(StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("C".into(), 1.)]),
+            ..Default::default()
+        });
+        assert_eq!(earlier.target_weights, BTreeMap::from([("C".into(), 1.)]));
+        assert!(earlier.rebalance);
+        assert!(earlier.exit_symbols.contains("risk_exit"));
+        assert_eq!(earlier.order_intents.len(), 1);
+    }
+
+    #[test]
+    fn explicit_empty_complete_target_replaces_old_allocation_but_empty_callback_does_not() {
+        let mut decision = StrategyDecision {
+            rebalance: true,
+            target_weights: BTreeMap::from([("A".into(), 1.)]),
+            ..Default::default()
+        };
+        decision.merge_from(StrategyDecision::default());
+        assert_eq!(decision.target_weights.len(), 1);
+        decision.merge_from(StrategyDecision {
+            rebalance: true,
+            ..Default::default()
+        });
+        assert!(decision.target_weights.is_empty());
+        assert!(decision.rebalance);
+    }
+}
+
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
 pub enum AlgoOrderStyle {
     Vwap,

crates/fidc-core/tests/engine_hooks.rs

@@ -1535,6 +1535,90 @@ fn engine_executes_futures_order_intents_against_future_account() {
     assert!((futures_account.cash() - 355_988.0).abs() < 1e-6);
 }
 
+#[test]
+fn futures_directive_notifications_include_the_actual_recorded_fill() {
+    struct Observed {
+        inner: FuturesOrderStrategy,
+        seen: Rc<RefCell<Vec<u64>>>,
+    }
+    impl Strategy for Observed {
+        fn name(&self) -> &str {
+            "observed-futures-directive"
+        }
+        fn on_day(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+        ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            self.inner.on_day(ctx)
+        }
+        fn on_process_event(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+            event: &ProcessEvent,
+        ) -> Result<(), fidc_core::BacktestError> {
+            if event.kind == ProcessEventKind::Trade
+                && event.symbol.as_deref() == Some("IF2501")
+            {
+                let id = event.order_id.unwrap();
+                assert!(
+                    ctx.fills
+                        .iter()
+                        .any(|fill| fill.order_id == Some(id) && fill.symbol == "IF2501")
+                );
+                assert!(
+                    ctx.order_events
+                        .iter()
+                        .any(|order| order.order_id == Some(id)
+                            && order.status == OrderStatus::Filled)
+                );
+                assert_eq!(
+                    ctx.current_datetime().map(|time| time.date()),
+                    Some(ctx.execution_date)
+                );
+                self.seen.borrow_mut().push(id);
+            }
+            Ok(())
+        }
+    }
+    let seen = Rc::new(RefCell::new(Vec::new()));
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks,
+        PriceField::Open,
+    )
+    .with_volume_capacity_mode(
+        fidc_core::execution_capacity::VolumeCapacityMode::SessionCapacityAudit,
+    );
+    let mut engine = BacktestEngine::new(
+        two_day_futures_data(),
+        Observed {
+            inner: FuturesOrderStrategy,
+            seen: seen.clone(),
+        },
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(d(2025, 1, 2)),
+            end_date: Some(d(2025, 1, 3)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    )
+    .with_futures_initial_cash(500_000.);
+    let result = engine.run().unwrap();
+    assert_eq!(
+        *seen.borrow(),
+        result
+            .fills
+            .iter()
+            .filter(|fill| fill.symbol == "IF2501")
+            .map(|fill| fill.order_id.unwrap())
+            .collect::<Vec<_>>()
+    );
+    assert_eq!(seen.borrow().len(), 1);
+}
+
 #[test]
 fn platform_runtime_actions_execute_generic_futures_open_and_close() {
     let mut cfg = PlatformExprStrategyConfig::generic();
@@ -2748,6 +2832,7 @@ fn strategy_context_exposes_engine_native_account_runtime_view() {
         avg_price: 0.0,
         transaction_cost: 0.0,
         limit_price: 12.0,
+        reserved_cash: None,
         reason: "pending_buy".to_string(),
     }];
     let subscriptions = BTreeSet::new();

crates/fidc-core/tests/stock_pool_execution_contract.rs

@@ -224,6 +224,117 @@ fn decision(contract: FrozenStockPoolIntent) -> StrategyDecision {
     }
 }
 
+#[test]
+fn a_fresh_zero_target_prevents_resuming_the_previous_unsubmitted_buy_leg() {
+    use fidc_core::{ScheduleRule, ScheduleStage, ScheduleTimeRule, Strategy, StrategyContext};
+    struct Probe;
+    impl Strategy for Probe {
+        fn name(&self) -> &str {
+            "fresh-target-before-resume"
+        }
+        fn requires_minute_callbacks(&self) -> bool {
+            false
+        }
+        fn schedule_rules(&self) -> Vec<ScheduleRule> {
+            vec![
+                ScheduleRule::daily("earlier-pool", ScheduleStage::Minute)
+                    .with_time_rule(ScheduleTimeRule::physical_time(9, 30)),
+            ]
+        }
+        fn on_scheduled(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+            _: &ScheduleRule,
+        ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            if ctx.execution_date != day(5) {
+                return Ok(StrategyDecision::default());
+            }
+            let mut old = contract(day(5), 2, false);
+            old.out_of_pool_policy = "reduce_to_zero_when_sellable".into();
+            old.rule.window_end = "13:30".into();
+            old.rule.pricing_mode = POOL_PRICE_FORMULA_LIMIT.into();
+            old.generation = "earlier-pool-at-open".into();
+            Ok(decision(old))
+        }
+        fn on_day(
+            &mut self,
+            ctx: &StrategyContext<'_>,
+        ) -> Result<StrategyDecision, fidc_core::BacktestError> {
+            if ctx.execution_date == day(2) {
+                return Ok(StrategyDecision {
+                    order_intents: vec![OrderIntent::Shares {
+                        symbol: code(1),
+                        quantity: 100,
+                        reason: "original-holding".into(),
+                    }],
+                    ..Default::default()
+                });
+            }
+            assert!(ctx.open_orders.is_empty());
+            let mut latest = contract(day(5), 2, false);
+            latest.out_of_pool_policy = "reduce_to_zero_when_sellable".into();
+            latest.rule.window_end = "13:30".into();
+            latest.invest_ratio_bps = 0;
+            latest.generation = "fresh-zero-at-1300".into();
+            Ok(decision(latest))
+        }
+    }
+    let mut rows = data(false).snapshot_components();
+    let mut quotes = Vec::new();
+    for mut quote in rows.execution_quotes {
+        if quote.date > day(5) {
+            continue;
+        }
+        let mut afternoon = quote.clone();
+        afternoon.timestamp = quote.date.and_hms_opt(13, 0, 0).unwrap();
+        quotes.push(afternoon);
+        if quote.date == day(5) && quote.symbol == code(1) {
+            quote.volume_delta = 100;
+            quote.amount_delta = quote.last_price * 100.;
+        }
+        quotes.push(quote);
+    }
+    rows.execution_quotes = quotes;
+    let data = DataSet::from_components_with_actions_and_quotes(
+        rows.instruments,
+        rows.market,
+        rows.factors,
+        rows.candidates,
+        rows.benchmarks,
+        rows.corporate_actions,
+        rows.execution_quotes,
+    )
+    .unwrap();
+    let broker = broker(true)
+        .with_matching_type(MatchingType::MinuteLast)
+        .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(13, 0, 0).unwrap());
+    let result = BacktestEngine::new(
+        data,
+        Probe,
+        broker,
+        BacktestConfig {
+            initial_cash: 30_000.,
+            benchmark_code: "000300.SH".into(),
+            start_date: Some(day(2)),
+            end_date: Some(day(5)),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Last,
+        },
+    )
+    .run()
+    .unwrap();
+    assert_eq!(result.fills.len(), 3, "{:?}", result.fills);
+    assert!(result.fills.iter().all(|fill| fill.symbol == code(1)));
+    assert_eq!(result.fills[1].side, fidc_core::OrderSide::Sell);
+    assert_eq!(
+        result.fills[2].execution_timestamp,
+        day(5).and_hms_opt(13, 0, 0)
+    );
+    assert_eq!(result.fills[1].order_id, result.fills[2].order_id);
+    assert_eq!(result.fills[1].quantity + result.fills[2].quantity, 100);
+    assert!(result.holdings_summary.is_empty());
+}
+
 #[test]
 fn paused_execution_day_keeps_the_prior_slot_and_never_submits_an_exit() {
     let data = data_with_suspension(1_000_000, Some(day(6)));
@@ -887,6 +998,42 @@ fn historical_etf_late_signal_freezes_money_and_requantifies_at_next_official_op
     assert!(result.terminal_audit.is_clean());
 }
 
+#[test]
+fn deferred_etf_open_does_not_appear_in_a_pre_open_minute_callback() {
+    use fidc_core::strategy::{Strategy,StrategyContext};
+    use std::{cell::RefCell,rc::Rc};
+    struct ObservedPool { inner:EtfPoolSignal, observations:Rc<RefCell<Vec<(chrono::NaiveDateTime,u32,usize)>>> }
+    impl Strategy for ObservedPool {
+        fn name(&self)->&str {"ETF actual opening clock"}
+        fn initial_subscriptions(&self)->BTreeSet<String> {BTreeSet::from([code(1)])}
+        fn decision_quote_times(&self)->Vec<chrono::NaiveTime> {self.inner.decision_quote_times()}
+        fn decision_quote_symbols(&mut self,ctx:&StrategyContext<'_>)->Result<BTreeSet<String>,fidc_core::BacktestError> {self.inner.decision_quote_symbols(ctx)}
+        fn on_day(&mut self,ctx:&StrategyContext<'_>)->Result<StrategyDecision,fidc_core::BacktestError> {self.inner.on_day(ctx)}
+        fn on_minute(&mut self,ctx:&StrategyContext<'_>,quote:&IntradayExecutionQuote)->Result<StrategyDecision,fidc_core::BacktestError> {
+            if quote.date==day(5) {self.observations.borrow_mut().push((quote.timestamp,
+                ctx.portfolio.position(&code(2)).map_or(0,|position|position.quantity),ctx.fills.iter().filter(|fill|fill.symbol==code(2)).count()));}
+            Ok(StrategyDecision::default())
+        }
+    }
+    let time=chrono::NaiveTime::from_hms_opt(13,0,0).unwrap();
+    let mut data=etf_fallback_fixture(time);
+    let quote=data.execution_quotes_on(day(5),&code(1))[0].clone();
+    data.add_execution_quotes([(9,15),(9,31)].into_iter().map(|(hour,minute)| {
+        let mut row=quote.clone();row.timestamp=day(5).and_hms_opt(hour,minute,0).unwrap();row
+    }).collect());
+    let observations=Rc::new(RefCell::new(Vec::new()));
+    let broker=broker(false).with_matching_type(MatchingType::MinuteLast)
+        .with_execution_price_field(PriceField::Last).with_intraday_execution_start_time(time)
+        .with_historical_etf_open_fallback(true);
+    let result=BacktestEngine::new(data,ObservedPool {inner:EtfPoolSignal{at:time,condition:String::new()},observations:observations.clone()},broker,BacktestConfig {
+        initial_cash:30000.,benchmark_code:"000300.SH".into(),start_date:Some(day(2)),end_date:Some(day(5)),decision_lag_trading_days:0,execution_price_field:PriceField::Last,
+    }).with_execution_quote_loader(|_|Ok(vec![])).run().unwrap();
+    let observations=observations.borrow();
+    assert_eq!(observations[0],(day(5).and_hms_opt(9,15,0).unwrap(),0,0));
+    assert_eq!(observations[1],(day(5).and_hms_opt(9,31,0).unwrap(),3700,1));
+    assert_eq!(result.fills.iter().filter(|fill|fill.symbol==code(2)).count(),1);
+}
+
 #[test]
 fn historical_etf_pending_target_at_end_is_not_a_fake_order_or_fill() {
     let result=run_etf_fallback(chrono::NaiveTime::from_hms_opt(13,0,0).unwrap(),day(2),true,"",false,false).unwrap();

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

@@ -0,0 +1,35 @@
+# 回报上下文、盘前意图与尚未提交的目标
+
+2026-09-14。本轮为v2026.9.14.4之后的候选，当前只有本机验证，尚未发布；完整股票池Goal继续。
+
+## 已复现问题
+
+1. `on_process_event`总是收到`active_datetime=None`及空委托/成交数组。10:00账本已有100股，但Trade/PostMinute回调的成交数量仍为0；不能靠普通`on_minute`已修复就认为通知链也完整。
+2. 15:05盘后成交后，PreAfterTrading仍被标为15:00；跨日模式的PostOnDay又使用信号日描述执行日已发生的成交。
+3. BeforeTrading调度只处理订阅、账户和期货指令，剩余股票买卖/撤改意图没有后续消费。简单在开盘调用普通broker执行还会让旧挂单先成交再撤单。
+4. 合并完整目标时只追加权重会保留旧证券；更重要的是，不能先提交盘前旧组合，之后才计算同一窗口的新目标，否则T+1可能使错误买入无法纠正。
+5. 策略计算前的空broker调用也会恢复上一目标的未提交买入腿。反例中原持仓100股，09:30卖25股、13:00卖剩余75股；若此时先恢复旧买入，已经准备将新目标设为0%的策略仍会买入另一股票3000股。
+
+## 本轮处理
+
+- 事件通知显式携带当前可见的委托、成交与回调时钟，移动已完成记录后再通知，不按每个回调复制整段历史。上下文是通知时已完成批次的最新状态，不冒充每一历史通知发生瞬间的账本快照。
+- 信号计算回调保留信号日；账户/委托通知使用实际执行日与物理时钟。默认收盘和结算不早于已处理时刻及当前适用的盘后结束点，管理费回调沿用同一完成时钟。
+- 盘前撤改走明确的非撮合控制阶段，保持原订单ID和实际已成交量；该入口拒绝买卖目标，不会顺带撮合旧单。普通显式买卖按原配置窗口执行，后续回调读取撤改后的真实活动订单。
+- 盘前与集合竞价的显式命令保留各自批次及约束。纯完整组合（完整rebalance或单一StockPool/TargetPortfolioSmart）可以被更新的完整意图替换；空回调不等于清仓，显式空完整目标才清仓。被替换意图的旧买入限制不能污染新完整目标。
+- 尚未提交的完整目标保留到当前窗口日度策略算完；新执行意图优先，只有没有新执行意图时才使用前面的目标。已提交挂单可以先更新实际成交，但策略计算前不恢复旧的未提交买入腿，之后再由正常执行路径处理当前意图。
+- 订阅/账户/直接期货指令通知同样获得完成后的历史；本轮不改变期货成交、会话或费用规则。
+
+## 回归证据
+
+- 通知链：09:30为空、10:00/10:01均看到100股及1笔实际成交，Trade通知可找到相同订单。
+- 盘后：15:05成交后的默认收盘/结算和管理费通知不倒退；next-open保持独立信号日和执行日。
+- 盘前：09:00生成100股命令，分别只在09:30/13:00配置窗口成交；保留备注/诊断。跨日撤销原GTC订单后，新订单只成交100股，未让旧单先成交。
+- 完整目标：盘前A、集合竞价B、日度A或显式空目标，最终只采用有效最新目标；日度无新信号时保持B。显式逐股命令不会被目标合并丢弃。
+- 恢复顺序：开启正常旧恢复的单点负向对照确实多买3000股；恢复BeforeStrategy阶段后，只有原股票同一卖单的25+75股成交，无新增买入，最终持仓为空。
+- 本机Core834项通过（9项原有ignore），Trading613、最新main Runner446/API119通过。外部数据库及平台ignore不当作通过。
+
+当前代码尚需精确Linux构建、真实历史合同回放和配套发布；不得把本机验证当生产或真实券商成交验收。
+
+## 继续范围
+
+显式逐笔手工影子回放仍未完成，四类手工来源继续拒绝纯比例影子；原始撤单意图时刻不能用网关回报时刻冒充。还需继续检查会话外调度产生的未提交意图、完整阶段日历与其余参数/生命周期/适配器矩阵。Source冻结、研究/信号暂停、现有任务配置和真实路由不改。

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

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

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+  "verifiedFactBlocks": 3506,
+  "status": "candidate-not-deployed",
+  "sourceCommit": "d5b682c6d09704ff23d725a8dd8b155db3eb6967",
+  "engineCommit": "d2aa16a2f0064297d0d8c931060646d66422e9d4",
+  "serviceCommit": "4e23c7558d8301ba697543c39d5604289bb82c53",
+  "controlRunnerSha256": "b90886b80634c7565ca215fbe1f9ed0cbb5a6bd967373a9b1f6753be5164737d",
+  "candidateRunnerSha256": "1bda2d3acc016ca5addbb12e33cfcc31a23ece562f1d7d1ff8a825fbc83873fb",
+  "candidateApiSha256": "30ac3b50996e1769c1d93bd5d302a23c4af7ebe773d3e8110ee278c44aeb9501",
+  "bounds": [
+    "All twelve are new runner processes and private result artifacts using the same verified shared input files.",
+    "Input hashing is outside the elapsed benchmark timer; no GDB samples are in these measurements.",
+    "The first control had 12.244s Source validation and a slower preparation phase. Its entire latency difference is not candidate speedup.",
+    "The full input set is identical across the twelve runs, not only a global cache hit counter.",
+    "No Source/trading service was changed and no paused research/signal task resumed.",
+    "The independently recorded intraday-clock counterexample remains open. These day-level replays do not close it."
+  ]
+}

docs/intraday-clock-causality-20260914.md

@@ -0,0 +1,70 @@
+# 日内时钟与手工回放前置问题
+
+2026-09-14。本轮日内时钟与工作中算法单修复已配套发布177，annotated tag `v2026.9.14.4`。当前Engine237ee15 / Service e81bf47 / Trading dab98e0；完整手工影子回放尚未实现，不据本阶段关闭Goal。
+
+## 已复现的精确反例
+
+`engine::tests::minute_observer_never_sees_a_later_fill_from_a_coarse_phase`使用实际BacktestEngine/BrokerSimulator测试入口、同一证券及合法测试日行情。开盘竞价回调生成100股限价10.0的委托，全天存在09:30、10:00、10:15、13:00、13:01报价，后续分钟回调读取真实模拟账本。
+
+- CurrentBarClose/09:30窗口：10:15成交；10:00观察为0股，通过。
+- NextBarOpen/一天信号滞后/09:30窗口：10:15成交；10:00观察为0股，通过。
+- CurrentBarClose/13:00窗口：实际FillEvent时间13:00、数量100，但09:30、10:00、10:15回调均已观察到100股，失败。完整观察序列为`[(09:30,100),(10:00,100),(10:15,100),(13:00,100),(13:01,100)]`，不是仅日志显示错误。
+
+根因路径是粗粒度auction/on_day阶段调用broker时使用未来的全局intraday_execution_start_time，先将13:00成交写进PortfolioState，随后引擎才从09:30开始遍历分钟事件。正常09:30路径已有边界，不能因为一次测试通过就断言所有时点安全，也不能把所有粗粒度调用一概认定有问题。
+
+首次盘前调度夹具没有产生订单，因此不作为时钟证据；改用明确返回委托的open_auction回调完成上述复现。盘前on_scheduled普通委托是否被忽略应另行核对其正式合同，不能当空成功。
+
+## 必须按真实执行时序修复
+
+不能删掉早间回调或给显示持仓做遮掩。需要使已生成的未来执行意图、待执行批次、订单回报、策略回调、手工意图及实际投影按执行时钟前进；保留独立信号日与数据可见性。不能仅把新订单延迟却让依赖持仓的后续策略回调仍提前计算。
+
+需覆盖当前/下一开盘、显式时间和默认收盘、限价/市价/算法单、部分成交及取消、股票池卖后续买、跨日/T+1、0%人工覆盖和恢复。已有真实回放与六类Canonical必须按各自合同核对，不能用收益接近或单个对照替代。
+
+上述原失败回归已保留并修复：晚窗口执行与日度回调进入真实日内时钟，不再先写未来持仓。独立信号日及滞后执行的数据合同保留。仅有日内观察或待处理开盘目标时，未显式设时间的日线收盘回调才延至15:00；物理时钟与委托提交时点分离，不能把普通日线收盘撮合误变为15:05盘后委托。
+
+## 本轮新增证据
+
+- TWAP旧路径在13:00一次消费13:01、13:05报价，导致13:00观察到900股；现在逐时钟消费，同一父订单保留原始总量、已成交量、剩余金额、最低佣金余额和期限，不重新生成订单。
+- 分片时钟继续使用原算法窗口决定TWAP比例及深度约束，不把每个瞬时时钟当作新的不限量算法单；VWAP全局撮合也延续同一工作中订单。
+- 算法定量使用提交时已经可见的报价。改变当日后续收盘价不改变早先订单数量；真正缺报价明确失败，不读未来报价或日线价替代。
+- 当天已完成委托/成交记录及时移动到运行历史，后续分钟、日度与定时策略回调能读取；不逐分钟复制全部历史。
+- ETF下一开盘回退保留真实日线开盘价、3700股及原信号日，入账从早间预处理移到09:30事件；反例09:15原来可见3700股，修复后为0，09:31为3700且仅一笔ETF成交。不合成ETF分钟线。
+- 工作中算法单只预留真实可用现金；两个各10000元意图、15000元账户按顺序预留10000/5000，后续分别成交900/500股，先到订单不被后到订单的超额预留饿死。
+- 已验证部分成交后撤单、无末尾报价到期、T+1、IOC终止及原合同拒绝算法FOK/GTC；未新增不支持的有效期。
+- 同一TWAP与同步参考逐笔数量/价格/时间/订单ID/各项费用完全一致；VWAP逐时钟成交金额与总费用一致。最低佣金只扣一次，成交资金不超过冻结预算。
+
+本机Core 822项通过、9项原有ignore；Trading工作区613项通过（外部PG等原有ignore未当通过）；最新main的Runner446/API119项通过。同期main风控候选d2aa16a已保留并组合回归。本机测试不代替177不可变构建与真实数据回放。
+
+## 发布前置与剩余边界
+
+177于03:46只读核对仍为3Paper/0Live，原配置与旧委托摘要不变，Source d5b682c6/PID1700096未变，真实路由disabled。SSD剩约1.6GiB；首次Linux测试在18.02秒触及1GiB余量保护并中止，只停止本次Cargo进程，未重启服务，保留`clock-candidate-cena8gz9/first-attempt.json`及日志，不能算测试通过。
+
+初次把清理预览的`reclaimed_allocated_bytes=0`误读为没有候选；完整plan实际已有5项、12,453,273,600字节。正式工具引用/锁/身份复核后仅清理2处闲置debug增量缓存和3个过期测试可执行文件，保留最新测试、全部静态/共享库、release、源码、行情及结果，余量恢复13,168,623,616字节。收据位于`/srv/fidc/canonical/run/fidc-private/evidence/clock-default-cleanup-20260914-0422/`。暂拟的静态库清理选项未执行并已撤回；最终Service脚本5ec8dc8只明确区分计划量与实际回收量，保持原清理边界。
+
+代码修复已推送Engine `237ee15a518a668297959509daffc4b88995f310`；官方复用审计确认target-backtest无运行引用，新一轮仍保留1GiB余量保护，并独立保存重建前的旧二进制及SHA。实际构建读取只读Git archive快照237ee15与生产Service e81bf47，不夹带尚未生产验收的并行缓存规划代码，不覆盖维护工作树。
+
+Linux精确快照Core822、Trading613通过。首次配套优化构建276.06秒成功，但收据写入因/tmp的跨用户既有文件保护失败；改为原子替换收据后，重新核对同一快照/测试/制品，未把日志缺失或异常算通过。前一轮日志及旧二进制仍保留，最终收据`/tmp/fidc-clock-candidate-20260914.json`。
+
+## 发布与真实合同验收
+
+Engine `237ee15a518a668297959509daffc4b88995f310`、Service `e81bf47806f5ac4ae4798bb5f5955a56638f754c`、Trading `dab98e0cc09793df15b8c72841a6dc7e9a58a208`均有已推送annotated tag `v2026.9.14.4`。API/Runner于04:14:17 CST切换，五交易服务于04:19:57切换；04:22只读复验实际SHA、迁移、旧单及配置。
+
+| 已冻结原合同 | 原生A/B | 生产HTTP | 成交 / 期末持仓 | 期末权益 |
+| --- | --- | --- | --- | ---: |
+| 手选优先四证券 | 完整Canonical及四类逐行导出相同 | btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303 | 10 / 4 | 9706248.648662 |
+| 自动优先四证券 | 完整Canonical及四类逐行导出相同 | btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054 | 10 / 4 | 9706248.648662 |
+| 许总24只原v3 | 完整Canonical及四类逐行导出相同 | btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74 | 51 / 21 | 9685563.876924999 |
+
+共六次独立原生执行、三次持久幂等HTTP提交，旧请求/旧结果未改写。候选顺序、父订单及卖后续买合同保持；重复目标委托0。三条新记录各有5个交易日事件，持久事件总数27/18/32、唯一键数完全相等；旧流式样本仍27条/5日。上述数据来自原历史合同，仍属日终容量审计，不证明实时盘口容量；1秒样本与首轮12秒Source准备不作为性能提速证据。
+
+API二进制SHA `4e9f142be0ae3f9ca8e1c126507d4a9905cde4b69859df4544472afd1bda1ff2`，Runner `8b98a2ae9a13899e87d9931162d1637de7e9ab81844c284e00135904cda7b0e4`，运行实现身份 `96cf0dcfcec94c6f7e2a9fc64ba8b8e8547b12c869ad6a61a0e492f6c76b5d57`。当前不可变API目录`/srv/fidc/canonical/run/backtest-api/releases/clock-237ee15-c37rs7zq`，回退目录`/srv/fidc/canonical/run/build/clock-rollback-7qnhgco7`；交易回退目录`holding-protection-rollback-dkd1njej`。
+
+五交易服务逐一核对实际文件SHA与manifest，新增ERROR日志0；3Paper/0Live、配置、旧活动委托、3个未确认Paper预览、迁移、shadow配置0及disabled均未变化，发布后Paper/Live新订单0。Source d5/PID1700096、UI6a2/PID3089476未重启，研究/信号暂停保持。177维护中的Engine9a54156工作树完整保留，不把该未部署候选冒充本次运行代码；实际编译来自237/e81和237/dab只读快照。
+
+完整原始回放与HTTP收据：`/srv/fidc/canonical/run/research/stock-pool-clock-20260914/`。发布/审计收据：`/tmp/fidc-clock-{api-release,trading-release,final-audit}-20260914.json`。非敏感汇总已归档`docs/evidence/intraday-clock-20260914/acceptance.json`。
+
+## 下一步
+
+通用process-event回调的完整时间/订单观察、盘前调度普通意图、显式手工委托/撤单回放和所有剩余参数矩阵继续跟踪，不以当前阶段声明完整Goal完成。下一轮直接处理这些缺口，不重新做已通过的金额、页头、流式及本轮三组回放；当前仍不解除手工影子拒绝门禁，不修改既有任务配置、Source冻结和研究/信号暂停。
+
+Live取消请求另有待核对项：`CancelRequested`当前在网关返回后才持久化，不能不加说明就把回报时间当最初请求时间。完整手工回放需要验证并补齐真实意图/提交/成交/取消关联，当前生产手工影子仍保持明确拒绝纯比例模拟。

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

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

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

@@ -1,6 +1,6 @@
 # 股票池卖出批次与买入续执行
 
-2026-09-13，开发候选，尚未部署。不是完整股票池验收结论。
+2026-09-13开发，2026-09-14 00:00至00:06 CST完成177配套发布，annotated tag v2026.9.13.16。Engine c98bcc3、Service aa3fe40、Trading b1d402e；不是完整股票池验收结论。
 
 ## 原问题
 
@@ -21,4 +21,8 @@
 
 9项新增专项覆盖未成交卖出续买、部分成交/买单ID、窗口结束、新信号覆盖、发送前新价/日期、缺价拒绝、止盈清仓禁回买、跨日清理和不订阅分钟的完整引擎执行。全工作区803项通过、9项外部/专项忽略单列；配套Trading613通过，Runner本机432通过、9项忽略。完整引擎测试夹具需显式提供每日因子与候选，缺少两者会得到无执行日期，不能据空运行当作成功。
 
-下一步以已推送精确源码构建177隔离Runner，用原两个混合请求、原24只配置和冻结数据包核对逐日目标/委托/成交/持仓及Canonical，再配套发布。优先级仍可在真实资金或仓位约束不足时影响分配，不能预设所有不同排序的结果必须相同。
+177独立进程对三个原请求分别执行原版和修复版，共六次原生回放；原版各自与原历史Canonical相等，原请求及数据包不变。修复后两种优先级均10成交/4持仓/权益9,706,248.648662，逐股数量、费用、时钟、逐日权益和持仓完全一致（订单ID仍按各自原顺序生成，不伪装为同一Canonical）。原24只回放51成交/21持仓/权益9,685,563.876924999，不强求保留旧54笔：09-08和09-10卖出晚于窗口，未提交买入阶段到期；09-11卖出09:31完成后继续买入。混合样本09-09与09-10同样在窗外不新建买单，09-11在09:34完成卖出后续买，已提交DAY单可在窗口后继续成交。
+
+生产API三次验收分别为btr_req_6854471517438a896378785b96a81e4ab41f0d77f898bf37、btr_req_0d32c6e07598c16728992374f1800804ad2cd06d85f18d15、btr_req_4ae4ee17bf90bbba5ca579a79c7d4e1c410fc2d4506e5800，均与对应原生候选Canonical相同；旧结果/配置回读保持。未提交券商委托、创建交易任务或改写配置，Source冻结及研究/信号暂停保持。完整逐笔回执在177 /srv/fidc/canonical/run/research/stock-pool-sell-buy-20260913，部署回执/tmp/fidc-sell-buy-api-release-20260913.json与/tmp/fidc-sell-buy-trading-release-20260913.json。
+
+优先级在真实资金或仓位约束不足时仍可影响分配，不能将本例结论外推所有排序。完整Goal下一项仍是手工委托影子回放、流式日期消息/摘要投影和剩余参数矩阵；不重复此已解决样本。