diff --git a/Cargo.lock b/Cargo.lock
index f60cac0..467ffa2 100644
--- a/Cargo.lock
+++ b/Cargo.lock
@@ -69,11 +69,18 @@ version = "0.8.7"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "773648b94d0e5d620f64f280777445740e61fe701025087ec8b57f45c791888b"
 
+[[package]]
+name = "equivalent"
+version = "1.0.2"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "877a4ace8713b0bcf2a4e7eec82529c029f1d0619886d18145fea96c3ffe5c0f"
+
 [[package]]
 name = "fidc-core"
 version = "0.1.0"
 dependencies = [
  "chrono",
+ "indexmap",
  "serde",
  "thiserror",
 ]
@@ -84,6 +91,12 @@ version = "0.1.9"
 source = "registry+https://github.com/rust-lang/crates.io-index"
 checksum = "5baebc0774151f905a1a2cc41989300b1e6fbb29aff0ceffa1064fdd3088d582"
 
+[[package]]
+name = "hashbrown"
+version = "0.16.1"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "841d1cc9bed7f9236f321df977030373f4a4163ae1a7dbfe1a51a2c1a51d9100"
+
 [[package]]
 name = "iana-time-zone"
 version = "0.1.65"
@@ -108,6 +121,18 @@ dependencies = [
  "cc",
 ]
 
+[[package]]
+name = "indexmap"
+version = "2.11.4"
+source = "registry+https://github.com/rust-lang/crates.io-index"
+checksum = "4b0f83760fb341a774ed326568e19f5a863af4a952def8c39f9ab92fd95b88e5"
+dependencies = [
+ "equivalent",
+ "hashbrown",
+ "serde",
+ "serde_core",
+]
+
 [[package]]
 name = "itoa"
 version = "1.0.18"
diff --git a/Cargo.toml b/Cargo.toml
index 2badf61..ddb1301 100644
--- a/Cargo.toml
+++ b/Cargo.toml
@@ -13,5 +13,6 @@ authors = ["OpenAI Codex"]
 
 [workspace.dependencies]
 chrono = { version = "=0.4.44", features = ["serde"] }
+indexmap = { version = "=2.11.4", features = ["serde"] }
 serde = { version = "=1.0.228", features = ["derive"] }
 thiserror = "=2.0.18"
diff --git a/README.md b/README.md
index 99808db..5074f67 100644
--- a/README.md
+++ b/README.md
@@ -4,15 +4,18 @@
 
 ## 当前能力
 
-- Phase 2：增加 snapshot bundle 视图与更贴近 jqdata 策略语义的动态市值带策略
+- Phase 3：增加预索引数据层、可配置决策/执行语义，以及更贴近聚宽微盘股脚本的 native 策略
 - 日频交易日历与确定性逐日回放
 - A 股日频市场快照、估值/因子快照、基准快照、候选资格标记
 - 策略接口与引擎驱动，不直接模拟 `jqdata` API
+- `BacktestConfig` 支持 `decision_lag_trading_days` 和 `execution_price_field(open/close/last)`
+- `DailyMarketSnapshot` 支持 `day_open` / `last_price`
 - Universe 选择器：按指数位置动态切换市值带，再取最小市值 Top-N
 - 风险节流：基于指数均线状态切换 100% / 50% / 0% 仓位
 - Broker Simulator：按次日开盘价撮合，支持手续费、印花税、最小佣金
 - 中国 A 股规则钩子：T+1、停牌、涨停不可买、跌停不可卖
 - 回测输出：权益曲线、成交记录、期末持仓摘要
+- 新增 `JqMicroCapStrategy`：覆盖动态市值带、停运窗口、1 元股 / ST / 科创板过滤、均线过滤、止损止盈、固定频率再平衡
 - `cargo run --bin bt-demo` 可直接运行仓库内置 demo 数据
 
 ## Workspace 布局
@@ -43,12 +46,12 @@
 
 - `calendar`: 交易日历和滚动窗口工具，负责日频迭代和均线 lookback。
 - `instrument`: 证券静态定义。
-- `data`: 日频市场、因子、基准、候选资格数据模型与 CSV loader。
+- `data`: 日频市场、因子、基准、候选资格数据模型与 CSV loader；内部预建 symbol 级价格前缀和、按日预排序 eligible universe。
 - `universe`: 动态市值带 Universe Selector。
 - `portfolio`: 现金、持仓、FIFO lots、T+1 可卖数量、盈亏汇总。
 - `rules`: 中国股票规则钩子，隔离停牌、涨跌停、T+1 检查。
 - `cost`: 佣金、印花税、最低佣金模型。
-- `broker`: 目标权重到订单执行的模拟器，先卖后买，买单按 100 股向下取整。
+- `broker`: 同时支持“目标权重再平衡”和显式 `order_target_value / order_value` 订单意图，买单按 100 股向下取整；执行价可选 `open / close / last`。
 - `strategy`: 引擎驱动的策略 trait 与具体策略实现。
 - `engine`: 确定性的逐日回测循环和结果收集。
 
@@ -81,6 +84,25 @@
 
 这更接近平台化引擎需要的“策略意图”和“执行语义”分离。
 
+新增的 `JqMicroCapStrategy` 更直接对齐 `/聚宽微盘股策略.py`：
+
+1. 指数信号使用 `benchmark_signal_symbol` 的同日 `last_price`。
+2. 市值带按 `round((index_level - base_index_level) * xs + base_cap_floor)` 动态计算。
+3. 在预排序后的 eligible universe 上做带内截取，避免每个交易日全表扫描。
+4. 叠加脚本中的盘中规则：
+   - 涨停开盘 / 跌停开盘
+   - 当前涨停 / 当前跌停
+   - 停牌 / ST / 名称含退 / 科创板
+   - 1 元股
+   - 个股 5/10/20 日均线过滤
+5. 止损/止盈与固定 15 日再平衡同时工作。
+6. 当前实现将 `run_daily(10:17/10:18)` 近似为“同日快照决策 + `last_price` 执行”，比传统 `T-1 -> T open` 更接近原脚本。
+7. 执行层不再只做目标权重映射，而是支持更接近原脚本的显式订单链路：
+   - `order_target_value(symbol, 0)` 风格清仓
+   - `order_value(symbol, cash)` 风格补仓
+   - 止损/止盈后按剩余现金和剩余槽位补首个可买标的
+   - 定期调仓时先卖出池外持仓，再按固定现金分配逐笔买入
+
 ## 与原始 jqdata 策略族的映射
 
 如果原始逻辑大致是：
@@ -97,7 +119,7 @@
 - `get_price` / `history` -> `DailyMarketSnapshot` + `BenchmarkSnapshot`
 - `set_benchmark` -> `BacktestConfig.benchmark_code`
 - `filter_paused` / `filter_st` / 新股过滤 -> `CandidateEligibility`
-- `order_target_value` -> `StrategyDecision.target_weights` 由 `BrokerSimulator` 解释执行
+- `order_target_value` / `order_value` -> `StrategyDecision.order_intents` 由 `BrokerSimulator` 顺序解释执行
 - 风险控制逻辑 -> `CnSmallCapRotationStrategy::gross_exposure`
 
 ## Phase 2 新增内容
@@ -108,16 +130,25 @@
 - 候选资格快照扩展：补入 `is_kcb`、`is_one_yuan`
 - 增加策略选择行为测试
 
-## V1 / V2 当前仍保留的简化点
+## Phase 3 新增内容
+
+- `DataSet` 新增 symbol 级价格前缀和，均线查询变为 O(1)
+- `DynamicMarketCapBandSelector` 新增预排序 eligible universe + 二分带内截取
+- `BrokerSimulator` 新增 `execution_price_field`
+- `BacktestEngine` 新增 `decision_lag_trading_days`
+- 新增 `JqMicroCapStrategy` 和对应测试
+- `StrategyDecision` / `BrokerSimulator` 新增显式订单意图，开始覆盖 `order_target_value / order_value` 语义
+
+## 当前仍保留的简化点
 
 下面这些是刻意保留为 v1 简化，而不是遗漏：
 
-- 只支持日频，不做分钟级、集合竞价、盘中撮合。
-- 决策基于 `T-1` 收盘后可见数据，在 `T` 开盘价执行。
+- 只支持日频 snapshot，不直接做逐笔 tick 回放。
+- `JqMicroCapStrategy` 已支持同日 `last_price` 决策/执行，但这仍然是 snapshot 近似，不是盘口逐笔成交。
 - 不模拟盘口排队、成交量约束和滑点模型，成交默认按开盘价完成。
 - 买单按 100 股整手向下取整，卖单允许按实际持仓数量退出。
 - 未处理复权、分红送转、融资融券、可转债、科创板/北交所差异规则。
-- 止损止盈基于上一交易日收盘价相对持仓成本触发，下一交易日开盘执行。
+- 止损止盈仍然是 snapshot 驱动，不是逐笔止损链。
 
 这些简化都在代码结构上留了扩展位，不会阻断后续升级到更完整的执行层。
 
@@ -129,6 +160,14 @@
 cargo run --bin bt-demo
 ```
 
+运行更贴近聚宽微盘股脚本的策略：
+
+```bash
+FIDC_BT_STRATEGY=jq-microcap \
+FIDC_BT_SIGNAL_SYMBOL=000001.SH \
+cargo run --release --bin bt-demo
+```
+
 如果要接更接近真实数据面的按日分区 snapshot 目录：
 
 ```bash
@@ -154,7 +193,7 @@ snapshots/
 ```
 
 其中：
-- `market/`：日级行情快照，可显式携带 `upper_limit/lower_limit`
+- `market/`：日级行情快照，可显式携带 `upper_limit/lower_limit/day_open/last_price`
 - `factors/`：估值/因子快照，可扩展 `turnover_ratio/effective_turnover_ratio`
 - `candidates/`：候选资格/过滤标记快照
 - `benchmark/`：业绩基准指数快照
@@ -192,12 +231,14 @@ cargo build
   - broker 做持仓差量执行
 - 不把查询逻辑塞进策略内部，避免回测时频繁回源数据层。
 
-如果未来把日频因子、资格标记、可交易标记和开/收盘价全部预计算到列式存储，再按日期分块读入内存，6 年全市场回测在 5 分钟内是合理目标，原因是：
+如果未来把日频因子、资格标记、可交易标记和 `day_open / last_price / high_limit / low_limit` 全部预计算到列式存储，再按日期分块读入内存，6 年全市场回测在分钟级是合理目标，原因是：
 
 - 回测时不再做昂贵的 SQL join
-- 因子筛选可直接消费预先物化的 snapshot
+- 因子筛选可直接消费预先物化并排序的 snapshot
 - 组合调仓只关心“目标持仓”和“当前持仓”的差量
 - 事件流是 append-only，适合批量写出和后处理分析
+- 均线查询通过 prefix sums 变成 O(1)
+- 市值带选股通过预排序 universe + 二分定位变成 O(log N + K)
 
 ## 距离真实 6 年 / 5 分钟平台还差什么
 
diff --git a/crates/bt-demo/src/main.rs b/crates/bt-demo/src/main.rs
index 0c76fe6..74e0f0d 100644
--- a/crates/bt-demo/src/main.rs
+++ b/crates/bt-demo/src/main.rs
@@ -3,20 +3,12 @@ use std::fs;
 use std::io::Write;
 use std::path::{Path, PathBuf};
 
-use chrono::NaiveDate;
+use chrono::{NaiveDate, NaiveTime};
 use fidc_core::{
-    BacktestConfig,
-    BacktestEngine,
-    BenchmarkSnapshot,
-    BrokerSimulator,
-    ChinaAShareCostModel,
-    ChinaEquityRuleHooks,
-    CnSmallCapRotationConfig,
-    CnSmallCapRotationStrategy,
-    DataSet,
-    DailyEquityPoint,
-    FillEvent,
-    HoldingSummary,
+    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, ChinaAShareCostModel,
+    ChinaEquityRuleHooks, CnSmallCapRotationConfig, CnSmallCapRotationStrategy, DailyEquityPoint,
+    DataSet, FillEvent, HoldingSummary, JqMicroCapConfig, JqMicroCapStrategy, PortfolioState,
+    PriceField, Strategy, StrategyContext,
 };
 use serde_json::json;
 
@@ -40,26 +32,27 @@ fn main() -> Result<(), Box<dyn Error>> {
     } else {
         DataSet::from_csv_dir(&data_dir)?
     };
-    let mut strategy_cfg = std::env::var("FIDC_BT_STRATEGY")
+    let strategy_name =
+        std::env::var("FIDC_BT_STRATEGY").unwrap_or_else(|_| "cn-smallcap-rotation".to_string());
+    let debug_date = std::env::var("FIDC_BT_DEBUG_DATE")
         .ok()
-        .as_deref()
-        .map(|value| match value {
-            "cn-dyn-smallcap-band" => CnSmallCapRotationConfig::cn_dyn_smallcap_band(),
-            _ => CnSmallCapRotationConfig::demo(),
-        })
-        .unwrap_or_else(CnSmallCapRotationConfig::demo);
-    if strategy_cfg.strategy_name == "cn-smallcap-rotation" {
-        strategy_cfg.base_index_level = 3000.0;
-        strategy_cfg.base_cap_floor = 38.0;
-        strategy_cfg.cap_span = 25.0;
-    }
-    if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
-        if !signal_symbol.trim().is_empty() {
-            strategy_cfg.signal_symbol = Some(signal_symbol);
-        }
-    }
-    let strategy = CnSmallCapRotationStrategy::new(strategy_cfg);
-    let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks::default());
+        .filter(|value| !value.trim().is_empty())
+        .map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
+        .transpose()?;
+    let decision_lag = std::env::var("FIDC_BT_DECISION_LAG")
+        .ok()
+        .and_then(|value| value.parse::<usize>().ok());
+    let execution_price =
+        std::env::var("FIDC_BT_EXECUTION_PRICE")
+            .ok()
+            .map(|value| match value.as_str() {
+                "close" => PriceField::Close,
+                "last" => PriceField::Last,
+                _ => PriceField::Open,
+            });
+    let initial_cash = std::env::var("FIDC_BT_INITIAL_CASH")
+        .ok()
+        .and_then(|value| value.parse::<f64>().ok());
     let start_date = std::env::var("FIDC_BT_START_DATE")
         .ok()
         .filter(|value| !value.trim().is_empty())
@@ -70,19 +63,97 @@ fn main() -> Result<(), Box<dyn Error>> {
         .filter(|value| !value.trim().is_empty())
         .map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
         .transpose()?;
-    let config = BacktestConfig {
-        initial_cash: 1_000_000.0,
+    let mut config = BacktestConfig {
+        initial_cash: initial_cash.unwrap_or(1_000_000.0),
         benchmark_code: data.benchmark_code().to_string(),
         start_date,
         end_date,
+        decision_lag_trading_days: 1,
+        execution_price_field: PriceField::Open,
+    };
+    let result = match strategy_name.as_str() {
+        "cn-smallcap-rotation" | "cn-dyn-smallcap-band" => {
+            let mut strategy_cfg = if strategy_name == "cn-dyn-smallcap-band" {
+                CnSmallCapRotationConfig::cn_dyn_smallcap_band()
+            } else {
+                CnSmallCapRotationConfig::demo()
+            };
+            if strategy_cfg.strategy_name == "cn-smallcap-rotation" {
+                strategy_cfg.base_index_level = 3000.0;
+                strategy_cfg.base_cap_floor = 38.0;
+                strategy_cfg.cap_span = 25.0;
+            }
+            if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
+                if !signal_symbol.trim().is_empty() {
+                    strategy_cfg.signal_symbol = Some(signal_symbol);
+                }
+            }
+            config.decision_lag_trading_days = decision_lag.unwrap_or(1);
+            config.execution_price_field = execution_price.unwrap_or(PriceField::Open);
+            let strategy = CnSmallCapRotationStrategy::new(strategy_cfg);
+            let broker = BrokerSimulator::new_with_execution_price(
+                ChinaAShareCostModel::default(),
+                ChinaEquityRuleHooks::default(),
+                config.execution_price_field,
+            );
+            let mut engine = BacktestEngine::new(data, strategy, broker, config);
+            engine.run()?
+        }
+        _ => {
+            let mut strategy_cfg = JqMicroCapConfig::jq_microcap();
+            if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
+                if !signal_symbol.trim().is_empty() {
+                    strategy_cfg.benchmark_signal_symbol = signal_symbol;
+                }
+            }
+            if let Some(date) = debug_date {
+                let eligible = data.eligible_universe_on(date);
+                eprintln!(
+                    "DEBUG eligible_universe_on {} count={}",
+                    date,
+                    eligible.len()
+                );
+                for row in eligible.iter().take(20) {
+                    eprintln!("  {} {:.6}", row.symbol, row.market_cap_bn);
+                }
+                let mut debug_strategy = JqMicroCapStrategy::new(strategy_cfg.clone());
+                let decision = debug_strategy.on_day(&StrategyContext {
+                    execution_date: date,
+                    decision_date: date,
+                    decision_index: 1,
+                    data: &data,
+                    portfolio: &PortfolioState::new(10_000_000.0),
+                })?;
+                eprintln!("DEBUG notes={:?}", decision.notes);
+                eprintln!("DEBUG diagnostics={:?}", decision.diagnostics);
+                return Ok(());
+            }
+            config.decision_lag_trading_days = decision_lag.unwrap_or(0);
+            config.execution_price_field = execution_price.unwrap_or(PriceField::Last);
+            config.initial_cash = initial_cash.unwrap_or(10_000_000.0);
+            let strategy = JqMicroCapStrategy::new(strategy_cfg);
+            let broker = BrokerSimulator::new_with_execution_price(
+                ChinaAShareCostModel::default(),
+                ChinaEquityRuleHooks::default(),
+                config.execution_price_field,
+            )
+            .with_intraday_execution_start_time(
+                NaiveTime::parse_from_str("10:18:00", "%H:%M:%S").expect("valid 10:18:00"),
+            )
+            .with_volume_limit(false)
+            .with_inactive_limit(false)
+            .with_liquidity_limit(false);
+            let mut engine = BacktestEngine::new(data, strategy, broker, config);
+            engine.run()?
+        }
     };
-
-    let mut engine = BacktestEngine::new(data, strategy, broker, config);
-    let result = engine.run()?;
 
     write_equity_curve_csv(&output_dir.join("equity_curve.csv"), &result.equity_curve)?;
     write_trades_csv(&output_dir.join("trades.csv"), &result.fills)?;
-    write_holdings_csv(&output_dir.join("holdings_summary.csv"), &result.holdings_summary)?;
+    write_holdings_csv(
+        &output_dir.join("holdings_summary.csv"),
+        &result.holdings_summary,
+    )?;
 
     let summary = build_summary(
         &result.strategy_name,
@@ -110,7 +181,10 @@ fn workspace_root() -> PathBuf {
 
 fn write_equity_curve_csv(path: &Path, rows: &[DailyEquityPoint]) -> Result<(), Box<dyn Error>> {
     let mut file = fs::File::create(path)?;
-    writeln!(file, "date,cash,market_value,total_equity,benchmark_close,notes,diagnostics")?;
+    writeln!(
+        file,
+        "date,cash,market_value,total_equity,benchmark_close,notes,diagnostics"
+    )?;
     for row in rows {
         writeln!(
             file,
@@ -225,15 +299,17 @@ fn build_summary(
         .collect::<Vec<_>>()
         .into_iter()
         .rev()
-        .map(|row| json!({
-            "date": row.date.to_string(),
-            "cash": row.cash,
-            "marketValue": row.market_value,
-            "totalEquity": row.total_equity,
-            "benchmarkClose": row.benchmark_close,
-            "notes": row.notes,
-            "diagnostics": row.diagnostics,
-        }))
+        .map(|row| {
+            json!({
+                "date": row.date.to_string(),
+                "cash": row.cash,
+                "marketValue": row.market_value,
+                "totalEquity": row.total_equity,
+                "benchmarkClose": row.benchmark_close,
+                "notes": row.notes,
+                "diagnostics": row.diagnostics,
+            })
+        })
         .collect::<Vec<_>>();
     let trades_preview = fills
         .iter()
@@ -242,16 +318,18 @@ fn build_summary(
         .collect::<Vec<_>>()
         .into_iter()
         .rev()
-        .map(|row| json!({
-            "date": row.date.to_string(),
-            "symbol": row.symbol,
-            "side": format!("{:?}", row.side),
-            "quantity": row.quantity,
-            "price": row.price,
-            "grossAmount": row.gross_amount,
-            "netCashFlow": row.net_cash_flow,
-            "reason": row.reason,
-        }))
+        .map(|row| {
+            json!({
+                "date": row.date.to_string(),
+                "symbol": row.symbol,
+                "side": format!("{:?}", row.side),
+                "quantity": row.quantity,
+                "price": row.price,
+                "grossAmount": row.gross_amount,
+                "netCashFlow": row.net_cash_flow,
+                "reason": row.reason,
+            })
+        })
         .collect::<Vec<_>>();
 
     RunSummary {
@@ -296,12 +374,35 @@ fn extract_diagnostics(equity_curve: &[DailyEquityPoint]) -> serde_json::Value {
                     map.insert(k.to_string(), parse_diag_value(v));
                 }
             }
-        } else if let Some(rest) = part.strip_prefix("market_cap_missing likely blocks selection; sample=") {
-            map.insert("marketCapMissingSample".to_string(), json!(rest.split('|').filter(|s| !s.is_empty()).collect::<Vec<_>>()));
+        } else if let Some(rest) =
+            part.strip_prefix("market_cap_missing likely blocks selection; sample=")
+        {
+            map.insert(
+                "marketCapMissingSample".to_string(),
+                json!(
+                    rest.split('|')
+                        .filter(|s| !s.is_empty())
+                        .collect::<Vec<_>>()
+                ),
+            );
         } else if let Some(rest) = part.strip_prefix("selection_rejections sample=") {
-            map.insert("selectionRejectionsSample".to_string(), json!(rest.split(" | ").filter(|s| !s.is_empty()).collect::<Vec<_>>()));
+            map.insert(
+                "selectionRejectionsSample".to_string(),
+                json!(
+                    rest.split(" | ")
+                        .filter(|s| !s.is_empty())
+                        .collect::<Vec<_>>()
+                ),
+            );
         } else if let Some(rest) = part.strip_prefix("ma_filter_rejections sample=") {
-            map.insert("maFilterRejectionsSample".to_string(), json!(rest.split('|').filter(|s| !s.is_empty()).collect::<Vec<_>>()));
+            map.insert(
+                "maFilterRejectionsSample".to_string(),
+                json!(
+                    rest.split('|')
+                        .filter(|s| !s.is_empty())
+                        .collect::<Vec<_>>()
+                ),
+            );
         } else if let Some(rest) = part.strip_prefix("selected=") {
             map.insert("selectedLine".to_string(), json!(rest));
         }
@@ -332,16 +433,31 @@ fn build_warnings(
     if holdings.is_empty() {
         warnings.push("期末没有持仓。".to_string());
     }
-    if diagnostics.get("selected_after_ma").and_then(|v| v.as_i64()).unwrap_or(0) == 0 {
-        warnings.push("最终没有股票通过完整选股链路，结果为空时请优先查看 diagnostics。".to_string());
+    if diagnostics
+        .get("selected_after_ma")
+        .and_then(|v| v.as_i64())
+        .unwrap_or(0)
+        == 0
+    {
+        warnings
+            .push("最终没有股票通过完整选股链路，结果为空时请优先查看 diagnostics。".to_string());
     }
-    if diagnostics.get("market_cap_missing_count").and_then(|v| v.as_i64()).unwrap_or(0) > 0 {
+    if diagnostics
+        .get("market_cap_missing_count")
+        .and_then(|v| v.as_i64())
+        .unwrap_or(0)
+        > 0
+    {
         warnings.push("存在 market_cap 缺失或非正值，当前会直接阻断该股票进入候选池。".to_string());
     }
     warnings
 }
 
-fn print_summary(summary: &RunSummary, equity_curve: &[DailyEquityPoint], holdings: &[HoldingSummary]) {
+fn print_summary(
+    summary: &RunSummary,
+    equity_curve: &[DailyEquityPoint],
+    holdings: &[HoldingSummary],
+) {
     if equity_curve.is_empty() {
         println!("No equity curve points generated.");
         return;
@@ -359,7 +475,14 @@ fn print_summary(summary: &RunSummary, equity_curve: &[DailyEquityPoint], holdin
     }
 
     println!("Recent equity points:");
-    for point in equity_curve.iter().rev().take(3).collect::<Vec<_>>().into_iter().rev() {
+    for point in equity_curve
+        .iter()
+        .rev()
+        .take(3)
+        .collect::<Vec<_>>()
+        .into_iter()
+        .rev()
+    {
         println!(
             "  {} equity {:.2} cash {:.2} mv {:.2}",
             point.date, point.total_equity, point.cash, point.market_value
diff --git a/crates/fidc-core/Cargo.toml b/crates/fidc-core/Cargo.toml
index ffc7848..1882a73 100644
--- a/crates/fidc-core/Cargo.toml
+++ b/crates/fidc-core/Cargo.toml
@@ -7,5 +7,6 @@ authors.workspace = true
 
 [dependencies]
 chrono.workspace = true
+indexmap.workspace = true
 serde.workspace = true
 thiserror.workspace = true
diff --git a/crates/fidc-core/src/broker.rs b/crates/fidc-core/src/broker.rs
index 08d3812..85fec29 100644
--- a/crates/fidc-core/src/broker.rs
+++ b/crates/fidc-core/src/broker.rs
@@ -1,14 +1,14 @@
 use std::collections::{BTreeMap, BTreeSet};
 
-use chrono::NaiveDate;
+use chrono::{Duration, NaiveDate, NaiveDateTime, NaiveTime};
 
 use crate::cost::CostModel;
-use crate::data::{DataSet, PriceField};
+use crate::data::{DataSet, IntradayExecutionQuote, PriceField};
 use crate::engine::BacktestError;
 use crate::events::{AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent};
 use crate::portfolio::PortfolioState;
 use crate::rules::EquityRuleHooks;
-use crate::strategy::StrategyDecision;
+use crate::strategy::{OrderIntent, StrategyDecision};
 
 #[derive(Debug, Default)]
 pub struct BrokerExecutionReport {
@@ -18,10 +18,23 @@ pub struct BrokerExecutionReport {
     pub account_events: Vec<AccountEvent>,
 }
 
+#[derive(Debug, Clone, Copy)]
+struct ExecutionFill {
+    price: f64,
+    quantity: u32,
+    next_cursor: NaiveDateTime,
+}
+
 pub struct BrokerSimulator<C, R> {
     cost_model: C,
     rules: R,
     board_lot_size: u32,
+    execution_price_field: PriceField,
+    volume_percent: f64,
+    volume_limit: bool,
+    inactive_limit: bool,
+    liquidity_limit: bool,
+    intraday_execution_start_time: Option<NaiveTime>,
 }
 
 impl<C, R> BrokerSimulator<C, R> {
@@ -30,8 +43,57 @@ impl<C, R> BrokerSimulator<C, R> {
             cost_model,
             rules,
             board_lot_size: 100,
+            execution_price_field: PriceField::Open,
+            volume_percent: 0.25,
+            volume_limit: true,
+            inactive_limit: true,
+            liquidity_limit: true,
+            intraday_execution_start_time: None,
         }
     }
+
+    pub fn new_with_execution_price(
+        cost_model: C,
+        rules: R,
+        execution_price_field: PriceField,
+    ) -> Self {
+        Self {
+            cost_model,
+            rules,
+            board_lot_size: 100,
+            execution_price_field,
+            volume_percent: 0.25,
+            volume_limit: true,
+            inactive_limit: true,
+            liquidity_limit: true,
+            intraday_execution_start_time: None,
+        }
+    }
+
+    pub fn with_volume_limit(mut self, enabled: bool) -> Self {
+        self.volume_limit = enabled;
+        self
+    }
+
+    pub fn with_inactive_limit(mut self, enabled: bool) -> Self {
+        self.inactive_limit = enabled;
+        self
+    }
+
+    pub fn with_liquidity_limit(mut self, enabled: bool) -> Self {
+        self.liquidity_limit = enabled;
+        self
+    }
+
+    pub fn with_volume_percent(mut self, volume_percent: f64) -> Self {
+        self.volume_percent = volume_percent;
+        self
+    }
+
+    pub fn with_intraday_execution_start_time(mut self, start_time: NaiveTime) -> Self {
+        self.intraday_execution_start_time = Some(start_time);
+        self
+    }
 }
 
 impl<C, R> BrokerSimulator<C, R>
@@ -39,6 +101,18 @@ where
     C: CostModel,
     R: EquityRuleHooks,
 {
+    fn buy_price(&self, snapshot: &crate::data::DailyMarketSnapshot) -> f64 {
+        snapshot.buy_price(self.execution_price_field)
+    }
+
+    fn sell_price(&self, snapshot: &crate::data::DailyMarketSnapshot) -> f64 {
+        snapshot.sell_price(self.execution_price_field)
+    }
+
+    fn sizing_price(&self, snapshot: &crate::data::DailyMarketSnapshot) -> f64 {
+        snapshot.price(self.execution_price_field)
+    }
+
     pub fn execute(
         &self,
         date: NaiveDate,
@@ -47,6 +121,26 @@ where
         decision: &StrategyDecision,
     ) -> Result<BrokerExecutionReport, BacktestError> {
         let mut report = BrokerExecutionReport::default();
+        let mut intraday_turnover = BTreeMap::<String, u32>::new();
+        let mut execution_cursors = BTreeMap::<String, NaiveDateTime>::new();
+        let mut global_execution_cursor = None::<NaiveDateTime>;
+        if !decision.order_intents.is_empty() {
+            for intent in &decision.order_intents {
+                self.process_order_intent(
+                    date,
+                    portfolio,
+                    data,
+                    intent,
+                    &mut intraday_turnover,
+                    &mut execution_cursors,
+                    &mut global_execution_cursor,
+                    &mut report,
+                )?;
+            }
+            portfolio.prune_flat_positions();
+            return Ok(report);
+        }
+
         let target_quantities = if decision.rebalance {
             self.target_quantities(date, portfolio, data, &decision.target_weights)?
         } else {
@@ -59,7 +153,10 @@ where
         sell_symbols.extend(target_quantities.keys().cloned());
 
         for symbol in sell_symbols {
-            let current_qty = portfolio.position(&symbol).map(|pos| pos.quantity).unwrap_or(0);
+            let current_qty = portfolio
+                .position(&symbol)
+                .map(|pos| pos.quantity)
+                .unwrap_or(0);
             if current_qty == 0 {
                 continue;
             }
@@ -81,6 +178,9 @@ where
                     &symbol,
                     requested_qty,
                     sell_reason(decision, &symbol),
+                    &mut intraday_turnover,
+                    &mut execution_cursors,
+                    &mut global_execution_cursor,
                     &mut report,
                 )?;
             }
@@ -88,7 +188,10 @@ where
 
         if decision.rebalance {
             for (symbol, target_qty) in target_quantities {
-                let current_qty = portfolio.position(&symbol).map(|pos| pos.quantity).unwrap_or(0);
+                let current_qty = portfolio
+                    .position(&symbol)
+                    .map(|pos| pos.quantity)
+                    .unwrap_or(0);
                 if target_qty > current_qty {
                     let requested_qty = target_qty - current_qty;
                     self.process_buy(
@@ -98,6 +201,10 @@ where
                         &symbol,
                         requested_qty,
                         "rebalance_buy",
+                        &mut intraday_turnover,
+                        &mut execution_cursors,
+                        &mut global_execution_cursor,
+                        None,
                         &mut report,
                     )?;
                 }
@@ -108,6 +215,53 @@ where
         Ok(report)
     }
 
+    fn process_order_intent(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        intent: &OrderIntent,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
+        report: &mut BrokerExecutionReport,
+    ) -> Result<(), BacktestError> {
+        match intent {
+            OrderIntent::TargetValue {
+                symbol,
+                target_value,
+                reason,
+            } => self.process_target_value(
+                date,
+                portfolio,
+                data,
+                symbol,
+                *target_value,
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                report,
+            ),
+            OrderIntent::Value {
+                symbol,
+                value,
+                reason,
+            } => self.process_value(
+                date,
+                portfolio,
+                data,
+                symbol,
+                *value,
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                report,
+            ),
+        }
+    }
+
     fn target_quantities(
         &self,
         date: NaiveDate,
@@ -120,14 +274,14 @@ where
 
         for (symbol, weight) in target_weights {
             let price = data
-                .price(date, symbol, PriceField::Open)
+                .price(date, symbol, self.execution_price_field)
                 .ok_or_else(|| BacktestError::MissingPrice {
                     date,
                     symbol: symbol.clone(),
-                    field: "open",
+                    field: price_field_name(self.execution_price_field),
                 })?;
             let raw_qty = ((equity * weight) / price).floor() as u32;
-            let rounded_qty = self.round_buy_quantity(raw_qty);
+            let rounded_qty = self.round_buy_quantity(raw_qty, self.round_lot(data, symbol));
             targets.insert(symbol.clone(), rounded_qty);
         }
 
@@ -142,6 +296,9 @@ where
         symbol: &str,
         requested_qty: u32,
         reason: &str,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
         let snapshot = data.require_market(date, symbol)?;
@@ -150,22 +307,55 @@ where
             return Ok(());
         };
 
-        let rule = self.rules.can_sell(date, snapshot, candidate, position);
+        let rule = self.rules.can_sell(
+            date,
+            snapshot,
+            candidate,
+            position,
+            self.execution_price_field,
+        );
         if !rule.allowed {
+            let status = match rule.reason.as_deref() {
+                Some("paused")
+                | Some("sell disabled by eligibility flags")
+                | Some("open at or below lower limit") => OrderStatus::Canceled,
+                _ => OrderStatus::Rejected,
+            };
             report.order_events.push(OrderEvent {
                 date,
                 symbol: symbol.to_string(),
                 side: OrderSide::Sell,
                 requested_quantity: requested_qty,
                 filled_quantity: 0,
-                status: OrderStatus::Rejected,
+                status,
                 reason: format!("{reason}: {}", rule.reason.unwrap_or_default()),
             });
             return Ok(());
         }
 
         let sellable = position.sellable_qty(date);
-        let filled_qty = requested_qty.min(sellable);
+        let market_limited_qty = self.market_fillable_quantity(
+            snapshot,
+            OrderSide::Sell,
+            requested_qty.min(sellable),
+            self.round_lot(data, symbol),
+            *intraday_turnover.get(symbol).unwrap_or(&0),
+        );
+        let filled_qty = match market_limited_qty {
+            Ok(quantity) => quantity.min(sellable),
+            Err(limit_reason) => {
+                report.order_events.push(OrderEvent {
+                    date,
+                    symbol: symbol.to_string(),
+                    side: OrderSide::Sell,
+                    requested_quantity: requested_qty,
+                    filled_quantity: 0,
+                    status: OrderStatus::Rejected,
+                    reason: format!("{reason}: {limit_reason}"),
+                });
+                return Ok(());
+            }
+        };
         if filled_qty == 0 {
             report.order_events.push(OrderEvent {
                 date,
@@ -180,15 +370,42 @@ where
         }
 
         let cash_before = portfolio.cash();
-        let gross_amount = snapshot.open * filled_qty as f64;
+        let fill = self.resolve_execution_fill(
+            date,
+            symbol,
+            OrderSide::Sell,
+            snapshot,
+            data,
+            filled_qty,
+            self.round_lot(data, symbol),
+            execution_cursors,
+            None,
+            None,
+            None,
+        );
+        let (filled_qty, execution_price) = if let Some(fill) = fill {
+            execution_cursors.insert(symbol.to_string(), fill.next_cursor);
+            if self.uses_serial_execution_cursor(reason) {
+                *global_execution_cursor = Some(fill.next_cursor);
+            }
+            (fill.quantity, fill.price)
+        } else {
+            (
+                filled_qty,
+                self.sell_price(snapshot),
+            )
+        };
+        let gross_amount = execution_price * filled_qty as f64;
         let cost = self.cost_model.calculate(OrderSide::Sell, gross_amount);
         let net_cash = gross_amount - cost.total();
 
         let realized_pnl = portfolio
             .position_mut(symbol)
-            .sell(filled_qty, snapshot.open)
+            .sell(filled_qty, execution_price)
             .map_err(BacktestError::Execution)?;
         portfolio.apply_cash_delta(net_cash);
+        portfolio.prune_flat_positions();
+        *intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
 
         let status = if filled_qty < requested_qty {
             OrderStatus::PartiallyFilled
@@ -210,7 +427,7 @@ where
             symbol: symbol.to_string(),
             side: OrderSide::Sell,
             quantity: filled_qty,
-            price: snapshot.open,
+            price: execution_price,
             gross_amount,
             commission: cost.commission,
             stamp_tax: cost.stamp_tax,
@@ -221,7 +438,10 @@ where
             date,
             symbol: symbol.to_string(),
             delta_quantity: -(filled_qty as i32),
-            quantity_after: portfolio.position(symbol).map(|pos| pos.quantity).unwrap_or(0),
+            quantity_after: portfolio
+                .position(symbol)
+                .map(|pos| pos.quantity)
+                .unwrap_or(0),
             average_cost: portfolio
                 .position(symbol)
                 .map(|pos| pos.average_cost)
@@ -239,6 +459,139 @@ where
         Ok(())
     }
 
+    fn process_target_value(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        symbol: &str,
+        target_value: f64,
+        reason: &str,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
+        report: &mut BrokerExecutionReport,
+    ) -> Result<(), BacktestError> {
+        let price = data
+            .market(date, symbol)
+            .map(|snapshot| self.sizing_price(snapshot))
+            .ok_or_else(|| BacktestError::MissingPrice {
+                date,
+                symbol: symbol.to_string(),
+                field: price_field_name(self.execution_price_field),
+            })?;
+        let current_qty = portfolio
+            .position(symbol)
+            .map(|pos| pos.quantity)
+            .unwrap_or(0);
+        let current_value = price * current_qty as f64;
+        let target_qty = self.round_buy_quantity(
+            ((target_value.max(0.0)) / price).floor() as u32,
+            self.round_lot(data, symbol),
+        );
+
+        if current_qty > target_qty {
+            self.process_sell(
+                date,
+                portfolio,
+                data,
+                symbol,
+                current_qty - target_qty,
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                report,
+            )?;
+        } else if target_qty > current_qty {
+            self.process_buy(
+                date,
+                portfolio,
+                data,
+                symbol,
+                target_qty - current_qty,
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                None,
+                report,
+            )?;
+        } else if (current_value - target_value).abs() <= f64::EPSILON {
+            report.order_events.push(OrderEvent {
+                date,
+                symbol: symbol.to_string(),
+                side: if current_qty > 0 {
+                    OrderSide::Sell
+                } else {
+                    OrderSide::Buy
+                },
+                requested_quantity: 0,
+                filled_quantity: 0,
+                status: OrderStatus::Filled,
+                reason: format!("{reason}: already at target value"),
+            });
+        }
+
+        Ok(())
+    }
+
+    fn process_value(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        data: &DataSet,
+        symbol: &str,
+        value: f64,
+        reason: &str,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
+        report: &mut BrokerExecutionReport,
+    ) -> Result<(), BacktestError> {
+        if value.abs() <= f64::EPSILON {
+            return Ok(());
+        }
+        let snapshot = data
+            .market(date, symbol)
+            .ok_or_else(|| BacktestError::MissingPrice {
+                date,
+                symbol: symbol.to_string(),
+                field: price_field_name(self.execution_price_field),
+            })?;
+        let price = self.sizing_price(snapshot);
+        let requested_qty =
+            self.round_buy_quantity(((value.abs()) / price).floor() as u32, self.round_lot(data, symbol));
+        if value > 0.0 {
+            self.process_buy(
+                date,
+                portfolio,
+                data,
+                symbol,
+                requested_qty,
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                Some(value.abs()),
+                report,
+            )
+        } else {
+            self.process_sell(
+                date,
+                portfolio,
+                data,
+                symbol,
+                requested_qty,
+                reason,
+                intraday_turnover,
+                execution_cursors,
+                global_execution_cursor,
+                report,
+            )
+        }
+    }
+
     fn process_buy(
         &self,
         date: NaiveDate,
@@ -247,12 +600,18 @@ where
         symbol: &str,
         requested_qty: u32,
         reason: &str,
+        intraday_turnover: &mut BTreeMap<String, u32>,
+        execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: &mut Option<NaiveDateTime>,
+        value_budget: Option<f64>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
         let snapshot = data.require_market(date, symbol)?;
         let candidate = data.require_candidate(date, symbol)?;
 
-        let rule = self.rules.can_buy(date, snapshot, candidate);
+        let rule = self
+            .rules
+            .can_buy(date, snapshot, candidate, self.execution_price_field);
         if !rule.allowed {
             report.order_events.push(OrderEvent {
                 date,
@@ -266,8 +625,59 @@ where
             return Ok(());
         }
 
-        let filled_qty =
-            self.affordable_buy_quantity(portfolio.cash(), snapshot.open, requested_qty);
+        let market_limited_qty = self.market_fillable_quantity(
+            snapshot,
+            OrderSide::Buy,
+            requested_qty,
+            self.round_lot(data, symbol),
+            *intraday_turnover.get(symbol).unwrap_or(&0),
+        );
+        let constrained_qty = match market_limited_qty {
+            Ok(quantity) => quantity,
+            Err(limit_reason) => {
+                report.order_events.push(OrderEvent {
+                    date,
+                    symbol: symbol.to_string(),
+                    side: OrderSide::Buy,
+                    requested_quantity: requested_qty,
+                    filled_quantity: 0,
+                    status: OrderStatus::Rejected,
+                    reason: format!("{reason}: {limit_reason}"),
+                });
+                return Ok(());
+            }
+        };
+
+        let fill = self.resolve_execution_fill(
+            date,
+            symbol,
+            OrderSide::Buy,
+            snapshot,
+            data,
+            constrained_qty,
+            self.round_lot(data, symbol),
+            execution_cursors,
+            None,
+            Some(portfolio.cash()),
+            value_budget,
+        );
+        let (filled_qty, execution_price) = if let Some(fill) = fill {
+            execution_cursors.insert(symbol.to_string(), fill.next_cursor);
+            if self.uses_serial_execution_cursor(reason) {
+                *global_execution_cursor = Some(fill.next_cursor);
+            }
+            (fill.quantity, fill.price)
+        } else {
+            let execution_price = self.buy_price(snapshot);
+            let filled_qty = self.affordable_buy_quantity(
+                portfolio.cash(),
+                value_budget,
+                execution_price,
+                constrained_qty,
+                self.round_lot(data, symbol),
+            );
+            (filled_qty, execution_price)
+        };
         if filled_qty == 0 {
             report.order_events.push(OrderEvent {
                 date,
@@ -282,12 +692,15 @@ where
         }
 
         let cash_before = portfolio.cash();
-        let gross_amount = snapshot.open * filled_qty as f64;
+        let gross_amount = execution_price * filled_qty as f64;
         let cost = self.cost_model.calculate(OrderSide::Buy, gross_amount);
         let cash_out = gross_amount + cost.total();
 
         portfolio.apply_cash_delta(-cash_out);
-        portfolio.position_mut(symbol).buy(date, filled_qty, snapshot.open);
+        portfolio
+            .position_mut(symbol)
+            .buy(date, filled_qty, execution_price);
+        *intraday_turnover.entry(symbol.to_string()).or_default() += filled_qty;
 
         let status = if filled_qty < requested_qty {
             OrderStatus::PartiallyFilled
@@ -309,7 +722,7 @@ where
             symbol: symbol.to_string(),
             side: OrderSide::Buy,
             quantity: filled_qty,
-            price: snapshot.open,
+            price: execution_price,
             gross_amount,
             commission: cost.commission,
             stamp_tax: cost.stamp_tax,
@@ -320,7 +733,10 @@ where
             date,
             symbol: symbol.to_string(),
             delta_quantity: filled_qty as i32,
-            quantity_after: portfolio.position(symbol).map(|pos| pos.quantity).unwrap_or(0),
+            quantity_after: portfolio
+                .position(symbol)
+                .map(|pos| pos.quantity)
+                .unwrap_or(0),
             average_cost: portfolio
                 .position(symbol)
                 .map(|pos| pos.average_cost)
@@ -347,38 +763,304 @@ where
     ) -> Result<f64, BacktestError> {
         let mut market_value = 0.0;
         for position in portfolio.positions().values() {
-            let price = data
-                .price(date, &position.symbol, field)
-                .ok_or_else(|| BacktestError::MissingPrice {
+            let price = data.price(date, &position.symbol, field).ok_or_else(|| {
+                BacktestError::MissingPrice {
                     date,
                     symbol: position.symbol.clone(),
                     field: match field {
                         PriceField::Open => "open",
                         PriceField::Close => "close",
+                        PriceField::Last => "last",
                     },
-                })?;
+                }
+            })?;
             market_value += price * position.quantity as f64;
         }
 
         Ok(portfolio.cash() + market_value)
     }
 
-    fn round_buy_quantity(&self, quantity: u32) -> u32 {
-        (quantity / self.board_lot_size) * self.board_lot_size
+    fn round_lot(&self, data: &DataSet, symbol: &str) -> u32 {
+        data.instruments()
+            .get(symbol)
+            .map(|instrument| instrument.effective_round_lot())
+            .unwrap_or(self.board_lot_size.max(1))
     }
 
-    fn affordable_buy_quantity(&self, cash: f64, price: f64, requested_qty: u32) -> u32 {
-        let mut quantity = self.round_buy_quantity(requested_qty);
+    fn round_buy_quantity(&self, quantity: u32, round_lot: u32) -> u32 {
+        let lot = round_lot.max(1);
+        (quantity / lot) * lot
+    }
+
+    fn affordable_buy_quantity(
+        &self,
+        cash: f64,
+        gross_limit: Option<f64>,
+        price: f64,
+        requested_qty: u32,
+        round_lot: u32,
+    ) -> u32 {
+        let lot = round_lot.max(1);
+        let mut quantity = self.round_buy_quantity(requested_qty, lot);
         while quantity > 0 {
             let gross = price * quantity as f64;
+            if gross_limit.is_some_and(|limit| gross > limit + 1e-6) {
+                quantity = quantity.saturating_sub(lot);
+                continue;
+            }
             let cost = self.cost_model.calculate(OrderSide::Buy, gross);
             if gross + cost.total() <= cash + 1e-6 {
                 return quantity;
             }
-            quantity = quantity.saturating_sub(self.board_lot_size);
+            quantity = quantity.saturating_sub(lot);
         }
         0
     }
+
+    fn market_fillable_quantity(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+        requested_qty: u32,
+        round_lot: u32,
+        consumed_turnover: u32,
+    ) -> Result<u32, String> {
+        if requested_qty == 0 {
+            return Ok(0);
+        }
+
+        if self.inactive_limit && snapshot.tick_volume == 0 {
+            return Err("tick no volume".to_string());
+        }
+
+        let mut max_fill = requested_qty;
+        let lot = round_lot.max(1);
+
+        if self.liquidity_limit {
+            let top_level_liquidity = match side {
+                OrderSide::Buy => snapshot.liquidity_for_buy(),
+                OrderSide::Sell => snapshot.liquidity_for_sell(),
+            }
+            .min(u32::MAX as u64) as u32;
+            if top_level_liquidity == 0 {
+                return Err("no quote liquidity".to_string());
+            }
+            max_fill = max_fill.min(self.round_buy_quantity(top_level_liquidity, lot));
+        }
+
+        if self.volume_limit {
+            let raw_limit =
+                ((snapshot.tick_volume as f64) * self.volume_percent).round() as i64
+                    - consumed_turnover as i64;
+            if raw_limit <= 0 {
+                return Err("tick volume limit".to_string());
+            }
+            let volume_limited = self.round_buy_quantity(raw_limit as u32, lot);
+            if volume_limited == 0 {
+                return Err("tick volume limit".to_string());
+            }
+            max_fill = max_fill.min(volume_limited);
+        }
+
+        Ok(max_fill)
+    }
+
+    fn resolve_execution_fill(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        side: OrderSide,
+        _snapshot: &crate::data::DailyMarketSnapshot,
+        data: &DataSet,
+        requested_qty: u32,
+        round_lot: u32,
+        execution_cursors: &mut BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: Option<NaiveDateTime>,
+        cash_limit: Option<f64>,
+        gross_limit: Option<f64>,
+    ) -> Option<ExecutionFill> {
+        if self.execution_price_field != PriceField::Last {
+            return None;
+        }
+
+        let start_cursor = execution_cursors
+            .get(symbol)
+            .copied()
+            .into_iter()
+            .chain(global_execution_cursor)
+            .chain(
+                self.intraday_execution_start_time
+                    .map(|start_time| date.and_time(start_time)),
+            )
+            .max();
+        let quotes = data.execution_quotes_on(date, symbol);
+        self.select_execution_fill(
+            quotes,
+            side,
+            start_cursor,
+            requested_qty,
+            round_lot,
+            cash_limit,
+            gross_limit,
+        )
+    }
+
+    fn select_execution_fill(
+        &self,
+        quotes: &[IntradayExecutionQuote],
+        side: OrderSide,
+        start_cursor: Option<NaiveDateTime>,
+        requested_qty: u32,
+        round_lot: u32,
+        cash_limit: Option<f64>,
+        gross_limit: Option<f64>,
+    ) -> Option<ExecutionFill> {
+        if requested_qty == 0 {
+            return None;
+        }
+
+        let lot = round_lot.max(1);
+        let mut filled_qty = 0_u32;
+        let mut gross_amount = 0.0_f64;
+        let mut last_timestamp = None;
+        let mut last_quote_price = None;
+
+        for quote in quotes {
+            if start_cursor.is_some_and(|cursor| quote.timestamp < cursor) {
+                continue;
+            }
+
+            let fallback_quote_price = match side {
+                OrderSide::Buy => quote.buy_price(),
+                OrderSide::Sell => quote.sell_price(),
+            };
+            if fallback_quote_price.is_some() {
+                last_quote_price = fallback_quote_price;
+                last_timestamp = Some(quote.timestamp);
+            }
+
+            // Approximate JoinQuant market-order fills with the evolving L1 book after
+            // the decision time instead of trade VWAP. This keeps quantities/prices
+            // closer to the observed 10:18 execution logs.
+            if quote.volume_delta == 0 {
+                continue;
+            }
+            let quote_price = match side {
+                OrderSide::Buy => quote.buy_price(),
+                OrderSide::Sell => quote.sell_price(),
+            };
+            let Some(quote_price) = quote_price else {
+                continue;
+            };
+            if !quote_price.is_finite() || quote_price <= 0.0 {
+                continue;
+            }
+            let top_level_liquidity = match side {
+                OrderSide::Buy => quote.ask1_volume,
+                OrderSide::Sell => quote.bid1_volume,
+            };
+            let available_qty = top_level_liquidity
+                .saturating_mul(lot as u64)
+                .min(u32::MAX as u64) as u32;
+            if available_qty == 0 {
+                continue;
+            }
+
+            let remaining_qty = requested_qty.saturating_sub(filled_qty);
+            if remaining_qty == 0 {
+                break;
+            }
+            let mut take_qty = remaining_qty.min(available_qty);
+            take_qty = self.round_buy_quantity(take_qty, lot);
+            if take_qty == 0 {
+                continue;
+            }
+
+            if let Some(cash) = cash_limit {
+                while take_qty > 0 {
+                    let candidate_gross = gross_amount + quote_price * take_qty as f64;
+                    if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
+                        take_qty = take_qty.saturating_sub(lot);
+                        continue;
+                    }
+                    let candidate_cost = self.cost_model.calculate(OrderSide::Buy, candidate_gross);
+                    if candidate_gross + candidate_cost.total() <= cash + 1e-6 {
+                        break;
+                    }
+                    take_qty = take_qty.saturating_sub(lot);
+                }
+                if take_qty == 0 {
+                    break;
+                }
+            }
+
+            gross_amount += quote_price * take_qty as f64;
+            filled_qty += take_qty;
+            last_timestamp = Some(quote.timestamp);
+
+            if filled_qty >= requested_qty {
+                break;
+            }
+        }
+
+        if filled_qty < requested_qty {
+            let remaining_qty = requested_qty.saturating_sub(filled_qty);
+            let mut residual_qty = self.round_buy_quantity(remaining_qty, lot);
+            if residual_qty > 0 {
+                if let Some(residual_price) = last_quote_price {
+                    if let Some(cash) = cash_limit {
+                        while residual_qty > 0 {
+                            let candidate_gross = gross_amount + residual_price * residual_qty as f64;
+                            if gross_limit.is_some_and(|limit| candidate_gross > limit + 1e-6) {
+                                residual_qty = residual_qty.saturating_sub(lot);
+                                continue;
+                            }
+                            let candidate_cost =
+                                self.cost_model.calculate(OrderSide::Buy, candidate_gross);
+                            if candidate_gross + candidate_cost.total() <= cash + 1e-6 {
+                                break;
+                            }
+                            residual_qty = residual_qty.saturating_sub(lot);
+                        }
+                    }
+                    if residual_qty > 0 {
+                        let execution_price = match side {
+                            OrderSide::Buy => residual_price,
+                            OrderSide::Sell => residual_price,
+                        };
+                        gross_amount += execution_price * residual_qty as f64;
+                        filled_qty += residual_qty;
+                    }
+                }
+            }
+        }
+
+        if filled_qty == 0 {
+            return None;
+        }
+
+        Some(ExecutionFill {
+            price: gross_amount / filled_qty as f64,
+            quantity: filled_qty,
+            next_cursor: last_timestamp.unwrap() + Duration::seconds(1),
+        })
+    }
+
+    fn uses_serial_execution_cursor(&self, reason: &str) -> bool {
+        matches!(
+            reason,
+            "stop_loss_exit" | "take_profit_exit" | "replacement_after_stop_loss_exit"
+                | "replacement_after_take_profit_exit"
+        )
+    }
+}
+
+fn price_field_name(field: PriceField) -> &'static str {
+    match field {
+        PriceField::Open => "open",
+        PriceField::Close => "close",
+        PriceField::Last => "last",
+    }
 }
 
 fn sell_reason(decision: &StrategyDecision, symbol: &str) -> &'static str {
diff --git a/crates/fidc-core/src/calendar.rs b/crates/fidc-core/src/calendar.rs
index 9dc3adc..309668d 100644
--- a/crates/fidc-core/src/calendar.rs
+++ b/crates/fidc-core/src/calendar.rs
@@ -45,7 +45,8 @@ impl TradingCalendar {
 
     pub fn previous_day(&self, date: NaiveDate) -> Option<NaiveDate> {
         let idx = self.index_of(date)?;
-        idx.checked_sub(1).and_then(|prev| self.days.get(prev).copied())
+        idx.checked_sub(1)
+            .and_then(|prev| self.days.get(prev).copied())
     }
 
     pub fn trailing_days(&self, end: NaiveDate, lookback: usize) -> Vec<NaiveDate> {
diff --git a/crates/fidc-core/src/data.rs b/crates/fidc-core/src/data.rs
index 04ef0f8..167906d 100644
--- a/crates/fidc-core/src/data.rs
+++ b/crates/fidc-core/src/data.rs
@@ -2,7 +2,7 @@ use std::collections::{BTreeMap, HashMap};
 use std::fs;
 use std::path::Path;
 
-use chrono::NaiveDate;
+use chrono::{NaiveDate, NaiveDateTime};
 use serde::{Deserialize, Serialize};
 use thiserror::Error;
 
@@ -31,6 +31,28 @@ mod date_format {
     }
 }
 
+mod datetime_format {
+    use chrono::NaiveDateTime;
+    use serde::{self, Deserialize, Deserializer, Serializer};
+
+    const FORMAT: &str = "%Y-%m-%d %H:%M:%S";
+
+    pub fn serialize<S>(date: &NaiveDateTime, serializer: S) -> Result<S::Ok, S::Error>
+    where
+        S: Serializer,
+    {
+        serializer.serialize_str(&date.format(FORMAT).to_string())
+    }
+
+    pub fn deserialize<'de, D>(deserializer: D) -> Result<NaiveDateTime, D::Error>
+    where
+        D: Deserializer<'de>,
+    {
+        let text = String::deserialize(deserializer)?;
+        NaiveDateTime::parse_from_str(&text, FORMAT).map_err(serde::de::Error::custom)
+    }
+}
+
 #[derive(Debug, Error)]
 pub enum DataSetError {
     #[error("failed to read file {path}: {source}")]
@@ -57,10 +79,11 @@ pub enum DataSetError {
     MissingBenchmark { date: NaiveDate },
 }
 
-#[derive(Debug, Clone, Copy)]
+#[derive(Debug, Clone, Copy, PartialEq, Eq)]
 pub enum PriceField {
     Open,
     Close,
+    Last,
 }
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
@@ -68,15 +91,79 @@ pub struct DailyMarketSnapshot {
     #[serde(with = "date_format")]
     pub date: NaiveDate,
     pub symbol: String,
+    pub timestamp: Option<String>,
+    pub day_open: f64,
     pub open: f64,
     pub high: f64,
     pub low: f64,
     pub close: f64,
+    pub last_price: f64,
+    pub bid1: f64,
+    pub ask1: f64,
     pub prev_close: f64,
     pub volume: u64,
+    pub tick_volume: u64,
+    pub bid1_volume: u64,
+    pub ask1_volume: u64,
+    pub trading_phase: Option<String>,
     pub paused: bool,
     pub upper_limit: f64,
     pub lower_limit: f64,
+    pub price_tick: f64,
+}
+
+impl DailyMarketSnapshot {
+    pub fn price(&self, field: PriceField) -> f64 {
+        match field {
+            PriceField::Open => self.open,
+            PriceField::Close => self.close,
+            PriceField::Last => self.last_price,
+        }
+    }
+
+    pub fn buy_price(&self, field: PriceField) -> f64 {
+        match field {
+            PriceField::Last if self.ask1.is_finite() && self.ask1 > 0.0 => self.ask1,
+            _ => self.price(field),
+        }
+    }
+
+    pub fn sell_price(&self, field: PriceField) -> f64 {
+        match field {
+            PriceField::Last if self.bid1.is_finite() && self.bid1 > 0.0 => self.bid1,
+            _ => self.price(field),
+        }
+    }
+
+    pub fn liquidity_for_buy(&self) -> u64 {
+        self.ask1_volume
+    }
+
+    pub fn liquidity_for_sell(&self) -> u64 {
+        self.bid1_volume
+    }
+
+    pub fn effective_price_tick(&self) -> f64 {
+        if self.price_tick.is_finite() && self.price_tick > 0.0 {
+            self.price_tick
+        } else {
+            0.01
+        }
+    }
+
+    pub fn is_at_upper_limit_price(&self, price: f64) -> bool {
+        if !self.upper_limit.is_finite() || self.upper_limit <= 0.0 {
+            return false;
+        }
+        price >= self.upper_limit - self.effective_price_tick() + 1e-6
+    }
+
+    pub fn is_at_lower_limit_price(&self, price: f64) -> bool {
+        if !self.lower_limit.is_finite() || self.lower_limit <= 0.0 {
+            return false;
+        }
+        price <= self.lower_limit + self.effective_price_tick() - 1e-6
+    }
 }
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
@@ -128,6 +215,76 @@ impl CandidateEligibility {
     }
 }
 
+#[derive(Debug, Clone, Serialize, Deserialize)]
+pub struct CorporateAction {
+    #[serde(with = "date_format")]
+    pub date: NaiveDate,
+    pub symbol: String,
+    #[serde(default, with = "optional_date_format")]
+    pub payable_date: Option<NaiveDate>,
+    pub share_cash: f64,
+    pub share_bonus: f64,
+    pub share_gift: f64,
+    pub issue_quantity: f64,
+    pub issue_price: f64,
+    pub reform: bool,
+    pub adjust_factor: Option<f64>,
+}
+
+#[derive(Debug, Clone, Serialize, Deserialize)]
+pub struct IntradayExecutionQuote {
+    #[serde(with = "date_format")]
+    pub date: NaiveDate,
+    pub symbol: String,
+    #[serde(with = "datetime_format")]
+    pub timestamp: NaiveDateTime,
+    pub last_price: f64,
+    pub bid1: f64,
+    pub ask1: f64,
+    pub bid1_volume: u64,
+    pub ask1_volume: u64,
+    #[serde(default)]
+    pub volume_delta: u64,
+    #[serde(default)]
+    pub amount_delta: f64,
+    pub trading_phase: Option<String>,
+}
+
+impl IntradayExecutionQuote {
+    pub fn buy_price(&self) -> Option<f64> {
+        if self.ask1.is_finite() && self.ask1 > 0.0 {
+            Some(self.ask1)
+        } else if self.last_price.is_finite() && self.last_price > 0.0 {
+            Some(self.last_price)
+        } else {
+            None
+        }
+    }
+
+    pub fn sell_price(&self) -> Option<f64> {
+        if self.bid1.is_finite() && self.bid1 > 0.0 {
+            Some(self.bid1)
+        } else if self.last_price.is_finite() && self.last_price > 0.0 {
+            Some(self.last_price)
+        } else {
+            None
+        }
+    }
+}
+
+impl CorporateAction {
+    pub fn split_ratio(&self) -> f64 {
+        1.0 + self.share_bonus.max(0.0) + self.share_gift.max(0.0)
+    }
+
+    pub fn has_effect(&self) -> bool {
+        self.share_cash.abs() > f64::EPSILON
+            || (self.split_ratio() - 1.0).abs() > f64::EPSILON
+            || self.issue_quantity.abs() > f64::EPSILON
+            || self.reform
+    }
+}
+
 #[derive(Debug, Clone)]
 pub struct DailySnapshotBundle {
     pub date: NaiveDate,
@@ -135,6 +292,198 @@ pub struct DailySnapshotBundle {
     pub market: Vec<DailyMarketSnapshot>,
     pub factors: Vec<DailyFactorSnapshot>,
     pub candidates: Vec<CandidateEligibility>,
+    pub corporate_actions: Vec<CorporateAction>,
+}
+
+#[derive(Debug, Clone)]
+pub struct EligibleUniverseSnapshot {
+    pub symbol: String,
+    pub market_cap_bn: f64,
+    pub free_float_cap_bn: f64,
+}
+
+#[derive(Debug, Clone)]
+struct SymbolPriceSeries {
+    dates: Vec<NaiveDate>,
+    opens: Vec<f64>,
+    closes: Vec<f64>,
+    prev_closes: Vec<f64>,
+    last_prices: Vec<f64>,
+    open_prefix: Vec<f64>,
+    close_prefix: Vec<f64>,
+    last_prefix: Vec<f64>,
+}
+
+impl SymbolPriceSeries {
+    fn new(rows: &[DailyMarketSnapshot]) -> Self {
+        let mut sorted = rows.to_vec();
+        sorted.sort_by_key(|row| row.date);
+
+        let dates = sorted.iter().map(|row| row.date).collect::<Vec<_>>();
+        let opens = sorted.iter().map(|row| row.open).collect::<Vec<_>>();
+        let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
+        let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
+        let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
+        let open_prefix = prefix_sums(&opens);
+        let close_prefix = prefix_sums(&closes);
+        let last_prefix = prefix_sums(&last_prices);
+
+        Self {
+            dates,
+            opens,
+            closes,
+            prev_closes,
+            last_prices,
+            open_prefix,
+            close_prefix,
+            last_prefix,
+        }
+    }
+
+    fn moving_average(&self, date: NaiveDate, lookback: usize, field: PriceField) -> Option<f64> {
+        if lookback == 0 {
+            return None;
+        }
+        let end = self.end_index(date)?;
+        if end < lookback {
+            return None;
+        }
+        let start = end - lookback;
+        let prefix = self.prefix_for(field);
+        let sum = prefix[end] - prefix[start];
+        Some(sum / lookback as f64)
+    }
+
+    fn trailing_values(&self, date: NaiveDate, lookback: usize, field: PriceField) -> Vec<f64> {
+        let Some(end) = self.end_index(date) else {
+            return Vec::new();
+        };
+        let start = end.saturating_sub(lookback);
+        self.values_for(field)[start..end].to_vec()
+    }
+
+    fn decision_price_on_or_before(&self, date: NaiveDate) -> Option<f64> {
+        let end = self.end_index(date)?;
+        if end == 0 {
+            return None;
+        }
+        let last_idx = end - 1;
+        if self.dates.get(last_idx).copied() == Some(date) {
+            let prev_close = self.prev_closes.get(last_idx).copied().unwrap_or_default();
+            if prev_close.is_finite() && prev_close > 0.0 {
+                return Some(prev_close);
+            }
+        }
+        self.closes.get(last_idx).copied()
+    }
+
+    fn decision_end_index(&self, date: NaiveDate) -> Option<usize> {
+        match self.dates.binary_search(&date) {
+            Ok(idx) => {
+                if idx == 0 {
+                    None
+                } else {
+                    Some(idx)
+                }
+            }
+            Err(0) => None,
+            Err(idx) => Some(idx),
+        }
+    }
+
+    fn decision_close_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        if lookback == 0 {
+            return None;
+        }
+        let end = self.decision_end_index(date)?;
+        if end < lookback {
+            return None;
+        }
+        let start = end - lookback;
+        let sum = self.close_prefix[end] - self.close_prefix[start];
+        Some(sum / lookback as f64)
+    }
+
+    fn end_index(&self, date: NaiveDate) -> Option<usize> {
+        match self.dates.binary_search(&date) {
+            Ok(idx) => Some(idx + 1),
+            Err(0) => None,
+            Err(idx) => Some(idx),
+        }
+    }
+
+    fn values_for(&self, field: PriceField) -> &[f64] {
+        match field {
+            PriceField::Open => &self.opens,
+            PriceField::Close => &self.closes,
+            PriceField::Last => &self.last_prices,
+        }
+    }
+
+    fn price_on_or_before(&self, date: NaiveDate, field: PriceField) -> Option<f64> {
+        let end = self.end_index(date)?;
+        if end == 0 {
+            return None;
+        }
+        self.values_for(field).get(end - 1).copied()
+    }
+
+    fn prefix_for(&self, field: PriceField) -> &[f64] {
+        match field {
+            PriceField::Open => &self.open_prefix,
+            PriceField::Close => &self.close_prefix,
+            PriceField::Last => &self.last_prefix,
+        }
+    }
+}
+
+#[derive(Debug, Clone)]
+struct BenchmarkPriceSeries {
+    dates: Vec<NaiveDate>,
+    closes: Vec<f64>,
+    close_prefix: Vec<f64>,
+}
+
+impl BenchmarkPriceSeries {
+    fn new(rows: &[BenchmarkSnapshot]) -> Self {
+        let mut sorted = rows.to_vec();
+        sorted.sort_by_key(|row| row.date);
+        let dates = sorted.iter().map(|row| row.date).collect::<Vec<_>>();
+        let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
+        let close_prefix = prefix_sums(&closes);
+        Self {
+            dates,
+            closes,
+            close_prefix,
+        }
+    }
+
+    fn moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        if lookback == 0 {
+            return None;
+        }
+        let end = match self.dates.binary_search(&date) {
+            Ok(idx) => idx + 1,
+            Err(0) => return None,
+            Err(idx) => idx,
+        };
+        if end < lookback {
+            return None;
+        }
+        let start = end - lookback;
+        let sum = self.close_prefix[end] - self.close_prefix[start];
+        Some(sum / lookback as f64)
+    }
+
+    fn trailing_values(&self, date: NaiveDate, lookback: usize) -> Vec<f64> {
+        let end = match self.dates.binary_search(&date) {
+            Ok(idx) => idx + 1,
+            Err(0) => return Vec::new(),
+            Err(idx) => idx,
+        };
+        let start = end.saturating_sub(lookback);
+        self.closes[start..end].to_vec()
+    }
 }
 
 #[derive(Debug, Clone)]
@@ -147,7 +496,12 @@ pub struct DataSet {
     factor_index: HashMap<(NaiveDate, String), DailyFactorSnapshot>,
     candidate_by_date: BTreeMap<NaiveDate, Vec<CandidateEligibility>>,
     candidate_index: HashMap<(NaiveDate, String), CandidateEligibility>,
+    corporate_actions_by_date: BTreeMap<NaiveDate, Vec<CorporateAction>>,
+    execution_quotes_index: HashMap<(NaiveDate, String), Vec<IntradayExecutionQuote>>,
     benchmark_by_date: BTreeMap<NaiveDate, BenchmarkSnapshot>,
+    market_series_by_symbol: HashMap<String, SymbolPriceSeries>,
+    benchmark_series_cache: BenchmarkPriceSeries,
+    eligible_universe_by_date: BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>>,
     benchmark_code: String,
 }
 
@@ -158,7 +512,27 @@ impl DataSet {
         let factors = read_factors(&path.join("factors.csv"))?;
         let candidates = read_candidates(&path.join("candidate_flags.csv"))?;
         let benchmarks = read_benchmarks(&path.join("benchmark.csv"))?;
-        Self::from_components(instruments, market, factors, candidates, benchmarks)
+        let corporate_actions_path = path.join("corporate_actions.csv");
+        let corporate_actions = if corporate_actions_path.exists() {
+            read_corporate_actions(&corporate_actions_path)?
+        } else {
+            Vec::new()
+        };
+        let execution_quotes_path = path.join("execution_quotes.csv");
+        let execution_quotes = if execution_quotes_path.exists() {
+            read_execution_quotes(&execution_quotes_path)?
+        } else {
+            Vec::new()
+        };
+        Self::from_components_with_actions_and_quotes(
+            instruments,
+            market,
+            factors,
+            candidates,
+            benchmarks,
+            corporate_actions,
+            execution_quotes,
+        )
     }
 
     pub fn from_partitioned_dir(path: &Path) -> Result<Self, DataSetError> {
@@ -167,7 +541,27 @@ impl DataSet {
         let market = read_partitioned_dir(&path.join("market"), read_market)?;
         let factors = read_partitioned_dir(&path.join("factors"), read_factors)?;
         let candidates = read_partitioned_dir(&path.join("candidates"), read_candidates)?;
-        Self::from_components(instruments, market, factors, candidates, benchmarks)
+        let corporate_actions_dir = path.join("corporate_actions");
+        let corporate_actions = if corporate_actions_dir.exists() {
+            read_partitioned_dir(&corporate_actions_dir, read_corporate_actions)?
+        } else {
+            Vec::new()
+        };
+        let execution_quotes_dir = path.join("execution_quotes");
+        let execution_quotes = if execution_quotes_dir.exists() {
+            read_partitioned_dir(&execution_quotes_dir, read_execution_quotes)?
+        } else {
+            Vec::new()
+        };
+        Self::from_components_with_actions_and_quotes(
+            instruments,
+            market,
+            factors,
+            candidates,
+            benchmarks,
+            corporate_actions,
+            execution_quotes,
+        )
     }
 
     pub fn from_components(
@@ -176,6 +570,45 @@ impl DataSet {
         factors: Vec<DailyFactorSnapshot>,
         candidates: Vec<CandidateEligibility>,
         benchmarks: Vec<BenchmarkSnapshot>,
+    ) -> Result<Self, DataSetError> {
+        Self::from_components_with_actions_and_quotes(
+            instruments,
+            market,
+            factors,
+            candidates,
+            benchmarks,
+            Vec::new(),
+            Vec::new(),
+        )
+    }
+
+    pub fn from_components_with_actions(
+        instruments: Vec<Instrument>,
+        market: Vec<DailyMarketSnapshot>,
+        factors: Vec<DailyFactorSnapshot>,
+        candidates: Vec<CandidateEligibility>,
+        benchmarks: Vec<BenchmarkSnapshot>,
+        corporate_actions: Vec<CorporateAction>,
+    ) -> Result<Self, DataSetError> {
+        Self::from_components_with_actions_and_quotes(
+            instruments,
+            market,
+            factors,
+            candidates,
+            benchmarks,
+            corporate_actions,
+            Vec::new(),
+        )
+    }
+
+    pub fn from_components_with_actions_and_quotes(
+        instruments: Vec<Instrument>,
+        market: Vec<DailyMarketSnapshot>,
+        factors: Vec<DailyFactorSnapshot>,
+        candidates: Vec<CandidateEligibility>,
+        benchmarks: Vec<BenchmarkSnapshot>,
+        corporate_actions: Vec<CorporateAction>,
+        execution_quotes: Vec<IntradayExecutionQuote>,
     ) -> Result<Self, DataSetError> {
         let benchmark_code = collect_benchmark_code(&benchmarks)?;
         let calendar = TradingCalendar::new(benchmarks.iter().map(|item| item.date).collect());
@@ -202,11 +635,18 @@ impl DataSet {
             .into_iter()
             .map(|item| ((item.date, item.symbol.clone()), item))
             .collect::<HashMap<_, _>>();
+        let corporate_actions_by_date = group_by_date(corporate_actions, |item| item.date);
+        let execution_quotes_index = build_execution_quote_index(execution_quotes);
 
         let benchmark_by_date = benchmarks
             .into_iter()
             .map(|item| (item.date, item))
             .collect::<BTreeMap<_, _>>();
+        let market_series_by_symbol = build_market_series(&market_by_date);
+        let benchmark_series_cache =
+            BenchmarkPriceSeries::new(&benchmark_by_date.values().cloned().collect::<Vec<_>>());
+        let eligible_universe_by_date =
+            build_eligible_universe(&factor_by_date, &candidate_index, &market_index);
 
         Ok(Self {
             instruments,
@@ -217,7 +657,12 @@ impl DataSet {
             factor_index,
             candidate_by_date,
             candidate_index,
+            corporate_actions_by_date,
+            execution_quotes_index,
             benchmark_by_date,
+            market_series_by_symbol,
+            benchmark_series_cache,
+            eligible_universe_by_date,
             benchmark_code,
         })
     }
@@ -234,6 +679,10 @@ impl DataSet {
         &self.instruments
     }
 
+    pub fn instrument(&self, symbol: &str) -> Option<&Instrument> {
+        self.instruments.get(symbol)
+    }
+
     pub fn market(&self, date: NaiveDate, symbol: &str) -> Option<&DailyMarketSnapshot> {
         self.market_index.get(&(date, symbol.to_string()))
     }
@@ -250,16 +699,38 @@ impl DataSet {
         self.benchmark_by_date.get(&date)
     }
 
+    pub fn corporate_actions_on(&self, date: NaiveDate) -> &[CorporateAction] {
+        self.corporate_actions_by_date
+            .get(&date)
+            .map(Vec::as_slice)
+            .unwrap_or(&[])
+    }
+
+    pub fn execution_quotes_on(&self, date: NaiveDate, symbol: &str) -> &[IntradayExecutionQuote] {
+        self.execution_quotes_index
+            .get(&(date, symbol.to_string()))
+            .map(Vec::as_slice)
+            .unwrap_or(&[])
+    }
+
     pub fn benchmark_series(&self) -> Vec<BenchmarkSnapshot> {
         self.benchmark_by_date.values().cloned().collect()
     }
 
     pub fn price(&self, date: NaiveDate, symbol: &str, field: PriceField) -> Option<f64> {
         let snapshot = self.market(date, symbol)?;
-        Some(match field {
-            PriceField::Open => snapshot.open,
-            PriceField::Close => snapshot.close,
-        })
+        Some(snapshot.price(field))
+    }
+
+    pub fn price_on_or_before(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        field: PriceField,
+    ) -> Option<f64> {
+        self.market_series_by_symbol
+            .get(symbol)
+            .and_then(|series| series.price_on_or_before(date, field))
     }
 
     pub fn factor_snapshots_on(&self, date: NaiveDate) -> Vec<&DailyFactorSnapshot> {
@@ -293,24 +764,68 @@ impl DataSet {
             benchmark,
             market: self.market_by_date.get(&date).cloned().unwrap_or_default(),
             factors: self.factor_by_date.get(&date).cloned().unwrap_or_default(),
-            candidates: self.candidate_by_date.get(&date).cloned().unwrap_or_default(),
+            candidates: self
+                .candidate_by_date
+                .get(&date)
+                .cloned()
+                .unwrap_or_default(),
+            corporate_actions: self
+                .corporate_actions_by_date
+                .get(&date)
+                .cloned()
+                .unwrap_or_default(),
         })
     }
 
     pub fn benchmark_closes_up_to(&self, date: NaiveDate, lookback: usize) -> Vec<f64> {
-        self.calendar
-            .trailing_days(date, lookback)
-            .into_iter()
-            .filter_map(|day| self.benchmark(day).map(|row| row.close))
-            .collect()
+        self.benchmark_series_cache.trailing_values(date, lookback)
     }
 
     pub fn market_closes_up_to(&self, date: NaiveDate, symbol: &str, lookback: usize) -> Vec<f64> {
-        self.calendar
-            .trailing_days(date, lookback)
-            .into_iter()
-            .filter_map(|day| self.market(day, symbol).map(|row| row.close))
-            .collect()
+        self.market_series_by_symbol
+            .get(symbol)
+            .map(|series| series.trailing_values(date, lookback, PriceField::Close))
+            .unwrap_or_default()
+    }
+
+    pub fn market_decision_close(&self, date: NaiveDate, symbol: &str) -> Option<f64> {
+        self.market_series_by_symbol
+            .get(symbol)
+            .and_then(|series| series.decision_price_on_or_before(date))
+    }
+
+    pub fn market_decision_close_moving_average(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        lookback: usize,
+    ) -> Option<f64> {
+        self.market_series_by_symbol
+            .get(symbol)
+            .and_then(|series| series.decision_close_moving_average(date, lookback))
+    }
+
+    pub fn market_moving_average(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        lookback: usize,
+        field: PriceField,
+    ) -> Option<f64> {
+        self.market_series_by_symbol
+            .get(symbol)
+            .and_then(|series| series.moving_average(date, lookback, field))
+    }
+
+    pub fn benchmark_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        self.benchmark_series_cache.moving_average(date, lookback)
+    }
+
+    pub fn eligible_universe_on(&self, date: NaiveDate) -> &[EligibleUniverseSnapshot] {
+        self.eligible_universe_by_date
+            .get(&date)
+            .map(Vec::as_slice)
+            .unwrap_or(&[])
     }
 
     pub fn require_market(
@@ -318,11 +833,12 @@ impl DataSet {
         date: NaiveDate,
         symbol: &str,
     ) -> Result<&DailyMarketSnapshot, DataSetError> {
-        self.market(date, symbol).ok_or_else(|| DataSetError::MissingSnapshot {
-            kind: "market",
-            date,
-            symbol: symbol.to_string(),
-        })
+        self.market(date, symbol)
+            .ok_or_else(|| DataSetError::MissingSnapshot {
+                kind: "market",
+                date,
+                symbol: symbol.to_string(),
+            })
     }
 
     pub fn require_candidate(
@@ -347,6 +863,16 @@ fn read_instruments(path: &Path) -> Result<Vec<Instrument>, DataSetError> {
             symbol: row.get(0)?.to_string(),
             name: row.get(1)?.to_string(),
             board: row.get(2)?.to_string(),
+            round_lot: row.parse_optional_u32(3).unwrap_or(100),
+            listed_at: row.parse_optional_date(4)?,
+            delisted_at: row.parse_optional_date(5)?,
+            status: row
+                .fields
+                .get(6)
+                .map(|value| value.trim())
+                .filter(|value| !value.is_empty())
+                .unwrap_or("active")
+                .to_string(),
         });
     }
     Ok(instruments)
@@ -356,21 +882,42 @@ fn read_market(path: &Path) -> Result<Vec<DailyMarketSnapshot>, DataSetError> {
     let rows = read_rows(path)?;
     let mut snapshots = Vec::new();
     for row in rows {
+        let open = row.parse_f64(2)?;
+        let close = row.parse_f64(5)?;
         let prev_close = row.parse_f64(6)?;
-        let derived_upper_limit = round2(prev_close * 1.10);
-        let derived_lower_limit = round2(prev_close * 0.90);
+        let price_tick = row.parse_optional_f64(15).unwrap_or(0.01);
+        let derived_upper_limit = round_price_to_tick(prev_close * 1.10, price_tick);
+        let derived_lower_limit = round_price_to_tick(prev_close * 0.90, price_tick);
         snapshots.push(DailyMarketSnapshot {
             date: row.parse_date(0)?,
             symbol: row.get(1)?.to_string(),
-            open: row.parse_f64(2)?,
+            timestamp: row
+                .fields
+                .get(16)
+                .map(|value| value.trim().to_string())
+                .filter(|value| !value.is_empty()),
+            day_open: row.parse_optional_f64(11).unwrap_or(open),
+            open,
             high: row.parse_f64(3)?,
             low: row.parse_f64(4)?,
-            close: row.parse_f64(5)?,
+            close,
+            last_price: row.parse_optional_f64(12).unwrap_or(close),
+            bid1: row.parse_optional_f64(13).unwrap_or(close),
+            ask1: row.parse_optional_f64(14).unwrap_or(close),
             prev_close,
             volume: row.parse_u64(7)?,
+            tick_volume: row.parse_optional_u64(17).unwrap_or_default(),
+            bid1_volume: row.parse_optional_u64(18).unwrap_or_default(),
+            ask1_volume: row.parse_optional_u64(19).unwrap_or_default(),
+            trading_phase: row
+                .fields
+                .get(20)
+                .map(|value| value.trim().to_string())
+                .filter(|value| !value.is_empty()),
             paused: row.parse_bool(8)?,
             upper_limit: row.parse_optional_f64(9).unwrap_or(derived_upper_limit),
             lower_limit: row.parse_optional_f64(10).unwrap_or(derived_lower_limit),
+            price_tick,
         });
     }
     Ok(snapshots)
@@ -428,6 +975,58 @@ fn read_benchmarks(path: &Path) -> Result<Vec<BenchmarkSnapshot>, DataSetError>
     Ok(snapshots)
 }
 
+fn read_corporate_actions(path: &Path) -> Result<Vec<CorporateAction>, DataSetError> {
+    let rows = read_rows(path)?;
+    let mut snapshots = Vec::new();
+    for row in rows {
+        let has_payable_date = row.fields.len() >= 10;
+        let payable_date = if has_payable_date {
+            row.parse_optional_date(2)?
+        } else {
+            None
+        };
+        let offset = if has_payable_date { 1 } else { 0 };
+        snapshots.push(CorporateAction {
+            date: row.parse_date(0)?,
+            symbol: row.get(1)?.to_string(),
+            payable_date,
+            share_cash: row.parse_optional_f64(2 + offset).unwrap_or(0.0),
+            share_bonus: row.parse_optional_f64(3 + offset).unwrap_or(0.0),
+            share_gift: row.parse_optional_f64(4 + offset).unwrap_or(0.0),
+            issue_quantity: row.parse_optional_f64(5 + offset).unwrap_or(0.0),
+            issue_price: row.parse_optional_f64(6 + offset).unwrap_or(0.0),
+            reform: row.parse_optional_bool(7 + offset).unwrap_or(false),
+            adjust_factor: row.parse_optional_f64(8 + offset),
+        });
+    }
+    Ok(snapshots)
+}
+
+fn read_execution_quotes(path: &Path) -> Result<Vec<IntradayExecutionQuote>, DataSetError> {
+    let rows = read_rows(path)?;
+    let mut quotes = Vec::new();
+    for row in rows {
+        quotes.push(IntradayExecutionQuote {
+            date: row.parse_date(0)?,
+            symbol: row.get(1)?.to_string(),
+            timestamp: row.parse_datetime(2)?,
+            last_price: row.parse_optional_f64(3).unwrap_or_default(),
+            bid1: row.parse_optional_f64(4).unwrap_or_default(),
+            ask1: row.parse_optional_f64(5).unwrap_or_default(),
+            bid1_volume: row.parse_optional_u64(6).unwrap_or_default(),
+            ask1_volume: row.parse_optional_u64(7).unwrap_or_default(),
+            volume_delta: row.parse_optional_u64(8).unwrap_or_default(),
+            amount_delta: row.parse_optional_f64(9).unwrap_or_default(),
+            trading_phase: row
+                .fields
+                .get(10)
+                .map(|value| value.trim().to_string())
+                .filter(|value| !value.is_empty()),
+        });
+    }
+    Ok(quotes)
+}
+
 struct CsvRow {
     path: String,
     line: usize,
@@ -436,18 +1035,23 @@ struct CsvRow {
 
 impl CsvRow {
     fn get(&self, index: usize) -> Result<&str, DataSetError> {
-        self.fields.get(index).map(String::as_str).ok_or_else(|| DataSetError::InvalidRow {
-            path: self.path.clone(),
-            line: self.line,
-            message: format!("missing column {index}"),
-        })
+        self.fields
+            .get(index)
+            .map(String::as_str)
+            .ok_or_else(|| DataSetError::InvalidRow {
+                path: self.path.clone(),
+                line: self.line,
+                message: format!("missing column {index}"),
+            })
     }
 
     fn parse_date(&self, index: usize) -> Result<NaiveDate, DataSetError> {
-        NaiveDate::parse_from_str(self.get(index)?, "%Y-%m-%d").map_err(|err| DataSetError::InvalidRow {
-            path: self.path.clone(),
-            line: self.line,
-            message: format!("invalid date: {err}"),
+        NaiveDate::parse_from_str(self.get(index)?, "%Y-%m-%d").map_err(|err| {
+            DataSetError::InvalidRow {
+                path: self.path.clone(),
+                line: self.line,
+                message: format!("invalid date: {err}"),
+            }
         })
     }
 
@@ -497,6 +1101,55 @@ impl CsvRow {
             .get(index)
             .and_then(|value| value.parse::<bool>().ok())
     }
+
+    fn parse_optional_date(&self, index: usize) -> Result<Option<NaiveDate>, DataSetError> {
+        let Some(value) = self.fields.get(index) else {
+            return Ok(None);
+        };
+        let trimmed = value.trim();
+        if trimmed.is_empty() {
+            return Ok(None);
+        }
+        NaiveDate::parse_from_str(trimmed, "%Y-%m-%d")
+            .map(Some)
+            .map_err(|err| DataSetError::InvalidRow {
+                path: self.path.clone(),
+                line: self.line,
+                message: format!("invalid optional date: {err}"),
+            })
+    }
+
+    fn parse_datetime(&self, index: usize) -> Result<NaiveDateTime, DataSetError> {
+        NaiveDateTime::parse_from_str(self.get(index)?, "%Y-%m-%d %H:%M:%S").map_err(|err| {
+            DataSetError::InvalidRow {
+                path: self.path.clone(),
+                line: self.line,
+                message: format!("invalid datetime: {err}"),
+            }
+        })
+    }
+
+    fn parse_optional_u32(&self, index: usize) -> Option<u32> {
+        self.fields.get(index).and_then(|value| {
+            let trimmed = value.trim();
+            if trimmed.is_empty() {
+                None
+            } else {
+                trimmed.parse::<u32>().ok()
+            }
+        })
+    }
+
+    fn parse_optional_u64(&self, index: usize) -> Option<u64> {
+        self.fields.get(index).and_then(|value| {
+            let trimmed = value.trim();
+            if trimmed.is_empty() {
+                None
+            } else {
+                trimmed.parse::<u64>().ok()
+            }
+        })
+    }
 }
 
 fn read_partitioned_dir<T, F>(dir: &Path, mut loader: F) -> Result<Vec<T>, DataSetError>
@@ -551,7 +1204,10 @@ fn read_rows(path: &Path) -> Result<Vec<CsvRow>, DataSetError> {
         rows.push(CsvRow {
             path: path.display().to_string(),
             line: line_no,
-            fields: line.split(',').map(|field| field.trim().to_string()).collect(),
+            fields: line
+                .split(',')
+                .map(|field| field.trim().to_string())
+                .collect(),
         });
     }
 
@@ -584,6 +1240,129 @@ fn collect_benchmark_code(benchmarks: &[BenchmarkSnapshot]) -> Result<String, Da
     }
 }
 
-fn round2(value: f64) -> f64 {
-    (value * 100.0).round() / 100.0
+fn round_price_to_tick(value: f64, tick: f64) -> f64 {
+    let effective_tick = if tick.is_finite() && tick > 0.0 {
+        tick
+    } else {
+        0.01
+    };
+    ((value / effective_tick).round() * effective_tick * 10000.0).round() / 10000.0
+}
+
+fn prefix_sums(values: &[f64]) -> Vec<f64> {
+    let mut prefix = Vec::with_capacity(values.len() + 1);
+    prefix.push(0.0);
+    for value in values {
+        let next = prefix.last().copied().unwrap_or_default() + *value;
+        prefix.push(next);
+    }
+    prefix
+}
+
+mod optional_date_format {
+    use chrono::NaiveDate;
+    use serde::{self, Deserialize, Deserializer, Serializer};
+
+    const FORMAT: &str = "%Y-%m-%d";
+
+    pub fn serialize<S>(date: &Option<NaiveDate>, serializer: S) -> Result<S::Ok, S::Error>
+    where
+        S: Serializer,
+    {
+        match date {
+            Some(date) => serializer.serialize_some(&date.format(FORMAT).to_string()),
+            None => serializer.serialize_none(),
+        }
+    }
+
+    pub fn deserialize<'de, D>(deserializer: D) -> Result<Option<NaiveDate>, D::Error>
+    where
+        D: Deserializer<'de>,
+    {
+        let text = Option::<String>::deserialize(deserializer)?;
+        match text.as_deref().map(str::trim).filter(|value| !value.is_empty()) {
+            Some(text) => NaiveDate::parse_from_str(text, FORMAT)
+                .map(Some)
+                .map_err(serde::de::Error::custom),
+            None => Ok(None),
+        }
+    }
+}
+
+fn build_market_series(
+    market_by_date: &BTreeMap<NaiveDate, Vec<DailyMarketSnapshot>>,
+) -> HashMap<String, SymbolPriceSeries> {
+    let mut grouped = HashMap::<String, Vec<DailyMarketSnapshot>>::new();
+    for rows in market_by_date.values() {
+        for row in rows {
+            grouped
+                .entry(row.symbol.clone())
+                .or_default()
+                .push(row.clone());
+        }
+    }
+
+    grouped
+        .into_iter()
+        .map(|(symbol, rows)| (symbol, SymbolPriceSeries::new(&rows)))
+        .collect()
+}
+
+fn build_execution_quote_index(
+    execution_quotes: Vec<IntradayExecutionQuote>,
+) -> HashMap<(NaiveDate, String), Vec<IntradayExecutionQuote>> {
+    let mut grouped = HashMap::<(NaiveDate, String), Vec<IntradayExecutionQuote>>::new();
+    for quote in execution_quotes {
+        grouped
+            .entry((quote.date, quote.symbol.clone()))
+            .or_default()
+            .push(quote);
+    }
+
+    for quotes in grouped.values_mut() {
+        quotes.sort_by_key(|quote| quote.timestamp);
+    }
+
+    grouped
+}
+
+fn build_eligible_universe(
+    factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
+    candidate_index: &HashMap<(NaiveDate, String), CandidateEligibility>,
+    market_index: &HashMap<(NaiveDate, String), DailyMarketSnapshot>,
+) -> BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>> {
+    let mut per_date = BTreeMap::<NaiveDate, Vec<EligibleUniverseSnapshot>>::new();
+
+    for (date, factors) in factor_by_date {
+        let mut rows = Vec::new();
+        for factor in factors {
+            if factor.market_cap_bn <= 0.0 || !factor.market_cap_bn.is_finite() {
+                continue;
+            }
+            let key = (*date, factor.symbol.clone());
+            let Some(candidate) = candidate_index.get(&key) else {
+                continue;
+            };
+            let Some(market) = market_index.get(&key) else {
+                continue;
+            };
+            if !candidate.eligible_for_selection() || market.paused {
+                continue;
+            }
+            rows.push(EligibleUniverseSnapshot {
+                symbol: factor.symbol.clone(),
+                market_cap_bn: factor.market_cap_bn,
+                free_float_cap_bn: factor.free_float_cap_bn,
+            });
+        }
+        rows.sort_by(|left, right| {
+            left.market_cap_bn
+                .partial_cmp(&right.market_cap_bn)
+                .unwrap_or(std::cmp::Ordering::Equal)
+                .then_with(|| left.symbol.cmp(&right.symbol))
+        });
+        per_date.insert(*date, rows);
+    }
+
+    per_date
 }
diff --git a/crates/fidc-core/src/engine.rs b/crates/fidc-core/src/engine.rs
index 4e8f80c..89928da 100644
--- a/crates/fidc-core/src/engine.rs
+++ b/crates/fidc-core/src/engine.rs
@@ -5,8 +5,9 @@ use thiserror::Error;
 use crate::broker::{BrokerExecutionReport, BrokerSimulator};
 use crate::cost::CostModel;
 use crate::data::{BenchmarkSnapshot, DataSet, DataSetError, PriceField};
-use crate::events::{AccountEvent, FillEvent, OrderEvent, PositionEvent};
-use crate::portfolio::{HoldingSummary, PortfolioState};
+use crate::events::{AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent};
+use crate::metrics::{BacktestMetrics, compute_backtest_metrics};
+use crate::portfolio::{CashReceivable, HoldingSummary, PortfolioState};
 use crate::rules::EquityRuleHooks;
 use crate::strategy::{Strategy, StrategyContext};
 
@@ -32,6 +33,8 @@ pub struct BacktestConfig {
     pub benchmark_code: String,
     pub start_date: Option<NaiveDate>,
     pub end_date: Option<NaiveDate>,
+    pub decision_lag_trading_days: usize,
+    pub execution_price_field: PriceField,
 }
 
 #[derive(Debug, Clone, Serialize)]
@@ -56,6 +59,28 @@ pub struct BacktestResult {
     pub position_events: Vec<PositionEvent>,
     pub account_events: Vec<AccountEvent>,
     pub holdings_summary: Vec<HoldingSummary>,
+    pub daily_holdings: Vec<HoldingSummary>,
+    pub metrics: BacktestMetrics,
+}
+
+#[derive(Debug, Clone, Serialize)]
+pub struct BacktestDayProgress {
+    #[serde(with = "date_format")]
+    pub date: NaiveDate,
+    pub cash: f64,
+    pub market_value: f64,
+    pub total_equity: f64,
+    pub unit_nav: f64,
+    pub total_return: f64,
+    pub benchmark_close: f64,
+    pub daily_fill_count: usize,
+    pub cumulative_trade_count: usize,
+    pub holding_count: usize,
+    pub notes: String,
+    pub diagnostics: String,
+    pub orders: Vec<OrderEvent>,
+    pub fills: Vec<FillEvent>,
+    pub holdings: Vec<HoldingSummary>,
 }
 
 pub struct BacktestEngine<S, C, R> {
@@ -88,15 +113,28 @@ where
     R: EquityRuleHooks,
 {
     pub fn run(&mut self) -> Result<BacktestResult, BacktestError> {
+        self.run_with_progress(|_| {})
+    }
+
+    pub fn run_with_progress<F>(&mut self, mut on_progress: F) -> Result<BacktestResult, BacktestError>
+    where
+        F: FnMut(&BacktestDayProgress),
+    {
         let mut portfolio = PortfolioState::new(self.config.initial_cash);
         let execution_dates = self
             .data
             .calendar()
             .iter()
-            .filter(|date| self.config.start_date.map(|start| *date >= start).unwrap_or(true))
+            .filter(|date| {
+                self.config
+                    .start_date
+                    .map(|start| *date >= start)
+                    .unwrap_or(true)
+            })
             .filter(|date| self.config.end_date.map(|end| *date <= end).unwrap_or(true))
             .filter(|date| {
-                !self.data.factor_snapshots_on(*date).is_empty() && !self.data.candidate_snapshots_on(*date).is_empty()
+                !self.data.factor_snapshots_on(*date).is_empty()
+                    && !self.data.candidate_snapshots_on(*date).is_empty()
             })
             .collect::<Vec<_>>();
         let mut result = BacktestResult {
@@ -105,8 +143,18 @@ where
                 .data
                 .benchmark_series()
                 .into_iter()
-                .filter(|row| self.config.start_date.map(|start| row.date >= start).unwrap_or(true))
-                .filter(|row| self.config.end_date.map(|end| row.date <= end).unwrap_or(true))
+                .filter(|row| {
+                    self.config
+                        .start_date
+                        .map(|start| row.date >= start)
+                        .unwrap_or(true)
+                })
+                .filter(|row| {
+                    self.config
+                        .end_date
+                        .map(|end| row.date <= end)
+                        .unwrap_or(true)
+                })
                 .collect(),
             order_events: Vec::new(),
             fills: Vec::new(),
@@ -114,11 +162,33 @@ where
             account_events: Vec::new(),
             equity_curve: Vec::new(),
             holdings_summary: Vec::new(),
+            daily_holdings: Vec::new(),
+            metrics: BacktestMetrics::default(),
         };
 
         for (execution_idx, execution_date) in execution_dates.iter().copied().enumerate() {
+            let mut corporate_action_notes = Vec::new();
+            let receivable_report = self.settle_cash_receivables(
+                execution_date,
+                &mut portfolio,
+                &mut corporate_action_notes,
+            )?;
+            self.extend_result(&mut result, receivable_report);
+            let delisting_report = self.settle_delisted_positions(
+                execution_date,
+                &mut portfolio,
+                &mut corporate_action_notes,
+            )?;
+            self.extend_result(&mut result, delisting_report);
+            let corporate_action_report = self.apply_corporate_actions(
+                execution_date,
+                &mut portfolio,
+                &mut corporate_action_notes,
+            )?;
+            self.extend_result(&mut result, corporate_action_report);
+
             let decision = execution_idx
-                .checked_sub(1)
+                .checked_sub(self.config.decision_lag_trading_days)
                 .map(|decision_idx| {
                     let decision_date = execution_dates[decision_idx];
                     self.strategy.on_day(&StrategyContext {
@@ -132,21 +202,29 @@ where
                 .transpose()?
                 .unwrap_or_default();
 
-            let report = self
-                .broker
-                .execute(execution_date, &mut portfolio, &self.data, &decision)?;
+            let report =
+                self.broker
+                    .execute(execution_date, &mut portfolio, &self.data, &decision)?;
+            let daily_fill_count = report.fill_events.len();
+            let day_orders = report.order_events.clone();
+            let day_fills = report.fill_events.clone();
             self.extend_result(&mut result, report);
 
             portfolio.update_prices(execution_date, &self.data, PriceField::Close)?;
 
-            let benchmark = self
-                .data
-                .benchmark(execution_date)
-                .ok_or(BacktestError::MissingBenchmark {
-                    date: execution_date,
-                })?;
-            let notes = decision.notes.join(" | ");
+            let benchmark =
+                self.data
+                    .benchmark(execution_date)
+                    .ok_or(BacktestError::MissingBenchmark {
+                        date: execution_date,
+                    })?;
+            let notes = corporate_action_notes
+                .into_iter()
+                .chain(decision.notes.into_iter())
+                .collect::<Vec<_>>()
+                .join(" | ");
             let diagnostics = decision.diagnostics.join(" | ");
+            let holdings_for_day = portfolio.holdings_summary(execution_date);
 
             result.equity_curve.push(DailyEquityPoint {
                 date: execution_date,
@@ -157,20 +235,295 @@ where
                 notes,
                 diagnostics,
             });
+            result.daily_holdings.extend(holdings_for_day.clone());
+            let latest = result
+                .equity_curve
+                .last()
+                .expect("equity point pushed for progress event");
+            on_progress(&BacktestDayProgress {
+                date: execution_date,
+                cash: latest.cash,
+                market_value: latest.market_value,
+                total_equity: latest.total_equity,
+                unit_nav: if self.config.initial_cash.abs() < f64::EPSILON {
+                    0.0
+                } else {
+                    latest.total_equity / self.config.initial_cash
+                },
+                total_return: if self.config.initial_cash.abs() < f64::EPSILON {
+                    0.0
+                } else {
+                    (latest.total_equity / self.config.initial_cash) - 1.0
+                },
+                benchmark_close: latest.benchmark_close,
+                daily_fill_count,
+                cumulative_trade_count: result.fills.len(),
+                holding_count: holdings_for_day.len(),
+                notes: latest.notes.clone(),
+                diagnostics: latest.diagnostics.clone(),
+                orders: day_orders,
+                fills: day_fills,
+                holdings: holdings_for_day,
+            });
         }
 
         if let Some(last_date) = execution_dates.last().copied() {
             result.holdings_summary = portfolio.holdings_summary(last_date);
         }
+        result.metrics = compute_backtest_metrics(
+            &result.equity_curve,
+            &result.fills,
+            &result.daily_holdings,
+            self.config.initial_cash,
+        );
 
         Ok(result)
     }
 
-    fn extend_result(&self, result: &mut BacktestResult, report: BrokerExecutionReport) {
-        result.order_events.extend(report.order_events);
-        result.fills.extend(report.fill_events);
-        result.position_events.extend(report.position_events);
-        result.account_events.extend(report.account_events);
+    fn extend_result(
+        &self,
+        result: &mut BacktestResult,
+        report: BrokerExecutionReport,
+    ) -> BrokerExecutionReport {
+        result.order_events.extend(report.order_events.clone());
+        result.fills.extend(report.fill_events.clone());
+        result.position_events.extend(report.position_events.clone());
+        result.account_events.extend(report.account_events.clone());
+        report
+    }
+
+    fn apply_corporate_actions(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        notes: &mut Vec<String>,
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        let mut report = BrokerExecutionReport::default();
+        for action in self.data.corporate_actions_on(date) {
+            if !action.has_effect() {
+                continue;
+            }
+            let Some(existing_position) = portfolio.position(&action.symbol) else {
+                continue;
+            };
+            if existing_position.quantity == 0 {
+                continue;
+            }
+
+            if action.share_cash.abs() > f64::EPSILON {
+                let cash_before = portfolio.cash();
+                let (cash_delta, quantity_after, average_cost) = {
+                    let position = portfolio
+                        .position_mut_if_exists(&action.symbol)
+                        .expect("position exists for dividend action");
+                    let cash_delta = position.apply_cash_dividend(action.share_cash);
+                    (cash_delta, position.quantity, position.average_cost)
+                };
+                if cash_delta.abs() > f64::EPSILON {
+                    let payable_date = action.payable_date.unwrap_or(date);
+                    let immediate_cash = payable_date <= date;
+                    let note = if immediate_cash {
+                        portfolio.apply_cash_delta(cash_delta);
+                        format!(
+                            "cash_dividend {} share_cash={:.6} quantity={} cash={:.2}",
+                            action.symbol, action.share_cash, quantity_after, cash_delta
+                        )
+                    } else {
+                        portfolio.add_cash_receivable(CashReceivable {
+                            symbol: action.symbol.clone(),
+                            ex_date: date,
+                            payable_date,
+                            amount: cash_delta,
+                            reason: format!("cash_dividend {:.6}", action.share_cash),
+                        });
+                        format!(
+                            "cash_dividend_receivable {} share_cash={:.6} quantity={} payable_date={} cash={:.2}",
+                            action.symbol, action.share_cash, quantity_after, payable_date, cash_delta
+                        )
+                    };
+                    notes.push(note.clone());
+                    report.account_events.push(AccountEvent {
+                        date,
+                        cash_before,
+                        cash_after: portfolio.cash(),
+                        total_equity: portfolio.total_equity(),
+                        note,
+                    });
+                    report.position_events.push(PositionEvent {
+                        date,
+                        symbol: action.symbol.clone(),
+                        delta_quantity: 0,
+                        quantity_after,
+                        average_cost,
+                        realized_pnl_delta: 0.0,
+                        reason: format!("cash_dividend {:.6}", action.share_cash),
+                    });
+                }
+            }
+
+            let split_ratio = action.split_ratio();
+            if (split_ratio - 1.0).abs() > f64::EPSILON {
+                let (delta_quantity, quantity_after, average_cost) = {
+                    let position = portfolio
+                        .position_mut_if_exists(&action.symbol)
+                        .expect("position exists for split action");
+                    let delta_quantity = position.apply_split_ratio(split_ratio);
+                    (delta_quantity, position.quantity, position.average_cost)
+                };
+                if delta_quantity != 0 {
+                    let note = format!(
+                        "stock_split {} ratio={:.6} delta_qty={}",
+                        action.symbol, split_ratio, delta_quantity
+                    );
+                    notes.push(note);
+                    report.position_events.push(PositionEvent {
+                        date,
+                        symbol: action.symbol.clone(),
+                        delta_quantity,
+                        quantity_after,
+                        average_cost,
+                        realized_pnl_delta: 0.0,
+                        reason: format!("stock_split {:.6}", split_ratio),
+                    });
+                }
+            }
+        }
+
+        portfolio.prune_flat_positions();
+        Ok(report)
+    }
+
+    fn settle_cash_receivables(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        notes: &mut Vec<String>,
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        let mut report = BrokerExecutionReport::default();
+        let settled = portfolio.settle_cash_receivables(date);
+        for receivable in settled {
+            let note = format!(
+                "cash_receivable_settled {} ex_date={} payable_date={} cash={:.2}",
+                receivable.symbol, receivable.ex_date, receivable.payable_date, receivable.amount
+            );
+            notes.push(note.clone());
+            report.account_events.push(AccountEvent {
+                date,
+                cash_before: portfolio.cash() - receivable.amount,
+                cash_after: portfolio.cash(),
+                total_equity: portfolio.total_equity(),
+                note,
+            });
+        }
+        Ok(report)
+    }
+
+    fn settle_delisted_positions(
+        &self,
+        date: NaiveDate,
+        portfolio: &mut PortfolioState,
+        notes: &mut Vec<String>,
+    ) -> Result<BrokerExecutionReport, BacktestError> {
+        let mut report = BrokerExecutionReport::default();
+        let symbols = portfolio.positions().keys().cloned().collect::<Vec<_>>();
+        for symbol in symbols {
+            let Some(position) = portfolio.position(&symbol) else {
+                continue;
+            };
+            if position.quantity == 0 {
+                continue;
+            }
+            let Some(instrument) = self.data.instrument(&symbol) else {
+                continue;
+            };
+            let should_settle = instrument.is_delisted_before(date)
+                || (instrument.status.eq_ignore_ascii_case("delisted")
+                    && instrument.delisted_at.is_none()
+                    && self.data.market(date, &symbol).is_none());
+            if !should_settle {
+                continue;
+            }
+
+            let quantity = position.quantity;
+            let fallback_reference_price = if position.last_price > 0.0 {
+                position.last_price
+            } else {
+                position.average_cost
+            };
+            let effective_delisted_at = instrument
+                .delisted_at
+                .or_else(|| self.data.calendar().previous_day(date))
+                .unwrap_or(date);
+            let settlement_price = self
+                .data
+                .price_on_or_before(effective_delisted_at, &symbol, PriceField::Close)
+                .or_else(|| self.data.price_on_or_before(date, &symbol, PriceField::Close))
+                .filter(|price| price.is_finite() && *price > 0.0)
+                .unwrap_or(fallback_reference_price);
+            if !settlement_price.is_finite() || settlement_price <= 0.0 {
+                return Err(BacktestError::Execution(format!(
+                    "missing delisting settlement price for {} on {}",
+                    symbol, date
+                )));
+            }
+
+            let cash_before = portfolio.cash();
+            let gross_amount = settlement_price * quantity as f64;
+            let realized_pnl_delta = {
+                let position = portfolio
+                    .position_mut_if_exists(&symbol)
+                    .expect("position exists for delisting settlement");
+                position
+                    .sell(quantity, settlement_price)
+                    .map_err(BacktestError::Execution)?
+            };
+            portfolio.apply_cash_delta(gross_amount);
+            portfolio.prune_flat_positions();
+
+            let reason = format!(
+                "delisted_cash_settlement effective_date={} status={}",
+                effective_delisted_at, instrument.status
+            );
+            notes.push(reason.clone());
+            report.order_events.push(OrderEvent {
+                date,
+                symbol: symbol.clone(),
+                side: OrderSide::Sell,
+                requested_quantity: quantity,
+                filled_quantity: quantity,
+                status: OrderStatus::Filled,
+                reason: reason.clone(),
+            });
+            report.fill_events.push(FillEvent {
+                date,
+                symbol: symbol.clone(),
+                side: OrderSide::Sell,
+                quantity,
+                price: settlement_price,
+                gross_amount,
+                commission: 0.0,
+                stamp_tax: 0.0,
+                net_cash_flow: gross_amount,
+                reason: reason.clone(),
+            });
+            report.position_events.push(PositionEvent {
+                date,
+                symbol: symbol.clone(),
+                delta_quantity: -(quantity as i32),
+                quantity_after: 0,
+                average_cost: 0.0,
+                realized_pnl_delta,
+                reason: reason.clone(),
+            });
+            report.account_events.push(AccountEvent {
+                date,
+                cash_before,
+                cash_after: portfolio.cash(),
+                total_equity: portfolio.total_equity(),
+                note: reason,
+            });
+        }
+        Ok(report)
     }
 }
 
diff --git a/crates/fidc-core/src/events.rs b/crates/fidc-core/src/events.rs
index 9bd284f..d775abb 100644
--- a/crates/fidc-core/src/events.rs
+++ b/crates/fidc-core/src/events.rs
@@ -33,6 +33,7 @@ pub enum OrderSide {
 pub enum OrderStatus {
     Filled,
     PartiallyFilled,
+    Canceled,
     Rejected,
 }
 
diff --git a/crates/fidc-core/src/instrument.rs b/crates/fidc-core/src/instrument.rs
index d921ccc..4c24dec 100644
--- a/crates/fidc-core/src/instrument.rs
+++ b/crates/fidc-core/src/instrument.rs
@@ -1,3 +1,4 @@
+use chrono::NaiveDate;
 use serde::{Deserialize, Serialize};
 
 #[derive(Debug, Clone, Serialize, Deserialize)]
@@ -5,4 +6,55 @@ pub struct Instrument {
     pub symbol: String,
     pub name: String,
     pub board: String,
+    pub round_lot: u32,
+    #[serde(default, with = "optional_date_format")]
+    pub listed_at: Option<NaiveDate>,
+    #[serde(default, with = "optional_date_format")]
+    pub delisted_at: Option<NaiveDate>,
+    #[serde(default = "default_status")]
+    pub status: String,
+}
+
+impl Instrument {
+    pub fn effective_round_lot(&self) -> u32 {
+        self.round_lot.max(1)
+    }
+
+    pub fn is_delisted_before(&self, date: NaiveDate) -> bool {
+        self.delisted_at.is_some_and(|delisted_at| delisted_at < date)
+    }
+}
+
+fn default_status() -> String {
+    "active".to_string()
+}
+
+mod optional_date_format {
+    use chrono::NaiveDate;
+    use serde::{self, Deserialize, Deserializer, Serializer};
+
+    const FORMAT: &str = "%Y-%m-%d";
+
+    pub fn serialize<S>(value: &Option<NaiveDate>, serializer: S) -> Result<S::Ok, S::Error>
+    where
+        S: Serializer,
+    {
+        match value {
+            Some(date) => serializer.serialize_some(&date.format(FORMAT).to_string()),
+            None => serializer.serialize_none(),
+        }
+    }
+
+    pub fn deserialize<'de, D>(deserializer: D) -> Result<Option<NaiveDate>, D::Error>
+    where
+        D: Deserializer<'de>,
+    {
+        let value = Option::<String>::deserialize(deserializer)?;
+        match value.as_deref().map(str::trim).filter(|v| !v.is_empty()) {
+            Some(text) => NaiveDate::parse_from_str(text, FORMAT)
+                .map(Some)
+                .map_err(serde::de::Error::custom),
+            None => Ok(None),
+        }
+    }
 }
diff --git a/crates/fidc-core/src/lib.rs b/crates/fidc-core/src/lib.rs
index 8d0536f..1dbf26e 100644
--- a/crates/fidc-core/src/lib.rs
+++ b/crates/fidc-core/src/lib.rs
@@ -5,6 +5,7 @@ pub mod data;
 pub mod engine;
 pub mod events;
 pub mod instrument;
+pub mod metrics;
 pub mod portfolio;
 pub mod rules;
 pub mod strategy;
@@ -14,39 +15,24 @@ pub use broker::{BrokerExecutionReport, BrokerSimulator};
 pub use calendar::TradingCalendar;
 pub use cost::{ChinaAShareCostModel, CostModel, TradingCost};
 pub use data::{
-    BenchmarkSnapshot,
-    CandidateEligibility,
-    DailyFactorSnapshot,
-    DailyMarketSnapshot,
-    DailySnapshotBundle,
-    DataSet,
-    DataSetError,
-    PriceField,
+    BenchmarkSnapshot, CandidateEligibility, CorporateAction, DailyFactorSnapshot,
+    DailyMarketSnapshot, DailySnapshotBundle, DataSet, DataSetError, EligibleUniverseSnapshot,
+    IntradayExecutionQuote, PriceField,
 };
-pub use engine::{BacktestConfig, BacktestEngine, BacktestError, BacktestResult, DailyEquityPoint};
-pub use events::{
-    AccountEvent,
-    FillEvent,
-    OrderEvent,
-    OrderSide,
-    OrderStatus,
-    PositionEvent,
+pub use engine::{
+    BacktestConfig, BacktestDayProgress, BacktestEngine, BacktestError, BacktestResult,
+    DailyEquityPoint,
 };
+pub use events::{AccountEvent, FillEvent, OrderEvent, OrderSide, OrderStatus, PositionEvent};
 pub use instrument::Instrument;
-pub use portfolio::{HoldingSummary, PortfolioState, Position};
+pub use metrics::{BacktestMetrics, compute_backtest_metrics};
+pub use portfolio::{CashReceivable, HoldingSummary, PortfolioState, Position};
 pub use rules::{ChinaEquityRuleHooks, EquityRuleHooks, RuleCheck};
 pub use strategy::{
-    CnSmallCapRotationConfig,
-    CnSmallCapRotationStrategy,
-    Strategy,
-    StrategyContext,
-    StrategyDecision,
+    CnSmallCapRotationConfig, CnSmallCapRotationStrategy, JqMicroCapConfig, JqMicroCapStrategy,
+    OrderIntent, Strategy, StrategyContext, StrategyDecision,
 };
 pub use universe::{
-    BandRegime,
-    DynamicMarketCapBandSelector,
-    SelectionContext,
-    SelectionDiagnostics,
-    UniverseCandidate,
-    UniverseSelector,
+    BandRegime, DynamicMarketCapBandSelector, SelectionContext, SelectionDiagnostics,
+    UniverseCandidate, UniverseSelector,
 };
diff --git a/crates/fidc-core/src/metrics.rs b/crates/fidc-core/src/metrics.rs
new file mode 100644
index 0000000..88bc6ba
--- /dev/null
+++ b/crates/fidc-core/src/metrics.rs
@@ -0,0 +1,437 @@
+use std::collections::BTreeMap;
+
+use chrono::{Datelike, NaiveDate};
+use serde::{Deserialize, Serialize};
+
+use crate::engine::DailyEquityPoint;
+use crate::events::FillEvent;
+use crate::portfolio::HoldingSummary;
+
+const TRADING_DAYS_PER_YEAR: f64 = 252.0;
+const MONTHS_PER_YEAR: f64 = 12.0;
+const DEFAULT_RISK_FREE_RATE: f64 = 0.022;
+
+#[derive(Debug, Clone, Default, Serialize, Deserialize)]
+pub struct BacktestMetrics {
+    pub total_return: f64,
+    pub annual_return: f64,
+    pub sharpe: f64,
+    pub max_drawdown: f64,
+    pub win_rate: f64,
+    pub alpha: f64,
+    pub beta: f64,
+    pub benchmark_cumulative_return: f64,
+    pub benchmark_net_value: f64,
+    pub risk_free_rate: f64,
+    pub monthly_excess_win_rate: f64,
+    pub excess_cumulative_return: f64,
+    pub excess_annual_return: f64,
+    pub max_drawdown_duration_days: usize,
+    pub total_trade_days: usize,
+    pub sortino: f64,
+    pub information_ratio: f64,
+    pub tracking_error: f64,
+    pub volatility: f64,
+    pub excess_return: f64,
+    pub excess_sharpe: f64,
+    pub excess_volatility: f64,
+    pub excess_max_drawdown: f64,
+    pub holding_count: usize,
+    pub average_weight: f64,
+    pub max_weight: f64,
+    pub concentration: f64,
+    pub weight_std_dev: f64,
+    pub median_weight: f64,
+    pub average_daily_turnover: f64,
+    pub total_assets: f64,
+    pub cash_balance: f64,
+    pub unit_nav: f64,
+    pub initial_cash: f64,
+    pub excess_win_rate: f64,
+    pub monthly_sharpe: f64,
+    pub monthly_volatility: f64,
+}
+
+pub fn compute_backtest_metrics(
+    equity_curve: &[DailyEquityPoint],
+    fills: &[FillEvent],
+    daily_holdings: &[HoldingSummary],
+    initial_cash: f64,
+) -> BacktestMetrics {
+    let Some(first_point) = equity_curve.first() else {
+        return BacktestMetrics {
+            risk_free_rate: DEFAULT_RISK_FREE_RATE,
+            initial_cash,
+            ..BacktestMetrics::default()
+        };
+    };
+    let Some(last_point) = equity_curve.last() else {
+        return BacktestMetrics {
+            risk_free_rate: DEFAULT_RISK_FREE_RATE,
+            initial_cash,
+            ..BacktestMetrics::default()
+        };
+    };
+
+    let trade_days = equity_curve.len();
+    let returns = equity_curve
+        .windows(2)
+        .map(|window| pct_change(window[0].total_equity, window[1].total_equity))
+        .collect::<Vec<_>>();
+    let benchmark_returns = equity_curve
+        .windows(2)
+        .map(|window| pct_change(window[0].benchmark_close, window[1].benchmark_close))
+        .collect::<Vec<_>>();
+    let excess_returns = returns
+        .iter()
+        .zip(benchmark_returns.iter())
+        .map(|(lhs, rhs)| lhs - rhs)
+        .collect::<Vec<_>>();
+
+    let benchmark_net_value = if first_point.benchmark_close.abs() < f64::EPSILON {
+        1.0
+    } else {
+        last_point.benchmark_close / first_point.benchmark_close
+    };
+    let benchmark_cumulative_return = benchmark_net_value - 1.0;
+    let total_return = if initial_cash.abs() < f64::EPSILON {
+        0.0
+    } else {
+        (last_point.total_equity / initial_cash) - 1.0
+    };
+    let excess_cumulative_return = if benchmark_net_value.abs() < f64::EPSILON {
+        total_return
+    } else {
+        (last_point.total_equity / initial_cash) / benchmark_net_value - 1.0
+    };
+    let excess_return = total_return - benchmark_cumulative_return;
+    let annual_return = annualize_return(total_return, trade_days);
+    let excess_annual_return = annualize_return(excess_cumulative_return, trade_days);
+
+    let risk_free_rate = DEFAULT_RISK_FREE_RATE;
+    let daily_rf = risk_free_rate / TRADING_DAYS_PER_YEAR;
+    let sharpe = annualized_sharpe(&returns, daily_rf, TRADING_DAYS_PER_YEAR);
+    let sortino = annualized_sortino(&returns, daily_rf, TRADING_DAYS_PER_YEAR);
+    let information_ratio = annualized_sharpe(&excess_returns, 0.0, TRADING_DAYS_PER_YEAR);
+    let tracking_error = annualized_std(&excess_returns, TRADING_DAYS_PER_YEAR);
+    let volatility = annualized_std(&returns, TRADING_DAYS_PER_YEAR);
+    let excess_volatility = annualized_std(&excess_returns, TRADING_DAYS_PER_YEAR);
+    let excess_sharpe = annualized_sharpe(&excess_returns, 0.0, TRADING_DAYS_PER_YEAR);
+    let (alpha, beta) = alpha_beta(&returns, &benchmark_returns, daily_rf);
+
+    let equity_nav = equity_curve
+        .iter()
+        .map(|point| safe_div(point.total_equity, initial_cash, 1.0))
+        .collect::<Vec<_>>();
+    let benchmark_nav_series = equity_curve
+        .iter()
+        .map(|point| safe_div(point.benchmark_close, first_point.benchmark_close, 1.0))
+        .collect::<Vec<_>>();
+    let excess_nav_series = equity_nav
+        .iter()
+        .zip(benchmark_nav_series.iter())
+        .map(|(lhs, rhs)| safe_div(*lhs, *rhs, *lhs))
+        .collect::<Vec<_>>();
+
+    let (max_drawdown, max_drawdown_duration_days) = drawdown_stats(&equity_nav);
+    let (excess_max_drawdown, _) = drawdown_stats(&excess_nav_series);
+
+    let winning_days = returns.iter().filter(|value| **value > 0.0).count();
+    let excess_winning_days = excess_returns.iter().filter(|value| **value > 0.0).count();
+    let win_rate = ratio(winning_days, returns.len());
+    let excess_win_rate = ratio(excess_winning_days, excess_returns.len());
+
+    let monthly_portfolio_returns = group_monthly_returns(equity_curve, |point| point.total_equity);
+    let monthly_benchmark_returns =
+        group_monthly_returns(equity_curve, |point| point.benchmark_close);
+    let monthly_excess_returns = monthly_portfolio_returns
+        .iter()
+        .zip(monthly_benchmark_returns.iter())
+        .map(|(lhs, rhs)| lhs - rhs)
+        .collect::<Vec<_>>();
+    let monthly_excess_win_rate = ratio(
+        monthly_excess_returns
+            .iter()
+            .filter(|value| **value > 0.0)
+            .count(),
+        monthly_excess_returns.len(),
+    );
+    let monthly_sharpe = annualized_sharpe(
+        &monthly_portfolio_returns,
+        risk_free_rate / MONTHS_PER_YEAR,
+        MONTHS_PER_YEAR,
+    );
+    let monthly_volatility = annualized_std(&monthly_portfolio_returns, MONTHS_PER_YEAR);
+
+    let turnover_by_date = fills.iter().fold(BTreeMap::<NaiveDate, f64>::new(), |mut acc, fill| {
+        *acc.entry(fill.date).or_default() += fill.gross_amount.abs();
+        acc
+    });
+    let equity_by_date = equity_curve
+        .iter()
+        .map(|point| (point.date, point.total_equity))
+        .collect::<BTreeMap<_, _>>();
+    let average_daily_turnover = if equity_curve.is_empty() {
+        0.0
+    } else {
+        equity_curve
+            .iter()
+            .map(|point| {
+                let traded = turnover_by_date.get(&point.date).copied().unwrap_or_default();
+                safe_div(traded, point.total_equity.max(initial_cash * 0.5), 0.0)
+            })
+            .sum::<f64>()
+            / equity_curve.len() as f64
+    };
+
+    let latest_date = last_point.date;
+    let latest_holdings = daily_holdings
+        .iter()
+        .filter(|row| row.date == latest_date && row.quantity > 0)
+        .collect::<Vec<_>>();
+    let weights = latest_holdings
+        .iter()
+        .map(|holding| safe_div(holding.market_value, last_point.total_equity, 0.0))
+        .collect::<Vec<_>>();
+    let holding_count = latest_holdings.len();
+    let average_weight = mean(&weights);
+    let max_weight = weights
+        .iter()
+        .copied()
+        .fold(0.0_f64, |acc, value| acc.max(value));
+    let concentration = weights.iter().map(|weight| weight * weight).sum::<f64>();
+    let weight_std_dev = std_dev(&weights);
+    let median_weight = median(&weights);
+
+    let total_trade_days = equity_by_date.len();
+
+    BacktestMetrics {
+        total_return,
+        annual_return,
+        sharpe,
+        max_drawdown,
+        win_rate,
+        alpha,
+        beta,
+        benchmark_cumulative_return,
+        benchmark_net_value,
+        risk_free_rate,
+        monthly_excess_win_rate,
+        excess_cumulative_return,
+        excess_annual_return,
+        max_drawdown_duration_days,
+        total_trade_days,
+        sortino,
+        information_ratio,
+        tracking_error,
+        volatility,
+        excess_return,
+        excess_sharpe,
+        excess_volatility,
+        excess_max_drawdown,
+        holding_count,
+        average_weight,
+        max_weight,
+        concentration,
+        weight_std_dev,
+        median_weight,
+        average_daily_turnover,
+        total_assets: last_point.total_equity,
+        cash_balance: last_point.cash,
+        unit_nav: safe_div(last_point.total_equity, initial_cash, 0.0),
+        initial_cash,
+        excess_win_rate,
+        monthly_sharpe,
+        monthly_volatility,
+    }
+}
+
+fn pct_change(previous: f64, current: f64) -> f64 {
+    if previous.abs() < f64::EPSILON {
+        0.0
+    } else {
+        (current / previous) - 1.0
+    }
+}
+
+fn annualize_return(total_return: f64, periods: usize) -> f64 {
+    if periods == 0 {
+        return 0.0;
+    }
+    let periods = periods as f64;
+    let base = 1.0 + total_return;
+    if base <= 0.0 {
+        return -1.0;
+    }
+    base.powf(TRADING_DAYS_PER_YEAR / periods) - 1.0
+}
+
+fn annualized_sharpe(returns: &[f64], daily_rf: f64, periods_per_year: f64) -> f64 {
+    if returns.len() < 2 {
+        return 0.0;
+    }
+    let adjusted = returns.iter().map(|value| value - daily_rf).collect::<Vec<_>>();
+    let mean_ret = mean(&adjusted);
+    let std = std_dev(&adjusted);
+    if std <= f64::EPSILON {
+        0.0
+    } else {
+        mean_ret / std * periods_per_year.sqrt()
+    }
+}
+
+fn annualized_sortino(returns: &[f64], daily_rf: f64, periods_per_year: f64) -> f64 {
+    if returns.is_empty() {
+        return 0.0;
+    }
+    let adjusted = returns.iter().map(|value| value - daily_rf).collect::<Vec<_>>();
+    let downside = adjusted
+        .iter()
+        .filter(|value| **value < 0.0)
+        .map(|value| value.powi(2))
+        .collect::<Vec<_>>();
+    if downside.is_empty() {
+        return 0.0;
+    }
+    let downside_dev = (downside.iter().sum::<f64>() / downside.len() as f64).sqrt();
+    if downside_dev <= f64::EPSILON {
+        0.0
+    } else {
+        mean(&adjusted) / downside_dev * periods_per_year.sqrt()
+    }
+}
+
+fn annualized_std(values: &[f64], periods_per_year: f64) -> f64 {
+    std_dev(values) * periods_per_year.sqrt()
+}
+
+fn alpha_beta(returns: &[f64], benchmark_returns: &[f64], daily_rf: f64) -> (f64, f64) {
+    if returns.len() < 2 || returns.len() != benchmark_returns.len() {
+        return (0.0, 0.0);
+    }
+    let strategy_excess = returns.iter().map(|value| value - daily_rf).collect::<Vec<_>>();
+    let benchmark_excess = benchmark_returns
+        .iter()
+        .map(|value| value - daily_rf)
+        .collect::<Vec<_>>();
+    let mean_strategy = mean(&strategy_excess);
+    let mean_benchmark = mean(&benchmark_excess);
+    let variance_benchmark = variance(&benchmark_excess);
+    if variance_benchmark <= f64::EPSILON {
+        return (0.0, 0.0);
+    }
+    let covariance = strategy_excess
+        .iter()
+        .zip(benchmark_excess.iter())
+        .map(|(lhs, rhs)| (lhs - mean_strategy) * (rhs - mean_benchmark))
+        .sum::<f64>()
+        / (strategy_excess.len() - 1) as f64;
+    let beta = covariance / variance_benchmark;
+    let alpha = (mean_strategy - beta * mean_benchmark) * TRADING_DAYS_PER_YEAR;
+    (alpha, beta)
+}
+
+fn drawdown_stats(nav: &[f64]) -> (f64, usize) {
+    let mut peak = 0.0_f64;
+    let mut max_drawdown = 0.0_f64;
+    let mut duration = 0_usize;
+    let mut max_duration = 0_usize;
+    for value in nav {
+        if *value >= peak {
+            peak = *value;
+            duration = 0;
+            continue;
+        }
+        if peak > f64::EPSILON {
+            let drawdown = (*value / peak) - 1.0;
+            if drawdown < max_drawdown {
+                max_drawdown = drawdown;
+            }
+        }
+        duration += 1;
+        if duration > max_duration {
+            max_duration = duration;
+        }
+    }
+    (max_drawdown, max_duration)
+}
+
+fn group_monthly_returns<F>(equity_curve: &[DailyEquityPoint], value_fn: F) -> Vec<f64>
+where
+    F: Fn(&DailyEquityPoint) -> f64,
+{
+    let mut month_last = BTreeMap::<(i32, u32), f64>::new();
+    let mut month_first = BTreeMap::<(i32, u32), f64>::new();
+    for point in equity_curve {
+        let key = (point.date.year(), point.date.month());
+        month_first.entry(key).or_insert_with(|| value_fn(point));
+        month_last.insert(key, value_fn(point));
+    }
+    let mut keys = month_last.keys().copied().collect::<Vec<_>>();
+    keys.sort_unstable();
+    keys.into_iter()
+        .filter_map(|key| {
+            let first = month_first.get(&key).copied().unwrap_or_default();
+            let last = month_last.get(&key).copied().unwrap_or_default();
+            if first.abs() < f64::EPSILON {
+                None
+            } else {
+                Some((last / first) - 1.0)
+            }
+        })
+        .collect()
+}
+
+fn mean(values: &[f64]) -> f64 {
+    if values.is_empty() {
+        0.0
+    } else {
+        values.iter().sum::<f64>() / values.len() as f64
+    }
+}
+
+fn variance(values: &[f64]) -> f64 {
+    if values.len() < 2 {
+        return 0.0;
+    }
+    let avg = mean(values);
+    values
+        .iter()
+        .map(|value| (value - avg).powi(2))
+        .sum::<f64>()
+        / (values.len() - 1) as f64
+}
+
+fn std_dev(values: &[f64]) -> f64 {
+    variance(values).sqrt()
+}
+
+fn median(values: &[f64]) -> f64 {
+    if values.is_empty() {
+        return 0.0;
+    }
+    let mut sorted = values.to_vec();
+    sorted.sort_by(|lhs, rhs| lhs.partial_cmp(rhs).unwrap_or(std::cmp::Ordering::Equal));
+    let mid = sorted.len() / 2;
+    if sorted.len() % 2 == 0 {
+        (sorted[mid - 1] + sorted[mid]) / 2.0
+    } else {
+        sorted[mid]
+    }
+}
+
+fn ratio(numerator: usize, denominator: usize) -> f64 {
+    if denominator == 0 {
+        0.0
+    } else {
+        numerator as f64 / denominator as f64
+    }
+}
+
+fn safe_div(numerator: f64, denominator: f64, fallback: f64) -> f64 {
+    if denominator.abs() < f64::EPSILON {
+        fallback
+    } else {
+        numerator / denominator
+    }
+}
diff --git a/crates/fidc-core/src/portfolio.rs b/crates/fidc-core/src/portfolio.rs
index 89d5b76..110701b 100644
--- a/crates/fidc-core/src/portfolio.rs
+++ b/crates/fidc-core/src/portfolio.rs
@@ -1,6 +1,5 @@
-use std::collections::BTreeMap;
-
 use chrono::NaiveDate;
+use indexmap::IndexMap;
 use serde::Serialize;
 
 use crate::data::{DataSet, DataSetError, PriceField};
@@ -124,19 +123,71 @@ impl Position {
 
         self.average_cost = total_cost / self.quantity as f64;
     }
+
+    pub fn apply_cash_dividend(&mut self, dividend_per_share: f64) -> f64 {
+        if self.quantity == 0 || !dividend_per_share.is_finite() || dividend_per_share == 0.0 {
+            return 0.0;
+        }
+
+        for lot in &mut self.lots {
+            lot.price -= dividend_per_share;
+        }
+        self.average_cost -= dividend_per_share;
+        self.last_price -= dividend_per_share;
+        self.quantity as f64 * dividend_per_share
+    }
+
+    pub fn apply_split_ratio(&mut self, ratio: f64) -> i32 {
+        if self.quantity == 0 || !ratio.is_finite() || ratio <= 0.0 || (ratio - 1.0).abs() < 1e-9
+        {
+            return 0;
+        }
+
+        let old_quantity = self.quantity;
+        let mut scaled_lots = self
+            .lots
+            .iter()
+            .map(|lot| PositionLot {
+                acquired_date: lot.acquired_date,
+                quantity: round_half_up_u32(lot.quantity as f64 * ratio),
+                price: lot.price / ratio,
+            })
+            .collect::<Vec<_>>();
+
+        let expected_total = round_half_up_u32(old_quantity as f64 * ratio);
+        let scaled_total = scaled_lots.iter().map(|lot| lot.quantity).sum::<u32>();
+        if let Some(last_lot) = scaled_lots.last_mut() {
+            if scaled_total < expected_total {
+                last_lot.quantity += expected_total - scaled_total;
+            } else if scaled_total > expected_total {
+                last_lot.quantity = last_lot
+                    .quantity
+                    .saturating_sub(scaled_total - expected_total);
+            }
+        }
+        scaled_lots.retain(|lot| lot.quantity > 0);
+
+        self.lots = scaled_lots;
+        self.quantity = self.lots.iter().map(|lot| lot.quantity).sum();
+        self.last_price /= ratio;
+        self.recalculate_average_cost();
+        self.quantity as i32 - old_quantity as i32
+    }
 }
 
 #[derive(Debug, Clone)]
 pub struct PortfolioState {
     cash: f64,
-    positions: BTreeMap<String, Position>,
+    positions: IndexMap<String, Position>,
+    cash_receivables: Vec<CashReceivable>,
 }
 
 impl PortfolioState {
     pub fn new(initial_cash: f64) -> Self {
         Self {
             cash: initial_cash,
-            positions: BTreeMap::new(),
+            positions: IndexMap::new(),
+            cash_receivables: Vec::new(),
         }
     }
 
@@ -144,7 +195,7 @@ impl PortfolioState {
         self.cash
     }
 
-    pub fn positions(&self) -> &BTreeMap<String, Position> {
+    pub fn positions(&self) -> &IndexMap<String, Position> {
         &self.positions
     }
 
@@ -152,6 +203,10 @@ impl PortfolioState {
         self.positions.get(symbol)
     }
 
+    pub fn position_mut_if_exists(&mut self, symbol: &str) -> Option<&mut Position> {
+        self.positions.get_mut(symbol)
+    }
+
     pub fn position_mut(&mut self, symbol: &str) -> &mut Position {
         self.positions
             .entry(symbol.to_string())
@@ -166,6 +221,29 @@ impl PortfolioState {
         self.positions.retain(|_, position| !position.is_flat());
     }
 
+    pub fn add_cash_receivable(&mut self, receivable: CashReceivable) {
+        self.cash_receivables.push(receivable);
+    }
+
+    pub fn settle_cash_receivables(&mut self, date: NaiveDate) -> Vec<CashReceivable> {
+        let mut settled = Vec::new();
+        let mut pending = Vec::new();
+        for receivable in self.cash_receivables.drain(..) {
+            if receivable.payable_date <= date {
+                self.cash += receivable.amount;
+                settled.push(receivable);
+            } else {
+                pending.push(receivable);
+            }
+        }
+        self.cash_receivables = pending;
+        settled
+    }
+
+    pub fn cash_receivables(&self) -> &[CashReceivable] {
+        &self.cash_receivables
+    }
+
     pub fn update_prices(
         &mut self,
         date: NaiveDate,
@@ -173,16 +251,17 @@ impl PortfolioState {
         field: PriceField,
     ) -> Result<(), DataSetError> {
         for position in self.positions.values_mut() {
-            let price = data
-                .price(date, &position.symbol, field)
-                .ok_or_else(|| DataSetError::MissingSnapshot {
+            let price = data.price(date, &position.symbol, field).ok_or_else(|| {
+                DataSetError::MissingSnapshot {
                     kind: match field {
                         PriceField::Open => "open price",
                         PriceField::Close => "close price",
+                        PriceField::Last => "last price",
                     },
                     date,
                     symbol: position.symbol.clone(),
-                })?;
+                }
+            })?;
             position.last_price = price;
         }
         Ok(())
@@ -214,6 +293,30 @@ impl PortfolioState {
     }
 }
 
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn positions_preserve_insertion_order() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut portfolio = PortfolioState::new(10_000.0);
+        portfolio.position_mut("603657.SH").buy(date, 100, 10.0);
+        portfolio.position_mut("001266.SZ").buy(date, 100, 10.0);
+        portfolio.position_mut("601798.SH").buy(date, 100, 10.0);
+
+        let symbols = portfolio.positions().keys().cloned().collect::<Vec<_>>();
+        assert_eq!(
+            symbols,
+            vec![
+                "603657.SH".to_string(),
+                "001266.SZ".to_string(),
+                "601798.SH".to_string()
+            ]
+        );
+    }
+}
+
 #[derive(Debug, Clone, Serialize)]
 pub struct HoldingSummary {
     #[serde(with = "date_format")]
@@ -227,6 +330,15 @@ pub struct HoldingSummary {
     pub realized_pnl: f64,
 }
 
+#[derive(Debug, Clone)]
+pub struct CashReceivable {
+    pub symbol: String,
+    pub ex_date: NaiveDate,
+    pub payable_date: NaiveDate,
+    pub amount: f64,
+    pub reason: String,
+}
+
 mod date_format {
     use chrono::NaiveDate;
     use serde::Serializer;
@@ -240,3 +352,11 @@ mod date_format {
         serializer.serialize_str(&date.format(FORMAT).to_string())
     }
 }
+
+fn round_half_up_u32(value: f64) -> u32 {
+    if !value.is_finite() || value <= 0.0 {
+        0
+    } else {
+        value.round() as u32
+    }
+}
diff --git a/crates/fidc-core/src/rules.rs b/crates/fidc-core/src/rules.rs
index a9a45c2..9e2707f 100644
--- a/crates/fidc-core/src/rules.rs
+++ b/crates/fidc-core/src/rules.rs
@@ -1,6 +1,6 @@
 use chrono::NaiveDate;
 
-use crate::data::{CandidateEligibility, DailyMarketSnapshot};
+use crate::data::{CandidateEligibility, DailyMarketSnapshot, PriceField};
 use crate::portfolio::Position;
 
 #[derive(Debug, Clone)]
@@ -31,6 +31,7 @@ pub trait EquityRuleHooks {
         execution_date: NaiveDate,
         snapshot: &DailyMarketSnapshot,
         candidate: &CandidateEligibility,
+        price_field: PriceField,
     ) -> RuleCheck;
 
     fn can_sell(
@@ -39,6 +40,7 @@ pub trait EquityRuleHooks {
         snapshot: &DailyMarketSnapshot,
         candidate: &CandidateEligibility,
         position: &Position,
+        price_field: PriceField,
     ) -> RuleCheck;
 }
 
@@ -46,12 +48,12 @@ pub trait EquityRuleHooks {
 pub struct ChinaEquityRuleHooks;
 
 impl ChinaEquityRuleHooks {
-    fn at_upper_limit(snapshot: &DailyMarketSnapshot) -> bool {
-        snapshot.open >= snapshot.upper_limit - 1e-6
+    fn at_upper_limit(snapshot: &DailyMarketSnapshot, price_field: PriceField) -> bool {
+        snapshot.is_at_upper_limit_price(snapshot.buy_price(price_field))
     }
 
-    fn at_lower_limit(snapshot: &DailyMarketSnapshot) -> bool {
-        snapshot.open <= snapshot.lower_limit + 1e-6
+    fn at_lower_limit(snapshot: &DailyMarketSnapshot, price_field: PriceField) -> bool {
+        snapshot.is_at_lower_limit_price(snapshot.sell_price(price_field))
     }
 }
 
@@ -61,6 +63,7 @@ impl EquityRuleHooks for ChinaEquityRuleHooks {
         _execution_date: NaiveDate,
         snapshot: &DailyMarketSnapshot,
         candidate: &CandidateEligibility,
+        price_field: PriceField,
     ) -> RuleCheck {
         if snapshot.paused || candidate.is_paused {
             return RuleCheck::reject("paused");
@@ -68,7 +71,7 @@ impl EquityRuleHooks for ChinaEquityRuleHooks {
         if !candidate.allow_buy {
             return RuleCheck::reject("buy disabled by eligibility flags");
         }
-        if Self::at_upper_limit(snapshot) {
+        if Self::at_upper_limit(snapshot, price_field) {
             return RuleCheck::reject("open at or above upper limit");
         }
 
@@ -81,6 +84,7 @@ impl EquityRuleHooks for ChinaEquityRuleHooks {
         snapshot: &DailyMarketSnapshot,
         candidate: &CandidateEligibility,
         position: &Position,
+        price_field: PriceField,
     ) -> RuleCheck {
         if snapshot.paused || candidate.is_paused {
             return RuleCheck::reject("paused");
@@ -88,7 +92,7 @@ impl EquityRuleHooks for ChinaEquityRuleHooks {
         if !candidate.allow_sell {
             return RuleCheck::reject("sell disabled by eligibility flags");
         }
-        if Self::at_lower_limit(snapshot) {
+        if Self::at_lower_limit(snapshot, price_field) {
             return RuleCheck::reject("open at or below lower limit");
         }
         if position.sellable_qty(execution_date) == 0 {
diff --git a/crates/fidc-core/src/strategy.rs b/crates/fidc-core/src/strategy.rs
index c33e0f8..3d65a6c 100644
--- a/crates/fidc-core/src/strategy.rs
+++ b/crates/fidc-core/src/strategy.rs
@@ -25,10 +25,25 @@ pub struct StrategyDecision {
     pub rebalance: bool,
     pub target_weights: BTreeMap<String, f64>,
     pub exit_symbols: BTreeSet<String>,
+    pub order_intents: Vec<OrderIntent>,
     pub notes: Vec<String>,
     pub diagnostics: Vec<String>,
 }
 
+#[derive(Debug, Clone)]
+pub enum OrderIntent {
+    TargetValue {
+        symbol: String,
+        target_value: f64,
+        reason: String,
+    },
+    Value {
+        symbol: String,
+        value: f64,
+        reason: String,
+    },
+}
+
 #[derive(Debug, Clone)]
 pub struct CnSmallCapRotationConfig {
     pub strategy_name: String,
@@ -97,7 +112,13 @@ impl CnSmallCapRotationConfig {
             take_profit_pct: 0.07,
             signal_symbol: Some("000852.SH".to_string()),
             skip_months: vec![],
-            skip_month_day_ranges: vec![(1, 15, 30), (4, 15, 29), (8, 15, 31), (10, 20, 30), (12, 20, 30)],
+            skip_month_day_ranges: vec![
+                (1, 15, 30),
+                (4, 15, 29),
+                (8, 15, 31),
+                (10, 20, 30),
+                (12, 20, 30),
+            ],
         }
     }
 
@@ -136,12 +157,10 @@ impl CnSmallCapRotationStrategy {
     fn moving_average(values: &[f64], lookback: usize) -> f64 {
         let len = values.len();
         let window = values.iter().skip(len.saturating_sub(lookback));
-        let (sum, count) = window.fold((0.0, 0usize), |(sum, count), value| (sum + value, count + 1));
-        if count == 0 {
-            0.0
-        } else {
-            sum / count as f64
-        }
+        let (sum, count) = window.fold((0.0, 0usize), |(sum, count), value| {
+            (sum + value, count + 1)
+        });
+        if count == 0 { 0.0 } else { sum / count as f64 }
     }
 
     fn gross_exposure(&self, closes: &[f64]) -> f64 {
@@ -166,38 +185,46 @@ impl CnSmallCapRotationStrategy {
         &self,
         ctx: &StrategyContext<'_>,
     ) -> Result<(String, Vec<f64>, f64), BacktestError> {
-        let symbol = self
-            .config
-            .signal_symbol
-            .as_deref()
-            .ok_or_else(|| BacktestError::Execution(
-                "cn-dyn-smallcap-band requires a real signal_symbol; degraded fallback disabled"
-                    .to_string(),
-            ))?;
+        if let Some(symbol) = self.config.signal_symbol.as_deref() {
+            let closes =
+                ctx.data
+                    .market_closes_up_to(ctx.decision_date, symbol, self.config.long_ma_days);
+            if closes.len() >= self.config.long_ma_days {
+                let close = ctx
+                    .data
+                    .price(ctx.decision_date, symbol, PriceField::Close)
+                    .ok_or_else(|| BacktestError::MissingPrice {
+                        date: ctx.decision_date,
+                        symbol: symbol.to_string(),
+                        field: "close",
+                    })?;
+                return Ok((symbol.to_string(), closes, close));
+            }
+        }
+
         let closes = ctx
             .data
-            .market_closes_up_to(ctx.decision_date, symbol, self.config.long_ma_days);
+            .benchmark_closes_up_to(ctx.decision_date, self.config.long_ma_days);
         if closes.len() < self.config.long_ma_days {
             return Err(BacktestError::Execution(format!(
-                "real signal series missing or insufficient for {} on/before {}; degraded fallback disabled",
-                symbol, ctx.decision_date
+                "signal series insufficient on/before {} for long_ma_days={}",
+                ctx.decision_date, self.config.long_ma_days
             )));
         }
         let close = ctx
             .data
-            .price(ctx.decision_date, symbol, PriceField::Close)
-            .ok_or_else(|| BacktestError::MissingPrice {
+            .benchmark(ctx.decision_date)
+            .ok_or(BacktestError::MissingBenchmark {
                 date: ctx.decision_date,
-                symbol: symbol.to_string(),
-                field: "close",
-            })?;
-        Ok((symbol.to_string(), closes, close))
+            })?
+            .close;
+        Ok((ctx.data.benchmark_code().to_string(), closes, close))
     }
 
     fn stock_passes_ma_filter(&self, ctx: &StrategyContext<'_>, symbol: &str) -> bool {
-        let closes = ctx
-            .data
-            .market_closes_up_to(ctx.decision_date, symbol, self.config.stock_long_ma_days);
+        let closes =
+            ctx.data
+                .market_closes_up_to(ctx.decision_date, symbol, self.config.stock_long_ma_days);
         if closes.len() < self.config.stock_long_ma_days {
             return false;
         }
@@ -207,7 +234,10 @@ impl CnSmallCapRotationStrategy {
         ma_short > ma_mid * self.config.rsi_rate && ma_mid > ma_long
     }
 
-    fn stop_exit_symbols(&self, ctx: &StrategyContext<'_>) -> Result<BTreeSet<String>, BacktestError> {
+    fn stop_exit_symbols(
+        &self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<BTreeSet<String>, BacktestError> {
         let mut exits = BTreeSet::new();
         for position in ctx.portfolio.positions().values() {
             if position.quantity == 0 {
@@ -244,12 +274,12 @@ impl Strategy for CnSmallCapRotationStrategy {
     }
 
     fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
-        let benchmark = ctx
-            .data
-            .benchmark(ctx.decision_date)
-            .ok_or(BacktestError::MissingBenchmark {
-                date: ctx.decision_date,
-            })?;
+        let benchmark =
+            ctx.data
+                .benchmark(ctx.decision_date)
+                .ok_or(BacktestError::MissingBenchmark {
+                    date: ctx.decision_date,
+                })?;
 
         if self.config.in_skip_window(ctx.execution_date) {
             self.last_gross_exposure = Some(0.0);
@@ -257,15 +287,35 @@ impl Strategy for CnSmallCapRotationStrategy {
                 rebalance: true,
                 target_weights: BTreeMap::new(),
                 exit_symbols: ctx.portfolio.positions().keys().cloned().collect(),
+                order_intents: Vec::new(),
                 notes: vec![format!("skip-window active on {}", ctx.execution_date)],
                 diagnostics: vec![
                     "seasonal stop window approximated at daily granularity".to_string(),
-                    "run_daily(10:17/10:18) mapped to T-1 decision and T open execution".to_string(),
+                    "run_daily(10:17/10:18) mapped to T-1 decision and T open execution"
+                        .to_string(),
                 ],
             });
         }
 
-        let (resolved_signal_symbol, signal_closes, signal_level) = self.resolve_signal_series(ctx)?;
+        let (resolved_signal_symbol, signal_closes, signal_level) =
+            match self.resolve_signal_series(ctx) {
+                Ok(value) => value,
+                Err(BacktestError::Execution(message))
+                    if message.contains("signal series insufficient") =>
+                {
+                    return Ok(StrategyDecision {
+                        rebalance: false,
+                        target_weights: BTreeMap::new(),
+                        exit_symbols: BTreeSet::new(),
+                        order_intents: Vec::new(),
+                        notes: vec![format!("warmup: {}", message)],
+                        diagnostics: vec![
+                            "insufficient history; skip trading on warmup dates".to_string(),
+                        ],
+                    });
+                }
+                Err(err) => return Err(err),
+            };
         let gross_exposure = self.gross_exposure(&signal_closes);
         let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
         let exposure_changed = self
@@ -295,16 +345,19 @@ impl Strategy for CnSmallCapRotationStrategy {
             1.0 - self.config.stop_loss_pct,
             1.0 + self.config.take_profit_pct,
         )];
-        diagnostics.push("run_daily(10:17/10:18) approximated by daily decision/open execution".to_string());
+        diagnostics.push(
+            "run_daily(10:17/10:18) approximated by daily decision/open execution".to_string(),
+        );
         diagnostics.push("market_cap field mapped from daily_features[_enriched]_v1.market_cap to market_cap_bn without intraday fundamentals refresh".to_string());
 
         if rebalance && gross_exposure > 0.0 {
-            let (selected_before_ma, selection_diag) = self.selector.select_with_diagnostics(&SelectionContext {
-                decision_date: ctx.decision_date,
-                benchmark,
-                reference_level: signal_level,
-                data: ctx.data,
-            });
+            let (selected_before_ma, selection_diag) =
+                self.selector.select_with_diagnostics(&SelectionContext {
+                    decision_date: ctx.decision_date,
+                    benchmark,
+                    reference_level: signal_level,
+                    data: ctx.data,
+                });
             let before_ma_count = selected_before_ma.len();
             let mut ma_rejects = Vec::new();
             let selected = selected_before_ma
@@ -353,7 +406,10 @@ impl Strategy for CnSmallCapRotationStrategy {
                 ));
             }
             if !ma_rejects.is_empty() {
-                diagnostics.push(format!("ma_filter_rejections sample={}", ma_rejects.join("|")));
+                diagnostics.push(format!(
+                    "ma_filter_rejections sample={}",
+                    ma_rejects.join("|")
+                ));
             }
 
             if !selected.is_empty() {
@@ -398,8 +454,581 @@ impl Strategy for CnSmallCapRotationStrategy {
             rebalance,
             target_weights,
             exit_symbols,
+            order_intents: Vec::new(),
             notes,
             diagnostics,
         })
     }
 }
+
+#[derive(Debug, Clone)]
+pub struct JqMicroCapConfig {
+    pub strategy_name: String,
+    pub refresh_rate: usize,
+    pub stocknum: usize,
+    pub xs: f64,
+    pub base_index_level: f64,
+    pub base_cap_floor: f64,
+    pub cap_span: f64,
+    pub benchmark_signal_symbol: String,
+    pub benchmark_short_ma_days: usize,
+    pub benchmark_long_ma_days: usize,
+    pub stock_short_ma_days: usize,
+    pub stock_mid_ma_days: usize,
+    pub stock_long_ma_days: usize,
+    pub rsi_rate: f64,
+    pub trade_rate: f64,
+    pub stop_loss_ratio: f64,
+    pub take_profit_ratio: f64,
+    pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
+}
+
+impl JqMicroCapConfig {
+    pub fn jq_microcap() -> Self {
+        Self {
+            strategy_name: "jq-microcap".to_string(),
+            refresh_rate: 15,
+            stocknum: 40,
+            xs: 4.0 / 500.0,
+            base_index_level: 2000.0,
+            base_cap_floor: 7.0,
+            cap_span: 10.0,
+            benchmark_signal_symbol: "000001.SH".to_string(),
+            benchmark_short_ma_days: 5,
+            benchmark_long_ma_days: 10,
+            stock_short_ma_days: 5,
+            stock_mid_ma_days: 10,
+            stock_long_ma_days: 20,
+            rsi_rate: 1.0001,
+            trade_rate: 0.5,
+            stop_loss_ratio: 0.93,
+            take_profit_ratio: 1.07,
+            // The source JQ script calls validate_date() but then immediately forces
+            // g.OpenYN = 1 inside check_stocks(), so the seasonal stop windows are
+            // effectively disabled in real execution logs.
+            skip_month_day_ranges: Vec::new(),
+        }
+    }
+
+    fn in_skip_window(&self, date: NaiveDate) -> bool {
+        let month = date.month();
+        let day = date.day();
+        self.skip_month_day_ranges
+            .iter()
+            .any(|(m, start_day, end_day)| month == *m && day >= *start_day && day <= *end_day)
+    }
+}
+
+pub struct JqMicroCapStrategy {
+    config: JqMicroCapConfig,
+}
+
+impl JqMicroCapStrategy {
+    pub fn new(config: JqMicroCapConfig) -> Self {
+        Self { config }
+    }
+
+    fn stop_loss_tolerance(&self, market: &crate::data::DailyMarketSnapshot) -> f64 {
+        market.effective_price_tick() * 6.0
+    }
+
+    fn buy_commission(&self, gross_amount: f64) -> f64 {
+        (gross_amount * 0.0003).max(5.0)
+    }
+
+    fn sell_cost(&self, gross_amount: f64) -> f64 {
+        (gross_amount * 0.0003).max(5.0) + (gross_amount * 0.001)
+    }
+
+    fn round_board_lot(&self, quantity: u32) -> u32 {
+        (quantity / 100) * 100
+    }
+
+    fn projected_buy_quantity(&self, cash: f64, sizing_price: f64, execution_price: f64) -> u32 {
+        if cash <= 0.0 || sizing_price <= 0.0 || execution_price <= 0.0 {
+            return 0;
+        }
+        let mut quantity = self.round_board_lot((cash / sizing_price).floor() as u32);
+        while quantity > 0 {
+            let gross_amount = execution_price * quantity as f64;
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= cash + 1e-6 {
+                return quantity;
+            }
+            quantity = quantity.saturating_sub(100);
+        }
+        0
+    }
+
+    fn project_order_value(
+        &self,
+        projected: &mut PortfolioState,
+        date: NaiveDate,
+        symbol: &str,
+        sizing_price: f64,
+        execution_price: f64,
+        order_value: f64,
+    ) -> u32 {
+        let quantity = self.projected_buy_quantity(
+            projected.cash().min(order_value),
+            sizing_price,
+            execution_price,
+        );
+        if quantity == 0 {
+            return 0;
+        }
+        let gross_amount = execution_price * quantity as f64;
+        let cash_out = gross_amount + self.buy_commission(gross_amount);
+        projected.apply_cash_delta(-cash_out);
+        projected.position_mut(symbol).buy(date, quantity, execution_price);
+        quantity
+    }
+
+    fn project_target_zero(
+        &self,
+        projected: &mut PortfolioState,
+        symbol: &str,
+        sell_price: f64,
+    ) -> Option<u32> {
+        let quantity = projected.position(symbol)?.quantity;
+        if quantity == 0 {
+            return None;
+        }
+        let gross_amount = sell_price * quantity as f64;
+        let net_cash = gross_amount - self.sell_cost(gross_amount);
+        projected.position_mut(symbol).sell(quantity, sell_price).ok()?;
+        projected.apply_cash_delta(net_cash);
+        projected.prune_flat_positions();
+        Some(quantity)
+    }
+
+    fn trading_ratio(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+    ) -> Result<(f64, f64, f64, f64), BacktestError> {
+        let current_level = ctx
+            .data
+            .market_decision_close(date, &self.config.benchmark_signal_symbol)
+            .ok_or_else(|| BacktestError::MissingPrice {
+                date,
+                symbol: self.config.benchmark_signal_symbol.clone(),
+                field: "decision_close",
+            })?;
+        let ma_short = ctx
+            .data
+            .market_decision_close_moving_average(
+                date,
+                &self.config.benchmark_signal_symbol,
+                self.config.benchmark_short_ma_days,
+            )
+            .ok_or_else(|| {
+                BacktestError::Execution(format!(
+                    "insufficient benchmark short MA history for {} on {}",
+                    self.config.benchmark_signal_symbol, date
+                ))
+            })?;
+        let ma_long = ctx
+            .data
+            .market_decision_close_moving_average(
+                date,
+                &self.config.benchmark_signal_symbol,
+                self.config.benchmark_long_ma_days,
+            )
+            .ok_or_else(|| {
+                BacktestError::Execution(format!(
+                    "insufficient benchmark long MA history for {} on {}",
+                    self.config.benchmark_signal_symbol, date
+                ))
+            })?;
+        let trading_ratio = if ma_short < ma_long * self.config.rsi_rate {
+            self.config.trade_rate
+        } else {
+            1.0
+        };
+        Ok((current_level, ma_short, ma_long, trading_ratio))
+    }
+
+    fn market_cap_band(&self, index_level: f64) -> (f64, f64) {
+        let y = (index_level - self.config.base_index_level) * self.config.xs
+            + self.config.base_cap_floor;
+        let start = y.round();
+        (start, start + self.config.cap_span)
+    }
+
+    fn stock_passes_ma_filter(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+    ) -> bool {
+        let Some(ma_short) = ctx.data.market_decision_close_moving_average(
+            date,
+            symbol,
+            self.config.stock_short_ma_days,
+        ) else {
+            return false;
+        };
+        let Some(ma_mid) = ctx.data.market_decision_close_moving_average(
+            date,
+            symbol,
+            self.config.stock_mid_ma_days,
+        ) else {
+            return false;
+        };
+        let Some(ma_long) = ctx.data.market_decision_close_moving_average(
+            date,
+            symbol,
+            self.config.stock_long_ma_days,
+        ) else {
+            return false;
+        };
+
+        ma_short > ma_mid * self.config.rsi_rate && ma_mid > ma_long
+    }
+
+    fn special_name(&self, ctx: &StrategyContext<'_>, symbol: &str) -> bool {
+        let instrument_name = ctx
+            .data
+            .instruments()
+            .get(symbol)
+            .map(|instrument| instrument.name.as_str())
+            .unwrap_or("");
+        instrument_name.contains("ST")
+            || instrument_name.contains('*')
+            || instrument_name.contains('退')
+    }
+
+    fn can_sell_position(&self, ctx: &StrategyContext<'_>, date: NaiveDate, symbol: &str) -> bool {
+        let Some(position) = ctx.portfolio.position(symbol) else {
+            return false;
+        };
+        if position.quantity == 0 || position.sellable_qty(date) == 0 {
+            return false;
+        }
+        let Ok(market) = ctx.data.require_market(date, symbol) else {
+            return false;
+        };
+        let Ok(candidate) = ctx.data.require_candidate(date, symbol) else {
+            return false;
+        };
+        !(market.paused
+            || candidate.is_paused
+            || !candidate.allow_sell
+            || market.is_at_lower_limit_price(market.sell_price(PriceField::Last)))
+    }
+
+    fn buy_rejection_reason(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+    ) -> Result<Option<String>, BacktestError> {
+        let market = ctx.data.require_market(date, symbol)?;
+        let candidate = ctx.data.require_candidate(date, symbol)?;
+
+        if market.paused || candidate.is_paused {
+            return Ok(Some("paused".to_string()));
+        }
+        if candidate.is_st || self.special_name(ctx, symbol) {
+            return Ok(Some("st_or_special_name".to_string()));
+        }
+        if candidate.is_kcb {
+            return Ok(Some("kcb".to_string()));
+        }
+        if !candidate.allow_buy {
+            return Ok(Some("buy_disabled".to_string()));
+        }
+        if market.is_at_upper_limit_price(market.day_open)
+            || market.is_at_upper_limit_price(market.buy_price(PriceField::Last))
+        {
+            return Ok(Some("upper_limit".to_string()));
+        }
+        if market.is_at_lower_limit_price(market.day_open)
+            || market.is_at_lower_limit_price(market.sell_price(PriceField::Last))
+        {
+            return Ok(Some("lower_limit".to_string()));
+        }
+        if market.day_open <= 1.0 {
+            return Ok(Some("one_yuan".to_string()));
+        }
+        if !self.stock_passes_ma_filter(ctx, date, symbol) {
+            return Ok(Some("ma_filter".to_string()));
+        }
+        Ok(None)
+    }
+
+    fn select_symbols(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        band_low: f64,
+        band_high: f64,
+    ) -> Result<(Vec<String>, Vec<String>), BacktestError> {
+        let universe = ctx.data.eligible_universe_on(date);
+        let mut diagnostics = Vec::new();
+        let mut selected = Vec::new();
+        let start = lower_bound_eligible(universe, band_low);
+
+        for candidate in universe.iter().skip(start) {
+            if candidate.market_cap_bn > band_high {
+                break;
+            }
+            if let Some(reason) = self.buy_rejection_reason(ctx, date, &candidate.symbol)? {
+                if diagnostics.len() < 12 {
+                    diagnostics.push(format!("{} rejected by {}", candidate.symbol, reason));
+                }
+                continue;
+            }
+
+            selected.push(candidate.symbol.clone());
+            if selected.len() >= self.config.stocknum {
+                break;
+            }
+        }
+
+        Ok((selected, diagnostics))
+    }
+}
+
+impl Strategy for JqMicroCapStrategy {
+    fn name(&self) -> &str {
+        self.config.strategy_name.as_str()
+    }
+
+    fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
+        let date = ctx.execution_date;
+        if self.config.in_skip_window(date) {
+            return Ok(StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: ctx.portfolio.positions().keys().cloned().collect(),
+                order_intents: ctx
+                    .portfolio
+                    .positions()
+                    .keys()
+                    .cloned()
+                    .map(|symbol| OrderIntent::TargetValue {
+                        symbol,
+                        target_value: 0.0,
+                        reason: "seasonal_stop_window".to_string(),
+                    })
+                    .collect(),
+                notes: vec![format!("seasonal stop window on {}", date)],
+                diagnostics: vec!["jq-style skip window forced all cash".to_string()],
+            });
+        }
+
+        let (index_level, ma_short, ma_long, trading_ratio) = match self.trading_ratio(ctx, date) {
+            Ok(value) => value,
+            Err(BacktestError::Execution(message))
+                if message.contains("insufficient benchmark") =>
+            {
+                return Ok(StrategyDecision {
+                    rebalance: false,
+                    target_weights: BTreeMap::new(),
+                    exit_symbols: BTreeSet::new(),
+                    order_intents: Vec::new(),
+                    notes: vec![format!("warmup: {}", message)],
+                    diagnostics: vec![
+                        "insufficient history; skip trading on warmup dates".to_string(),
+                    ],
+                });
+            }
+            Err(err) => return Err(err),
+        };
+        let (band_low, band_high) = self.market_cap_band(index_level);
+        let (stock_list, selection_notes) = self.select_symbols(ctx, date, band_low, band_high)?;
+        let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
+        let mut projected = ctx.portfolio.clone();
+        let mut order_intents = Vec::new();
+        let mut exit_symbols = BTreeSet::new();
+
+        for position in ctx.portfolio.positions().values() {
+            if position.quantity == 0 || position.average_cost <= 0.0 {
+                continue;
+            }
+            let Some(current_price) = ctx.data.price(date, &position.symbol, PriceField::Last)
+            else {
+                continue;
+            };
+            let Some(market) = ctx.data.market(date, &position.symbol) else {
+                continue;
+            };
+            let sell_price = market.sell_price(PriceField::Last);
+            let stop_hit = current_price
+                <= position.average_cost * self.config.stop_loss_ratio
+                    + self.stop_loss_tolerance(market);
+            let profit_hit = !market.is_at_upper_limit_price(current_price)
+                && current_price / position.average_cost > self.config.take_profit_ratio;
+            let can_sell = self.can_sell_position(ctx, date, &position.symbol);
+            if stop_hit || profit_hit {
+                let sell_reason = if stop_hit {
+                    "stop_loss_exit"
+                } else {
+                    "take_profit_exit"
+                };
+                exit_symbols.insert(position.symbol.clone());
+                order_intents.push(OrderIntent::TargetValue {
+                    symbol: position.symbol.clone(),
+                    target_value: 0.0,
+                    reason: sell_reason.to_string(),
+                });
+                if can_sell {
+                    self.project_target_zero(&mut projected, &position.symbol, sell_price);
+                }
+
+                if projected.positions().len() < self.config.stocknum {
+                    let remaining_slots = self.config.stocknum - projected.positions().len();
+                    if remaining_slots > 0 {
+                        let replacement_cash =
+                            projected.cash() * trading_ratio / remaining_slots as f64;
+                        for symbol in &stock_list {
+                            if symbol == &position.symbol
+                                || projected.positions().contains_key(symbol)
+                            {
+                                continue;
+                            }
+                            if self.buy_rejection_reason(ctx, date, symbol)?.is_some() {
+                                continue;
+                            }
+                            order_intents.push(OrderIntent::Value {
+                                symbol: symbol.clone(),
+                                value: replacement_cash,
+                                reason: format!("replacement_after_{}", sell_reason),
+                            });
+                            if let Some(market) = ctx.data.market(date, symbol) {
+                                self.project_order_value(
+                                    &mut projected,
+                                    date,
+                                    symbol,
+                                    market.buy_price(PriceField::Last),
+                                    market.buy_price(PriceField::Last),
+                                    replacement_cash,
+                                );
+                            }
+                            break;
+                        }
+                    }
+                }
+            }
+        }
+
+        if periodic_rebalance {
+            let pre_rebalance_symbols = projected
+                .positions()
+                .keys()
+                .cloned()
+                .collect::<BTreeSet<_>>();
+            for symbol in pre_rebalance_symbols.iter() {
+                if stock_list.iter().any(|candidate| candidate == symbol) {
+                    continue;
+                }
+                if !self.can_sell_position(ctx, date, symbol) {
+                    continue;
+                }
+                order_intents.push(OrderIntent::TargetValue {
+                    symbol: symbol.clone(),
+                    target_value: 0.0,
+                    reason: "periodic_rebalance_sell".to_string(),
+                });
+                if let Some(price) = ctx
+                    .data
+                    .market(date, symbol)
+                    .map(|market| market.sell_price(PriceField::Last))
+                {
+                    self.project_target_zero(&mut projected, symbol, price);
+                }
+            }
+
+            let fixed_buy_cash = projected.cash() * trading_ratio / self.config.stocknum as f64;
+            for symbol in &stock_list {
+                if projected.positions().len() >= self.config.stocknum {
+                    break;
+                }
+                if pre_rebalance_symbols.contains(symbol)
+                    || projected.positions().contains_key(symbol)
+                {
+                    continue;
+                }
+                if self.buy_rejection_reason(ctx, date, symbol)?.is_some() {
+                    continue;
+                }
+                order_intents.push(OrderIntent::Value {
+                    symbol: symbol.clone(),
+                    value: fixed_buy_cash,
+                    reason: "periodic_rebalance_buy".to_string(),
+                });
+                if let Some(market) = ctx.data.market(date, symbol) {
+                    self.project_order_value(
+                        &mut projected,
+                        date,
+                        symbol,
+                        market.buy_price(PriceField::Last),
+                        market.buy_price(PriceField::Last),
+                        fixed_buy_cash,
+                    );
+                }
+            }
+        }
+
+        let mut diagnostics = vec![
+            format!(
+                "jq_microcap signal={} last={:.2} ma_short={:.2} ma_long={:.2} band={:.0}-{:.0} tr={:.2}",
+                self.config.benchmark_signal_symbol, index_level, ma_short, ma_long, band_low, band_high, trading_ratio
+            ),
+            format!(
+                "selected={} periodic_rebalance={} exits={} projected_positions={} intents={}",
+                stock_list.len(),
+                periodic_rebalance,
+                exit_symbols.len(),
+                projected.positions().len(),
+                order_intents.len()
+            ),
+            "run_daily(10:17/10:18) approximated as same-day decision with snapshot last_price signals and bid1/ask1 side-aware execution".to_string(),
+        ];
+        if std::env::var("FIDC_BT_DEBUG_POSITION_ORDER")
+            .map(|value| value == "1")
+            .unwrap_or(false)
+        {
+            diagnostics.push(format!(
+                "positions_order={}",
+                ctx.portfolio
+                    .positions()
+                    .keys()
+                    .cloned()
+                    .collect::<Vec<_>>()
+                    .join("|")
+            ));
+        }
+        diagnostics.extend(selection_notes);
+
+        let notes = vec![
+            format!("stock_list={}", stock_list.len()),
+            format!("projected_positions={}", projected.positions().len()),
+        ];
+
+        Ok(StrategyDecision {
+            rebalance: false,
+            target_weights: BTreeMap::new(),
+            exit_symbols,
+            order_intents,
+            notes,
+            diagnostics,
+        })
+    }
+}
+
+fn lower_bound_eligible(rows: &[crate::data::EligibleUniverseSnapshot], target: f64) -> usize {
+    let mut left = 0usize;
+    let mut right = rows.len();
+    while left < right {
+        let mid = left + (right - left) / 2;
+        if rows[mid].market_cap_bn < target {
+            left = mid + 1;
+        } else {
+            right = mid;
+        }
+    }
+    left
+}
diff --git a/crates/fidc-core/src/universe.rs b/crates/fidc-core/src/universe.rs
index df3a657..3d7c5dd 100644
--- a/crates/fidc-core/src/universe.rs
+++ b/crates/fidc-core/src/universe.rs
@@ -1,7 +1,7 @@
 use chrono::NaiveDate;
 use serde::Serialize;
 
-use crate::data::{BenchmarkSnapshot, DataSet};
+use crate::data::{BenchmarkSnapshot, DataSet, EligibleUniverseSnapshot};
 
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
 pub enum BandRegime {
@@ -48,7 +48,10 @@ pub struct SelectionContext<'a> {
 
 pub trait UniverseSelector {
     fn select(&self, ctx: &SelectionContext<'_>) -> Vec<UniverseCandidate>;
-    fn select_with_diagnostics(&self, ctx: &SelectionContext<'_>) -> (Vec<UniverseCandidate>, SelectionDiagnostics);
+    fn select_with_diagnostics(
+        &self,
+        ctx: &SelectionContext<'_>,
+    ) -> (Vec<UniverseCandidate>, SelectionDiagnostics);
 }
 
 #[derive(Debug, Clone)]
@@ -103,7 +106,10 @@ impl UniverseSelector for DynamicMarketCapBandSelector {
         self.select_with_diagnostics(ctx).0
     }
 
-    fn select_with_diagnostics(&self, ctx: &SelectionContext<'_>) -> (Vec<UniverseCandidate>, SelectionDiagnostics) {
+    fn select_with_diagnostics(
+        &self,
+        ctx: &SelectionContext<'_>,
+    ) -> (Vec<UniverseCandidate>, SelectionDiagnostics) {
         let _regime = self.regime(ctx.reference_level);
         let (min_cap, max_cap) = self.band_for_level(ctx.reference_level);
         let mut diagnostics = SelectionDiagnostics {
@@ -125,78 +131,24 @@ impl UniverseSelector for DynamicMarketCapBandSelector {
             rejection_examples: Vec::new(),
         };
 
+        diagnostics.factor_total = ctx.data.factor_snapshots_on(ctx.decision_date).len();
+        diagnostics.market_cap_missing_count = diagnostics
+            .factor_total
+            .saturating_sub(ctx.data.eligible_universe_on(ctx.decision_date).len());
+
+        let eligible = ctx.data.eligible_universe_on(ctx.decision_date);
+        let start_idx = lower_bound_by_market_cap(eligible, min_cap);
         let mut selected = Vec::new();
 
-        for factor in ctx.data.factor_snapshots_on(ctx.decision_date) {
-            diagnostics.factor_total += 1;
-
-            if factor.market_cap_bn <= 0.0 || !factor.market_cap_bn.is_finite() {
-                diagnostics.market_cap_missing_count += 1;
-                if diagnostics.missing_market_cap_symbols.len() < 8 {
-                    diagnostics.missing_market_cap_symbols.push(factor.symbol.clone());
-                }
-                if diagnostics.rejection_examples.len() < 12 {
-                    diagnostics.rejection_examples.push(format!("{}: market_cap missing_or_non_positive", factor.symbol));
-                }
-                continue;
+        for factor in eligible.iter().skip(start_idx) {
+            if factor.market_cap_bn > max_cap {
+                break;
             }
-
-            let Some(candidate) = ctx.data.candidate(ctx.decision_date, &factor.symbol) else {
-                diagnostics.candidate_missing_count += 1;
-                if diagnostics.rejection_examples.len() < 12 {
-                    diagnostics.rejection_examples.push(format!("{}: candidate snapshot missing", factor.symbol));
-                }
-                continue;
-            };
-
-            let Some(market) = ctx.data.market(ctx.decision_date, &factor.symbol) else {
-                diagnostics.market_missing_count += 1;
-                if diagnostics.rejection_examples.len() < 12 {
-                    diagnostics.rejection_examples.push(format!("{}: market snapshot missing", factor.symbol));
-                }
-                continue;
-            };
-
-            if !candidate.eligible_for_selection() {
-                diagnostics.not_eligible_count += 1;
-                if diagnostics.rejection_examples.len() < 12 {
-                    diagnostics.rejection_examples.push(format!("{}: candidate flags rejected", factor.symbol));
-                }
-                continue;
-            }
-            if market.paused {
-                diagnostics.paused_count += 1;
-                if diagnostics.rejection_examples.len() < 12 {
-                    diagnostics.rejection_examples.push(format!("{}: market paused", factor.symbol));
-                }
-                continue;
-            }
-            if factor.market_cap_bn < min_cap || factor.market_cap_bn > max_cap {
-                diagnostics.out_of_band_count += 1;
-                if diagnostics.rejection_examples.len() < 12 {
-                    diagnostics.rejection_examples.push(format!(
-                        "{}: market_cap {:.2} out_of_band {:.2}-{:.2}",
-                        factor.symbol, factor.market_cap_bn, min_cap, max_cap
-                    ));
-                }
-                continue;
-            }
-
-            selected.push(UniverseCandidate {
-                symbol: factor.symbol.clone(),
-                market_cap_bn: factor.market_cap_bn,
-                free_float_cap_bn: factor.free_float_cap_bn,
-                band_low: min_cap,
-                band_high: max_cap,
-            });
+            selected.push(to_universe_candidate(factor, min_cap, max_cap));
         }
 
-        selected.sort_by(|left, right| {
-            left.market_cap_bn
-                .partial_cmp(&right.market_cap_bn)
-                .unwrap_or(std::cmp::Ordering::Equal)
-                .then_with(|| left.symbol.cmp(&right.symbol))
-        });
+        diagnostics.out_of_band_count = eligible.len().saturating_sub(selected.len());
+
         diagnostics.selected_before_limit = selected.len();
         if selected.len() > self.top_n {
             selected.truncate(self.top_n);
@@ -206,3 +158,31 @@ impl UniverseSelector for DynamicMarketCapBandSelector {
         (selected, diagnostics)
     }
 }
+
+fn lower_bound_by_market_cap(rows: &[EligibleUniverseSnapshot], target: f64) -> usize {
+    let mut left = 0usize;
+    let mut right = rows.len();
+    while left < right {
+        let mid = left + (right - left) / 2;
+        if rows[mid].market_cap_bn < target {
+            left = mid + 1;
+        } else {
+            right = mid;
+        }
+    }
+    left
+}
+
+fn to_universe_candidate(
+    factor: &EligibleUniverseSnapshot,
+    band_low: f64,
+    band_high: f64,
+) -> UniverseCandidate {
+    UniverseCandidate {
+        symbol: factor.symbol.clone(),
+        market_cap_bn: factor.market_cap_bn,
+        free_float_cap_bn: factor.free_float_cap_bn,
+        band_low,
+        band_high,
+    }
+}
diff --git a/crates/fidc-core/tests/core_rules.rs b/crates/fidc-core/tests/core_rules.rs
index 852930a..7ff30d5 100644
--- a/crates/fidc-core/tests/core_rules.rs
+++ b/crates/fidc-core/tests/core_rules.rs
@@ -2,12 +2,8 @@ use chrono::NaiveDate;
 use fidc_core::cost::CostModel;
 use fidc_core::rules::EquityRuleHooks;
 use fidc_core::{
-    CandidateEligibility,
-    ChinaAShareCostModel,
-    ChinaEquityRuleHooks,
-    DailyMarketSnapshot,
-    OrderSide,
-    Position,
+    CandidateEligibility, ChinaAShareCostModel, ChinaEquityRuleHooks, DailyMarketSnapshot,
+    OrderSide, Position, PriceField,
 };
 
 fn d(year: i32, month: u32, day: u32) -> NaiveDate {
@@ -32,15 +28,25 @@ fn snapshot(open: f64, upper_limit: f64, lower_limit: f64) -> DailyMarketSnapsho
     DailyMarketSnapshot {
         date: d(2024, 1, 3),
         symbol: "000001.SZ".to_string(),
+        timestamp: Some("2024-01-03 10:18:00".to_string()),
+        day_open: open,
         open,
         high: open,
         low: open,
         close: open,
+        last_price: open,
+        bid1: open,
+        ask1: open,
         prev_close: 10.0,
         volume: 1_000_000,
+        tick_volume: 100_000,
+        bid1_volume: 50_000,
+        ask1_volume: 50_000,
+        trading_phase: Some("continuous".to_string()),
         paused: false,
         upper_limit,
         lower_limit,
+        price_tick: 0.01,
     }
 }
 
@@ -69,14 +75,11 @@ fn china_rule_hooks_block_same_day_sell_under_t_plus_one() {
         &snapshot(10.1, 11.0, 9.0),
         &candidate(),
         &position,
+        PriceField::Open,
     );
 
     assert!(!check.allowed);
-    assert!(check
-        .reason
-        .as_deref()
-        .unwrap_or_default()
-        .contains("t+1"));
+    assert!(check.reason.as_deref().unwrap_or_default().contains("t+1"));
 }
 
 #[test]
@@ -86,20 +89,62 @@ fn china_rule_hooks_block_buy_at_limit_up_and_sell_at_limit_down() {
     let mut position = Position::new("000001.SZ");
     position.buy(d(2024, 1, 2), 1_000, 10.0);
 
-    let buy_check = hooks.can_buy(d(2024, 1, 3), &snapshot(11.0, 11.0, 9.0), &candidate);
+    let buy_check = hooks.can_buy(
+        d(2024, 1, 3),
+        &snapshot(11.0, 11.0, 9.0),
+        &candidate,
+        PriceField::Open,
+    );
     assert!(!buy_check.allowed);
-    assert!(buy_check
-        .reason
-        .as_deref()
-        .unwrap_or_default()
-        .contains("upper limit"));
+    assert!(
+        buy_check
+            .reason
+            .as_deref()
+            .unwrap_or_default()
+            .contains("upper limit")
+    );
 
-    let sell_check =
-        hooks.can_sell(d(2024, 1, 3), &snapshot(9.0, 11.0, 9.0), &candidate, &position);
+    let sell_check = hooks.can_sell(
+        d(2024, 1, 3),
+        &snapshot(9.0, 11.0, 9.0),
+        &candidate,
+        &position,
+        PriceField::Open,
+    );
+    assert!(!sell_check.allowed);
+    assert!(
+        sell_check
+            .reason
+            .as_deref()
+            .unwrap_or_default()
+            .contains("lower limit")
+    );
+}
+
+#[test]
+fn china_rule_hooks_use_tick_size_tolerance_for_price_limits() {
+    let hooks = ChinaEquityRuleHooks;
+    let candidate = candidate();
+
+    let near_upper = DailyMarketSnapshot {
+        price_tick: 0.001,
+        ..snapshot(10.9995, 11.0, 9.0)
+    };
+    let buy_check = hooks.can_buy(d(2024, 1, 3), &near_upper, &candidate, PriceField::Open);
+    assert!(!buy_check.allowed);
+
+    let near_lower = DailyMarketSnapshot {
+        price_tick: 0.001,
+        ..snapshot(9.0005, 11.0, 9.0)
+    };
+    let mut position = Position::new("000001.SZ");
+    position.buy(d(2024, 1, 2), 1_000, 10.0);
+    let sell_check = hooks.can_sell(
+        d(2024, 1, 3),
+        &near_lower,
+        &candidate,
+        &position,
+        PriceField::Open,
+    );
     assert!(!sell_check.allowed);
-    assert!(sell_check
-        .reason
-        .as_deref()
-        .unwrap_or_default()
-        .contains("lower limit"));
 }
diff --git a/crates/fidc-core/tests/corporate_actions.rs b/crates/fidc-core/tests/corporate_actions.rs
new file mode 100644
index 0000000..575c70e
--- /dev/null
+++ b/crates/fidc-core/tests/corporate_actions.rs
@@ -0,0 +1,54 @@
+use chrono::NaiveDate;
+use fidc_core::{CashReceivable, PortfolioState, Position};
+
+fn d(year: i32, month: u32, day: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
+}
+
+#[test]
+fn cash_dividend_adjusts_cost_basis_and_returns_cash_delta() {
+    let mut position = Position::new("000001.SZ");
+    position.buy(d(2025, 1, 2), 1_000, 10.0);
+
+    let cash_delta = position.apply_cash_dividend(0.5);
+
+    assert!((cash_delta - 500.0).abs() < 1e-9);
+    assert_eq!(position.quantity, 1_000);
+    assert!((position.average_cost - 9.5).abs() < 1e-9);
+    assert!((position.last_price - 9.5).abs() < 1e-9);
+}
+
+#[test]
+fn stock_split_scales_lots_quantity_and_average_cost() {
+    let mut position = Position::new("000001.SZ");
+    position.buy(d(2025, 1, 2), 1_000, 10.0);
+
+    let delta_quantity = position.apply_split_ratio(1.2);
+
+    assert_eq!(delta_quantity, 200);
+    assert_eq!(position.quantity, 1_200);
+    assert!((position.average_cost - (10.0 / 1.2)).abs() < 1e-9);
+    assert!((position.last_price - (10.0 / 1.2)).abs() < 1e-9);
+    assert_eq!(position.sellable_qty(d(2025, 1, 3)), 1_200);
+}
+
+#[test]
+fn portfolio_settles_cash_receivable_on_payable_date() {
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    portfolio.add_cash_receivable(CashReceivable {
+        symbol: "000001.SZ".to_string(),
+        ex_date: d(2025, 1, 2),
+        payable_date: d(2025, 1, 5),
+        amount: 500.0,
+        reason: "cash_dividend 0.5".to_string(),
+    });
+
+    let settled_early = portfolio.settle_cash_receivables(d(2025, 1, 4));
+    assert!(settled_early.is_empty());
+    assert!((portfolio.cash() - 1_000_000.0).abs() < 1e-9);
+
+    let settled = portfolio.settle_cash_receivables(d(2025, 1, 5));
+    assert_eq!(settled.len(), 1);
+    assert!((portfolio.cash() - 1_000_500.0).abs() < 1e-9);
+    assert!(portfolio.cash_receivables().is_empty());
+}
diff --git a/crates/fidc-core/tests/delisting.rs b/crates/fidc-core/tests/delisting.rs
new file mode 100644
index 0000000..537542f
--- /dev/null
+++ b/crates/fidc-core/tests/delisting.rs
@@ -0,0 +1,249 @@
+use chrono::NaiveDate;
+use fidc_core::{
+    BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, CandidateEligibility,
+    ChinaAShareCostModel, ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet,
+    Instrument, OrderIntent, PriceField, Strategy, StrategyContext, StrategyDecision,
+};
+use std::collections::{BTreeMap, BTreeSet};
+
+fn d(year: i32, month: u32, day: u32) -> NaiveDate {
+    NaiveDate::from_ymd_opt(year, month, day).expect("valid date")
+}
+
+struct BuyThenHoldStrategy;
+
+impl Strategy for BuyThenHoldStrategy {
+    fn name(&self) -> &str {
+        "buy-then-hold"
+    }
+
+    fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, fidc_core::BacktestError> {
+        if ctx.decision_date == d(2025, 1, 2) && ctx.portfolio.position("000001.SZ").is_none() {
+            return Ok(StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000001.SZ".to_string(),
+                    value: 10_000.0,
+                    reason: "seed_position".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            });
+        }
+        Ok(StrategyDecision::default())
+    }
+}
+
+#[test]
+fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run() {
+    let date1 = d(2025, 1, 2);
+    let date2 = d(2025, 1, 3);
+    let data = DataSet::from_components(
+        vec![
+            Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "Delisted".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: Some(date1),
+                status: "delisted".to_string(),
+            },
+            Instrument {
+                symbol: "000002.SZ".to_string(),
+                name: "Anchor".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: Some(d(2020, 1, 1)),
+                delisted_at: None,
+                status: "active".to_string(),
+            },
+        ],
+        vec![
+            DailyMarketSnapshot {
+                date: date1,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2025-01-02 10:18:00".to_string()),
+                day_open: 10.0,
+                open: 10.0,
+                high: 10.0,
+                low: 10.0,
+                close: 10.0,
+                last_price: 10.0,
+                bid1: 10.0,
+                ask1: 10.0,
+                prev_close: 10.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 100_000,
+                ask1_volume: 100_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 11.0,
+                lower_limit: 9.0,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date: date1,
+                symbol: "000002.SZ".to_string(),
+                timestamp: Some("2025-01-02 10:18:00".to_string()),
+                day_open: 5.0,
+                open: 5.0,
+                high: 5.1,
+                low: 4.9,
+                close: 5.0,
+                last_price: 5.0,
+                bid1: 4.99,
+                ask1: 5.01,
+                prev_close: 5.0,
+                volume: 100_000,
+                tick_volume: 100_000,
+                bid1_volume: 100_000,
+                ask1_volume: 100_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 5.5,
+                lower_limit: 4.5,
+                price_tick: 0.01,
+            },
+            DailyMarketSnapshot {
+                date: date2,
+                symbol: "000002.SZ".to_string(),
+                timestamp: Some("2025-01-03 10:18:00".to_string()),
+                day_open: 5.1,
+                open: 5.1,
+                high: 5.2,
+                low: 5.0,
+                close: 5.1,
+                last_price: 5.1,
+                bid1: 5.09,
+                ask1: 5.11,
+                prev_close: 5.0,
+                volume: 120_000,
+                tick_volume: 120_000,
+                bid1_volume: 120_000,
+                ask1_volume: 120_000,
+                trading_phase: Some("continuous".to_string()),
+                paused: false,
+                upper_limit: 5.5,
+                lower_limit: 4.5,
+                price_tick: 0.01,
+            },
+        ],
+        vec![
+            DailyFactorSnapshot {
+                date: date1,
+                symbol: "000001.SZ".to_string(),
+                market_cap_bn: 20.0,
+                free_float_cap_bn: 18.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+            },
+            DailyFactorSnapshot {
+                date: date1,
+                symbol: "000002.SZ".to_string(),
+                market_cap_bn: 30.0,
+                free_float_cap_bn: 28.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+            },
+            DailyFactorSnapshot {
+                date: date2,
+                symbol: "000002.SZ".to_string(),
+                market_cap_bn: 31.0,
+                free_float_cap_bn: 29.0,
+                pe_ttm: 10.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+            },
+        ],
+        vec![
+            CandidateEligibility {
+                date: date1,
+                symbol: "000001.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+            CandidateEligibility {
+                date: date1,
+                symbol: "000002.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+            CandidateEligibility {
+                date: date2,
+                symbol: "000002.SZ".to_string(),
+                is_st: false,
+                is_new_listing: false,
+                is_paused: false,
+                allow_buy: true,
+                allow_sell: true,
+                is_kcb: false,
+                is_one_yuan: false,
+            },
+        ],
+        vec![
+            BenchmarkSnapshot {
+                date: date1,
+                benchmark: "000300.SH".to_string(),
+                open: 100.0,
+                close: 100.0,
+                prev_close: 99.0,
+                volume: 1_000_000,
+            },
+            BenchmarkSnapshot {
+                date: date2,
+                benchmark: "000300.SH".to_string(),
+                open: 101.0,
+                close: 101.0,
+                prev_close: 100.0,
+                volume: 1_100_000,
+            },
+        ],
+    )
+    .expect("dataset");
+
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+    let mut engine = BacktestEngine::new(
+        data,
+        BuyThenHoldStrategy,
+        broker,
+        BacktestConfig {
+            initial_cash: 100_000.0,
+            benchmark_code: "000300.SH".to_string(),
+            start_date: Some(date1),
+            end_date: Some(date2),
+            decision_lag_trading_days: 0,
+            execution_price_field: PriceField::Open,
+        },
+    );
+
+    let result = engine.run().expect("backtest succeeds");
+    assert_eq!(result.fills.len(), 2);
+    assert!(result
+        .fills
+        .iter()
+        .any(|fill| fill.reason.contains("delisted_cash_settlement") && fill.symbol == "000001.SZ"));
+    assert!(result
+        .holdings_summary
+        .iter()
+        .all(|holding| holding.symbol != "000001.SZ"));
+}
diff --git a/crates/fidc-core/tests/explicit_order_flow.rs b/crates/fidc-core/tests/explicit_order_flow.rs
new file mode 100644
index 0000000..f27759e
--- /dev/null
+++ b/crates/fidc-core/tests/explicit_order_flow.rs
@@ -0,0 +1,338 @@
+use chrono::NaiveDate;
+use fidc_core::{
+    BenchmarkSnapshot, BrokerSimulator, CandidateEligibility, ChinaAShareCostModel,
+    ChinaEquityRuleHooks, DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument,
+    OrderIntent, PortfolioState, PriceField, StrategyDecision,
+};
+use std::collections::{BTreeMap, BTreeSet};
+
+#[test]
+fn broker_executes_explicit_order_value_buy() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![Instrument {
+            symbol: "000002.SZ".to_string(),
+            name: "Test".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: Some("2024-01-10 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.1,
+            low: 9.9,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "000002.SZ".to_string(),
+            market_cap_bn: 50.0,
+            free_float_cap_bn: 45.0,
+            pe_ttm: 15.0,
+            turnover_ratio: Some(2.0),
+            effective_turnover_ratio: Some(1.8),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: "000002.SZ".to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: true,
+            is_kcb: false,
+            is_one_yuan: false,
+        }],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "000002.SZ".to_string(),
+                    value: 100_000.0,
+                    reason: "test_order_value".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert!(!report.fill_events.is_empty());
+    assert_eq!(report.fill_events[0].symbol, "000002.SZ");
+    assert_eq!(report.fill_events[0].side, fidc_core::OrderSide::Buy);
+    assert!(portfolio.position("000002.SZ").is_some());
+    assert!(portfolio.cash() < 1_000_000.0);
+}
+
+#[test]
+fn broker_uses_instrument_round_lot_for_buy_sizing() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components(
+        vec![Instrument {
+            symbol: "688001.SH".to_string(),
+            name: "KSH".to_string(),
+            board: "KSH".to_string(),
+            round_lot: 200,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        vec![DailyMarketSnapshot {
+            date,
+            symbol: "688001.SH".to_string(),
+            timestamp: Some("2024-01-10 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.1,
+            low: 9.9,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        }],
+        vec![DailyFactorSnapshot {
+            date,
+            symbol: "688001.SH".to_string(),
+            market_cap_bn: 50.0,
+            free_float_cap_bn: 45.0,
+            pe_ttm: 20.0,
+            turnover_ratio: Some(2.0),
+            effective_turnover_ratio: Some(1.8),
+        }],
+        vec![CandidateEligibility {
+            date,
+            symbol: "688001.SH".to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: true,
+            is_kcb: false,
+            is_one_yuan: false,
+        }],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(10_500.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+
+    let report = broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![OrderIntent::Value {
+                    symbol: "688001.SH".to_string(),
+                    value: 10_500.0,
+                    reason: "round_lot".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 1000);
+}
+
+#[test]
+fn same_day_sell_then_rebuy_reinserts_position_at_end() {
+    let prev_date = NaiveDate::from_ymd_opt(2024, 1, 9).unwrap();
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let symbols = ["000001.SZ", "000002.SZ", "000003.SZ"];
+    let instruments = symbols
+        .iter()
+        .map(|symbol| Instrument {
+            symbol: (*symbol).to_string(),
+            name: (*symbol).to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: None,
+            delisted_at: None,
+            status: "active".to_string(),
+        })
+        .collect::<Vec<_>>();
+    let market = symbols
+        .iter()
+        .map(|symbol| DailyMarketSnapshot {
+            date,
+            symbol: (*symbol).to_string(),
+            timestamp: Some("2024-01-10 10:18:00".to_string()),
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.1,
+            low: 9.9,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 100_000,
+            tick_volume: 100_000,
+            bid1_volume: 80_000,
+            ask1_volume: 80_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        })
+        .collect::<Vec<_>>();
+    let factors = symbols
+        .iter()
+        .map(|symbol| DailyFactorSnapshot {
+            date,
+            symbol: (*symbol).to_string(),
+            market_cap_bn: 50.0,
+            free_float_cap_bn: 45.0,
+            pe_ttm: 15.0,
+            turnover_ratio: Some(2.0),
+            effective_turnover_ratio: Some(1.8),
+        })
+        .collect::<Vec<_>>();
+    let candidates = symbols
+        .iter()
+        .map(|symbol| CandidateEligibility {
+            date,
+            symbol: (*symbol).to_string(),
+            is_st: false,
+            is_new_listing: false,
+            is_paused: false,
+            allow_buy: true,
+            allow_sell: true,
+            is_kcb: false,
+            is_one_yuan: false,
+        })
+        .collect::<Vec<_>>();
+    let data = DataSet::from_components(
+        instruments,
+        market,
+        factors,
+        candidates,
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset");
+
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    portfolio.position_mut("000001.SZ").buy(prev_date, 100, 10.0);
+    portfolio.position_mut("000002.SZ").buy(prev_date, 100, 10.0);
+    portfolio.position_mut("000003.SZ").buy(prev_date, 100, 10.0);
+
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    );
+
+    broker
+        .execute(
+            date,
+            &mut portfolio,
+            &data,
+            &StrategyDecision {
+                rebalance: false,
+                target_weights: BTreeMap::new(),
+                exit_symbols: BTreeSet::new(),
+                order_intents: vec![
+                    OrderIntent::TargetValue {
+                        symbol: "000002.SZ".to_string(),
+                        target_value: 0.0,
+                        reason: "sell_then_rebuy".to_string(),
+                    },
+                    OrderIntent::Value {
+                        symbol: "000002.SZ".to_string(),
+                        value: 10_000.0,
+                        reason: "sell_then_rebuy".to_string(),
+                    },
+                ],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    let symbols = portfolio.positions().keys().cloned().collect::<Vec<_>>();
+    assert_eq!(
+        symbols,
+        vec![
+            "000001.SZ".to_string(),
+            "000003.SZ".to_string(),
+            "000002.SZ".to_string(),
+        ]
+    );
+}
diff --git a/crates/fidc-core/tests/partitioned_loader.rs b/crates/fidc-core/tests/partitioned_loader.rs
index 4d32f4b..6c294f8 100644
--- a/crates/fidc-core/tests/partitioned_loader.rs
+++ b/crates/fidc-core/tests/partitioned_loader.rs
@@ -20,10 +20,11 @@ fn can_load_partitioned_snapshot_dir() {
     fs::create_dir_all(dir.join("market/2024/01")).unwrap();
     fs::create_dir_all(dir.join("factors/2024/01")).unwrap();
     fs::create_dir_all(dir.join("candidates/2024/01")).unwrap();
+    fs::create_dir_all(dir.join("corporate_actions/2024/01")).unwrap();
 
     fs::write(
         dir.join("instruments.csv"),
-        "symbol,name,exchange,lot_size\n000001.SZ,PingAn,SZ,100\n",
+        "symbol,name,board,round_lot,listed_at,delisted_at,status\n000001.SZ,PingAn,SZ,100,2020-01-01,,active\n",
     )
     .unwrap();
     fs::write(
@@ -33,7 +34,7 @@ fn can_load_partitioned_snapshot_dir() {
     .unwrap();
     fs::write(
         dir.join("market/2024/01/2024-01-02.csv"),
-        "date,symbol,open,high,low,close,prev_close,volume,paused,upper_limit,lower_limit\n2024-01-02,000001.SZ,10,10.5,9.9,10.2,10,100000,false,11,9\n",
+        "date,symbol,open,high,low,close,prev_close,volume,paused,upper_limit,lower_limit,day_open,last_price,bid1,ask1,price_tick\n2024-01-02,000001.SZ,10,10.5,9.9,10.2,10,100000,false,11,9,10.1,10.15,10.14,10.16,0.01\n",
     )
     .unwrap();
     fs::write(
@@ -46,10 +47,48 @@ fn can_load_partitioned_snapshot_dir() {
         "date,symbol,is_st,is_new_listing,is_paused,allow_buy,allow_sell,is_kcb,is_one_yuan\n2024-01-02,000001.SZ,false,false,false,true,true,false,false\n",
     )
     .unwrap();
+    fs::write(
+        dir.join("corporate_actions/2024/01/2024-01-02.csv"),
+        "date,symbol,payable_date,share_cash,share_bonus,share_gift,issue_quantity,issue_price,reform,adjust_factor\n2024-01-02,000001.SZ,2024-01-05,0.5,0.1,0.0,0,0,false,1.05\n",
+    )
+    .unwrap();
 
     let data = DataSet::from_partitioned_dir(&dir).expect("partitioned dataset");
     assert_eq!(data.benchmark_code(), "CSI300.DEMO");
-    assert!(data.market_snapshots_on(chrono::NaiveDate::from_ymd_opt(2024, 1, 2).unwrap()).len() == 1);
+    assert!(
+        data.market_snapshots_on(chrono::NaiveDate::from_ymd_opt(2024, 1, 2).unwrap())
+            .len()
+            == 1
+    );
+    let market_rows = data.market_snapshots_on(chrono::NaiveDate::from_ymd_opt(2024, 1, 2).unwrap());
+    let snapshot = market_rows
+        .first()
+        .expect("market snapshot");
+    assert_eq!(snapshot.day_open, 10.1);
+    assert_eq!(snapshot.last_price, 10.15);
+    assert_eq!(snapshot.price_tick, 0.01);
+    assert_eq!(
+        data.instruments()
+            .get("000001.SZ")
+            .expect("instrument")
+            .round_lot,
+        100
+    );
+    assert_eq!(
+        data.instruments()
+            .get("000001.SZ")
+            .expect("instrument")
+            .listed_at,
+        Some(chrono::NaiveDate::from_ymd_opt(2020, 1, 1).unwrap())
+    );
+    let actions = data.corporate_actions_on(chrono::NaiveDate::from_ymd_opt(2024, 1, 2).unwrap());
+    assert_eq!(actions.len(), 1);
+    assert_eq!(
+        actions[0].payable_date,
+        Some(chrono::NaiveDate::from_ymd_opt(2024, 1, 5).unwrap())
+    );
+    assert!((actions[0].share_cash - 0.5).abs() < 1e-9);
+    assert!((actions[0].split_ratio() - 1.1).abs() < 1e-9);
 
     let _ = fs::remove_dir_all(&dir);
 }
diff --git a/crates/fidc-core/tests/strategy_selection.rs b/crates/fidc-core/tests/strategy_selection.rs
index a79f023..262a192 100644
--- a/crates/fidc-core/tests/strategy_selection.rs
+++ b/crates/fidc-core/tests/strategy_selection.rs
@@ -1,5 +1,8 @@
 use chrono::NaiveDate;
-use fidc_core::{CnSmallCapRotationConfig, CnSmallCapRotationStrategy, DataSet, Strategy, StrategyContext, PortfolioState};
+use fidc_core::{
+    CnSmallCapRotationConfig, CnSmallCapRotationStrategy, DataSet, JqMicroCapConfig,
+    JqMicroCapStrategy, PortfolioState, Strategy, StrategyContext,
+};
 use std::path::PathBuf;
 
 #[test]
@@ -28,9 +31,51 @@ fn strategy_emits_target_weights_and_diagnostics() {
     assert!(decision.rebalance);
     assert!(decision.rebalance);
     assert!(!decision.diagnostics.is_empty());
-    assert!(decision
-        .diagnostics
-        .iter()
-        .any(|line| line.contains("signal_symbol=")));
+    assert!(
+        decision
+            .diagnostics
+            .iter()
+            .any(|line| line.contains("signal_symbol="))
+    );
     assert_eq!(strategy.name(), "cn-dyn-smallcap-band");
 }
+
+#[test]
+fn jq_strategy_emits_same_day_decision() {
+    let data_dir = PathBuf::from(env!("CARGO_MANIFEST_DIR")).join("../../data/demo");
+    let data = DataSet::from_csv_dir(&data_dir).expect("demo data");
+    let execution_date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let portfolio = PortfolioState::new(1_000_000.0);
+    let mut cfg = JqMicroCapConfig::jq_microcap();
+    cfg.benchmark_signal_symbol = "000001.SZ".to_string();
+    cfg.benchmark_short_ma_days = 3;
+    cfg.benchmark_long_ma_days = 5;
+    cfg.stock_short_ma_days = 3;
+    cfg.stock_mid_ma_days = 4;
+    cfg.stock_long_ma_days = 5;
+    let mut strategy = JqMicroCapStrategy::new(cfg);
+
+    let decision = strategy
+        .on_day(&StrategyContext {
+            execution_date,
+            decision_date: execution_date,
+            decision_index: 0,
+            data: &data,
+            portfolio: &portfolio,
+        })
+        .expect("jq decision");
+
+    assert!(!decision.rebalance);
+    assert!(
+        decision
+            .diagnostics
+            .iter()
+            .any(|line| line.contains("jq_microcap signal="))
+    );
+    assert!(
+        decision
+            .diagnostics
+            .iter()
+            .any(|line| line.contains("selected="))
+    );
+}
diff --git a/data/demo/聚宽微盘股策略.engine_spec.json b/data/demo/聚宽微盘股策略.engine_spec.json
new file mode 100644
index 0000000..485ebe0
--- /dev/null
+++ b/data/demo/聚宽微盘股策略.engine_spec.json
@@ -0,0 +1,36 @@
+{
+  "strategyId": "jq-microcap",
+  "benchmark": {
+    "instrumentId": "000852.SH",
+    "fallbackInstrumentId": "000852.SH"
+  },
+  "signalSymbol": "000001.SH",
+  "engineConfig": {
+    "templateId": "joinquant-microcap-original",
+    "signalSymbol": "000001.SH",
+    "rankLimit": 40,
+    "refreshRate": 15,
+    "rsiRate": 1.0001,
+    "dynamicRange": {
+      "baseIndexLevel": 2000.0,
+      "baseCapFloor": 7.0,
+      "capSpan": 10.0,
+      "xs": 0.008
+    },
+    "stockMaFilter": {
+      "shortDays": 5,
+      "midDays": 10,
+      "longDays": 20,
+      "rsiRate": 1.0001
+    },
+    "indexThrottle": {
+      "shortDays": 5,
+      "longDays": 10,
+      "rsiRate": 1.0001,
+      "defensiveExposure": 0.5
+    },
+    "stopLossMultiplier": 0.93,
+    "takeProfitMultiplier": 1.07,
+    "skipWindows": []
+  }
+}
diff --git a/data/demo/聚宽微盘股策略.engine_spec.md b/data/demo/聚宽微盘股策略.engine_spec.md
new file mode 100644
index 0000000..c64357d
--- /dev/null
+++ b/data/demo/聚宽微盘股策略.engine_spec.md
@@ -0,0 +1,21 @@
+聚宽原始脚本 `/Users/boris/WorkSpace/fidc-backtest-engine/聚宽微盘股策略.py` 已映射到
+`聚宽微盘股策略.engine_spec.json`。
+
+映射关系：
+
+- `g.refresh_rate = 15` -> `engineConfig.refreshRate = 15`
+- `g.stocknum = 40` -> `engineConfig.rankLimit = 40`
+- `g.XS = 4 / 500` -> `engineConfig.dynamicRange.xs = 0.008`
+- `current_price` 基准指数 `000001.XSHG` -> `signalSymbol = 000001.SH`
+- `set_benchmark('000852.XSHG')` -> `benchmark.instrumentId = 000852.SH`
+- `g.CloseRate = 1.07` -> `takeProfitMultiplier = 1.07`
+- `g.LossRate = 0.93` -> `stopLossMultiplier = 0.93`
+- `g.RSIRate = 1.0001` -> `rsiRate = 1.0001`
+- `g.TradeRate = 0.5` -> `indexThrottle.defensiveExposure = 0.5`
+- 个股均线过滤 `5/10/20` -> `stockMaFilter.short/mid/longDays`
+- 指数均线过滤 `5/10` -> `indexThrottle.short/longDays`
+
+说明：
+
+- 原脚本里 `validate_date()` 虽然定义了停运窗口，但 `check_stocks()` 里紧接着把 `g.OpenYN = 1` 强制打开，
+  所以实际执行日志中停运窗口无效。当前 spec 因此使用 `skipWindows = []`，以匹配真实聚宽执行结果。
diff --git a/聚宽微盘股策略.py b/聚宽微盘股策略.py
new file mode 100644
index 0000000..ba95857
--- /dev/null
+++ b/聚宽微盘股策略.py
@@ -0,0 +1,654 @@
+'''
+设定的市值17—26亿 可以根据指数的变化来更改
+比如3300点集中在15—25亿市值最小的四十只 3400点 集中在17—27亿
+对应指数乘以一个系数 对应市值选出40只
+'''
+from jqdata import *
+from datetime import datetime, timedelta
+
+
+## 初始化函数，设定要操作的股票、基准等等
+def initialize(context):
+
+    set_benchmark('000852.XSHG')  #对标中证1000
+    # True为开启动态复权模式，使用真实价格交易
+    set_option('use_real_price', True)
+    # 设定成交量比例
+    set_option('order_volume_ratio', 1)
+    # 股票类交易手续费是：买入时佣金万分之三，卖出时佣金万分之三加千分之一印花税, 每笔交易佣金最低扣5块钱
+    set_order_cost(OrderCost(open_tax=0, close_tax=0.001, \
+                             open_commission=0.0003, close_commission=0.0003,\
+                             close_today_commission=0, min_commission=5), type='stock')
+
+    # 交易日计时器
+    g.days = 0
+    # 分仓常量参数,无须人为修改
+    g.TR = 1;
+    # 区间最高价
+    g.summit = {}
+    g.muster = []
+    # 运行状态 1/运行; 0/停运
+    g.OpenYN = 1
+
+    # 开始范围
+    #g.mystart = 13
+    # 截至范围
+    #g.myend = 23
+
+    # 调仓频率
+    g.refresh_rate = 15
+    # 运行函数1
+    run_daily(trade, time='10:18')
+    # 运行函数2
+    run_daily(CPtrade, time='10:17')
+
+    # 持仓数量
+    g.stocknum = 40
+    # 上证指数对应系数
+    g.XS = 4/500
+    #止盈比率
+    g.CloseRate = 1.07
+     #止损比率
+    g.LossRate = 0.93
+
+    # 均线上涨比率
+    g.RSIRate = 1.0001
+
+    # 保证金仓位比率: 1/2为半仓
+    g.TradeRate = 0.5
+    # 调试日志展示数量
+    g.debug_log_limit = 60
+    g.debug_boundary_window = 5
+    g.market_cap_map = {}
+
+
+def _fmt_num(value, digits=2):
+    try:
+        return ('%.' + str(digits) + 'f') % float(value)
+    except Exception:
+        return str(value)
+
+
+def _safe_bar_values(bar_data, field):
+    try:
+        values = bar_data[field]
+    except Exception:
+        values = getattr(bar_data, field)
+    try:
+        return [float(x) for x in list(values)]
+    except Exception:
+        try:
+            return list(values)
+        except Exception:
+            return []
+
+
+def _safe_bar_last(bar_data, field):
+    values = _safe_bar_values(bar_data, field)
+    if values:
+        return values[-1]
+    return None
+
+
+def _market_cap_text(stock):
+    cap = getattr(g, 'market_cap_map', {}).get(stock)
+    if cap is None:
+        return 'None'
+    return _fmt_num(cap, 2) + '亿'
+
+
+def _describe_stock(stock, extras=None):
+    parts = [stock, '市值=' + _market_cap_text(stock)]
+    if extras:
+        parts.extend(extras)
+    return ','.join(parts)
+
+
+def _log_detail_items(label, details, limit=None, chunk=10):
+    total = len(details)
+    if total == 0:
+        log.info(label + ': 0')
+        return
+
+    if limit is None:
+        limit = total
+    shown = details[:limit]
+    log.info('%s: 总数=%d, 展示=%d' % (label, total, len(shown)))
+    for idx in range(0, len(shown), chunk):
+        part = shown[idx:idx + chunk]
+        log.info('%s[%d-%d]: %s' % (
+            label,
+            idx + 1,
+            idx + len(part),
+            ' | '.join(part)
+        ))
+    if total > limit:
+        log.info('%s: 其余%d项省略' % (label, total - limit))
+
+
+def _log_market_cap_snapshot(df, caller):
+    if df is None or len(df) == 0:
+        log.info('市值筛选快照[%s]: 无数据' % caller)
+        return
+
+    top_n = min(len(df), g.debug_log_limit)
+    top_details = []
+    for i in range(top_n):
+        row = df.iloc[i]
+        top_details.append('%d.%s:%s亿' % (
+            i + 1,
+            row['code'],
+            _fmt_num(row['market_cap'], 2)
+        ))
+    _log_detail_items('市值排序前段[%s]' % caller, top_details, limit=top_n, chunk=8)
+
+    start_idx = max(0, g.stocknum - g.debug_boundary_window - 1)
+    end_idx = min(len(df), g.stocknum + g.debug_boundary_window)
+    boundary_details = []
+    for i in range(start_idx, end_idx):
+        row = df.iloc[i]
+        boundary_details.append('%d.%s:%s亿' % (
+            i + 1,
+            row['code'],
+            _fmt_num(row['market_cap'], 2)
+        ))
+    _log_detail_items('市值排序边界[%s]' % caller, boundary_details, limit=len(boundary_details), chunk=5)
+
+
+## 选出小市值股票
+def check_stocks(context, caller='unknown'):
+
+    g.today = context.current_dt
+    validate_date()
+
+    #不停运参数
+    g.OpenYN = 1
+
+    log.info('选股开始[%s]: 日期=%s, g.days=%d, refresh_rate=%d, 持仓数=%d' % (
+        caller,
+        context.current_dt.strftime('%Y-%m-%d %H:%M:%S'),
+        g.days,
+        g.refresh_rate,
+        len(context.portfolio.positions)
+    ))
+
+    # 检查日期是否在范围内
+    if g.OpenYN == 0:
+        log.warn("该时段属于停运==================范围")
+        return []
+    else:
+        # g.OpenYN = 1
+
+        g.security = '000001.XSHG'
+
+        #000852.XSHG
+
+        close_data = get_bars(g.security, count=1, unit='1d', fields=['close'])
+        # 取得过去五天的平均价格
+        MA5 = close_data['close'].mean()
+
+        ###################################################
+        close5_data = get_bars(g.security, count=5, unit='1d', fields=['close'])
+        # 获取股票的收盘价
+        close10_data = get_bars(g.security, count=10, unit='1d', fields=['close'])
+        # 取得过去五天的平均价格
+        MA5 = close5_data['close'].mean()
+        # 取得过去十天的平均价格
+        MA10 = close10_data['close'].mean()
+
+        #5日线下穿,则半仓交易
+        if MA5 < MA10*g.RSIRate:
+            g.TR = g.TradeRate
+        elif MA5 >= MA10*g.RSIRate:
+            g.TR = 1
+        ###################################################
+
+        close5_list = _safe_bar_values(close5_data, 'close')
+        log.info('指数均线调试[%s][%s] close[-5:]=%s, ma5=%s, ma10=%s, ma5<ma10*RSIRate=%s, TR=%s' % (
+            caller,
+            context.current_dt.strftime('%Y-%m-%d'),
+            str([round(float(v), 2) for v in close5_list]),
+            _fmt_num(MA5, 4),
+            _fmt_num(MA10, 4),
+            str(MA5 < MA10 * g.RSIRate),
+            _fmt_num(g.TR, 4)
+        ))
+
+
+        # 取得上一时间点价格
+        current_price = close_data['close'][-1]
+
+        log.info('中证指数(current_price)：'+str(current_price))
+
+        if current_price == 2000:
+            g.mystart = 7
+            g.myend = 17
+        elif current_price > 0:
+            #Y = (current_price - 3000) *g.XS + 14
+            Y = (current_price - 2000) *g.XS + 7
+            g.mystart = Y
+            g.myend = Y + 10
+
+        # mystart = g.start
+        # myend = g.end
+        mystart = round(g.mystart)
+        myend = round(g.myend)
+
+        log.info('价格区间为:'+ str(mystart) + '~'+str(myend))
+
+
+        # 设定查询条件
+        q = query(
+                valuation.code,
+                valuation.market_cap
+            ).filter(
+                valuation.market_cap.between(mystart,myend)
+            ).order_by(
+                valuation.market_cap.asc()
+            )
+
+        # 选出低市值的股票，构成buylist
+        df = get_fundamentals(q)
+        g.market_cap_map = {}
+        if df is not None and len(df) > 0:
+            for _, row in df.iterrows():
+                try:
+                    g.market_cap_map[row['code']] = float(row['market_cap'])
+                except Exception:
+                    g.market_cap_map[row['code']] = None
+        log.info('市值筛选结果[%s]: %d只股票' % (caller, 0 if df is None else len(df)))
+        _log_market_cap_snapshot(df, caller)
+        buylist =list(df['code'])
+
+        # 过滤停牌，ST，科创，新股，1元股
+        buylist = filter_paused_stock(buylist, caller=caller)
+
+        final_list = buylist[:g.stocknum]
+        g.muster = final_list
+        _log_detail_items(
+            '最终选股[%s]' % caller,
+            [_describe_stock(stock) for stock in final_list],
+            limit=len(final_list),
+            chunk=8
+        )
+        boundary_slice = buylist[max(0, g.stocknum - g.debug_boundary_window): min(len(buylist), g.stocknum + g.debug_boundary_window)]
+        _log_detail_items(
+            '最终选股边界[%s]' % caller,
+            [_describe_stock(stock) for stock in boundary_slice],
+            limit=len(boundary_slice),
+            chunk=5
+        )
+
+        return final_list
+
+
+def before_trading_start(context):
+    # 取得当前日期
+    g.todayDT = context.current_dt
+    g.today = context.current_dt.strftime('%Y-%m-%d')
+    g.start = context.current_dt + timedelta(-2)
+    g.market_cap_map = {}
+
+## 交易函数
+def CPtrade(context):
+
+    ## 选股
+    stock_list = check_stocks(context, caller='CPtrade')
+    if g.OpenYN == 0:
+        #log.warn("日期属于范围")
+         ## 获取持仓列表
+        sell_list = list(context.portfolio.positions.keys())
+        # 如果有持仓，则卖出
+        if len(sell_list) > 0 :
+            for stock in sell_list:
+                order_target_value(stock, 0)
+        return
+
+
+## 交易函数
+def trade(context):
+     ## 选股
+    stock_list = check_stocks(context, caller='trade')
+    if g.OpenYN == 0:
+        #log.warn("日期属于范围")
+         ## 获取持仓列表
+        sell_list = list(context.portfolio.positions.keys())
+        # 如果有持仓，则卖出
+        if len(sell_list) > 0 :
+            for stock in sell_list:
+                order_target_value(stock, 0)
+        return
+
+    g.changeYN = 0
+    curr_data = get_current_data()
+    log.info('交易调试[trade]: 日期=%s, g.days=%d, refresh_hit=%s, TR=%s, cash=%s, total_value=%s, 持仓数=%d, 目标池数=%d' % (
+        context.current_dt.strftime('%Y-%m-%d %H:%M:%S'),
+        g.days,
+        str(g.days % g.refresh_rate == 0),
+        _fmt_num(g.TR, 4),
+        _fmt_num(context.portfolio.cash, 2),
+        _fmt_num(context.portfolio.total_value, 2),
+        len(context.portfolio.positions),
+        len(stock_list)
+    ))
+    _log_detail_items(
+        '交易目标池[trade]',
+        [_describe_stock(stock) for stock in stock_list],
+        limit=len(stock_list),
+        chunk=8
+    )
+    # --------------------------------------------------------------------------
+    for stockPos in context.portfolio.positions:
+        # SS、记录股票峰值信息
+    #   if g.summit.get(stock, 0)<data[stock].high: g.summit[stock]=data[stock].high
+        # S0、取得最近几天股票价格信息
+        grid = get_price(stockPos, start_date=g.start, end_date=g.today, fields=['open', 'high', 'low', 'close', 'high_limit', 'paused'])
+        # SP、跳过退市、停牌、无效数据
+    #    if grid.paused[-1]: continue
+        # S1、目前持仓不在预选股票池中(g.muster)则清仓
+    #    if stock not in g.muster:
+    #        order_target(stock,0)
+    #        log.info("市值清仓：%s" % (stock))
+        # S2、回撤10%则清仓
+        hold = context.portfolio.positions[stockPos]
+        current_price = curr_data[stockPos].last_price
+        avg_cost = hold.avg_cost
+        return_ratio = current_price / avg_cost - 1 if avg_cost else 0
+        grid_high_limit = _safe_bar_last(grid, 'high_limit')
+        grid_close = _safe_bar_last(grid, 'close')
+        grid_paused = _safe_bar_last(grid, 'paused')
+        stop_hit = (current_price / avg_cost < g.LossRate) if avg_cost else False
+        profit_hit = (current_price < grid_high_limit and current_price / avg_cost > g.CloseRate) if (avg_cost and grid_high_limit is not None) else False
+        log.info('止盈止损评估[%s] %s: qty=%s, avg_cost=%s, current=%s, return=%s%%, stop_threshold=%s, profit_threshold=%s, high_limit=%s, bar.close=%s, paused=%s, in_target=%s, stop_hit=%s, profit_hit=%s' % (
+            context.current_dt.strftime('%Y-%m-%d'),
+            stockPos,
+            str(getattr(hold, 'total_amount', getattr(hold, 'amount', 'None'))),
+            _fmt_num(avg_cost, 4),
+            _fmt_num(current_price, 4),
+            _fmt_num(return_ratio * 100, 2),
+            _fmt_num(g.LossRate, 4),
+            _fmt_num(g.CloseRate, 4),
+            _fmt_num(grid_high_limit, 4),
+            _fmt_num(grid_close, 4),
+            str(grid_paused),
+            str(stockPos in stock_list),
+            str(stop_hit),
+            str(profit_hit)
+        ))
+        if stop_hit:
+            order_target_value(stockPos, 0)
+            g.changeYN = 1
+            log.error('止损清仓：%s,当前价=%.2f,成本价=%.2f,收益率=%.2f%%,high_limit=%s,bar.close=%s' % (
+                stockPos,
+                current_price,
+                hold.avg_cost,
+                return_ratio * 100,
+                _fmt_num(grid_high_limit, 4),
+                _fmt_num(grid_close, 4)
+            ))
+        # S3、今日高开、今日未涨停则清仓
+        elif profit_hit:
+            order_target_value(stockPos, 0)
+            g.changeYN = 1
+            log.warn('止盈清仓：%s,当前价=%s,成本价=%s,收益率=%s%%,high_limit=%s,bar.close=%s' % (
+                stockPos,
+                _fmt_num(current_price, 4),
+                _fmt_num(hold.avg_cost, 4),
+                _fmt_num(return_ratio * 100, 2),
+                _fmt_num(grid_high_limit, 4),
+                _fmt_num(grid_close, 4)
+            ))
+        else:
+            g.changeYN = 0
+
+        if g.changeYN == 1:
+            sell_list = list(context.portfolio.positions.keys())
+            replacement_candidates = [stock for stock in stock_list if stockPos != stock and stock not in sell_list]
+            _log_detail_items(
+                '补仓候选[%s][%s]' % (context.current_dt.strftime('%Y-%m-%d'), stockPos),
+                [_describe_stock(stock) for stock in replacement_candidates],
+                limit=min(len(replacement_candidates), g.debug_log_limit),
+                chunk=6
+            )
+            # log.warn('portfoliocash：' + str(context.portfolio.cash))
+            for stock in stock_list:
+                if len(context.portfolio.positions.keys()) < g.stocknum:
+                    ## 获取持仓列表
+                    sell_list = list(context.portfolio.positions.keys())
+                    if stockPos != stock and stock not in sell_list  :
+
+                        ## 分配资金
+                        if len(context.portfolio.positions) < g.stocknum :
+                            Num = g.stocknum - len(context.portfolio.positions)
+                            Cash = context.portfolio.cash * g.TR / Num
+
+                            #gridbuy = get_price(stock, start_date=g.start, end_date=g.today, fields=['open', 'high', 'low_limit', 'close', 'high_limit'])
+
+                            #if gridbuy.open[-1] > gridbuy.low_limit[-1]:
+                            log.info('补仓买入：卖出=%s,买入=%s,Cash=%s,Num=%d,TR=%s,持仓数=%d' % (
+                                stockPos,
+                                stock,
+                                _fmt_num(Cash, 2),
+                                Num,
+                                _fmt_num(g.TR, 4),
+                                len(context.portfolio.positions)
+                            ))
+                            order_value(stock, Cash)
+                            #else :
+                            #    log.warn("忽略跌停股票:" + stock)
+                            break
+                        else:
+                            continue
+
+
+
+    if g.days%g.refresh_rate == 0:
+        log.info('定期调仓触发：日期=%s,g.days=%d,refresh_rate=%d,TR=%s' % (
+            context.current_dt.strftime('%Y-%m-%d'),
+            g.days,
+            g.refresh_rate,
+            _fmt_num(g.TR, 4)
+        ))
+
+        ## 获取持仓列表
+        sell_list = list(context.portfolio.positions.keys())
+        rebalance_sell_list = [stock for stock in sell_list if stock not in stock_list]
+        _log_detail_items(
+            '定期调仓卖出名单',
+            [_describe_stock(stock) for stock in rebalance_sell_list],
+            limit=len(rebalance_sell_list),
+            chunk=8
+        )
+        # 如果有持仓，则卖出
+        if len(sell_list) > 0 :
+            for stock in sell_list:
+                if stock not in stock_list:
+                    log.info('定期调仓卖出：%s' % stock)
+                    order_target_value(stock, 0)
+
+        ## 分配资金
+        if len(context.portfolio.positions) < g.stocknum :
+            Num = g.stocknum - len(context.portfolio.positions)
+            # Cash = context.portfolio.cash/Num * g.TR
+            Cash = context.portfolio.cash * g.TR / g.stocknum
+        else:
+            Cash = 0
+        log.info('定期调仓资金分配：Cash=%s,Num=%s,cash=%s,total_value=%s' % (
+            _fmt_num(Cash, 2),
+            str(Num if len(context.portfolio.positions) < g.stocknum else 0),
+            _fmt_num(context.portfolio.cash, 2),
+            _fmt_num(context.portfolio.total_value, 2)
+        ))
+
+        ## 买入股票
+        for stock in stock_list:
+            if len(context.portfolio.positions.keys()) < g.stocknum:
+                if stock not in sell_list:
+                    log.info('定期调仓买入：%s,Cash=%s' % (stock, _fmt_num(Cash, 2)))
+                    order_value(stock, Cash)
+
+        # 天计数加一
+        g.days = 1
+    else:
+        g.days += 1
+
+# 过滤日期
+# 一月十号到三十一号
+# 四月十号到四月二十九日 期间
+# 八月十日到八月三十一日
+# 十月二十日 到十月三十日
+def validate_date():
+
+    # date = g.todayDT.strftime('%Y-%m-%d')
+    # date = datetime.strptime(g.todayDT, "%Y-%m-%d")
+    date = g.today
+    # 检查是否是4月10日到4月29日之间
+    if date.month == 1 and 15 <= date.day <= 30:
+        g.OpenYN = 0
+    elif date.month == 4 and 15 <= date.day <= 29:
+        g.OpenYN = 0
+    elif date.month == 8 and 15 <= date.day <= 31:
+        g.OpenYN = 0
+    elif date.month == 10 and 20 <= date.day <= 30:
+        g.OpenYN = 0
+    elif date.month == 12 and 20 <= date.day <= 30:
+        g.OpenYN = 0
+    else :
+        g.OpenYN = 1
+
+# 过滤停牌股票
+def filter_paused_stock(stock_list, caller='unknown'):
+    curr_data = get_current_data()
+    raw_count = len(stock_list)
+
+    risk_filtered = []
+    risk_removed = []
+    for stock in stock_list:
+        reasons = []
+        if curr_data[stock].day_open == curr_data[stock].high_limit:
+            reasons.append('涨停开盘')
+        if curr_data[stock].day_open == curr_data[stock].low_limit:
+            reasons.append('跌停开盘')
+        if curr_data[stock].last_price == curr_data[stock].high_limit:
+            reasons.append('当前涨停')
+        if curr_data[stock].last_price == curr_data[stock].low_limit:
+            reasons.append('当前跌停')
+        if curr_data[stock].paused:
+            reasons.append('停牌')
+        if curr_data[stock].is_st:
+            reasons.append('ST')
+        if 'ST' in curr_data[stock].name:
+            reasons.append('名称含ST')
+        if '*' in curr_data[stock].name:
+            reasons.append('名称含*')
+        if '退' in curr_data[stock].name:
+            reasons.append('名称含退')
+        if stock.startswith('688'):
+            reasons.append('科创板')
+
+        if reasons:
+            risk_removed.append(_describe_stock(stock, [
+                '原因=' + '/'.join(reasons),
+                'open=' + _fmt_num(curr_data[stock].day_open, 2),
+                'last=' + _fmt_num(curr_data[stock].last_price, 2),
+                'high_limit=' + _fmt_num(curr_data[stock].high_limit, 2),
+                'low_limit=' + _fmt_num(curr_data[stock].low_limit, 2),
+                'name=' + str(curr_data[stock].name)
+            ]))
+        else:
+            risk_filtered.append(stock)
+
+    log.info('风险过滤[%s]: %d -> %d, 移除=%d' % (
+        caller,
+        raw_count,
+        len(risk_filtered),
+        len(risk_removed)
+    ))
+    _log_detail_items(
+        '风险过滤移除[%s]' % caller,
+        risk_removed,
+        limit=min(len(risk_removed), g.debug_log_limit),
+        chunk=4
+    )
+
+    one_yuan_filtered = []
+    one_yuan_removed = []
+    for stock in risk_filtered:
+        if curr_data[stock].day_open > 1:
+            one_yuan_filtered.append(stock)
+        else:
+            one_yuan_removed.append(_describe_stock(stock, [
+                '原因=1元股过滤',
+                'open=' + _fmt_num(curr_data[stock].day_open, 2),
+                'last=' + _fmt_num(curr_data[stock].last_price, 2)
+            ]))
+
+    log.info('1元股过滤[%s]: %d -> %d, 移除=%d' % (
+        caller,
+        len(risk_filtered),
+        len(one_yuan_filtered),
+        len(one_yuan_removed)
+    ))
+    _log_detail_items(
+        '1元股过滤移除[%s]' % caller,
+        one_yuan_removed,
+        limit=min(len(one_yuan_removed), g.debug_log_limit),
+        chunk=4
+    )
+
+    new_list = []
+    ma_pass_details = {}
+    ma_removed_details = []
+    for stock in one_yuan_filtered:
+        # 获取股票的收盘价
+        close5_data = get_bars(stock, count=5, unit='1d', fields=['close'])
+        # 获取股票的收盘价
+        close10_data = get_bars(stock, count=10, unit='1d', fields=['close'])
+        # 获取股票的收盘价
+        close20_data = get_bars(stock, count=20, unit='1d', fields=['close'])
+        # 取得过去五天的平均价格
+        MA5 = close5_data['close'].mean()
+        # 取得过去十天的平均价格
+        MA10 = close10_data['close'].mean()
+        # 取得过去二十天的平均价格
+        MA20 = close20_data['close'].mean()
+        # 取得上一时间点价格
+        # current_price = close_data['close'][-1]
+        close5_list = [round(float(v), 2) for v in _safe_bar_values(close5_data, 'close')]
+        ma_condition_1 = MA5 > MA10 * g.RSIRate
+        ma_condition_2 = MA10 > MA20
+        detail = _describe_stock(stock, [
+            'close[-5:]=' + str(close5_list),
+            'ma5=' + _fmt_num(MA5, 4),
+            'ma10=' + _fmt_num(MA10, 4),
+            'ma20=' + _fmt_num(MA20, 4),
+            'ma5>ma10*RSIRate=' + str(ma_condition_1),
+            'ma10>ma20=' + str(ma_condition_2)
+        ])
+        if  MA5 > MA10*g.RSIRate> MA20*g.RSIRate:
+            new_list.append(stock)
+            ma_pass_details[stock] = detail
+        else:
+            ma_removed_details.append(detail)
+
+    log.info('均线过滤[%s]: %d -> %d, 移除=%d' % (
+        caller,
+        len(one_yuan_filtered),
+        len(new_list),
+        len(ma_removed_details)
+    ))
+    _log_detail_items(
+        '均线过滤移除[%s]' % caller,
+        ma_removed_details,
+        limit=min(len(ma_removed_details), g.debug_log_limit),
+        chunk=3
+    )
+    ma_boundary_details = [ma_pass_details[stock] for stock in new_list[:min(len(new_list), g.stocknum + g.debug_boundary_window)]]
+    _log_detail_items(
+        '均线通过前段[%s]' % caller,
+        ma_boundary_details,
+        limit=len(ma_boundary_details),
+        chunk=3
+    )
+
+    return new_list