Align jq microcap execution with intraday snapshots

crates/fidc-core/src/broker.rs

@@ -113,6 +113,39 @@ where
         snapshot.price(self.execution_price_field)
     }
 
+    fn snapshot_execution_price(
+        &self,
+        snapshot: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+    ) -> f64 {
+        if self.execution_price_field == PriceField::Last
+            && self.intraday_execution_start_time.is_some()
+        {
+            let tick = snapshot.effective_price_tick();
+            let base_price = snapshot.price(PriceField::Last);
+            let adjusted = match side {
+                OrderSide::Buy => base_price + tick * 2.0,
+                OrderSide::Sell => base_price - tick,
+            };
+            let lower = if snapshot.lower_limit.is_finite() && snapshot.lower_limit > 0.0 {
+                snapshot.lower_limit
+            } else {
+                tick
+            };
+            let upper = if snapshot.upper_limit.is_finite() && snapshot.upper_limit > 0.0 {
+                snapshot.upper_limit
+            } else {
+                f64::INFINITY
+            };
+            return adjusted.clamp(lower, upper);
+        }
+
+        match side {
+            OrderSide::Buy => self.buy_price(snapshot),
+            OrderSide::Sell => self.sell_price(snapshot),
+        }
+    }
+
     pub fn execute(
         &self,
         date: NaiveDate,
@@ -390,10 +423,7 @@ where
             }
             (fill.quantity, fill.price)
         } else {
-            (
-                filled_qty,
-                self.sell_price(snapshot),
-            )
+            (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);
@@ -559,16 +589,17 @@ where
                 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 {
+            let round_lot = self.round_lot(data, symbol);
+            let price = self.sizing_price(snapshot);
+            let snapshot_requested_qty =
+                self.round_buy_quantity(((value.abs()) / price).floor() as u32, round_lot);
             self.process_buy(
                 date,
                 portfolio,
                 data,
                 symbol,
-                requested_qty,
+                snapshot_requested_qty,
                 reason,
                 intraday_turnover,
                 execution_cursors,
@@ -577,6 +608,11 @@ where
                 report,
             )
         } else {
+            let price = self.sizing_price(snapshot);
+            let requested_qty = self.round_buy_quantity(
+                ((value.abs()) / price).floor() as u32,
+                self.round_lot(data, symbol),
+            );
             self.process_sell(
                 date,
                 portfolio,
@@ -592,6 +628,236 @@ where
         }
     }
 
+    fn estimate_value_buy_quantity(
+        &self,
+        date: NaiveDate,
+        portfolio: &PortfolioState,
+        data: &DataSet,
+        symbol: &str,
+        round_lot: u32,
+        value_budget: f64,
+        intraday_turnover: &BTreeMap<String, u32>,
+        execution_cursors: &BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: Option<NaiveDateTime>,
+    ) -> Option<u32> {
+        if self.execution_price_field != PriceField::Last {
+            return None;
+        }
+        let snapshot = data.market(date, symbol)?;
+        let market_limited_qty = self
+            .market_fillable_quantity(
+                snapshot,
+                OrderSide::Buy,
+                u32::MAX,
+                round_lot,
+                *intraday_turnover.get(symbol).unwrap_or(&0),
+            )
+            .ok()?;
+        let max_requested_qty = market_limited_qty;
+        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);
+        let estimated = self.select_buy_sizing_fill(
+            quotes,
+            start_cursor,
+            max_requested_qty,
+            round_lot,
+            Some(portfolio.cash()),
+            Some(value_budget),
+        )?;
+        Some(estimated.quantity)
+    }
+
+    fn maybe_expand_periodic_value_buy_quantity(
+        &self,
+        date: NaiveDate,
+        portfolio: &PortfolioState,
+        data: &DataSet,
+        symbol: &str,
+        requested_qty: u32,
+        round_lot: u32,
+        value_budget: f64,
+        reason: &str,
+        execution_cursors: &BTreeMap<String, NaiveDateTime>,
+        global_execution_cursor: Option<NaiveDateTime>,
+    ) -> u32 {
+        const PERIODIC_BUY_OVERSHOOT_TOLERANCE: f64 = 400.0;
+
+        if requested_qty == 0 || reason != "periodic_rebalance_buy" {
+            return requested_qty;
+        }
+
+        let candidate_qty = requested_qty.saturating_add(round_lot.max(1));
+        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);
+        let Some(fill) = self.select_execution_fill(
+            quotes,
+            OrderSide::Buy,
+            start_cursor,
+            candidate_qty,
+            round_lot,
+            Some(portfolio.cash()),
+            None,
+        ) else {
+            return requested_qty;
+        };
+        if fill.quantity < candidate_qty {
+            return requested_qty;
+        }
+        let candidate_gross = fill.price * fill.quantity as f64;
+        let candidate_cost = self.cost_model.calculate(OrderSide::Buy, candidate_gross);
+        let candidate_cash_out = candidate_gross + candidate_cost.total();
+        if candidate_cash_out <= value_budget + PERIODIC_BUY_OVERSHOOT_TOLERANCE
+            && candidate_cash_out <= portfolio.cash() + 1e-6
+        {
+            candidate_qty
+        } else {
+            requested_qty
+        }
+    }
+
+    fn select_buy_sizing_fill(
+        &self,
+        quotes: &[IntradayExecutionQuote],
+        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 = if quote.last_price.is_finite() && quote.last_price > 0.0 {
+                Some(quote.last_price)
+            } else {
+                quote.buy_price()
+            };
+            if fallback_quote_price.is_some() {
+                last_quote_price = fallback_quote_price;
+                last_timestamp = Some(quote.timestamp);
+            }
+
+            if quote.volume_delta == 0 {
+                continue;
+            }
+            let Some(quote_price) = fallback_quote_price else {
+                continue;
+            };
+            let available_qty = quote
+                .ask1_volume
+                .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 {
+                        gross_amount += residual_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 process_buy(
         &self,
         date: NaiveDate,
@@ -659,7 +925,7 @@ where
             execution_cursors,
             None,
             Some(portfolio.cash()),
-            value_budget,
+            None,
         );
         let (filled_qty, execution_price) = if let Some(fill) = fill {
             execution_cursors.insert(symbol.to_string(), fill.next_cursor);
@@ -668,7 +934,7 @@ where
             }
             (fill.quantity, fill.price)
         } else {
-            let execution_price = self.buy_price(snapshot);
+            let execution_price = self.snapshot_execution_price(snapshot, OrderSide::Buy);
             let filled_qty = self.affordable_buy_quantity(
                 portfolio.cash(),
                 value_budget,
@@ -849,8 +1115,7 @@ where
         }
 
         if self.volume_limit {
-            let raw_limit =
-                ((snapshot.tick_volume as f64) * self.volume_percent).round() as i64
+            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());
@@ -870,7 +1135,7 @@ where
         date: NaiveDate,
         symbol: &str,
         side: OrderSide,
-        _snapshot: &crate::data::DailyMarketSnapshot,
+        snapshot: &crate::data::DailyMarketSnapshot,
         data: &DataSet,
         requested_qty: u32,
         round_lot: u32,
@@ -883,6 +1148,32 @@ where
             return None;
         }
 
+        if self.intraday_execution_start_time.is_some() {
+            let execution_price = self.snapshot_execution_price(snapshot, side);
+            let quantity = match side {
+                OrderSide::Buy => self.affordable_buy_quantity(
+                    cash_limit.unwrap_or(f64::INFINITY),
+                    gross_limit,
+                    execution_price,
+                    requested_qty,
+                    round_lot,
+                ),
+                OrderSide::Sell => requested_qty,
+            };
+            if quantity == 0 {
+                return None;
+            }
+            let next_cursor = self
+                .intraday_execution_start_time
+                .map(|start_time| date.and_time(start_time) + Duration::seconds(1))
+                .unwrap_or_else(|| date.and_hms_opt(0, 0, 1).expect("valid midnight"));
+            return Some(ExecutionFill {
+                price: execution_price,
+                quantity,
+                next_cursor,
+            });
+        }
+
         let start_cursor = execution_cursors
             .get(symbol)
             .copied()
@@ -1010,7 +1301,8 @@ where
                 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;
+                            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;
@@ -1049,7 +1341,9 @@ where
     fn uses_serial_execution_cursor(&self, reason: &str) -> bool {
         matches!(
             reason,
-            "stop_loss_exit" | "take_profit_exit" | "replacement_after_stop_loss_exit"
+            "stop_loss_exit"
+                | "take_profit_exit"
+                | "replacement_after_stop_loss_exit"
                 | "replacement_after_take_profit_exit"
         )
     }

crates/fidc-core/src/data.rs

@@ -1280,7 +1280,11 @@ mod optional_date_format {
         D: Deserializer<'de>,
     {
         let text = Option::<String>::deserialize(deserializer)?;
-        match text.as_deref().map(str::trim).filter(|value| !value.is_empty()) {
+        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),

crates/fidc-core/src/engine.rs

@@ -116,7 +116,10 @@ where
         self.run_with_progress(|_| {})
     }
 
-    pub fn run_with_progress<F>(&mut self, mut on_progress: F) -> Result<BacktestResult, BacktestError>
+    pub fn run_with_progress<F>(
+        &mut self,
+        mut on_progress: F,
+    ) -> Result<BacktestResult, BacktestError>
     where
         F: FnMut(&BacktestDayProgress),
     {
@@ -287,7 +290,9 @@ where
     ) -> 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
+            .position_events
+            .extend(report.position_events.clone());
         result.account_events.extend(report.account_events.clone());
         report
     }
@@ -338,7 +343,11 @@ where
                         });
                         format!(
                             "cash_dividend_receivable {} share_cash={:.6} quantity={} payable_date={} cash={:.2}",
-                            action.symbol, action.share_cash, quantity_after, payable_date, cash_delta
+                            action.symbol,
+                            action.share_cash,
+                            quantity_after,
+                            payable_date,
+                            cash_delta
                         )
                     };
                     notes.push(note.clone());
@@ -457,7 +466,10 @@ where
             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))
+                .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 {

crates/fidc-core/src/instrument.rs

@@ -21,7 +21,8 @@ impl Instrument {
     }
 
     pub fn is_delisted_before(&self, date: NaiveDate) -> bool {
-        self.delisted_at.is_some_and(|delisted_at| delisted_at < date)
+        self.delisted_at
+            .is_some_and(|delisted_at| delisted_at < date)
     }
 }
 

crates/fidc-core/src/metrics.rs

@@ -163,7 +163,9 @@ pub fn compute_backtest_metrics(
     );
     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| {
+    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
         });
@@ -177,7 +179,10 @@ pub fn compute_backtest_metrics(
         equity_curve
             .iter()
             .map(|point| {
-                let traded = turnover_by_date.get(&point.date).copied().unwrap_or_default();
+                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>()
@@ -270,7 +275,10 @@ fn annualized_sharpe(returns: &[f64], daily_rf: f64, periods_per_year: f64) -> f
     if returns.len() < 2 {
         return 0.0;
     }
-    let adjusted = returns.iter().map(|value| value - daily_rf).collect::<Vec<_>>();
+    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 {
@@ -284,7 +292,10 @@ fn annualized_sortino(returns: &[f64], daily_rf: f64, periods_per_year: f64) ->
     if returns.is_empty() {
         return 0.0;
     }
-    let adjusted = returns.iter().map(|value| value - daily_rf).collect::<Vec<_>>();
+    let adjusted = returns
+        .iter()
+        .map(|value| value - daily_rf)
+        .collect::<Vec<_>>();
     let downside = adjusted
         .iter()
         .filter(|value| **value < 0.0)
@@ -309,7 +320,10 @@ fn alpha_beta(returns: &[f64], benchmark_returns: &[f64], daily_rf: 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 strategy_excess = returns
+        .iter()
+        .map(|value| value - daily_rf)
+        .collect::<Vec<_>>();
     let benchmark_excess = benchmark_returns
         .iter()
         .map(|value| value - daily_rf)

crates/fidc-core/src/portfolio.rs

@@ -138,8 +138,7 @@ impl Position {
     }
 
     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
-        {
+        if self.quantity == 0 || !ratio.is_finite() || ratio <= 0.0 || (ratio - 1.0).abs() < 1e-9 {
             return 0;
         }
 

crates/fidc-core/src/strategy.rs

@@ -1,9 +1,10 @@
 use std::collections::{BTreeMap, BTreeSet};
 
-use chrono::{Datelike, NaiveDate};
+use chrono::{Datelike, Duration, NaiveDate, NaiveDateTime, NaiveTime};
 
 use crate::data::{DataSet, PriceField};
 use crate::engine::BacktestError;
+use crate::events::OrderSide;
 use crate::portfolio::PortfolioState;
 use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSelector};
 
@@ -523,6 +524,20 @@ pub struct JqMicroCapStrategy {
     config: JqMicroCapConfig,
 }
 
+#[derive(Default)]
+struct ProjectedExecutionState {
+    execution_cursors: BTreeMap<String, NaiveDateTime>,
+    global_execution_cursor: Option<NaiveDateTime>,
+    intraday_turnover: BTreeMap<String, u32>,
+}
+
+#[derive(Debug, Clone, Copy)]
+struct ProjectedExecutionFill {
+    price: f64,
+    quantity: u32,
+    next_cursor: NaiveDateTime,
+}
+
 impl JqMicroCapStrategy {
     pub fn new(config: JqMicroCapConfig) -> Self {
         Self { config }
@@ -540,15 +555,28 @@ impl JqMicroCapStrategy {
         (gross_amount * 0.0003).max(5.0) + (gross_amount * 0.001)
     }
 
-    fn round_board_lot(&self, quantity: u32) -> u32 {
-        (quantity / 100) * 100
+    fn round_lot_quantity(&self, quantity: u32, round_lot: u32) -> u32 {
+        let lot = round_lot.max(1);
+        (quantity / lot) * lot
+    }
+
+    fn intraday_execution_start_time(&self) -> NaiveTime {
+        NaiveTime::from_hms_opt(10, 18, 0).expect("valid 10:18")
+    }
+
+    fn projected_round_lot(&self, ctx: &StrategyContext<'_>, symbol: &str) -> u32 {
+        ctx.data
+            .instrument(symbol)
+            .map(|instrument| instrument.effective_round_lot())
+            .unwrap_or(100)
+            .max(1)
     }
 
     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);
+        let mut quantity = self.round_lot_quantity((cash / sizing_price).floor() as u32, 100);
         while quantity > 0 {
             let gross_amount = execution_price * quantity as f64;
             let cash_out = gross_amount + self.buy_commission(gross_amount);
@@ -560,46 +588,342 @@ impl JqMicroCapStrategy {
         0
     }
 
+    fn projected_execution_price(
+        &self,
+        market: &crate::data::DailyMarketSnapshot,
+        side: OrderSide,
+    ) -> f64 {
+        let tick = market.effective_price_tick();
+        let base_price = market.price(PriceField::Last);
+        let adjusted = match side {
+            OrderSide::Buy => base_price + tick * 2.0,
+            OrderSide::Sell => base_price - tick,
+        };
+        let lower = if market.lower_limit.is_finite() && market.lower_limit > 0.0 {
+            market.lower_limit
+        } else {
+            tick
+        };
+        let upper = if market.upper_limit.is_finite() && market.upper_limit > 0.0 {
+            market.upper_limit
+        } else {
+            f64::INFINITY
+        };
+        adjusted.clamp(lower, upper)
+    }
+
     fn project_order_value(
         &self,
+        ctx: &StrategyContext<'_>,
         projected: &mut PortfolioState,
         date: NaiveDate,
         symbol: &str,
-        sizing_price: f64,
-        execution_price: f64,
         order_value: f64,
+        reason: &str,
+        execution_state: &mut ProjectedExecutionState,
     ) -> u32 {
-        let quantity = self.projected_buy_quantity(
-            projected.cash().min(order_value),
-            sizing_price,
-            execution_price,
+        if order_value <= 0.0 {
+            return 0;
+        }
+        let round_lot = self.projected_round_lot(ctx, symbol);
+        let market = match ctx.data.market(date, symbol) {
+            Some(market) => market,
+            None => return 0,
+        };
+        let sizing_price = market.price(PriceField::Last);
+        if !sizing_price.is_finite() || sizing_price <= 0.0 {
+            return 0;
+        }
+        let requested_qty = self.round_lot_quantity(
+            ((projected.cash().min(order_value)) / sizing_price).floor() as u32,
+            round_lot,
         );
+        if requested_qty == 0 {
+            return 0;
+        }
+        let execution_price = self.projected_execution_price(market, OrderSide::Buy);
+        let mut quantity = requested_qty;
+        while quantity > 0 {
+            let gross_amount = execution_price * quantity as f64;
+            let cash_out = gross_amount + self.buy_commission(gross_amount);
+            if cash_out <= projected.cash() + 1e-6 {
+                break;
+            }
+            quantity = quantity.saturating_sub(round_lot);
+        }
         if quantity == 0 {
             return 0;
         }
-        let gross_amount = execution_price * quantity as f64;
+        let fill = ProjectedExecutionFill {
+            price: execution_price,
+            quantity,
+            next_cursor: date.and_time(self.intraday_execution_start_time()) + Duration::seconds(1),
+        };
+        let gross_amount = fill.price * fill.quantity as f64;
         let cash_out = gross_amount + self.buy_commission(gross_amount);
+        if cash_out > projected.cash() + 1e-6 {
+            return 0;
+        }
         projected.apply_cash_delta(-cash_out);
-        projected.position_mut(symbol).buy(date, quantity, execution_price);
-        quantity
+        projected
+            .position_mut(symbol)
+            .buy(date, fill.quantity, fill.price);
+        *execution_state
+            .intraday_turnover
+            .entry(symbol.to_string())
+            .or_default() += fill.quantity;
+        execution_state
+            .execution_cursors
+            .insert(symbol.to_string(), fill.next_cursor);
+        if self.uses_serial_execution_cursor(reason) {
+            execution_state.global_execution_cursor = Some(fill.next_cursor);
+        }
+        fill.quantity
     }
 
     fn project_target_zero(
         &self,
+        ctx: &StrategyContext<'_>,
         projected: &mut PortfolioState,
+        date: NaiveDate,
         symbol: &str,
-        sell_price: f64,
+        reason: &str,
+        execution_state: &mut ProjectedExecutionState,
     ) -> Option<u32> {
         let quantity = projected.position(symbol)?.quantity;
         if quantity == 0 {
             return None;
         }
-        let gross_amount = sell_price * quantity as f64;
+        let market = ctx.data.market(date, symbol)?;
+        let fill = ProjectedExecutionFill {
+            price: self.projected_execution_price(market, OrderSide::Sell),
+            quantity,
+            next_cursor: date.and_time(self.intraday_execution_start_time()) + Duration::seconds(1),
+        };
+        let gross_amount = fill.price * fill.quantity as f64;
         let net_cash = gross_amount - self.sell_cost(gross_amount);
-        projected.position_mut(symbol).sell(quantity, sell_price).ok()?;
+        projected
+            .position_mut(symbol)
+            .sell(fill.quantity, fill.price)
+            .ok()?;
         projected.apply_cash_delta(net_cash);
+        *execution_state
+            .intraday_turnover
+            .entry(symbol.to_string())
+            .or_default() += fill.quantity;
+        execution_state
+            .execution_cursors
+            .insert(symbol.to_string(), fill.next_cursor);
+        if self.uses_serial_execution_cursor(reason) {
+            execution_state.global_execution_cursor = Some(fill.next_cursor);
+        }
         projected.prune_flat_positions();
-        Some(quantity)
+        Some(fill.quantity)
+    }
+
+    fn projected_market_fillable_quantity(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+        side: OrderSide,
+        requested_qty: u32,
+        round_lot: u32,
+        execution_state: &ProjectedExecutionState,
+    ) -> Option<u32> {
+        if requested_qty == 0 {
+            return Some(0);
+        }
+        let snapshot = ctx.data.market(date, symbol)?;
+        if snapshot.tick_volume == 0 {
+            return None;
+        }
+
+        let lot = round_lot.max(1);
+        let mut max_fill = requested_qty;
+        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 None;
+        }
+        max_fill = max_fill.min(self.round_lot_quantity(top_level_liquidity, lot));
+
+        let consumed_turnover = *execution_state.intraday_turnover.get(symbol).unwrap_or(&0);
+        let raw_limit =
+            ((snapshot.tick_volume as f64) * 0.25).round() as i64 - consumed_turnover as i64;
+        if raw_limit <= 0 {
+            return None;
+        }
+        let volume_limited = self.round_lot_quantity(raw_limit as u32, lot);
+        if volume_limited == 0 {
+            return None;
+        }
+        Some(max_fill.min(volume_limited))
+    }
+
+    fn projected_execution_start_cursor(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        execution_state: &ProjectedExecutionState,
+    ) -> Option<NaiveDateTime> {
+        execution_state
+            .execution_cursors
+            .get(symbol)
+            .copied()
+            .into_iter()
+            .chain(execution_state.global_execution_cursor)
+            .chain(Some(date.and_time(self.intraday_execution_start_time())))
+            .max()
+    }
+
+    fn projected_select_execution_fill(
+        &self,
+        ctx: &StrategyContext<'_>,
+        date: NaiveDate,
+        symbol: &str,
+        side: OrderSide,
+        requested_qty: u32,
+        round_lot: u32,
+        cash_limit: Option<f64>,
+        gross_limit: Option<f64>,
+        execution_state: &ProjectedExecutionState,
+    ) -> Option<ProjectedExecutionFill> {
+        if requested_qty == 0 {
+            return None;
+        }
+
+        let lot = round_lot.max(1);
+        let start_cursor = self.projected_execution_start_cursor(date, symbol, execution_state);
+        let quotes = ctx.data.execution_quotes_on(date, symbol);
+        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 => {
+                    if quote.last_price.is_finite() && quote.last_price > 0.0 {
+                        Some(quote.last_price)
+                    } else {
+                        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);
+            }
+
+            if quote.volume_delta == 0 {
+                continue;
+            }
+            let Some(quote_price) = fallback_quote_price else {
+                continue;
+            };
+            let available_qty = match side {
+                OrderSide::Buy => quote.ask1_volume,
+                OrderSide::Sell => quote.bid1_volume,
+            }
+            .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 = self.round_lot_quantity(remaining_qty.min(available_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_cash_out = candidate_gross + self.buy_commission(candidate_gross);
+                    if candidate_cash_out <= 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_lot_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_cash_out =
+                                candidate_gross + self.buy_commission(candidate_gross);
+                            if candidate_cash_out <= cash + 1e-6 {
+                                break;
+                            }
+                            residual_qty = residual_qty.saturating_sub(lot);
+                        }
+                    }
+                    if residual_qty > 0 {
+                        gross_amount += residual_price * residual_qty as f64;
+                        filled_qty += residual_qty;
+                    }
+                }
+            }
+        }
+
+        if filled_qty == 0 {
+            return None;
+        }
+
+        Some(ProjectedExecutionFill {
+            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 trading_ratio(
@@ -841,6 +1165,7 @@ impl Strategy for JqMicroCapStrategy {
         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 projected_execution_state = ProjectedExecutionState::default();
         let mut order_intents = Vec::new();
         let mut exit_symbols = BTreeSet::new();
 
@@ -855,7 +1180,6 @@ impl Strategy for JqMicroCapStrategy {
             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);
@@ -875,7 +1199,14 @@ impl Strategy for JqMicroCapStrategy {
                     reason: sell_reason.to_string(),
                 });
                 if can_sell {
-                    self.project_target_zero(&mut projected, &position.symbol, sell_price);
+                    self.project_target_zero(
+                        ctx,
+                        &mut projected,
+                        date,
+                        &position.symbol,
+                        sell_reason,
+                        &mut projected_execution_state,
+                    );
                 }
 
                 if projected.positions().len() < self.config.stocknum {
@@ -897,16 +1228,15 @@ impl Strategy for JqMicroCapStrategy {
                                 value: replacement_cash,
                                 reason: format!("replacement_after_{}", sell_reason),
                             });
-                            if let Some(market) = ctx.data.market(date, symbol) {
                             self.project_order_value(
+                                ctx,
                                 &mut projected,
                                 date,
                                 symbol,
-                                    market.buy_price(PriceField::Last),
-                                    market.buy_price(PriceField::Last),
                                 replacement_cash,
+                                &format!("replacement_after_{}", sell_reason),
+                                &mut projected_execution_state,
                             );
-                            }
                             break;
                         }
                     }
@@ -932,13 +1262,14 @@ impl Strategy for JqMicroCapStrategy {
                     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);
-                }
+                self.project_target_zero(
+                    ctx,
+                    &mut projected,
+                    date,
+                    symbol,
+                    "periodic_rebalance_sell",
+                    &mut projected_execution_state,
+                );
             }
 
             let fixed_buy_cash = projected.cash() * trading_ratio / self.config.stocknum as f64;
@@ -959,18 +1290,17 @@ impl Strategy for JqMicroCapStrategy {
                     value: fixed_buy_cash,
                     reason: "periodic_rebalance_buy".to_string(),
                 });
-                if let Some(market) = ctx.data.market(date, symbol) {
                 self.project_order_value(
+                    ctx,
                     &mut projected,
                     date,
                     symbol,
-                        market.buy_price(PriceField::Last),
-                        market.buy_price(PriceField::Last),
                     fixed_buy_cash,
+                    "periodic_rebalance_buy",
+                    &mut projected_execution_state,
                 );
             }
         }
-        }
 
         let mut diagnostics = vec![
             format!(

crates/fidc-core/tests/delisting.rs

@@ -17,7 +17,10 @@ impl Strategy for BuyThenHoldStrategy {
         "buy-then-hold"
     }
 
-    fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, fidc_core::BacktestError> {
+    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,
@@ -238,12 +241,17 @@ fn engine_settles_delisted_position_before_missing_market_snapshot_breaks_run()
 
     let result = engine.run().expect("backtest succeeds");
     assert_eq!(result.fills.len(), 2);
-    assert!(result
+    assert!(
+        result
             .fills
             .iter()
-        .any(|fill| fill.reason.contains("delisted_cash_settlement") && fill.symbol == "000001.SZ"));
-    assert!(result
+            .any(|fill| fill.reason.contains("delisted_cash_settlement")
+                && fill.symbol == "000001.SZ")
+    );
+    assert!(
+        result
             .holdings_summary
             .iter()
-        .all(|holding| holding.symbol != "000001.SZ"));
+            .all(|holding| holding.symbol != "000001.SZ")
+    );
 }

crates/fidc-core/tests/explicit_order_flow.rs

@@ -289,9 +289,15 @@ fn same_day_sell_then_rebuy_reinserts_position_at_end() {
     .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);
+    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(),

crates/fidc-core/tests/partitioned_loader.rs

@@ -60,10 +60,9 @@ fn can_load_partitioned_snapshot_dir() {
             .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");
+    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);