Add dynamic universe and subscription controls

crates/fidc-core/src/strategy.rs

@@ -70,6 +70,8 @@ pub struct StrategyContext<'a> {
     pub data: &'a DataSet,
     pub portfolio: &'a PortfolioState,
     pub open_orders: &'a [OpenOrderView],
+    pub dynamic_universe: Option<&'a BTreeSet<String>>,
+    pub subscriptions: &'a BTreeSet<String>,
     pub process_events: &'a [ProcessEvent],
     pub active_process_event: Option<&'a ProcessEvent>,
 }
@@ -157,6 +159,47 @@ impl StrategyContext<'_> {
         raw_sellable_qty.saturating_sub(self.symbol_open_sell_quantity(symbol))
     }
 
+    pub fn has_dynamic_universe(&self) -> bool {
+        self.dynamic_universe
+            .is_some_and(|symbols| !symbols.is_empty())
+    }
+
+    pub fn dynamic_universe_count(&self) -> usize {
+        self.dynamic_universe.map_or(0, BTreeSet::len)
+    }
+
+    pub fn dynamic_universe_contains(&self, symbol: &str) -> bool {
+        self.dynamic_universe
+            .is_some_and(|symbols| symbols.contains(symbol))
+    }
+
+    pub fn eligible_universe_on(
+        &self,
+        date: NaiveDate,
+    ) -> Vec<crate::data::EligibleUniverseSnapshot> {
+        let eligible = self.data.eligible_universe_on(date);
+        match self.dynamic_universe {
+            Some(symbols) if !symbols.is_empty() => eligible
+                .iter()
+                .filter(|row| symbols.contains(&row.symbol))
+                .cloned()
+                .collect(),
+            _ => eligible.to_vec(),
+        }
+    }
+
+    pub fn has_subscriptions(&self) -> bool {
+        !self.subscriptions.is_empty()
+    }
+
+    pub fn subscription_count(&self) -> usize {
+        self.subscriptions.len()
+    }
+
+    pub fn is_subscribed(&self, symbol: &str) -> bool {
+        self.subscriptions.contains(symbol)
+    }
+
     pub fn has_process_events(&self) -> bool {
         !self.process_events.is_empty() || self.active_process_event.is_some()
     }
@@ -381,6 +424,18 @@ pub enum OrderIntent {
     CancelAll {
         reason: String,
     },
+    UpdateUniverse {
+        symbols: BTreeSet<String>,
+        reason: String,
+    },
+    Subscribe {
+        symbols: BTreeSet<String>,
+        reason: String,
+    },
+    Unsubscribe {
+        symbols: BTreeSet<String>,
+        reason: String,
+    },
 }
 
 #[derive(Debug, Clone)]
@@ -696,6 +751,7 @@ impl Strategy for CnSmallCapRotationStrategy {
                     benchmark,
                     reference_level: signal_level,
                     data: ctx.data,
+                    dynamic_universe: ctx.dynamic_universe,
                 });
             let before_ma_count = selected_before_ma.len();
             let mut ma_rejects = Vec::new();
@@ -1576,6 +1632,13 @@ impl JqMicroCapStrategy {
                 if !selected_set.insert(symbol.clone()) {
                     continue;
                 }
+                if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(symbol) {
+                    selected_set.remove(symbol);
+                    if diagnostics.len() < 14 {
+                        diagnostics.push(format!("truth {} rejected by dynamic_universe", symbol));
+                    }
+                    continue;
+                }
                 if let Some(reason) = self.buy_rejection_reason(ctx, date, symbol)? {
                     selected_set.remove(symbol);
                     if diagnostics.len() < 14 {
@@ -1588,8 +1651,8 @@ impl JqMicroCapStrategy {
             }
 
             if selected.len() < self.config.stocknum {
-                let universe = ctx.data.eligible_universe_on(date);
-                let start = lower_bound_eligible(universe, band_low);
+                let universe = ctx.eligible_universe_on(date);
+                let start = lower_bound_eligible(&universe, band_low);
                 for candidate in universe.iter().skip(start) {
                     if candidate.market_cap_bn > band_high {
                         break;
@@ -1623,10 +1686,10 @@ impl JqMicroCapStrategy {
             return Ok((selected, diagnostics));
         }
 
-        let universe = ctx.data.eligible_universe_on(date);
+        let universe = ctx.eligible_universe_on(date);
         let mut diagnostics = Vec::new();
         let mut selected = Vec::new();
-        let start = lower_bound_eligible(universe, band_low);
+        let start = lower_bound_eligible(&universe, band_low);
 
         for candidate in universe.iter().skip(start) {
             if candidate.market_cap_bn > band_high {