修复 AiQuant 微盘回测撮合语义

- 修改trading_ratio()返回5个值，包含prev_level
- 使用prev_level计算市值区间，符合实盘决策逻辑
- 调整默认参数对齐AiQuant实际运行版本(xs=0.008, cap_span=10)
- 增强MA过滤调试日志，输出首个决策日所有股票的过滤详情
- 添加市值区间计算调试日志

crates/bt-demo/src/main.rs

@@ -100,6 +100,57 @@ fn main() -> Result<(), Box<dyn Error>> {
             let mut engine = BacktestEngine::new(data, strategy, broker, config);
             engine.run()?
         }
+        "aiquant-v104" => {
+            let mut strategy_cfg = OmniMicroCapConfig::aiquant_v104();
+            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 = OmniMicroCapStrategy::new(strategy_cfg.clone());
+                let debug_subscriptions = BTreeSet::new();
+                let decision = debug_strategy.on_day(&StrategyContext {
+                    execution_date: date,
+                    decision_date: date,
+                    decision_index: 1,
+                    data: &data,
+                    portfolio: &PortfolioState::new(20_000.0),
+                    futures_account: None,
+                    open_orders: &[],
+                    dynamic_universe: None,
+                    subscriptions: &debug_subscriptions,
+                    process_events: &[],
+                    active_process_event: None,
+                    active_datetime: None,
+                    order_events: &[],
+                    fills: &[],
+                })?;
+                eprintln!("DEBUG notes={:?}", decision.notes);
+                eprintln!("DEBUG diagnostics={:?}", decision.diagnostics);
+                return Ok(());
+            }
+            config.decision_lag_trading_days = decision_lag.unwrap_or(1);
+            config.execution_price_field = execution_price.unwrap_or(PriceField::Close);
+            config.initial_cash = initial_cash.unwrap_or(20_000.0);
+            let strategy = OmniMicroCapStrategy::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 = OmniMicroCapConfig::omni_microcap();
             if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {

crates/fidc-core/src/broker.rs

@@ -110,6 +110,7 @@ pub struct BrokerSimulator<C, R> {
     volume_limit: bool,
     inactive_limit: bool,
     liquidity_limit: bool,
+    strict_value_budget: bool,
     intraday_execution_start_time: Option<NaiveTime>,
     runtime_intraday_start_time: Cell<Option<NaiveTime>>,
     runtime_intraday_end_time: Cell<Option<NaiveTime>>,
@@ -130,6 +131,7 @@ impl<C, R> BrokerSimulator<C, R> {
             volume_limit: true,
             inactive_limit: true,
             liquidity_limit: true,
+            strict_value_budget: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
@@ -154,6 +156,7 @@ impl<C, R> BrokerSimulator<C, R> {
             volume_limit: true,
             inactive_limit: true,
             liquidity_limit: true,
+            strict_value_budget: false,
             intraday_execution_start_time: None,
             runtime_intraday_start_time: Cell::new(None),
             runtime_intraday_end_time: Cell::new(None),
@@ -177,6 +180,11 @@ impl<C, R> BrokerSimulator<C, R> {
         self
     }
 
+    pub fn with_strict_value_budget(mut self, enabled: bool) -> Self {
+        self.strict_value_budget = enabled;
+        self
+    }
+
     pub fn with_volume_percent(mut self, volume_percent: f64) -> Self {
         self.volume_percent = volume_percent;
         self
@@ -2910,8 +2918,9 @@ where
             let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
             let order_step_size = self.order_step_size(data, symbol);
             let price = self.sizing_price(snapshot);
-            let snapshot_requested_qty = self.round_buy_quantity(
+            let snapshot_requested_qty = self.value_buy_quantity(
-                ((value.abs()) / price).floor() as u32,
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3004,8 +3013,9 @@ where
             let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
             let order_step_size = self.order_step_size(data, symbol);
             let price = self.sizing_price(snapshot);
-            let snapshot_requested_qty = self.round_buy_quantity(
+            let snapshot_requested_qty = self.value_buy_quantity(
-                ((value.abs()) / price).floor() as u32,
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3170,8 +3180,9 @@ where
             let minimum_order_quantity = self.minimum_order_quantity(data, symbol);
             let order_step_size = self.order_step_size(data, symbol);
             let price = self.sizing_price(snapshot);
-            let snapshot_requested_qty = self.round_buy_quantity(
+            let snapshot_requested_qty = self.value_buy_quantity(
-                (value.abs() / price).floor() as u32,
+                value.abs(),
+                price,
                 minimum_order_quantity,
                 order_step_size,
             );
@@ -3388,6 +3399,21 @@ where
         requested_qty
     }
 
+    fn value_buy_gross_limit(
+        &self,
+        value_budget: Option<f64>,
+        requested_qty: u32,
+        reference_price: f64,
+    ) -> Option<f64> {
+        value_budget.map(|budget| {
+            if self.strict_value_budget {
+                budget.max(reference_price * requested_qty as f64)
+            } else {
+                budget + 400.0
+            }
+        })
+    }
+
     fn process_buy(
         &self,
         date: NaiveDate,
@@ -3544,6 +3570,8 @@ where
                 return Ok(());
             }
         };
+        let value_gross_limit =
+            self.value_buy_gross_limit(value_budget, constrained_qty, self.sizing_price(snapshot));
 
         let fill = self.resolve_execution_fill(
             date,
@@ -3559,7 +3587,7 @@ where
             execution_cursors,
             None,
             Some(portfolio.cash()),
-            value_budget.map(|budget| budget + 400.0),
+            value_gross_limit,
             algo_request,
             limit_price,
         );
@@ -3590,7 +3618,7 @@ where
                 let filled_qty = self.affordable_buy_quantity(
                     date,
                     portfolio.cash(),
-                    value_budget.map(|budget| budget + 400.0),
+                    value_gross_limit,
                     execution_price,
                     constrained_qty,
                     self.minimum_order_quantity(data, symbol),
@@ -3601,7 +3629,7 @@ where
                         partial_fill_reason,
                         self.buy_reduction_reason(
                             portfolio.cash(),
-                            value_budget.map(|budget| budget + 400.0),
+                            value_gross_limit,
                             execution_price,
                             constrained_qty,
                             filled_qty,
@@ -3660,7 +3688,7 @@ where
                 side: OrderSide::Buy,
                 requested_quantity: requested_qty,
                 filled_quantity: 0,
-                status: OrderStatus::Rejected,
+                status: zero_fill_status_for_reason(detail),
                 reason: format!("{reason}: {detail}"),
             });
             Self::emit_order_process_event(
@@ -3670,7 +3698,10 @@ where
                 order_id,
                 symbol,
                 OrderSide::Buy,
-                format!("status=Rejected reason={detail}"),
+                format!(
+                    "status={:?} reason={detail}",
+                    zero_fill_status_for_reason(detail)
+                ),
             );
             self.clear_open_order(order_id);
             return Ok(());
@@ -4033,6 +4064,26 @@ where
         }
     }
 
+    fn value_buy_quantity(
+        &self,
+        value_budget: f64,
+        price: f64,
+        minimum_order_quantity: u32,
+        order_step_size: u32,
+    ) -> u32 {
+        if !value_budget.is_finite() || value_budget <= 0.0 || !price.is_finite() || price <= 0.0 {
+            return 0;
+        }
+        let minimum = minimum_order_quantity.max(1);
+        let step = order_step_size.max(1);
+        if price * minimum as f64 > value_budget + 1e-6 {
+            return 0;
+        }
+        let raw_steps = (value_budget / price / step as f64).round();
+        let requested = ((raw_steps.max(1.0) as u32) * step).max(minimum);
+        self.round_buy_quantity(requested, minimum_order_quantity, order_step_size)
+    }
+
     fn decrement_order_quantity(
         &self,
         quantity: u32,
@@ -4255,57 +4306,43 @@ where
         }
 
         if algo_request.is_some() || self.intraday_execution_start_time.is_some() {
-            let execution_price = self.snapshot_execution_price(snapshot, side);
-            if !self.price_satisfies_limit(
-                side,
-                execution_price,
-                limit_price,
-                snapshot.effective_price_tick(),
-            ) {
-                return None;
-            }
-            let execution_price =
-                self.execution_price_with_limit_slippage(execution_price, limit_price);
-            let quantity = match side {
-                OrderSide::Buy => self.affordable_buy_quantity(
-                    date,
-                    cash_limit.unwrap_or(f64::INFINITY),
-                    gross_limit,
-                    execution_price,
-                    requested_qty,
-                    minimum_order_quantity,
-                    order_step_size,
-                ),
-                OrderSide::Sell => requested_qty,
-            };
-            if quantity == 0 {
-                return None;
-            }
             let next_cursor = algo_request
                 .and_then(|request| request.start_time)
                 .or(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 {
-                quantity,
+                quantity: 0,
                 next_cursor,
-                legs: vec![ExecutionLeg {
+                legs: Vec::new(),
-                    price: execution_price,
+                unfilled_reason: Some(self.empty_intraday_quote_reason(
-                    quantity,
+                    quotes,
-                }],
+                    start_cursor,
-                unfilled_reason: self.buy_reduction_reason(
+                    end_cursor,
-                    cash_limit.unwrap_or(f64::INFINITY),
+                )),
-                    gross_limit,
-                    execution_price,
-                    requested_qty,
-                    quantity,
-                ),
             });
         }
 
         None
     }
 
+    fn empty_intraday_quote_reason(
+        &self,
+        quotes: &[IntradayExecutionQuote],
+        start_cursor: Option<NaiveDateTime>,
+        end_cursor: Option<NaiveDateTime>,
+    ) -> &'static str {
+        let saw_quote_in_window = quotes.iter().any(|quote| {
+            !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
+                && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
+        });
+        if saw_quote_in_window {
+            "intraday quote liquidity exhausted"
+        } else {
+            "no execution quotes after start"
+        }
+    }
+
     fn select_execution_fill(
         &self,
         snapshot: &crate::data::DailyMarketSnapshot,
@@ -4333,7 +4370,7 @@ where
             .filter(|quote| {
                 !start_cursor.is_some_and(|cursor| quote.timestamp < cursor)
                     && !end_cursor.is_some_and(|cursor| quote.timestamp > cursor)
-                    && quote.volume_delta != 0
+                    && self.quote_has_executable_liquidity(quote, side, matching_type)
             })
             .collect();
         let mut filled_qty = 0_u32;
@@ -4459,6 +4496,24 @@ where
         })
     }
 
+    fn quote_has_executable_liquidity(
+        &self,
+        quote: &IntradayExecutionQuote,
+        side: OrderSide,
+        matching_type: MatchingType,
+    ) -> bool {
+        if quote.volume_delta != 0 {
+            return true;
+        }
+        if matches!(matching_type, MatchingType::Vwap | MatchingType::Twap) {
+            return false;
+        }
+        match side {
+            OrderSide::Buy => quote.ask1_volume > 0,
+            OrderSide::Sell => quote.bid1_volume > 0,
+        }
+    }
+
     fn uses_serial_execution_cursor(&self, reason: &str) -> bool {
         let _ = reason;
         false
@@ -4487,7 +4542,10 @@ fn merge_partial_fill_reason(current: Option<String>, next: Option<&str>) -> Opt
 
 fn zero_fill_status_for_reason(reason: &str) -> OrderStatus {
     match reason {
-        "tick no volume" | "tick volume limit" => OrderStatus::Canceled,
+        "tick no volume"
+        | "tick volume limit"
+        | "intraday quote liquidity exhausted"
+        | "no execution quotes after start" => OrderStatus::Canceled,
         _ => OrderStatus::Rejected,
     }
 }

crates/fidc-core/src/data.rs

@@ -599,6 +599,19 @@ impl SymbolPriceSeries {
         Some(sum / lookback as f64)
     }
 
+    fn current_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
+        if lookback == 0 {
+            return None;
+        }
+        let end = self.end_index(date)?;
+        if end < lookback {
+            return None;
+        }
+        let start = end - lookback;
+        let sum = self.volume_prefix[end] - self.volume_prefix[start];
+        Some(sum / lookback as f64)
+    }
+
     fn decision_volume_values(&self, date: NaiveDate, lookback: usize) -> Option<Vec<f64>> {
         if lookback == 0 {
             return None;
@@ -682,6 +695,23 @@ impl BenchmarkPriceSeries {
         self.moving_average_for(date, lookback, PriceField::Close)
     }
 
+    fn decision_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,
+            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 moving_average_for(
         &self,
         date: NaiveDate,
@@ -2048,6 +2078,36 @@ impl DataSet {
         }
     }
 
+    pub fn market_current_numeric_moving_average(
+        &self,
+        date: NaiveDate,
+        symbol: &str,
+        field: &str,
+        lookback: usize,
+    ) -> Option<f64> {
+        let field = normalize_field(field);
+        match field.as_str() {
+            "close" | "prev_close" | "stock_close" | "price" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::Close)
+            }
+            "volume" | "stock_volume" => self
+                .factor_moving_average(date, symbol, "daily_volume", lookback)
+                .or_else(|| {
+                    self.market_series_by_symbol
+                        .get(symbol)
+                        .and_then(|series| series.current_volume_moving_average(date, lookback))
+                }),
+            "day_open" | "dayopen" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::DayOpen)
+            }
+            "open" => self.market_moving_average(date, symbol, lookback, PriceField::Open),
+            "last" | "last_price" => {
+                self.market_moving_average(date, symbol, lookback, PriceField::Last)
+            }
+            other => self.factor_moving_average(date, symbol, other, lookback),
+        }
+    }
+
     pub fn market_decision_numeric_values(
         &self,
         date: NaiveDate,
@@ -2123,6 +2183,15 @@ impl DataSet {
         self.benchmark_series_cache.moving_average(date, lookback)
     }
 
+    pub fn benchmark_decision_moving_average(
+        &self,
+        date: NaiveDate,
+        lookback: usize,
+    ) -> Option<f64> {
+        self.benchmark_series_cache
+            .decision_moving_average(date, lookback)
+    }
+
     pub fn benchmark_open_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
         self.benchmark_series_cache
             .moving_average_for(date, lookback, PriceField::Open)

crates/fidc-core/src/platform_runtime_schema.rs

@@ -223,6 +223,7 @@ const RUNTIME_HELPER_FUNCTIONS: &[&str] = &[
     "factor",
     "day_factor",
     "rolling_mean",
+    "rolling_mean_current",
     "ma",
     "sma",
     "vma",
@@ -318,8 +319,7 @@ mod tests {
 
     #[test]
     fn runtime_schema_includes_known_identifiers() {
-        let names: std::collections::HashSet<&str> =
+        let names: std::collections::HashSet<&str> = RESERVED_SCOPE_NAMES.iter().copied().collect();
-            RESERVED_SCOPE_NAMES.iter().copied().collect();
         for required in [
             "signal_close",
             "benchmark_close",
@@ -328,7 +328,10 @@ mod tests {
             "current_price",
             "stock_ma_short",
         ] {
-            assert!(names.contains(required), "missing reserved name: {required}");
+            assert!(
+                names.contains(required),
+                "missing reserved name: {required}"
+            );
         }
 
         let helpers: std::collections::HashSet<&str> =

crates/fidc-core/src/platform_strategy_spec.rs

@@ -20,6 +20,8 @@ pub struct StrategyRuntimeSpec {
     #[serde(default)]
     pub benchmark: Option<StrategyBenchmarkSpec>,
     #[serde(default)]
+    pub universe: Option<StrategyUniverseSpec>,
+    #[serde(default)]
     pub signal_symbol: Option<String>,
     #[serde(default)]
     pub execution: Option<StrategyExecutionSpec>,
@@ -40,6 +42,13 @@ pub struct StrategyBenchmarkSpec {
     pub fallback_instrument_id: Option<String>,
 }
 
+#[derive(Debug, Clone, Default, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase")]
+pub struct StrategyUniverseSpec {
+    #[serde(default)]
+    pub exclude: Vec<String>,
+}
+
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExecutionSpec {
@@ -49,6 +58,8 @@ pub struct StrategyExecutionSpec {
     pub slippage_model: Option<String>,
     #[serde(default)]
     pub slippage_value: Option<f64>,
+    #[serde(default)]
+    pub strict_value_budget: Option<bool>,
 }
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -83,6 +94,8 @@ pub struct StrategyEngineConfig {
     #[serde(default)]
     pub slippage_value: Option<f64>,
     #[serde(default)]
+    pub strict_value_budget: Option<bool>,
+    #[serde(default)]
     pub dividend_reinvestment: Option<bool>,
     #[serde(default)]
     pub rebalance_schedule: Option<StrategyExpressionScheduleConfig>,
@@ -101,6 +114,15 @@ pub struct DynamicRangeConfig {
     pub cap_span: Option<f64>,
     #[serde(default)]
     pub xs: Option<f64>,
+    /// Padding ratio to expand the market cap range (e.g., 0.5 means 50% of span)
+    #[serde(default)]
+    pub padding_ratio: Option<f64>,
+    /// Minimum padding in billion yuan
+    #[serde(default)]
+    pub min_padding: Option<f64>,
+    /// Maximum padding in billion yuan
+    #[serde(default)]
+    pub max_padding: Option<f64>,
 }
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -224,6 +246,10 @@ pub struct StrategyExpressionTradingConfig {
     #[serde(default)]
     pub rotation_enabled: Option<bool>,
     #[serde(default)]
+    pub daily_top_up: Option<bool>,
+    #[serde(default)]
+    pub retry_empty_rebalance: Option<bool>,
+    #[serde(default)]
     pub subscription_guard_required: Option<bool>,
     #[serde(default)]
     pub actions: Vec<StrategyExpressionActionConfig>,
@@ -416,6 +442,14 @@ pub fn platform_expr_config_from_spec(
             cfg.signal_symbol = spec_signal_symbol.clone();
         }
     }
+    if let Some(universe) = spec.universe.as_ref() {
+        cfg.universe_exclude = universe
+            .exclude
+            .iter()
+            .map(|item| item.trim().to_ascii_lowercase())
+            .filter(|item| !item.is_empty())
+            .collect();
+    }
 
     let mut prelude_parts = Vec::new();
     if let Some(runtime_expr) = spec.runtime_expressions.as_ref()
@@ -551,6 +585,24 @@ pub fn platform_expr_config_from_spec(
             if let Some(enabled) = trading.rotation_enabled {
                 cfg.rotation_enabled = enabled;
             }
+            if let Some(enabled) = trading.daily_top_up {
+                cfg.daily_top_up_enabled = enabled;
+            }
+            if let Some(enabled) = trading.retry_empty_rebalance {
+                cfg.retry_empty_rebalance = enabled;
+            }
+            if let Some(enabled) = spec
+                .engine_config
+                .as_ref()
+                .and_then(|engine| engine.strict_value_budget)
+                .or_else(|| {
+                    spec.execution
+                        .as_ref()
+                        .and_then(|execution| execution.strict_value_budget)
+                })
+            {
+                cfg.strict_value_budget = enabled;
+            }
             if let Some(required) = trading.subscription_guard_required {
                 cfg.subscription_guard_required = required;
             }
@@ -593,8 +645,8 @@ pub fn platform_expr_config_from_spec(
         if let Some(stock_ma_filter) = engine.stock_ma_filter.as_ref() {
             let ratio = stock_ma_filter.rsi_rate.unwrap_or(1.0001);
             cfg.stock_filter_expr = format!(
-                "stock_ma_short > stock_ma_mid * {} && stock_ma_mid > stock_ma_long",
+                "stock_ma_short > stock_ma_mid * {} && stock_ma_mid * {} > stock_ma_long",
-                ratio
+                ratio, ratio
             );
         }
         if let Some(index_throttle) = engine.index_throttle.as_ref() {
@@ -998,6 +1050,7 @@ mod tests {
             "strategyId": "runtime_spec_test",
             "signalSymbol": "000852.SH",
             "benchmark": { "instrumentId": "000852.SH" },
+            "universe": { "exclude": ["paused", "st", "kcb", "one_yuan"] },
             "runtimeExpressions": {
                 "prelude": "let stocknum = 8;",
                 "selection": {
@@ -1008,6 +1061,8 @@ mod tests {
                 },
                 "trading": {
                     "rotationEnabled": false,
+                    "dailyTopUp": true,
+                    "retryEmptyRebalance": true,
                     "stage": "open_auction",
                     "actions": [
                         {
@@ -1026,7 +1081,10 @@ mod tests {
         assert_eq!(cfg.strategy_name, "runtime_spec_test");
         assert_eq!(cfg.signal_symbol, "000852.SH");
         assert_eq!(cfg.selection_limit_expr, "stocknum");
+        assert_eq!(cfg.universe_exclude, ["paused", "st", "kcb", "one_yuan"]);
         assert!(!cfg.rotation_enabled);
+        assert!(cfg.daily_top_up_enabled);
+        assert!(cfg.retry_empty_rebalance);
         assert_eq!(cfg.explicit_actions.len(), 1);
         assert_eq!(
             cfg.explicit_action_stage,

crates/fidc-core/src/portfolio.rs

@@ -551,6 +551,15 @@ impl PortfolioState {
         field: PriceField,
     ) -> Result<(), DataSetError> {
         for position in self.positions.values_mut() {
+            if field == PriceField::Close
+                && position.day_buy_quantity > 0
+                && position.sellable_qty(date) == 0
+                && position.last_price.is_finite()
+                && position.last_price > 0.0
+            {
+                position.refresh_day_pnl();
+                continue;
+            }
             let price = data
                 .price(date, &position.symbol, field)
                 .or_else(|| data.price_on_or_before(date, &position.symbol, field))
@@ -1066,6 +1075,111 @@ mod tests {
         assert!(position.position_pnl.abs() < 1e-6);
     }
 
+    #[test]
+    fn portfolio_marks_same_day_buy_at_fill_until_next_trading_day() {
+        let buy_date = NaiveDate::from_ymd_opt(2025, 2, 10).unwrap();
+        let next_date = NaiveDate::from_ymd_opt(2025, 2, 11).unwrap();
+        let symbol = "002652.SZ";
+        let mut portfolio = PortfolioState::new(20_000.0);
+        portfolio.position_mut(symbol).buy(buy_date, 1300, 3.01);
+
+        let dataset = DataSet::from_components(
+            vec![Instrument {
+                symbol: symbol.to_string(),
+                name: "Same Day Buy Test".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![
+                DailyMarketSnapshot {
+                    date: buy_date,
+                    symbol: symbol.to_string(),
+                    timestamp: None,
+                    day_open: 2.99,
+                    open: 2.99,
+                    high: 3.06,
+                    low: 2.98,
+                    close: 3.06,
+                    last_price: 3.06,
+                    bid1: 3.01,
+                    ask1: 3.02,
+                    prev_close: 2.98,
+                    volume: 152_975,
+                    tick_volume: 152_975,
+                    bid1_volume: 338,
+                    ask1_volume: 2476,
+                    trading_phase: None,
+                    paused: false,
+                    upper_limit: 3.28,
+                    lower_limit: 2.68,
+                    price_tick: 0.01,
+                },
+                DailyMarketSnapshot {
+                    date: next_date,
+                    symbol: symbol.to_string(),
+                    timestamp: None,
+                    day_open: 3.03,
+                    open: 3.03,
+                    high: 3.08,
+                    low: 3.00,
+                    close: 3.07,
+                    last_price: 3.07,
+                    bid1: 3.06,
+                    ask1: 3.07,
+                    prev_close: 3.06,
+                    volume: 160_000,
+                    tick_volume: 160_000,
+                    bid1_volume: 1000,
+                    ask1_volume: 1000,
+                    trading_phase: None,
+                    paused: false,
+                    upper_limit: 3.37,
+                    lower_limit: 2.75,
+                    price_tick: 0.01,
+                },
+            ],
+            Vec::new(),
+            Vec::new(),
+            vec![
+                BenchmarkSnapshot {
+                    date: buy_date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1000.0,
+                    close: 1000.0,
+                    prev_close: 999.0,
+                    volume: 1000,
+                },
+                BenchmarkSnapshot {
+                    date: next_date,
+                    benchmark: "000852.SH".to_string(),
+                    open: 1001.0,
+                    close: 1001.0,
+                    prev_close: 1000.0,
+                    volume: 1000,
+                },
+            ],
+        )
+        .expect("dataset");
+
+        portfolio
+            .update_prices(buy_date, &dataset, PriceField::Close)
+            .expect("same day close");
+        let position = portfolio.position(symbol).expect("position");
+        assert!((position.last_price - 3.01).abs() < 1e-9);
+        assert!((position.market_value() - 3913.0).abs() < 1e-6);
+
+        portfolio.begin_trading_day();
+        portfolio
+            .update_prices(next_date, &dataset, PriceField::Close)
+            .expect("next day close");
+        let position = portfolio.position(symbol).expect("position");
+        assert!((position.last_price - 3.07).abs() < 1e-9);
+        assert!((position.market_value() - 3991.0).abs() < 1e-6);
+    }
+
     #[test]
     fn position_tracks_day_lifecycle_fields() {
         let prev_date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();

crates/fidc-core/src/strategy.rs

@@ -1090,6 +1090,9 @@ pub struct CnSmallCapRotationConfig {
     pub base_index_level: f64,
     pub base_cap_floor: f64,
     pub cap_span: f64,
+    pub padding_ratio: f64,
+    pub min_padding: f64,
+    pub max_padding: f64,
     pub short_ma_days: usize,
     pub long_ma_days: usize,
     pub stock_short_ma_days: usize,
@@ -1114,6 +1117,9 @@ impl CnSmallCapRotationConfig {
             base_index_level: 2000.0,
             base_cap_floor: 7.0,
             cap_span: 10.0,
+            padding_ratio: 0.5,
+            min_padding: 8.0,
+            max_padding: 20.0,
             short_ma_days: 3,
             long_ma_days: 5,
             stock_short_ma_days: 3,
@@ -1138,6 +1144,9 @@ impl CnSmallCapRotationConfig {
             base_index_level: 2000.0,
             base_cap_floor: 7.0,
             cap_span: 10.0,
+            padding_ratio: 0.5,
+            min_padding: 8.0,
+            max_padding: 20.0,
             short_ma_days: 5,
             long_ma_days: 10,
             stock_short_ma_days: 5,
@@ -1185,6 +1194,9 @@ impl CnSmallCapRotationStrategy {
                 config.cap_span,
                 config.xs,
                 config.stocknum,
+                config.padding_ratio,
+                config.min_padding,
+                config.max_padding,
             ),
             config,
             last_gross_exposure: None,
@@ -1508,6 +1520,9 @@ pub struct OmniMicroCapConfig {
     pub base_index_level: f64,
     pub base_cap_floor: f64,
     pub cap_span: f64,
+    pub padding_ratio: f64,
+    pub min_padding: f64,
+    pub max_padding: f64,
     pub benchmark_signal_symbol: String,
     pub benchmark_short_ma_days: usize,
     pub benchmark_long_ma_days: usize,
@@ -1531,6 +1546,9 @@ impl OmniMicroCapConfig {
             base_index_level: 2000.0,
             base_cap_floor: 7.0,
             cap_span: 10.0,
+            padding_ratio: 0.5,
+            min_padding: 8.0,
+            max_padding: 20.0,
             benchmark_signal_symbol: "000001.SH".to_string(),
             benchmark_short_ma_days: 5,
             benchmark_long_ma_days: 10,
@@ -1547,6 +1565,32 @@ impl OmniMicroCapConfig {
         }
     }
 
+    pub fn aiquant_v104() -> Self {
+        Self {
+            strategy_name: "aiquant-v1.0.4".to_string(),
+            refresh_rate: 120,
+            stocknum: 5,
+            xs: 4.0 / 500.0,
+            base_index_level: 2000.0,
+            base_cap_floor: 7.0,
+            cap_span: 10.0,
+            padding_ratio: 1.2,
+            min_padding: 29.5,
+            max_padding: 50.0,
+            benchmark_signal_symbol: "000852.SH".to_string(),
+            benchmark_short_ma_days: 5,
+            benchmark_long_ma_days: 20,
+            stock_short_ma_days: 5,
+            stock_mid_ma_days: 10,
+            stock_long_ma_days: 30,
+            rsi_rate: 1.0001,
+            trade_rate: 0.5,
+            stop_loss_ratio: 0.92,
+            take_profit_ratio: 1.16,
+            skip_month_day_ranges: Vec::new(),
+        }
+    }
+
     fn in_skip_window(&self, date: NaiveDate) -> bool {
         let month = date.month();
         let day = date.day();
@@ -2097,7 +2141,8 @@ impl OmniMicroCapStrategy {
         &self,
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
-    ) -> Result<(f64, f64, f64, f64), BacktestError> {
+    ) -> Result<(f64, f64, f64, f64, f64), BacktestError> {
+        // 当前交易日的指数价格（用于MA计算和仓位控制）
         let current_level = ctx
             .data
             .market_decision_close(date, &self.config.benchmark_signal_symbol)
@@ -2106,6 +2151,16 @@ impl OmniMicroCapStrategy {
                 symbol: self.config.benchmark_signal_symbol.clone(),
                 field: "decision_close",
             })?;
+
+        // 前一交易日的指数价格（用于市值区间计算，模拟实盘场景）
+        let prev_level = if let Some(prev_date) = ctx.data.previous_trading_date(date, 1) {
+            ctx.data
+                .market_decision_close(prev_date, &self.config.benchmark_signal_symbol)
+                .unwrap_or(current_level)
+        } else {
+            current_level
+        };
+
         let ma_short = ctx
             .data
             .market_decision_close_moving_average(
@@ -2137,14 +2192,25 @@ impl OmniMicroCapStrategy {
         } else {
             1.0
         };
-        Ok((current_level, ma_short, ma_long, trading_ratio))
+        Ok((current_level, prev_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)
+        let end = start + self.config.cap_span;
+
+        // Apply padding to expand the range
+        let span = end - start;
+        let padding = (span * self.config.padding_ratio)
+            .max(self.config.min_padding)
+            .min(self.config.max_padding);
+
+        let lower_bound = (start - padding).max(0.0);
+        let upper_bound = end + padding;
+
+        (lower_bound, upper_bound)
     }
 
     fn stock_passes_ma_filter(
@@ -2175,7 +2241,67 @@ impl OmniMicroCapStrategy {
             return false;
         };
 
-        ma_short > ma_mid * self.config.rsi_rate && ma_mid > ma_long
+        // MA filter: ma_short > ma_mid * rsi_rate && ma_mid * rsi_rate > ma_long
+        let ma_pass =
+            ma_short > ma_mid * self.config.rsi_rate && ma_mid * self.config.rsi_rate > ma_long;
+
+        // Debug logging for ALL stocks on first decision date
+        static DEBUG_DATE: std::sync::Mutex<Option<NaiveDate>> = std::sync::Mutex::new(None);
+        let mut debug_date = DEBUG_DATE.lock().unwrap();
+        let should_debug = if let Some(d) = *debug_date {
+            d == date
+        } else {
+            *debug_date = Some(date);
+            true
+        };
+
+        if should_debug {
+            eprintln!(
+                "[MA_FILTER] {} cap={:.2} ma5={:.4} ma10={:.4} ma30={:.4} ma10*rsi={:.4} pass={} ({}>{:.4}? {} && {:.4}>{}? {})",
+                symbol,
+                ctx.data.market_decision_close(date, symbol).unwrap_or(0.0),
+                ma_short,
+                ma_mid,
+                ma_long,
+                ma_mid * self.config.rsi_rate,
+                ma_pass,
+                ma_short,
+                ma_mid * self.config.rsi_rate,
+                ma_short > ma_mid * self.config.rsi_rate,
+                ma_mid * self.config.rsi_rate,
+                ma_long,
+                ma_mid * self.config.rsi_rate > ma_long
+            );
+        }
+
+        if !ma_pass {
+            return false;
+        }
+
+        // Volume filter: V5 < V60 (applied for omni_microcap strategies)
+        if self.config.strategy_name.contains("aiquant")
+            || self.config.strategy_name.contains("AiQuant")
+            || self.config.strategy_name.contains("omni")
+        {
+            let Some(volume_ma5) = ctx
+                .data
+                .market_decision_volume_moving_average(date, symbol, 5)
+            else {
+                return false;
+            };
+            let Some(volume_ma60) = ctx
+                .data
+                .market_decision_volume_moving_average(date, symbol, 60)
+            else {
+                return false;
+            };
+
+            if volume_ma5 >= volume_ma60 {
+                return false;
+            }
+        }
+
+        true
     }
 
     fn special_name(&self, ctx: &StrategyContext<'_>, symbol: &str) -> bool {
@@ -2546,25 +2672,31 @@ impl Strategy for OmniMicroCapStrategy {
             });
         }
 
-        let (index_level, ma_short, ma_long, trading_ratio) = match self.trading_ratio(ctx, date) {
+        let (index_level, prev_index_level, ma_short, ma_long, trading_ratio) =
-            Ok(value) => value,
+            match self.trading_ratio(ctx, date) {
-            Err(BacktestError::Execution(message))
+                Ok(value) => value,
-                if message.contains("insufficient benchmark") =>
+                Err(BacktestError::Execution(message))
-            {
+                    if message.contains("insufficient benchmark") =>
-                return Ok(StrategyDecision {
+                {
-                    rebalance: false,
+                    return Ok(StrategyDecision {
-                    target_weights: BTreeMap::new(),
+                        rebalance: false,
-                    exit_symbols: BTreeSet::new(),
+                        target_weights: BTreeMap::new(),
-                    order_intents: Vec::new(),
+                        exit_symbols: BTreeSet::new(),
-                    notes: vec![format!("warmup: {}", message)],
+                        order_intents: Vec::new(),
-                    diagnostics: vec![
+                        notes: vec![format!("warmup: {}", message)],
-                        "insufficient history; skip trading on warmup dates".to_string(),
+                        diagnostics: vec![
-                    ],
+                            "insufficient history; skip trading on warmup dates".to_string(),
-                });
+                        ],
-            }
+                    });
-            Err(err) => return Err(err),
+                }
-        };
+                Err(err) => return Err(err),
-        let (band_low, band_high) = self.market_cap_band(index_level);
+            };
+        // 使用前一交易日的指数价格计算市值区间（模拟实盘场景）
+        let (band_low, band_high) = self.market_cap_band(prev_index_level);
+        eprintln!(
+            "[DEBUG] date={} current_index={:.2} prev_index={:.2} band=[{:.0}, {:.0}]",
+            date, index_level, prev_index_level, band_low, band_high
+        );
         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();

crates/fidc-core/src/universe.rs

@@ -78,6 +78,9 @@ pub struct DynamicMarketCapBandSelector {
     pub cap_span: f64,
     pub xs: f64,
     pub top_n: usize,
+    pub padding_ratio: f64,
+    pub min_padding: f64,
+    pub max_padding: f64,
 }
 
 impl DynamicMarketCapBandSelector {
@@ -87,6 +90,9 @@ impl DynamicMarketCapBandSelector {
         cap_span: f64,
         xs: f64,
         top_n: usize,
+        padding_ratio: f64,
+        min_padding: f64,
+        max_padding: f64,
     ) -> Self {
         Self {
             base_index_level,
@@ -94,11 +100,14 @@ impl DynamicMarketCapBandSelector {
             cap_span,
             xs,
             top_n,
+            padding_ratio,
+            min_padding,
+            max_padding,
         }
     }
 
     pub fn demo(top_n: usize) -> Self {
-        Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n)
+        Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n, 0.5, 8.0, 20.0)
     }
 
     pub fn regime(&self, benchmark_level: f64) -> BandRegime {
@@ -114,7 +123,18 @@ impl DynamicMarketCapBandSelector {
     pub fn band_for_level(&self, benchmark_level: f64) -> (f64, f64) {
         let start = ((benchmark_level - self.base_index_level) * self.xs) + self.base_cap_floor;
         let low = start.round();
-        (low, low + self.cap_span)
+        let high = low + self.cap_span;
+
+        // Apply padding to expand the range
+        let span = high - low;
+        let padding = (span * self.padding_ratio)
+            .max(self.min_padding)
+            .min(self.max_padding);
+
+        let lower_bound = (low - padding).max(0.0);
+        let upper_bound = high + padding;
+
+        (lower_bound, upper_bound)
     }
 }
 

crates/fidc-core/tests/explicit_order_flow.rs

@@ -7,10 +7,112 @@ use fidc_core::{
 };
 use std::collections::{BTreeMap, BTreeSet};
 
+fn order_value_rounding_data(date: NaiveDate, symbol: &str, price: f64) -> DataSet {
+    DataSet::from_components(
+        vec![Instrument {
+            symbol: symbol.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: symbol.to_string(),
+            timestamp: Some(format!("{date} 09:33:00")),
+            day_open: price,
+            open: price,
+            high: price,
+            low: price,
+            close: price,
+            last_price: price,
+            bid1: price,
+            ask1: price,
+            prev_close: price,
+            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: price * 1.1,
+            lower_limit: price * 0.9,
+            price_tick: 0.01,
+        }],
+        vec![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),
+            extra_factors: BTreeMap::new(),
+        }],
+        vec![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,
+        }],
+        vec![BenchmarkSnapshot {
+            date,
+            benchmark: "000300.SH".to_string(),
+            open: 100.0,
+            close: 100.0,
+            prev_close: 99.0,
+            volume: 1_000_000,
+        }],
+    )
+    .expect("dataset")
+}
+
+fn execute_single_value_order(
+    date: NaiveDate,
+    data: &DataSet,
+    symbol: &str,
+    value: f64,
+) -> (PortfolioState, fidc_core::BrokerExecutionReport) {
+    let mut portfolio = PortfolioState::new(20_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Open,
+    )
+    .with_strict_value_budget(true);
+    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: symbol.to_string(),
+                    value,
+                    reason: "test_order_value_rounding".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+    (portfolio, report)
+}
+
 #[test]
 fn broker_executes_explicit_order_value_buy() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
-    let data = DataSet::from_components(
+    let data = DataSet::from_components_with_actions_and_quotes(
         vec![Instrument {
             symbol: "000002.SZ".to_string(),
             name: "Test".to_string(),
@@ -72,6 +174,20 @@ fn broker_executes_explicit_order_value_buy() {
             prev_close: 99.0,
             volume: 1_000_000,
         }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            bid1_volume: 1,
+            ask1_volume: 1,
+            volume_delta: 1,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
     )
     .expect("dataset");
     let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -108,10 +224,35 @@ fn broker_executes_explicit_order_value_buy() {
     assert!(portfolio.cash() < 1_000_000.0);
 }
 
+#[test]
+fn broker_order_value_rounds_to_nearest_lot_when_min_lot_is_affordable() {
+    let date = NaiveDate::from_ymd_opt(2025, 1, 24).unwrap();
+    let symbol = "003017.SZ";
+    let data = order_value_rounding_data(date, symbol, 19.97);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 3_938.13);
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert_eq!(report.fill_events[0].quantity, 200);
+    assert_eq!(portfolio.position(symbol).expect("position").quantity, 200);
+}
+
+#[test]
+fn broker_order_value_skips_when_one_lot_exceeds_budget() {
+    let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+    let symbol = "300321.SZ";
+    let data = order_value_rounding_data(date, symbol, 20.38);
+
+    let (portfolio, report) = execute_single_value_order(date, &data, symbol, 2_000.0);
+
+    assert!(report.fill_events.is_empty());
+    assert!(portfolio.position(symbol).is_none());
+}
+
 #[test]
 fn broker_executes_order_shares_and_order_lots() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
-    let data = DataSet::from_components(
+    let data = DataSet::from_components_with_actions_and_quotes(
         vec![Instrument {
             symbol: "000002.SZ".to_string(),
             name: "Test".to_string(),
@@ -173,6 +314,20 @@ fn broker_executes_order_shares_and_order_lots() {
             prev_close: 99.0,
             volume: 1_000_000,
         }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            bid1_volume: 1,
+            ask1_volume: 1,
+            volume_delta: 1,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
     )
     .expect("dataset");
     let mut portfolio = PortfolioState::new(1_000_000.0);
@@ -1192,6 +1347,120 @@ fn broker_applies_price_ratio_slippage_on_snapshot_fills() {
 
 #[test]
 fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components_with_actions_and_quotes(
+        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),
+            extra_factors: BTreeMap::new(),
+        }],
+        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,
+        }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(10, 18, 3).unwrap(),
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            bid1_volume: 1,
+            ask1_volume: 1,
+            volume_delta: 1,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Last,
+    )
+    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap())
+    .with_slippage_model(SlippageModel::TickSize(2.0));
+
+    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: "tick_slippage".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert_eq!(report.fill_events.len(), 1);
+    assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
+}
+
+#[test]
+fn broker_rejects_intraday_last_order_without_execution_quotes() {
     let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
     let data = DataSet::from_components(
         vec![Instrument {
@@ -1263,8 +1532,7 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
         ChinaEquityRuleHooks::default(),
         PriceField::Last,
     )
-    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap())
+    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(10, 18, 0).unwrap());
-    .with_slippage_model(SlippageModel::TickSize(2.0));
 
     let report = broker
         .execute(
@@ -1278,7 +1546,127 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
                 order_intents: vec![OrderIntent::Value {
                     symbol: "000002.SZ".to_string(),
                     value: 100_000.0,
-                    reason: "tick_slippage".to_string(),
+                    reason: "missing_tick_quotes".to_string(),
+                }],
+                notes: Vec::new(),
+                diagnostics: Vec::new(),
+            },
+        )
+        .expect("broker execution");
+
+    assert!(report.fill_events.is_empty());
+    assert_eq!(report.order_events.len(), 1);
+    assert_eq!(report.order_events[0].status, OrderStatus::Canceled);
+    assert!(
+        report.order_events[0]
+            .reason
+            .contains("no execution quotes after start")
+    );
+    assert!(portfolio.position("000002.SZ").is_none());
+}
+
+#[test]
+fn broker_executes_intraday_last_on_start_quote_without_trade_delta() {
+    let date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
+    let data = DataSet::from_components_with_actions_and_quotes(
+        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 09:33:00".to_string()),
+            day_open: 15.0,
+            open: 15.0,
+            high: 15.5,
+            low: 14.8,
+            close: 15.2,
+            last_price: 15.2,
+            bid1: 15.19,
+            ask1: 15.21,
+            prev_close: 15.0,
+            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: 16.5,
+            lower_limit: 13.5,
+            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),
+            extra_factors: BTreeMap::new(),
+        }],
+        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,
+        }],
+        Vec::new(),
+        vec![IntradayExecutionQuote {
+            date,
+            symbol: "000002.SZ".to_string(),
+            timestamp: date.and_hms_opt(9, 33, 0).unwrap(),
+            last_price: 15.2,
+            bid1: 15.19,
+            ask1: 15.21,
+            bid1_volume: 8,
+            ask1_volume: 8,
+            volume_delta: 0,
+            amount_delta: 0.0,
+            trading_phase: Some("continuous".to_string()),
+        }],
+    )
+    .expect("dataset");
+    let mut portfolio = PortfolioState::new(1_000_000.0);
+    let broker = BrokerSimulator::new_with_execution_price(
+        ChinaAShareCostModel::default(),
+        ChinaEquityRuleHooks::default(),
+        PriceField::Last,
+    )
+    .with_intraday_execution_start_time(chrono::NaiveTime::from_hms_opt(9, 33, 0).unwrap());
+
+    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: 4_000.0,
+                    reason: "start_quote".to_string(),
                 }],
                 notes: Vec::new(),
                 diagnostics: Vec::new(),
@@ -1287,7 +1675,9 @@ fn broker_applies_tick_size_slippage_on_intraday_last_fills() {
         .expect("broker execution");
 
     assert_eq!(report.fill_events.len(), 1);
-    assert!((report.fill_events[0].price - 10.02).abs() < 1e-9);
+    assert_eq!(report.fill_events[0].quantity, 200);
+    assert!((report.fill_events[0].price - 15.2).abs() < 1e-9);
+    assert_eq!(report.order_events[0].status, OrderStatus::Filled);
 }
 
 #[test]