second version

.env.example

@@ -66,6 +66,7 @@ RISK_API_OUTAGE_HALT_SEC=180
 RISK_MAX_CLOCK_DRIFT_SEC=2
 RISK_RECONCILIATION_WINDOW_HOURS=72
 RISK_RECONCILIATION_SKEW_SEC=10
+RISK_COMMISSION_TOLERANCE_RUB=0.01
 RISK_CASH_USAGE_BUFFER=0.95
 RISK_RISK_BUDGET_PER_INSTRUMENT_PCT=0.005
 RISK_MIN_ORDER_NOTIONAL_RUB=1000

README.md

@@ -40,7 +40,7 @@ APP_MODE=backtest go run ./cmd/bot
 | Переменная | Что указывать | Дефолт | Границы/валидация | За что отвечает и что меняется |
 | --- | --- | --- | --- | --- |
 | `TINVEST_TOKEN` | токен T-Invest API | пусто | обязателен для `sandbox`, `live_readonly`, `live_trade` | Доступ к реальному или sandbox API. В `paper` и `backtest` не нужен. |
-| `TINVEST_ACCOUNT_ID` | идентификатор брокерского счёта | пусто | строка; в коде непустота не проверяется | Счёт для портфеля, заявок и сверки. Для API-режимов нужно указать реальный account id, иначе операции у брокера могут падать. |
+| `TINVEST_ACCOUNT_ID` | идентификатор брокерского счёта | пусто | обязателен для `sandbox`, `live_readonly`, `live_trade` | Счёт для портфеля, заявок и сверки. Для API-режимов бот падает на старте, если account id не указан. |
 | `TINVEST_ENDPOINT` | gRPC endpoint T-Invest, обычно `host:port` | `invest-public-api.tinkoff.ru:443` | строка; валидации формата нет | Endpoint для API. В `sandbox` код принудительно использует sandbox endpoint. |
 | `TINVEST_APP_NAME` | имя приложения | `overnight-trading-bot` | строка | Передаётся в SDK как имя клиента. Меняет идентификацию приложения на стороне API/логов. |
 | `TINVEST_REQUEST_TIMEOUT_SEC` | целое число секунд | `10` | рекомендуется `> 0`; сейчас не применяется | Зарезервировано под таймаут API-запросов. На текущий код не влияет. |
@@ -121,6 +121,7 @@ APP_MODE=backtest go run ./cmd/bot
 | `RISK_MAX_CLOCK_DRIFT_SEC` | целое число секунд | `2` | `> 0` включает проверку drift; `<= 0` отключает | Максимальный рассинхрон локального времени и серверного времени API в `/ready`. |
 | `RISK_RECONCILIATION_WINDOW_HOURS` | целое число часов | `72` | должно быть `> 0` | Глубина сверки последних заявок и операций брокера. Больше - больше история сверки, но тяжелее запросы. |
 | `RISK_RECONCILIATION_SKEW_SEC` | целое число секунд | `10` | `>= 0` | Grace-window для только что отправленных локальных заявок: свежие in-flight orders не считаются diff, пока брокерский active-list догоняет запись. |
+| `RISK_COMMISSION_TOLERANCE_RUB` | сумма в рублях | `0.01` | `>= 0` | Допуск для reconciliation по расхождению локальной и брокерской комиссии. Ненулевая брокерская комиссия всё равно считается нарушением при `COMM_REQUIRE_ZERO_COMMISSION=true`. |
 | `RISK_CASH_USAGE_BUFFER` | доля cash | `0.95` | рекомендуется `0..1`; `0` запрещает использование cash | Какая часть свободных денег может идти в sizing. Меньше - больше денежный буфер. |
 | `RISK_RISK_BUDGET_PER_INSTRUMENT_PCT` | доля equity | `0.005` | рекомендуется `> 0` | Риск-бюджет на инструмент, используется вместе с оценкой неблагоприятного overnight-движения. Больше - крупнее позиции при прочих равных. |
 | `RISK_MIN_ORDER_NOTIONAL_RUB` | сумма в рублях | `1000` | `> 0` включает минимум; `<= 0` фактически отключает | Минимальный notional заявки. Если рассчитанная позиция меньше, сигнал отклоняется по sizing. |
@@ -144,7 +145,7 @@ APP_MODE=backtest go run ./cmd/bot
 | Переменная | Что указывать | Дефолт | Границы/валидация | За что отвечает и что меняется |
 | --- | --- | --- | --- | --- |
 | `COMM_REQUIRE_ZERO_COMMISSION` | `true` или `false` | `true` | boolean | При `true` сигналы по инструментам с ожидаемой комиссией `> 0` отклоняются. |
-| `COMM_QUARANTINE_ON_NONZERO` | `true` или `false` | `true` | boolean; сейчас не применяется | Зарезервировано под автоматический quarantine при ненулевой комиссии. На текущий код не влияет. |
+| `COMM_QUARANTINE_ON_NONZERO` | `true` или `false` | `true` | boolean | При фактической брокерской комиссии `> 0` инструмент переводится в quarantine, а система останавливается через HALT по zero-commission policy. |
 | `COMM_FREE_ORDER_COUNT_POLICY` | `submitted` | `submitted` | жёстко только `submitted` | Политика учёта бесплатных заявок: счётчик увеличивается при отправке заявки. Другие значения запрещены валидацией. |
 
 ### BT
@@ -192,7 +193,7 @@ TRUR,2024-01-09,100,101,99,100.5,10000
 
 Для minute-модели используется тот же формат, но `trade_date` может быть timestamp (`2024-01-09T18:25:00Z` или `2024-01-09 18:25:00`).
 
-`ClientOrderID` детерминирован по `(date, instrument_uid, side, attempt)` и содержит 8 hex символов SHA-256. Для дневного числа retry этого достаточно; при ручных массовых перезапусках с теми же параметрами id остаётся тем же, что намеренно подавляет дубли.
+`ClientOrderID` детерминирован по `(date, instrument_uid, side, attempt)`, укладывается в лимит T-Invest `order_id <= 36` и содержит SHA-256 suffix. При ручных массовых перезапусках с теми же параметрами id остаётся тем же, что намеренно подавляет дубли.
 
 ## Deploy
 

internal/app/app.go

@@ -114,8 +114,9 @@ func Run(ctx context.Context, opts Options) error {
 		}
 		accountIDHash := accountHash(cfg.TInvest.AccountID)
 		recon := reconciliation.New(repo, gateway, cfg.TInvest.AccountID, accountIDHash).
-			WithWindow(time.Duration(cfg.Risk.ReconciliationWindowHours) * time.Hour).
-			WithInFlightGrace(time.Duration(cfg.Risk.ReconciliationSkewSec) * time.Second)
+			WithWindow(time.Duration(cfg.Risk.ReconciliationWindowHours)*time.Hour).
+			WithInFlightGrace(time.Duration(cfg.Risk.ReconciliationSkewSec)*time.Second).
+			WithCommissionPolicy(cfg.Commission.RequireZeroCommission, cfg.Commission.QuarantineOnNonZero, cfg.Risk.CommissionToleranceRUB)
 		diffs, err := recon.Run(ctx)
 		if err != nil {
 			return fmt.Errorf("pre-unhalt reconciliation: %w", err)
@@ -155,8 +156,9 @@ func Run(ctx context.Context, opts Options) error {
 
 	accountIDHash := accountHash(cfg.TInvest.AccountID)
 	recon := reconciliation.New(repo, gateway, cfg.TInvest.AccountID, accountIDHash).
-		WithWindow(time.Duration(cfg.Risk.ReconciliationWindowHours) * time.Hour).
-		WithInFlightGrace(time.Duration(cfg.Risk.ReconciliationSkewSec) * time.Second)
+		WithWindow(time.Duration(cfg.Risk.ReconciliationWindowHours)*time.Hour).
+		WithInFlightGrace(time.Duration(cfg.Risk.ReconciliationSkewSec)*time.Second).
+		WithCommissionPolicy(cfg.Commission.RequireZeroCommission, cfg.Commission.QuarantineOnNonZero, cfg.Risk.CommissionToleranceRUB)
 	sm := statemachine.New(repo, cfg.App.Mode)
 	if _, err := sm.Recover(ctx, recon); err != nil {
 		log.Warn("state recovery did not resume trading", "err", err)
@@ -201,7 +203,8 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
 			Start: cfg.Execution.ExitWindowStart,
 			End:   cfg.Execution.ExitWindowEnd,
 		},
-		Location: cfg.Location,
+		IntervalVolumeLookback: 20,
+		Location:               cfg.Location,
 	})
 	signalEngine := signalengine.New(signalengine.Config{
 		MinTStat60:              cfg.Strategy.MinTStat60,
@@ -255,27 +258,30 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
 		Log:           log,
 	}
 	return scheduler.New(clock, sm, scheduler.Config{
-		Mode:                  cfg.App.Mode,
-		Location:              cfg.Location,
-		RollingLong:           cfg.Strategy.RollingLong,
-		TickInterval:          30 * time.Second,
-		EntrySignalTime:       cfg.Execution.EntrySignalTime,
-		EntryWindowStart:      cfg.Execution.EntryWindowStart,
-		EntryWindowEnd:        cfg.Execution.EntryWindowEnd,
-		NoNewEntryAfter:       cfg.Execution.NoNewEntryAfter,
-		ExitWatchStart:        cfg.Execution.ExitWatchStart,
-		ExitWindowStart:       cfg.Execution.ExitWindowStart,
-		ExitWindowEnd:         cfg.Execution.ExitWindowEnd,
-		HardExitDeadline:      cfg.Execution.HardExitDeadline,
-		QuoteDepth:            cfg.Execution.QuoteDepth,
-		MaxQuoteAge:           time.Duration(cfg.Execution.MaxQuoteAgeSec) * time.Second,
-		OrderPollInterval:     time.Duration(cfg.Execution.OrderPollIntervalMS) * time.Millisecond,
-		PassiveImproveTicks:   cfg.Execution.PassiveImproveTicks,
-		MaxEntryOrderAttempts: cfg.Execution.MaxEntryOrderAttempts,
-		MaxExitOrderAttempts:  cfg.Execution.MaxExitOrderAttempts,
-		MinTimeToClose:        time.Duration(cfg.Execution.MinTimeToCloseSec) * time.Second,
-		MaxClockDrift:         time.Duration(cfg.Risk.MaxClockDriftSec) * time.Second,
-		APIOutageHalt:         time.Duration(cfg.Risk.APIOutageHaltSec) * time.Second,
+		Mode:                   cfg.App.Mode,
+		Location:               cfg.Location,
+		RollingLong:            cfg.Strategy.RollingLong,
+		TickInterval:           30 * time.Second,
+		EntrySignalTime:        cfg.Execution.EntrySignalTime,
+		EntryWindowStart:       cfg.Execution.EntryWindowStart,
+		EntryWindowEnd:         cfg.Execution.EntryWindowEnd,
+		NoNewEntryAfter:        cfg.Execution.NoNewEntryAfter,
+		ExitWatchStart:         cfg.Execution.ExitWatchStart,
+		ExitWindowStart:        cfg.Execution.ExitWindowStart,
+		ExitWindowEnd:          cfg.Execution.ExitWindowEnd,
+		HardExitDeadline:       cfg.Execution.HardExitDeadline,
+		QuoteDepth:             cfg.Execution.QuoteDepth,
+		MaxQuoteAge:            time.Duration(cfg.Execution.MaxQuoteAgeSec) * time.Second,
+		OrderPollInterval:      time.Duration(cfg.Execution.OrderPollIntervalMS) * time.Millisecond,
+		PassiveImproveTicks:    cfg.Execution.PassiveImproveTicks,
+		MaxEntryOrderAttempts:  cfg.Execution.MaxEntryOrderAttempts,
+		MaxExitOrderAttempts:   cfg.Execution.MaxExitOrderAttempts,
+		MinTimeToClose:         time.Duration(cfg.Execution.MinTimeToCloseSec) * time.Second,
+		MaxClockDrift:          time.Duration(cfg.Risk.MaxClockDriftSec) * time.Second,
+		APIOutageHalt:          time.Duration(cfg.Risk.APIOutageHaltSec) * time.Second,
+		RequireZeroCommission:  cfg.Commission.RequireZeroCommission,
+		QuarantineOnNonZero:    cfg.Commission.QuarantineOnNonZero,
+		ReconciliationInterval: 5 * time.Minute,
 	}, services)
 }
 

internal/backtest/engine.go

@@ -45,6 +45,13 @@ type Config struct {
 	AssumedTickBps         decimal.Decimal
 	Lot                    int64
 	UseMinuteModel         bool
+	EntryWindow            TimeWindow
+	ExitWindow             TimeWindow
+}
+
+type TimeWindow struct {
+	Start time.Duration
+	End   time.Duration
 }
 
 type Trade struct {
@@ -142,6 +149,12 @@ func (cfg Config) withDefaults() Config {
 	if cfg.Lot == 0 {
 		cfg.Lot = 1
 	}
+	if cfg.EntryWindow.Start == 0 && cfg.EntryWindow.End == 0 {
+		cfg.EntryWindow = TimeWindow{Start: durationOfDay(18, 20, 0), End: durationOfDay(18, 38, 30)}
+	}
+	if cfg.ExitWindow.Start == 0 && cfg.ExitWindow.End == 0 {
+		cfg.ExitWindow = TimeWindow{Start: durationOfDay(10, 5, 0), End: durationOfDay(10, 25, 0)}
+	}
 	return cfg
 }
 
@@ -153,8 +166,12 @@ func (e Engine) RunWithMinuteCandles(candlesByInstrument map[string][]domain.Can
 	prepared := prepareCandles(candlesByInstrument)
 	preparedMinutes := prepareCandles(minuteCandlesByInstrument)
 	candidatesByExitDate := make(map[string][]candidate)
+	tradingDateSet := make(map[string]struct{})
 	for instrumentUID, candles := range prepared {
 		for i := 1; i < len(candles); i++ {
+			if i >= e.cfg.RollingShort {
+				tradingDateSet[candles[i].TradeDate.Format("2006-01-02")] = struct{}{}
+			}
 			candidate, ok, err := e.evaluateCandidate(instrumentUID, candles, i)
 			if err != nil {
 				return Result{}, err
@@ -164,8 +181,8 @@ func (e Engine) RunWithMinuteCandles(candlesByInstrument map[string][]domain.Can
 			}
 		}
 	}
-	dates := make([]string, 0, len(candidatesByExitDate))
-	for date := range candidatesByExitDate {
+	dates := make([]string, 0, len(tradingDateSet))
+	for date := range tradingDateSet {
 		dates = append(dates, date)
 	}
 	sort.Strings(dates)
@@ -239,15 +256,17 @@ func (e Engine) RunWithMinuteCandles(candlesByInstrument map[string][]domain.Can
 				CapacityRUB:   capacity,
 			})
 		}
-		if !dayPnL.IsZero() {
-			equity = equity.Add(dayPnL)
-			cash = equity
-			points = append(points, Point{
-				Date:   date,
-				Equity: equity,
-				Return: dayPnL.Div(dayStartEquity),
-			})
+		equity = equity.Add(dayPnL)
+		cash = equity
+		dayReturn := decimal.Zero
+		if dayStartEquity.IsPositive() {
+			dayReturn = dayPnL.Div(dayStartEquity)
 		}
+		points = append(points, Point{
+			Date:   date,
+			Equity: equity,
+			Return: dayReturn,
+		})
 	}
 	sort.Slice(trades, func(i, j int) bool {
 		if trades[i].ExitDate == trades[j].ExitDate {
@@ -266,8 +285,8 @@ func (e Engine) minuteExecution(c candidate, minutes []domain.Candle, requestedL
 	if requestedLots <= 0 || len(minutes) == 0 {
 		return 0, decimal.Zero, false
 	}
-	entryLots, entryCapacity := e.fillableMinuteLots(minutes, c.entry.TradeDate, c.buy, domain.SideBuy)
-	exitLots, exitCapacity := e.fillableMinuteLots(minutes, c.exit.TradeDate, c.sell, domain.SideSell)
+	entryLots, entryCapacity := e.fillableMinuteLots(minutes, c.entry.TradeDate, c.buy, domain.SideBuy, e.cfg.EntryWindow)
+	exitLots, exitCapacity := e.fillableMinuteLots(minutes, c.exit.TradeDate, c.sell, domain.SideSell, e.cfg.ExitWindow)
 	lots := min(requestedLots, entryLots)
 	lots = min(lots, exitLots)
 	if lots <= 0 {
@@ -276,7 +295,7 @@ func (e Engine) minuteExecution(c candidate, minutes []domain.Candle, requestedL
 	return lots, money.Min(entryCapacity, exitCapacity), true
 }
 
-func (e Engine) fillableMinuteLots(minutes []domain.Candle, date time.Time, limitPrice decimal.Decimal, side domain.Side) (int64, decimal.Decimal) {
+func (e Engine) fillableMinuteLots(minutes []domain.Candle, date time.Time, limitPrice decimal.Decimal, side domain.Side, window TimeWindow) (int64, decimal.Decimal) {
 	if !limitPrice.IsPositive() || e.cfg.Lot <= 0 {
 		return 0, decimal.Zero
 	}
@@ -289,6 +308,9 @@ func (e Engine) fillableMinuteLots(minutes []domain.Candle, date time.Time, limi
 		if !sameDate(candle.TradeDate, date) {
 			continue
 		}
+		if !window.Contains(candle.TradeDate) {
+			continue
+		}
 		reachable := side == domain.SideBuy && candle.Low.LessThanOrEqual(limitPrice)
 		reachable = reachable || side == domain.SideSell && candle.High.GreaterThanOrEqual(limitPrice)
 		if !reachable {
@@ -300,6 +322,22 @@ func (e Engine) fillableMinuteLots(minutes []domain.Candle, date time.Time, limi
 	return capacity.Div(lotNotional).Floor().IntPart(), capacity
 }
 
+func (w TimeWindow) Contains(ts time.Time) bool {
+	if w.Start == 0 && w.End == 0 {
+		return true
+	}
+	tod := time.Duration(ts.Hour())*time.Hour +
+		time.Duration(ts.Minute())*time.Minute +
+		time.Duration(ts.Second())*time.Second
+	return tod >= w.Start && tod <= w.End
+}
+
+func durationOfDay(hour, minute, second int) time.Duration {
+	return time.Duration(hour)*time.Hour +
+		time.Duration(minute)*time.Minute +
+		time.Duration(second)*time.Second
+}
+
 type candidate struct {
 	instrumentUID string
 	entry         domain.Candle

internal/backtest/lookahead_test.go

@@ -51,6 +51,7 @@ func TestMinuteExecutionRequiresReachableLimitAndParticipation(t *testing.T) {
 	}
 	minutes := []domain.Candle{
 		{TradeDate: entryDate, Low: decimal.NewFromInt(99), High: decimal.NewFromInt(101), VolumeLots: decimal.NewFromInt(20)},
+		{TradeDate: time.Date(2024, 1, 2, 12, 0, 0, 0, time.UTC), Low: decimal.NewFromInt(1), High: decimal.NewFromInt(200), VolumeLots: decimal.NewFromInt(1_000_000)},
 		{TradeDate: exitDate, Low: decimal.NewFromInt(104), High: decimal.NewFromInt(106), VolumeLots: decimal.NewFromInt(20)},
 	}
 	lots, capacity, ok := engine.minuteExecution(c, minutes, 5)

internal/config/config.go

@@ -112,6 +112,7 @@ type RiskConfig struct {
 	MaxClockDriftSec           int             `env:"MAX_CLOCK_DRIFT_SEC" envDefault:"2"`
 	ReconciliationWindowHours  int             `env:"RECONCILIATION_WINDOW_HOURS" envDefault:"72"`
 	ReconciliationSkewSec      int             `env:"RECONCILIATION_SKEW_SEC" envDefault:"10"`
+	CommissionToleranceRUB     decimal.Decimal `env:"COMMISSION_TOLERANCE_RUB" envDefault:"0.01"`
 	CashUsageBuffer            decimal.Decimal `env:"CASH_USAGE_BUFFER" envDefault:"0.95"`
 	RiskBudgetPerInstrumentPct decimal.Decimal `env:"RISK_BUDGET_PER_INSTRUMENT_PCT" envDefault:"0.005"`
 	MinOrderNotionalRUB        decimal.Decimal `env:"MIN_ORDER_NOTIONAL_RUB" envDefault:"1000"`
@@ -198,6 +199,9 @@ func (c *Config) Validate() error {
 	if c.Risk.ReconciliationSkewSec < 0 {
 		return errors.New("RISK_RECONCILIATION_SKEW_SEC must be non-negative")
 	}
+	if c.Risk.CommissionToleranceRUB.IsNegative() {
+		return errors.New("RISK_COMMISSION_TOLERANCE_RUB must be non-negative")
+	}
 	if c.Commission.FreeOrderCountPolicy != "submitted" {
 		return fmt.Errorf("COMM_FREE_ORDER_COUNT_POLICY must be submitted, got %q", c.Commission.FreeOrderCountPolicy)
 	}
@@ -210,6 +214,9 @@ func (c *Config) Validate() error {
 	if (c.App.Mode == domain.ModeSandbox || c.App.Mode == domain.ModeLiveReadonly || c.App.Mode == domain.ModeLiveTrade) && c.TInvest.Token == "" {
 		return fmt.Errorf("TINVEST_TOKEN is required for APP_MODE=%s", c.App.Mode)
 	}
+	if (c.App.Mode == domain.ModeSandbox || c.App.Mode == domain.ModeLiveReadonly || c.App.Mode == domain.ModeLiveTrade) && c.TInvest.AccountID == "" {
+		return fmt.Errorf("TINVEST_ACCOUNT_ID is required for APP_MODE=%s", c.App.Mode)
+	}
 	if c.TInvest.UseSandbox && c.App.Mode != domain.ModeSandbox {
 		return errors.New("TINVEST_USE_SANDBOX=true is only valid with APP_MODE=sandbox")
 	}

internal/config/config_test.go

@@ -0,0 +1,63 @@
+package config
+
+import (
+	"strings"
+	"testing"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/timeutil"
+)
+
+func TestValidateRequiresAccountIDForBrokerModes(t *testing.T) {
+	cfg := minimalBrokerConfig(domain.ModeSandbox)
+	cfg.TInvest.AccountID = ""
+	err := cfg.Validate()
+	if err == nil || !strings.Contains(err.Error(), "TINVEST_ACCOUNT_ID") {
+		t.Fatalf("Validate err=%v, want TINVEST_ACCOUNT_ID requirement", err)
+	}
+}
+
+func minimalBrokerConfig(mode domain.Mode) Config {
+	return Config{
+		App: AppConfig{
+			Mode:               mode,
+			Timezone:           "Europe/Moscow",
+			ShutdownTimeoutSec: 30,
+		},
+		TInvest: TInvestConfig{
+			Token:     "token",
+			AccountID: "account",
+		},
+		DB: DBConfig{DSN: "user:pass@tcp(localhost:3306)/bot"},
+		Execution: ExecutionConfig{
+			EntrySignalTime:     mustTOD("18:10:00"),
+			EntryWindowStart:    mustTOD("18:20:00"),
+			EntryWindowEnd:      mustTOD("18:38:30"),
+			NoNewEntryAfter:     mustTOD("18:38:30"),
+			ExitWatchStart:      mustTOD("09:50:00"),
+			ExitNotBefore:       mustTOD("10:03:00"),
+			ExitWindowStart:     mustTOD("10:05:00"),
+			ExitWindowEnd:       mustTOD("10:25:00"),
+			HardExitDeadline:    mustTOD("10:45:00"),
+			QuoteDepth:          20,
+			OrderPollIntervalMS: 500,
+		},
+		Risk: RiskConfig{
+			APIOutageHaltSec:          180,
+			ReconciliationWindowHours: 72,
+			ReconciliationSkewSec:     10,
+			CommissionToleranceRUB:    decimal.NewFromFloat(0.01),
+		},
+		Commission: CommissionConfig{FreeOrderCountPolicy: "submitted"},
+	}
+}
+
+func mustTOD(raw string) timeutil.TimeOfDay {
+	tod, err := timeutil.ParseTimeOfDay(raw)
+	if err != nil {
+		panic(err)
+	}
+	return tod
+}

internal/execution/engine.go

@@ -11,6 +11,7 @@ import (
 
 	"overnight-trading-bot/internal/domain"
 	"overnight-trading-bot/internal/repository"
+	"overnight-trading-bot/internal/risk"
 )
 
 var ErrBrokerOrdersDisabled = errors.New("broker orders are disabled for current mode")
@@ -113,6 +114,9 @@ func (e *Engine) PlaceLimit(ctx context.Context, order domain.Order) (domain.Ord
 			return existing, nil
 		}
 	}
+	if e.mode == domain.ModePaper {
+		return e.placePaperLimit(ctx, order)
+	}
 	if !e.mode.AllowsBrokerOrders() {
 		order.Status = domain.OrderStatusNew
 		if e.store != nil {
@@ -159,6 +163,28 @@ func (e *Engine) PlaceLimit(ctx context.Context, order domain.Order) (domain.Ord
 	return posted, nil
 }
 
+func (e *Engine) placePaperLimit(ctx context.Context, order domain.Order) (domain.Order, error) {
+	now := time.Now().UTC()
+	order.BrokerOrderID = "paper-" + order.ClientOrderID
+	order.FilledLots = order.QuantityLots
+	order.AvgFillPrice = order.LimitPrice
+	order.Status = domain.OrderStatusFilled
+	order.RawStateJSON = `{"paper_fill":true}`
+	order.CreatedAt = now
+	order.UpdatedAt = now
+	if e.store != nil {
+		if err := e.store.RunInTx(ctx, func(ctx context.Context, repo repository.Repository) error {
+			if err := repo.UpsertOrder(ctx, order); err != nil {
+				return fmt.Errorf("persist paper order: %w", err)
+			}
+			return repo.IncrementFreeOrders(ctx, order.TradeDate, order.InstrumentUID, 1)
+		}); err != nil {
+			return domain.Order{}, err
+		}
+	}
+	return order, nil
+}
+
 func (e *Engine) findExisting(ctx context.Context, order domain.Order) (domain.Order, error) {
 	orders, err := e.store.ListOrders(ctx, order.AccountIDHash, order.TradeDate, order.TradeDate)
 	if err != nil {
@@ -286,6 +312,9 @@ func (e *Engine) MonitorUntil(ctx context.Context, order domain.Order, cfg Monit
 }
 
 func (e *Engine) repost(ctx context.Context, order domain.Order, cfg MonitorConfig, remaining int64) (domain.Order, error) {
+	if err := e.ensureRepostBudget(ctx, order, cfg.Instrument); err != nil {
+		return domain.Order{}, err
+	}
 	if err := e.Cancel(ctx, order); err != nil {
 		return domain.Order{}, err
 	}
@@ -308,18 +337,28 @@ func (e *Engine) repost(ctx context.Context, order domain.Order, cfg MonitorConf
 	}
 }
 
+func (e *Engine) ensureRepostBudget(ctx context.Context, order domain.Order, instrument domain.Instrument) error {
+	if e.store == nil || instrument.FreeOrderLimitPerDay <= 0 {
+		return nil
+	}
+	sent, err := e.store.GetFreeOrdersSent(ctx, order.TradeDate, instrument.InstrumentUID)
+	if err != nil {
+		return err
+	}
+	if instrument.FreeOrderLimitPerDay-sent < 1 {
+		return fmt.Errorf("%w: %s remaining=0", risk.ErrFreeOrderBudget, instrument.InstrumentUID)
+	}
+	return nil
+}
+
 func (e *Engine) checkQuoteFresh(book domain.OrderBook) error {
 	if e.maxQuoteAge <= 0 {
 		return nil
 	}
-	receivedAt := book.ReceivedAt
-	if receivedAt.IsZero() {
-		receivedAt = book.Time
+	if book.ReceivedAt.IsZero() {
+		return fmt.Errorf("quote received timestamp is missing")
 	}
-	if receivedAt.IsZero() {
-		return fmt.Errorf("quote timestamp is missing")
-	}
-	age := time.Since(receivedAt)
+	age := time.Since(book.ReceivedAt)
 	if age > e.maxQuoteAge {
 		return fmt.Errorf("quote age %s exceeds %s", age, e.maxQuoteAge)
 	}

internal/execution/pricing.go

@@ -4,7 +4,7 @@ import (
 	"crypto/sha256"
 	"encoding/hex"
 	"fmt"
-	"regexp"
+	"strconv"
 	"strings"
 	"time"
 
@@ -14,7 +14,7 @@ import (
 	"overnight-trading-bot/internal/money"
 )
 
-var nonIDChar = regexp.MustCompile(`[^A-Za-z0-9_-]+`)
+const maxClientOrderIDLen = 36
 
 func LimitBuyPrice(bestBid, bestAsk, tick decimal.Decimal, improveTicks int) (decimal.Decimal, error) {
 	if improveTicks < 0 {
@@ -49,10 +49,25 @@ func LimitSellPrice(bestBid, bestAsk, tick decimal.Decimal, improveTicks int) (d
 func ClientOrderID(tradeDate time.Time, instrumentUID string, side domain.Side, attempt int) string {
 	base := fmt.Sprintf("%s|%s|%s|%d", tradeDate.Format("20060102"), instrumentUID, side, attempt)
 	sum := sha256.Sum256([]byte(base))
-	suffix := hex.EncodeToString(sum[:])[:8]
-	cleanUID := nonIDChar.ReplaceAllString(instrumentUID, "_")
-	if len(cleanUID) > 24 {
-		cleanUID = cleanUID[:24]
+	suffix := hex.EncodeToString(sum[:])
+	sideToken := "b"
+	if side == domain.SideSell {
+		sideToken = "s"
 	}
-	return strings.ToLower(fmt.Sprintf("otb-%s-%s-%s-%02d-%s", tradeDate.Format("20060102"), cleanUID, side, attempt, suffix))
+	prefix := fmt.Sprintf("otb-%s-%s-%s-", tradeDate.Format("20060102"), sideToken, attemptToken(attempt))
+	return strings.ToLower(prefix + suffix[:maxClientOrderIDLen-len(prefix)])
+}
+
+func attemptToken(attempt int) string {
+	if attempt < 0 {
+		attempt = 0
+	}
+	token := strings.ToLower(strconv.FormatInt(int64(attempt), 36))
+	if len(token) > 2 {
+		token = token[len(token)-2:]
+	}
+	for len(token) < 2 {
+		token = "0" + token
+	}
+	return token
 }

internal/execution/pricing_test.go

@@ -40,10 +40,14 @@ func TestLimitPricesDoNotCross(t *testing.T) {
 
 func TestClientOrderIDDeterministic(t *testing.T) {
 	date := time.Date(2024, 1, 2, 0, 0, 0, 0, time.UTC)
-	a := ClientOrderID(date, "uid", domain.SideBuy, 1)
-	b := ClientOrderID(date, "uid", domain.SideBuy, 1)
-	c := ClientOrderID(date, "uid", domain.SideBuy, 2)
+	longUID := "a-realistic-instrument-uid-that-is-much-longer-than-the-order-id-limit"
+	a := ClientOrderID(date, longUID, domain.SideBuy, 1)
+	b := ClientOrderID(date, longUID, domain.SideBuy, 1)
+	c := ClientOrderID(date, longUID, domain.SideBuy, 2)
 	if a != b || a == c {
 		t.Fatalf("unexpected ids: %s %s %s", a, b, c)
 	}
+	if len(a) > maxClientOrderIDLen {
+		t.Fatalf("client order id len=%d, want <=%d: %s", len(a), maxClientOrderIDLen, a)
+	}
 }

internal/execution/state_test.go

@@ -66,6 +66,36 @@ func TestPlaceLimitSuppressesDuplicateSubmit(t *testing.T) {
 	}
 }
 
+func TestPaperPlaceEntryFillsAndCountsSubmittedOrder(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	engine := NewEngine(domain.ModePaper, "account", tinvest.NewFakeGateway(), repo)
+	tradeDate := time.Date(2026, 6, 6, 0, 0, 0, 0, time.UTC)
+	order, err := engine.PlaceEntry(ctx, "hash", domain.Instrument{
+		InstrumentUID:     "uid",
+		Lot:               1,
+		MinPriceIncrement: decimal.NewFromInt(1),
+	}, tradeDate, 2, domain.OrderBook{
+		InstrumentUID: "uid",
+		Bids:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(99), QuantityLots: 10}},
+		Asks:          []domain.OrderBookLevel{{Price: decimal.NewFromInt(101), QuantityLots: 10}},
+		ReceivedAt:    time.Now().UTC(),
+	}, 1, 1)
+	if err != nil {
+		t.Fatal(err)
+	}
+	if order.Status != domain.OrderStatusFilled || order.FilledLots != 2 || order.BrokerOrderID == "" {
+		t.Fatalf("paper order=%+v, want filled broker-like order", order)
+	}
+	sent, err := repo.GetFreeOrdersSent(ctx, tradeDate, "uid")
+	if err != nil {
+		t.Fatal(err)
+	}
+	if sent != 1 {
+		t.Fatalf("free order counter=%d, want 1", sent)
+	}
+}
+
 func TestPlaceEntryRejectsStaleQuote(t *testing.T) {
 	ctx := context.Background()
 	engine := NewEngine(domain.ModeSandbox, "account", tinvest.NewFakeGateway(), testutil.NewMemoryRepository())

internal/features/pipeline.go

@@ -3,6 +3,7 @@ package features
 import (
 	"context"
 	"fmt"
+	"sort"
 	"time"
 
 	"github.com/shopspring/decimal"
@@ -12,6 +13,8 @@ import (
 	"overnight-trading-bot/internal/timeutil"
 )
 
+const defaultIntervalVolumeLookback = 20
+
 type PipelineConfig struct {
 	RollingShort           int
 	RollingLong            int
@@ -22,6 +25,7 @@ type PipelineConfig struct {
 	CommissionRoundtripBps decimal.Decimal
 	EntryWindow            timeutil.Window
 	ExitWindow             timeutil.Window
+	IntervalVolumeLookback int
 	Location               *time.Location
 }
 
@@ -44,7 +48,7 @@ func (p Pipeline) Recompute(ctx context.Context, instrument domain.Instrument, t
 	if err != nil {
 		return domain.FeatureSet{}, err
 	}
-	exitVolume, err := p.intervalVolume(ctx, instrument, tradeDate.AddDate(0, 0, 1), p.cfg.ExitWindow)
+	exitVolume, err := p.intervalVolume(ctx, instrument, tradeDate, p.cfg.ExitWindow)
 	if err != nil {
 		return domain.FeatureSet{}, err
 	}
@@ -66,13 +70,17 @@ func (p Pipeline) intervalVolume(ctx context.Context, instrument domain.Instrume
 	if loc == nil {
 		loc = time.UTC
 	}
-	from := window.Start.On(date, loc).UTC()
+	lookback := p.cfg.IntervalVolumeLookback
+	if lookback <= 0 {
+		lookback = defaultIntervalVolumeLookback
+	}
+	from := window.Start.On(date.AddDate(0, 0, -lookback), loc).UTC()
 	to := window.End.On(date, loc).UTC()
 	candles, err := p.repo.ListMinuteCandles(ctx, instrument.InstrumentUID, from, to)
 	if err != nil {
 		return decimal.Zero, err
 	}
-	return IntervalVolume(candles, instrument.Lot), nil
+	return AverageIntervalVolume(candles, instrument.Lot, window, loc), nil
 }
 
 func Compute(instrument domain.Instrument, candles []domain.Candle, tradeDate time.Time, spread SpreadResult, cfg PipelineConfig, entryVolume, exitVolume decimal.Decimal) (domain.FeatureSet, error) {
@@ -146,3 +154,37 @@ func IntervalVolume(candles []domain.Candle, lot int64) decimal.Decimal {
 	}
 	return total
 }
+
+func AverageIntervalVolume(candles []domain.Candle, lot int64, window timeutil.Window, loc *time.Location) decimal.Decimal {
+	if lot <= 0 || len(candles) == 0 {
+		return decimal.Zero
+	}
+	if loc == nil {
+		loc = time.UTC
+	}
+	byDate := make(map[string][]domain.Candle)
+	for _, candle := range candles {
+		local := candle.TradeDate.In(loc)
+		tod := time.Duration(local.Hour())*time.Hour +
+			time.Duration(local.Minute())*time.Minute +
+			time.Duration(local.Second())*time.Second
+		if tod < window.Start.Duration || tod > window.End.Duration {
+			continue
+		}
+		key := local.Format("2006-01-02")
+		byDate[key] = append(byDate[key], candle)
+	}
+	if len(byDate) == 0 {
+		return decimal.Zero
+	}
+	keys := make([]string, 0, len(byDate))
+	for key := range byDate {
+		keys = append(keys, key)
+	}
+	sort.Strings(keys)
+	sum := decimal.Zero
+	for _, key := range keys {
+		sum = sum.Add(IntervalVolume(byDate[key], lot))
+	}
+	return sum.Div(decimal.NewFromInt(int64(len(keys))))
+}

internal/features/pipeline_test.go

@@ -7,6 +7,7 @@ import (
 	"github.com/shopspring/decimal"
 
 	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/timeutil"
 )
 
 func TestComputeExpectedCostIncludesCommissionAndSlippage(t *testing.T) {
@@ -55,3 +56,28 @@ func TestIntervalVolume(t *testing.T) {
 		t.Fatalf("interval volume=%s, want 6040", got)
 	}
 }
+
+func TestAverageIntervalVolumeUsesExecutionWindowsAcrossDays(t *testing.T) {
+	loc := time.FixedZone("MSK", 3*60*60)
+	window := timeutil.Window{
+		Start: mustTOD("18:20:00"),
+		End:   mustTOD("18:40:00"),
+	}
+	candles := []domain.Candle{
+		{TradeDate: time.Date(2026, 6, 1, 15, 20, 0, 0, time.UTC), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+		{TradeDate: time.Date(2026, 6, 1, 15, 50, 0, 0, time.UTC), Close: decimal.NewFromInt(999), VolumeLots: decimal.NewFromInt(999)},
+		{TradeDate: time.Date(2026, 6, 2, 15, 25, 0, 0, time.UTC), Close: decimal.NewFromInt(200), VolumeLots: decimal.NewFromInt(10)},
+	}
+	got := AverageIntervalVolume(candles, 1, window, loc)
+	if !got.Equal(decimal.NewFromInt(1500)) {
+		t.Fatalf("average interval volume=%s, want 1500", got)
+	}
+}
+
+func mustTOD(raw string) timeutil.TimeOfDay {
+	tod, err := timeutil.ParseTimeOfDay(raw)
+	if err != nil {
+		panic(err)
+	}
+	return tod
+}

internal/healthcheck/healthcheck.go

@@ -89,7 +89,8 @@ func CheckEndpoint(ctx context.Context, url string) error {
 	if err != nil {
 		return err
 	}
-	resp, err := http.DefaultClient.Do(req)
+	client := http.Client{Timeout: 5 * time.Second}
+	resp, err := client.Do(req)
 	if err != nil {
 		return err
 	}

internal/instruments/registry.go

@@ -3,7 +3,6 @@ package instruments
 import (
 	"context"
 	"fmt"
-	"strings"
 
 	"overnight-trading-bot/internal/domain"
 	"overnight-trading-bot/internal/repository"
@@ -25,21 +24,19 @@ func (r Registry) SyncMetadata(ctx context.Context) error {
 		return err
 	}
 	for _, instrument := range instruments {
-		if strings.HasPrefix(instrument.InstrumentUID, "PENDING:") || !instrument.MetadataValid() {
-			remote, err := r.gateway.GetInstrument(ctx, instrument.Ticker, instrument.ClassCode)
-			if err != nil {
-				return fmt.Errorf("sync %s: %w", instrument.Ticker, err)
-			}
-			remote.Enabled = instrument.Enabled && remote.Enabled
-			remote.FundType = instrument.FundType
-			remote.ExpectedCommissionBpsPerSide = instrument.ExpectedCommissionBpsPerSide
-			remote.FreeOrderLimitPerDay = instrument.FreeOrderLimitPerDay
-			remote.Quarantine = instrument.Quarantine
-			remote.QuarantineReason = instrument.QuarantineReason
-			remote.ExcludeReason = instrument.ExcludeReason
-			if err := r.repo.ReplaceInstrument(ctx, instrument.InstrumentUID, remote); err != nil {
-				return fmt.Errorf("replace synced instrument %s: %w", instrument.Ticker, err)
-			}
+		remote, err := r.gateway.GetInstrument(ctx, instrument.Ticker, instrument.ClassCode)
+		if err != nil {
+			return fmt.Errorf("sync %s: %w", instrument.Ticker, err)
+		}
+		remote.Enabled = instrument.Enabled && remote.Enabled
+		remote.FundType = instrument.FundType
+		remote.ExpectedCommissionBpsPerSide = instrument.ExpectedCommissionBpsPerSide
+		remote.FreeOrderLimitPerDay = instrument.FreeOrderLimitPerDay
+		remote.Quarantine = instrument.Quarantine
+		remote.QuarantineReason = instrument.QuarantineReason
+		remote.ExcludeReason = instrument.ExcludeReason
+		if err := r.repo.ReplaceInstrument(ctx, instrument.InstrumentUID, remote); err != nil {
+			return fmt.Errorf("replace synced instrument %s: %w", instrument.Ticker, err)
 		}
 	}
 	return nil

internal/marketdata/loader.go

@@ -56,10 +56,10 @@ func (l Loader) LatestQuote(ctx context.Context, instrumentUID string, depth int
 	if err != nil {
 		return domain.OrderBook{}, err
 	}
-	age := time.Since(book.ReceivedAt)
 	if book.ReceivedAt.IsZero() {
-		age = time.Since(book.Time)
+		return domain.OrderBook{}, fmt.Errorf("quote received timestamp is missing")
 	}
+	age := time.Since(book.ReceivedAt)
 	if maxAge > 0 && age > maxAge {
 		return domain.OrderBook{}, fmt.Errorf("quote age %s exceeds %s", age, maxAge)
 	}

internal/notify/notify.go

@@ -59,6 +59,9 @@ type outbound struct {
 
 func NewTelegram(cfg TelegramConfig, log *slog.Logger) (Notifier, error) {
 	if cfg.BotToken == "" || cfg.ChatID == 0 {
+		if log != nil {
+			log.Warn("telegram notifier disabled; TELEGRAM_BOT_TOKEN or TELEGRAM_CHAT_ID is empty")
+		}
 		return Noop{}, nil
 	}
 	bot, err := tgbotapi.NewBotAPI(cfg.BotToken)

internal/reconciliation/engine.go

@@ -16,16 +16,26 @@ import (
 )
 
 type Engine struct {
-	repo          repository.Repository
-	gateway       tinvest.Gateway
-	accountID     string
-	accountIDHash string
-	window        time.Duration
-	inFlightGrace time.Duration
+	repo                  repository.Repository
+	gateway               tinvest.Gateway
+	accountID             string
+	accountIDHash         string
+	window                time.Duration
+	inFlightGrace         time.Duration
+	commissionTolerance   decimal.Decimal
+	requireZeroCommission bool
+	quarantineOnNonZero   bool
 }
 
 func New(repo repository.Repository, gateway tinvest.Gateway, accountID, accountIDHash string) Engine {
-	return Engine{repo: repo, gateway: gateway, accountID: accountID, accountIDHash: accountIDHash, window: 72 * time.Hour}
+	return Engine{
+		repo:                repo,
+		gateway:             gateway,
+		accountID:           accountID,
+		accountIDHash:       accountIDHash,
+		window:              72 * time.Hour,
+		commissionTolerance: decimal.NewFromFloat(0.01),
+	}
 }
 
 func (e Engine) WithWindow(window time.Duration) Engine {
@@ -42,6 +52,15 @@ func (e Engine) WithInFlightGrace(grace time.Duration) Engine {
 	return e
 }
 
+func (e Engine) WithCommissionPolicy(requireZero, quarantineOnNonZero bool, tolerance decimal.Decimal) Engine {
+	e.requireZeroCommission = requireZero
+	e.quarantineOnNonZero = quarantineOnNonZero
+	if !tolerance.IsNegative() {
+		e.commissionTolerance = tolerance
+	}
+	return e
+}
+
 func (e Engine) Run(ctx context.Context) ([]domain.ReconciliationDiff, error) {
 	localOrders, err := e.repo.ListActiveOrders(ctx, e.accountIDHash)
 	if err != nil {
@@ -138,7 +157,17 @@ func (e Engine) Run(ctx context.Context) ([]domain.ReconciliationDiff, error) {
 	if err != nil {
 		return nil, err
 	}
-	diffs = append(diffs, compareOperations(recentOrders, operations)...)
+	diffs = append(diffs, compareOperationsWithPolicy(recentOrders, operations, e.requireZeroCommission, e.commissionTolerance)...)
+	if e.requireZeroCommission && e.quarantineOnNonZero {
+		for _, diff := range diffs {
+			if diff.Kind != "actual_commission_nonzero" || diff.InstrumentUID == "" {
+				continue
+			}
+			if err := e.repo.QuarantineInstrument(ctx, diff.InstrumentUID, diff.Message); err != nil {
+				return nil, err
+			}
+		}
+	}
 	raw, _ := json.Marshal(diffs)
 	if err := e.repo.InsertReconciliation(ctx, now, string(raw), len(diffs) > 0); err != nil {
 		return nil, err
@@ -163,7 +192,14 @@ func HasCritical(diffs []domain.ReconciliationDiff) bool {
 }
 
 func compareOperations(orders []domain.Order, operations []domain.Operation) []domain.ReconciliationDiff {
+	return compareOperationsWithPolicy(orders, operations, false, decimal.NewFromFloat(0.01))
+}
+
+func compareOperationsWithPolicy(orders []domain.Order, operations []domain.Operation, requireZeroCommission bool, commissionTolerance decimal.Decimal) []domain.ReconciliationDiff {
 	var diffs []domain.ReconciliationDiff
+	if commissionTolerance.IsNegative() {
+		commissionTolerance = decimal.Zero
+	}
 	localCommissionByInstrument := make(map[string]decimal.Decimal)
 	localTraded := make(map[string]bool)
 	for _, order := range orders {
@@ -192,7 +228,15 @@ func compareOperations(orders []domain.Order, operations []domain.Operation) []d
 	for instrumentUID := range instruments {
 		localCommission := localCommissionByInstrument[instrumentUID]
 		brokerCommission := brokerCommissionByInstrument[instrumentUID]
-		if diff := money.Abs(localCommission.Sub(brokerCommission)); diff.GreaterThan(decimal.NewFromFloat(0.01)) {
+		if requireZeroCommission && brokerCommission.IsPositive() {
+			diffs = append(diffs, domain.ReconciliationDiff{
+				Kind:          "actual_commission_nonzero",
+				InstrumentUID: instrumentUID,
+				Message:       fmt.Sprintf("broker commission=%s", brokerCommission.StringFixed(2)),
+				Critical:      true,
+			})
+		}
+		if diff := money.Abs(localCommission.Sub(brokerCommission)); diff.GreaterThan(commissionTolerance) {
 			diffs = append(diffs, domain.ReconciliationDiff{
 				Kind:          "commission_mismatch",
 				InstrumentUID: instrumentUID,

internal/reconciliation/engine_test.go

@@ -101,6 +101,47 @@ func TestCompareOperationsCommissionPerInstrument(t *testing.T) {
 	}
 }
 
+func TestReconciliationQuarantinesOnNonZeroBrokerCommission(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	gateway := tinvest.NewFakeGateway()
+	if err := repo.UpsertInstrument(ctx, domain.Instrument{
+		InstrumentUID: "uid",
+		Ticker:        "TRUR",
+		Enabled:       true,
+	}); err != nil {
+		t.Fatal(err)
+	}
+	gateway.Operations = []domain.Operation{{
+		InstrumentUID: "uid",
+		Type:          "OPERATION_TYPE_BROKER_FEE",
+		Commission:    decimal.NewFromFloat(0.01),
+		ExecutedAt:    time.Now().UTC(),
+	}}
+	diffs, err := New(repo, gateway, "account", "hash").
+		WithCommissionPolicy(true, true, decimal.NewFromFloat(0.01)).
+		Run(ctx)
+	if err != nil {
+		t.Fatal(err)
+	}
+	found := false
+	for _, diff := range diffs {
+		if diff.Kind == "actual_commission_nonzero" && diff.Critical {
+			found = true
+		}
+	}
+	if !found {
+		t.Fatalf("expected actual_commission_nonzero diff, got %+v", diffs)
+	}
+	instruments, err := repo.ListInstruments(ctx, true)
+	if err != nil {
+		t.Fatal(err)
+	}
+	if len(instruments) != 1 || !instruments[0].Quarantine {
+		t.Fatalf("instrument not quarantined: %+v", instruments)
+	}
+}
+
 func TestReconciliationSkipsFreshInFlightLocalOrders(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()

internal/report/daily.go

@@ -1,7 +1,9 @@
 package report
 
 import (
+	"encoding/json"
 	"fmt"
+	"sort"
 	"strings"
 	"time"
 
@@ -15,6 +17,7 @@ type DailyInput struct {
 	Mode             domain.Mode
 	Signals          []domain.Signal
 	Positions        []domain.Position
+	Orders           []domain.Order
 	AverageSpreadBps decimal.Decimal
 	AverageSlipBps   decimal.Decimal
 	RiskStatus       string
@@ -28,19 +31,134 @@ func ComposeDaily(input DailyInput) string {
 	for _, signal := range input.Signals {
 		fmt.Fprintf(&b, "- %s %s edge=%s reason=%s\n", signal.InstrumentUID, signal.Decision, signal.NetEdgeBps.StringFixed(2), signal.RejectReason)
 	}
+	reasons := groupedReasons(input.Signals)
+	if len(reasons) > 0 {
+		fmt.Fprintf(&b, "Причины skip/reject:\n")
+		for _, reason := range sortedKeys(reasons) {
+			count := reasons[reason]
+			fmt.Fprintf(&b, "- %s: %d\n", reason, count)
+		}
+	}
 	gross := decimal.Zero
 	net := decimal.Zero
 	commission := decimal.Zero
+	expectedByInstrument := expectedEdgeByInstrument(input.Signals)
 	for _, pos := range input.Positions {
 		gross = gross.Add(pos.GrossPnL)
 		net = net.Add(pos.NetPnL)
 		commission = commission.Add(pos.CommissionTotal)
 	}
+	if len(input.Positions) > 0 {
+		fmt.Fprintf(&b, "Позиции:\n")
+		for _, pos := range input.Positions {
+			expected := expectedByInstrument[pos.InstrumentUID]
+			expectedError := pos.RealizedEdgeBps.Sub(expected)
+			fmt.Fprintf(&b, "- %s status=%s net=%s commission=%s realized_edge_bps=%s expected_error_bps=%s\n",
+				pos.InstrumentUID,
+				pos.Status,
+				pos.NetPnL.StringFixed(2),
+				pos.CommissionTotal.StringFixed(2),
+				pos.RealizedEdgeBps.StringFixed(2),
+				expectedError.StringFixed(2),
+			)
+		}
+	}
 	fmt.Fprintf(&b, "Gross PnL: %s\n", gross.StringFixed(2))
 	fmt.Fprintf(&b, "Net PnL: %s\n", net.StringFixed(2))
 	fmt.Fprintf(&b, "Комиссии: %s\n", commission.StringFixed(2))
-	fmt.Fprintf(&b, "Средний spread: %s bps\n", input.AverageSpreadBps.StringFixed(2))
+	averageSpread := input.AverageSpreadBps
+	if averageSpread.IsZero() {
+		averageSpread = averageContextDecimal(input.Signals, "spread_bps")
+	}
+	fmt.Fprintf(&b, "Средний spread: %s bps\n", averageSpread.StringFixed(2))
 	fmt.Fprintf(&b, "Среднее проскальзывание: %s bps\n", input.AverageSlipBps.StringFixed(2))
+	writeExecutionErrors(&b, input.Orders)
 	fmt.Fprintf(&b, "Risk: %s", input.RiskStatus)
 	return b.String()
 }
+
+func groupedReasons(signals []domain.Signal) map[string]int {
+	out := make(map[string]int)
+	for _, sig := range signals {
+		if sig.Decision == domain.DecisionEnter || sig.RejectReason == "" {
+			continue
+		}
+		out[sig.RejectReason]++
+	}
+	return out
+}
+
+func sortedKeys(values map[string]int) []string {
+	keys := make([]string, 0, len(values))
+	for key := range values {
+		keys = append(keys, key)
+	}
+	sort.Strings(keys)
+	return keys
+}
+
+func expectedEdgeByInstrument(signals []domain.Signal) map[string]decimal.Decimal {
+	out := make(map[string]decimal.Decimal)
+	for _, sig := range signals {
+		if sig.Decision == domain.DecisionEnter {
+			out[sig.InstrumentUID] = sig.NetEdgeBps
+		}
+	}
+	return out
+}
+
+func averageContextDecimal(signals []domain.Signal, key string) decimal.Decimal {
+	sum := decimal.Zero
+	count := int64(0)
+	for _, sig := range signals {
+		var context map[string]any
+		if err := json.Unmarshal([]byte(sig.ContextJSON), &context); err != nil {
+			continue
+		}
+		value, ok := decimalFromAny(context[key])
+		if !ok {
+			continue
+		}
+		sum = sum.Add(value)
+		count++
+	}
+	if count == 0 {
+		return decimal.Zero
+	}
+	return sum.Div(decimal.NewFromInt(count))
+}
+
+func decimalFromAny(value any) (decimal.Decimal, bool) {
+	switch typed := value.(type) {
+	case string:
+		parsed, err := decimal.NewFromString(typed)
+		return parsed, err == nil
+	case float64:
+		return decimal.NewFromFloat(typed), true
+	default:
+		return decimal.Zero, false
+	}
+}
+
+func writeExecutionErrors(b *strings.Builder, orders []domain.Order) {
+	wroteHeader := false
+	for _, order := range orders {
+		if !isExecutionError(order.Status) {
+			continue
+		}
+		if !wroteHeader {
+			fmt.Fprintf(b, "Ошибки исполнения:\n")
+			wroteHeader = true
+		}
+		fmt.Fprintf(b, "- %s %s status=%s filled=%d/%d\n", order.InstrumentUID, order.Side, order.Status, order.FilledLots, order.QuantityLots)
+	}
+}
+
+func isExecutionError(status domain.OrderStatus) bool {
+	switch status {
+	case domain.OrderStatusFailed, domain.OrderStatusRejected, domain.OrderStatusExpired:
+		return true
+	default:
+		return false
+	}
+}

internal/scheduler/scheduler.go

@@ -30,32 +30,36 @@ import (
 )
 
 const (
-	sizeReductionWindowTrades = 20
-	sizeReductionFactor       = 0.5
+	sizeReductionWindowTrades  = 20
+	sizeReductionFactor        = 0.5
+	intervalVolumeLookbackDays = 20
 )
 
 type Config struct {
-	Mode                  domain.Mode
-	Location              *time.Location
-	RollingLong           int
-	TickInterval          time.Duration
-	EntrySignalTime       timeutil.TimeOfDay
-	EntryWindowStart      timeutil.TimeOfDay
-	EntryWindowEnd        timeutil.TimeOfDay
-	NoNewEntryAfter       timeutil.TimeOfDay
-	ExitWatchStart        timeutil.TimeOfDay
-	ExitWindowStart       timeutil.TimeOfDay
-	ExitWindowEnd         timeutil.TimeOfDay
-	HardExitDeadline      timeutil.TimeOfDay
-	QuoteDepth            int32
-	MaxQuoteAge           time.Duration
-	OrderPollInterval     time.Duration
-	PassiveImproveTicks   int
-	MaxEntryOrderAttempts int
-	MaxExitOrderAttempts  int
-	MinTimeToClose        time.Duration
-	MaxClockDrift         time.Duration
-	APIOutageHalt         time.Duration
+	Mode                   domain.Mode
+	Location               *time.Location
+	RollingLong            int
+	TickInterval           time.Duration
+	EntrySignalTime        timeutil.TimeOfDay
+	EntryWindowStart       timeutil.TimeOfDay
+	EntryWindowEnd         timeutil.TimeOfDay
+	NoNewEntryAfter        timeutil.TimeOfDay
+	ExitWatchStart         timeutil.TimeOfDay
+	ExitWindowStart        timeutil.TimeOfDay
+	ExitWindowEnd          timeutil.TimeOfDay
+	HardExitDeadline       timeutil.TimeOfDay
+	QuoteDepth             int32
+	MaxQuoteAge            time.Duration
+	OrderPollInterval      time.Duration
+	PassiveImproveTicks    int
+	MaxEntryOrderAttempts  int
+	MaxExitOrderAttempts   int
+	MinTimeToClose         time.Duration
+	MaxClockDrift          time.Duration
+	APIOutageHalt          time.Duration
+	RequireZeroCommission  bool
+	QuarantineOnNonZero    bool
+	ReconciliationInterval time.Duration
 }
 
 type Services struct {
@@ -84,6 +88,7 @@ type Scheduler struct {
 	svc   Services
 
 	infraFailedSince time.Time
+	lastReconciledAt time.Time
 }
 
 func New(clock timeutil.Clock, sm statemachine.System, cfg Config, svc Services) Scheduler {
@@ -93,6 +98,9 @@ func New(clock timeutil.Clock, sm statemachine.System, cfg Config, svc Services)
 	if cfg.Location == nil {
 		cfg.Location = time.UTC
 	}
+	if cfg.ReconciliationInterval <= 0 {
+		cfg.ReconciliationInterval = 5 * time.Minute
+	}
 	return Scheduler{clock: clock, sm: sm, cfg: cfg, svc: svc}
 }
 
@@ -181,8 +189,8 @@ func (s *Scheduler) prepareSignals(ctx context.Context, now time.Time) error {
 	if err := s.svc.MarketData.BackfillDaily(ctx, instrumentsList, tradeDate.AddDate(0, 0, -s.cfg.RollingLong-10), tradeDate); err != nil {
 		return err
 	}
-	minuteFrom := s.cfg.EntryWindowStart.On(tradeDate, s.cfg.Location)
-	minuteTo := s.cfg.ExitWindowEnd.On(tradeDate.AddDate(0, 0, 1), s.cfg.Location)
+	minuteFrom := s.cfg.EntryWindowStart.On(tradeDate.AddDate(0, 0, -intervalVolumeLookbackDays), s.cfg.Location)
+	minuteTo := s.cfg.ExitWindowEnd.On(tradeDate, s.cfg.Location)
 	if err := s.svc.MarketData.BackfillMinute(ctx, instrumentsList, minuteFrom, minuteTo); err != nil {
 		s.logWarn("minute backfill failed; liquidity will fall back to ADV", "err", err)
 	}
@@ -222,7 +230,7 @@ func (s Scheduler) generateInstrumentSignal(ctx context.Context, now, tradeDate
 	if err != nil {
 		return s.saveRejectedSignal(ctx, tradeDate, instrument, "features_unavailable", err)
 	}
-	remaining, err := s.svc.FreeOrders.Check(ctx, tradeDate, instrument, 1)
+	remaining, err := s.svc.FreeOrders.Check(ctx, tradeDate, instrument, s.maxOrderAttemptsPerTrade())
 	freeOrderOK := err == nil
 	sig := s.svc.Signals.Evaluate(signal.Candidate{
 		Instrument:    instrument,
@@ -234,6 +242,7 @@ func (s Scheduler) generateInstrumentSignal(ctx context.Context, now, tradeDate
 		ExtraContext: map[string]any{
 			"free_orders_remaining": remaining,
 			"quote_time":            book.Time.Format(time.RFC3339),
+			"spread_bps":            spread.SpreadBps.String(),
 		},
 	})
 	if sig.Decision == domain.DecisionEnter {
@@ -244,6 +253,9 @@ func (s Scheduler) generateInstrumentSignal(ctx context.Context, now, tradeDate
 			sig.RejectReason = sizingErr.Error()
 		case sized.Lots <= 0:
 			sig.Decision = domain.DecisionReject
+			if isSizingSkipReason(sized.Reason) {
+				sig.Decision = domain.DecisionSkip
+			}
 			sig.RejectReason = sized.Reason
 		default:
 			sig.TargetLots = sized.Lots
@@ -288,11 +300,15 @@ func (s Scheduler) sizeSignal(_ context.Context, portfolio domain.Portfolio, ins
 	}), nil
 }
 
-func (s Scheduler) placeEntryOrders(ctx context.Context, now time.Time) error {
+func (s *Scheduler) placeEntryOrders(ctx context.Context, now time.Time) error {
 	if err := s.transitionTo(ctx, domain.StatePlaceEntryOrders); err != nil {
 		return err
 	}
 	tradeDate := tradingDate(now)
+	entryDeadline := s.cfg.NoNewEntryAfter.On(now, s.cfg.Location).UTC()
+	if !s.nowUTC().Before(entryDeadline) {
+		return s.closeEntryWindow(ctx)
+	}
 	signals, err := s.svc.Repo.ListSignals(ctx, tradeDate)
 	if err != nil {
 		return err
@@ -317,6 +333,21 @@ func (s Scheduler) placeEntryOrders(ctx context.Context, now time.Time) error {
 		if !ok {
 			return fmt.Errorf("instrument %s is not in registry", sig.InstrumentUID)
 		}
+		if !s.nowUTC().Before(entryDeadline) {
+			return s.closeEntryWindow(ctx)
+		}
+		if _, err := s.svc.FreeOrders.Check(ctx, tradeDate, instrument, s.maxOrderAttemptsPerTrade()); err != nil {
+			if insertErr := s.svc.Repo.InsertRiskEvent(ctx, domain.RiskEvent{
+				Severity:      domain.SeverityWarn,
+				EventType:     "pre_trade_reject",
+				InstrumentUID: sig.InstrumentUID,
+				Message:       err.Error(),
+				ContextJSON:   `{"reason":"free_order_budget_insufficient"}`,
+			}); insertErr != nil {
+				return insertErr
+			}
+			continue
+		}
 		book, err := s.svc.MarketData.LatestQuote(ctx, sig.InstrumentUID, s.cfg.QuoteDepth, s.cfg.MaxQuoteAge)
 		if err != nil {
 			return err
@@ -354,12 +385,17 @@ func (s Scheduler) placeEntryOrders(ctx context.Context, now time.Time) error {
 			return err
 		}
 		_ = s.svc.Notifier.Info(ctx, fmt.Sprintf("entry order %s %s lots=%d status=%s", instrument.Ticker, placed.Side, placed.QuantityLots, placed.Status))
+		if placed.FilledLots > 0 {
+			if err := s.recordEntryFill(ctx, instrument, placed); err != nil {
+				return err
+			}
+		}
 		existing = append(existing, placed)
 	}
 	return s.transitionTo(ctx, domain.StateMonitorEntryOrders)
 }
 
-func (s Scheduler) monitorEntryOrders(ctx context.Context, now time.Time) error {
+func (s *Scheduler) monitorEntryOrders(ctx context.Context, now time.Time) error {
 	if err := s.transitionTo(ctx, domain.StateMonitorEntryOrders); err != nil {
 		return err
 	}
@@ -372,6 +408,9 @@ func (s Scheduler) monitorEntryOrders(ctx context.Context, now time.Time) error
 		return err
 	}
 	deadline := s.cfg.NoNewEntryAfter.On(now, s.cfg.Location).UTC()
+	if !s.nowUTC().Before(deadline) {
+		return s.closeEntryWindow(ctx)
+	}
 	for _, order := range orders {
 		if order.Side != domain.SideBuy || order.BrokerOrderID == "" {
 			continue
@@ -395,18 +434,13 @@ func (s Scheduler) monitorEntryOrders(ctx context.Context, now time.Time) error
 			return err
 		}
 		if monitored.FilledLots > order.FilledLots || monitored.Commission.GreaterThan(order.Commission) {
-			pos, err := s.svc.Positions.OnEntryFill(ctx, s.svc.AccountIDHash, instrument, monitored)
-			if err != nil {
+			if err := s.recordEntryFill(ctx, instrument, monitored); err != nil {
 				return err
 			}
-			_ = s.svc.Notifier.Info(ctx, fmt.Sprintf("entry fill %s lots=%d status=%s", monitored.InstrumentUID, monitored.FilledLots, pos.Status))
 		}
 	}
 	if sinceMidnight(s.nowUTC().In(s.cfg.Location)) >= s.cfg.NoNewEntryAfter.Duration {
-		if err := s.cancelActiveOrders(ctx, domain.SideBuy, domain.OrderStatusCancelled, "entry_window_closed"); err != nil {
-			return err
-		}
-		return s.transitionTo(ctx, domain.StateHoldOvernight)
+		return s.closeEntryWindow(ctx)
 	}
 	return nil
 }
@@ -415,14 +449,14 @@ func (s Scheduler) waitExit(ctx context.Context, _ time.Time) error {
 	return s.transitionTo(ctx, domain.StateWaitExitWindow)
 }
 
-func (s Scheduler) holdOvernight(ctx context.Context) error {
-	if err := s.cancelActiveOrders(ctx, domain.SideBuy, domain.OrderStatusCancelled, "entry_window_closed"); err != nil {
+func (s *Scheduler) holdOvernight(ctx context.Context) error {
+	if err := s.closeEntryWindow(ctx); err != nil {
 		return err
 	}
-	return s.transitionTo(ctx, domain.StateHoldOvernight)
+	return s.periodicReconcile(ctx)
 }
 
-func (s Scheduler) placeExitOrders(ctx context.Context, now time.Time) error {
+func (s *Scheduler) placeExitOrders(ctx context.Context, now time.Time) error {
 	if err := s.transitionTo(ctx, domain.StatePlaceExitOrders); err != nil {
 		return err
 	}
@@ -473,6 +507,13 @@ func (s Scheduler) placeExitOrders(ctx context.Context, now time.Time) error {
 		if err != nil && !errors.Is(err, execution.ErrBrokerOrdersDisabled) {
 			return err
 		}
+		if placed.FilledLots > 0 || placed.Commission.IsPositive() {
+			if err := s.recordExitFill(ctx, pos, placed); err != nil {
+				return err
+			}
+			existing = append(existing, placed)
+			continue
+		}
 		pos.Status = domain.PositionExitOrderSent
 		if err := s.svc.Repo.UpsertPosition(ctx, pos); err != nil {
 			return err
@@ -483,7 +524,7 @@ func (s Scheduler) placeExitOrders(ctx context.Context, now time.Time) error {
 	return s.transitionTo(ctx, domain.StateMonitorExitOrders)
 }
 
-func (s Scheduler) monitorExitOrders(ctx context.Context, now time.Time) error {
+func (s *Scheduler) monitorExitOrders(ctx context.Context, now time.Time) error {
 	if err := s.transitionTo(ctx, domain.StateMonitorExitOrders); err != nil {
 		return err
 	}
@@ -535,12 +576,11 @@ func (s Scheduler) monitorExitOrders(ctx context.Context, now time.Time) error {
 			if !ok {
 				return fmt.Errorf("exit fill for unknown local position %s", monitored.InstrumentUID)
 			}
-			updated, err := s.svc.Positions.OnExitFill(ctx, pos, fill)
+			updated, err := s.recordExitFillWithPosition(ctx, pos, fill)
 			if err != nil {
 				return err
 			}
 			positionByInstrument[monitored.InstrumentUID] = updated
-			_ = s.svc.Notifier.Info(ctx, fmt.Sprintf("exit fill %s lots=%d status=%s pnl=%s", monitored.InstrumentUID, monitored.FilledLots, updated.Status, updated.NetPnL.StringFixed(2)))
 		}
 	}
 	if sinceMidnight(s.nowUTC().In(s.cfg.Location)) >= s.cfg.HardExitDeadline.Duration {
@@ -550,16 +590,6 @@ func (s Scheduler) monitorExitOrders(ctx context.Context, now time.Time) error {
 }
 
 func (s *Scheduler) reconcileAndReport(ctx context.Context, now time.Time) error {
-	if err := s.transitionTo(ctx, domain.StateReconcile); err != nil {
-		return err
-	}
-	diffs, err := s.svc.Reconcile.Run(ctx)
-	if err != nil {
-		return err
-	}
-	if reconciliation.HasCritical(diffs) {
-		return s.halt(ctx, "reconciliation_critical", "critical reconciliation diff", "")
-	}
 	tradeDate := tradingDate(now)
 	sent, err := s.svc.Repo.WasDailyReportSent(ctx, tradeDate, s.svc.AccountIDHash)
 	if err != nil {
@@ -569,6 +599,28 @@ func (s *Scheduler) reconcileAndReport(ctx context.Context, now time.Time) error
 		s.logWarn("daily report already sent; skipping duplicate", "date", tradeDate.Format("2006-01-02"))
 		return s.transitionTo(ctx, domain.StateSleep)
 	}
+	if err := s.transitionTo(ctx, domain.StateReconcile); err != nil {
+		return err
+	}
+	if err := s.reconcileCritical(ctx, "reconciliation_critical"); err != nil {
+		return err
+	}
+	return s.sendDailyReport(ctx, now, "ok")
+}
+
+func (s *Scheduler) sendDailyReport(ctx context.Context, now time.Time, riskStatus string) error {
+	tradeDate := tradingDate(now)
+	sent, err := s.svc.Repo.WasDailyReportSent(ctx, tradeDate, s.svc.AccountIDHash)
+	if err != nil {
+		return err
+	}
+	if sent {
+		s.logWarn("daily report already sent; skipping duplicate", "date", tradeDate.Format("2006-01-02"))
+		if !s.hasStateMachine() {
+			return nil
+		}
+		return s.transitionTo(ctx, domain.StateSleep)
+	}
 	signals, err := s.svc.Repo.ListSignals(ctx, tradeDate)
 	if err != nil && !errors.Is(err, sql.ErrNoRows) {
 		return err
@@ -577,18 +629,25 @@ func (s *Scheduler) reconcileAndReport(ctx context.Context, now time.Time) error
 	if err != nil {
 		return err
 	}
+	orders, err := s.svc.Repo.ListOrders(ctx, s.svc.AccountIDHash, tradeDate.AddDate(0, 0, -1), tradeDate)
+	if err != nil {
+		return err
+	}
 	if err := s.applySizeReductionRule(ctx, tradeDate, true); err != nil {
 		return err
 	}
-	if err := s.transitionTo(ctx, domain.StateReport); err != nil {
-		return err
+	if s.hasStateMachine() {
+		if err := s.transitionTo(ctx, domain.StateReport); err != nil {
+			return err
+		}
 	}
 	msg := report.ComposeDaily(report.DailyInput{
 		Date:       tradeDate,
 		Mode:       s.cfg.Mode,
 		Signals:    signals,
 		Positions:  positionsList,
-		RiskStatus: "ok",
+		Orders:     orders,
+		RiskStatus: riskStatus,
 	})
 	if err := s.svc.Notifier.Report(ctx, msg); err != nil {
 		return err
@@ -596,6 +655,9 @@ func (s *Scheduler) reconcileAndReport(ctx context.Context, now time.Time) error
 	if err := s.svc.Repo.MarkDailyReportSent(ctx, tradeDate, s.svc.AccountIDHash); err != nil {
 		return err
 	}
+	if !s.hasStateMachine() {
+		return nil
+	}
 	return s.transitionTo(ctx, domain.StateSleep)
 }
 
@@ -675,6 +737,7 @@ func (s *Scheduler) checkInfrastructure(ctx context.Context) error {
 	serverTime, err := s.svc.Gateway.GetServerTime(ctx)
 	if err != nil {
 		if s.cfg.Mode == domain.ModePaper {
+			s.infraFailedSince = time.Time{}
 			return nil
 		}
 		return s.recordInfrastructureFailure(fmt.Errorf("server_time_unavailable: %w", err))
@@ -737,7 +800,96 @@ func (s Scheduler) cancelActiveOrders(ctx context.Context, side domain.Side, fal
 	return nil
 }
 
-func (s Scheduler) failOpenPositionsAtHardDeadline(ctx context.Context) error {
+func (s Scheduler) closeEntryWindow(ctx context.Context) error {
+	if err := s.cancelActiveOrders(ctx, domain.SideBuy, domain.OrderStatusCancelled, "entry_window_closed"); err != nil {
+		return err
+	}
+	return s.transitionTo(ctx, domain.StateHoldOvernight)
+}
+
+func (s *Scheduler) recordEntryFill(ctx context.Context, instrument domain.Instrument, order domain.Order) error {
+	pos, err := s.svc.Positions.OnEntryFill(ctx, s.svc.AccountIDHash, instrument, order)
+	if err != nil {
+		return err
+	}
+	_ = s.svc.Notifier.Info(ctx, fmt.Sprintf("entry fill %s lots=%d status=%s", order.InstrumentUID, order.FilledLots, pos.Status))
+	if err := s.handleCommission(ctx, order.InstrumentUID, order.Commission); err != nil {
+		return err
+	}
+	return s.reconcileAfterFill(ctx)
+}
+
+func (s *Scheduler) recordExitFill(ctx context.Context, pos domain.Position, order domain.Order) error {
+	_, err := s.recordExitFillWithPosition(ctx, pos, order)
+	return err
+}
+
+func (s *Scheduler) recordExitFillWithPosition(ctx context.Context, pos domain.Position, fill domain.Order) (domain.Position, error) {
+	updated, err := s.svc.Positions.OnExitFill(ctx, pos, fill)
+	if err != nil {
+		return domain.Position{}, err
+	}
+	_ = s.svc.Notifier.Info(ctx, fmt.Sprintf("exit fill %s lots=%d status=%s pnl=%s", fill.InstrumentUID, fill.FilledLots, updated.Status, updated.NetPnL.StringFixed(2)))
+	if err := s.handleCommission(ctx, fill.InstrumentUID, fill.Commission); err != nil {
+		return domain.Position{}, err
+	}
+	if err := s.reconcileAfterFill(ctx); err != nil {
+		return domain.Position{}, err
+	}
+	return updated, nil
+}
+
+func (s *Scheduler) handleCommission(ctx context.Context, instrumentUID string, commission decimal.Decimal) error {
+	if !risk.CommissionBreached(commission, s.cfg.RequireZeroCommission) {
+		return nil
+	}
+	reason := fmt.Sprintf("actual commission %s > 0", commission.StringFixed(2))
+	if s.cfg.QuarantineOnNonZero {
+		if err := s.svc.Repo.QuarantineInstrument(ctx, instrumentUID, reason); err != nil {
+			return err
+		}
+	}
+	return s.halt(ctx, "actual_commission_nonzero", reason, instrumentUID)
+}
+
+func (s *Scheduler) reconcileAfterFill(ctx context.Context) error {
+	if !s.cfg.Mode.AllowsBrokerOrders() {
+		return nil
+	}
+	return s.reconcileCritical(ctx, "reconciliation_after_fill_critical")
+}
+
+func (s *Scheduler) periodicReconcile(ctx context.Context) error {
+	if !s.cfg.Mode.AllowsBrokerOrders() {
+		return nil
+	}
+	now := s.nowUTC()
+	if !s.lastReconciledAt.IsZero() && now.Sub(s.lastReconciledAt) < s.cfg.ReconciliationInterval {
+		return nil
+	}
+	return s.reconcileCritical(ctx, "periodic_reconciliation_critical")
+}
+
+func (s *Scheduler) reconcileCritical(ctx context.Context, eventType string) error {
+	diffs, err := s.svc.Reconcile.Run(ctx)
+	if err != nil {
+		return err
+	}
+	s.lastReconciledAt = s.nowUTC()
+	for _, diff := range diffs {
+		if diff.Kind == "actual_commission_nonzero" && diff.InstrumentUID != "" && s.cfg.QuarantineOnNonZero {
+			if err := s.svc.Repo.QuarantineInstrument(ctx, diff.InstrumentUID, diff.Message); err != nil {
+				return err
+			}
+		}
+	}
+	if reconciliation.HasCritical(diffs) {
+		return s.halt(ctx, eventType, "critical reconciliation diff", "")
+	}
+	return nil
+}
+
+func (s *Scheduler) failOpenPositionsAtHardDeadline(ctx context.Context) error {
 	if err := s.cancelActiveOrders(ctx, domain.SideSell, domain.OrderStatusExpired, "hard_exit_deadline_cancel"); err != nil {
 		return err
 	}
@@ -763,6 +915,9 @@ func (s Scheduler) failOpenPositionsAtHardDeadline(ctx context.Context) error {
 	if len(failed) == 0 {
 		return s.reconcileAndReport(ctx, s.nowUTC().In(s.cfg.Location))
 	}
+	if err := s.sendDailyReport(ctx, s.nowUTC().In(s.cfg.Location), "hard_exit_deadline_missed"); err != nil {
+		s.logWarn("daily report failed after hard deadline", "err", err)
+	}
 	return s.svc.Risk.Halt(ctx, s.cfg.Mode, "hard_exit_deadline_missed", fmt.Sprintf("%d positions remain open after hard deadline", len(failed)), "")
 }
 
@@ -791,6 +946,22 @@ func repostAfter(now, deadline time.Time, attempts int, poll time.Duration) time
 	return after
 }
 
+func (s Scheduler) maxOrderAttemptsPerTrade() int {
+	needed := s.cfg.MaxEntryOrderAttempts + s.cfg.MaxExitOrderAttempts
+	if needed <= 0 {
+		return 1
+	}
+	return needed
+}
+
+func isSizingSkipReason(reason string) bool {
+	return reason == "lots_below_one" || reason == "min_order_notional"
+}
+
+func (s Scheduler) hasStateMachine() bool {
+	return s.sm != (statemachine.System{})
+}
+
 func (s Scheduler) transitionSequence(ctx context.Context, states ...domain.SystemState) error {
 	for _, state := range states {
 		if err := s.transitionTo(ctx, state); err != nil {
@@ -812,9 +983,6 @@ func (s Scheduler) transitionTo(ctx context.Context, to domain.SystemState) erro
 		return s.sm.Heartbeat(ctx, to)
 	}
 	if err := s.sm.Transition(ctx, from, to); err != nil {
-		if errors.Is(err, statemachine.ErrIllegalTransition) {
-			return s.sm.Heartbeat(ctx, to)
-		}
 		return err
 	}
 	return nil

internal/scheduler/scheduler_test.go

@@ -80,6 +80,9 @@ func TestReconcileAndReportIsIdempotentPerDate(t *testing.T) {
 	gateway := tinvest.NewFakeGateway()
 	notifier := &countNotifier{}
 	recon := reconciliation.New(repo, gateway, "account", "hash")
+	if err := repo.SaveSystemState(ctx, domain.StateMonitorExitOrders, domain.ModePaper, false, "", "{}"); err != nil {
+		t.Fatal(err)
+	}
 	s := Scheduler{
 		cfg: Config{Mode: domain.ModePaper, Location: time.UTC},
 		sm:  statemachine.New(repo, domain.ModePaper),
@@ -168,6 +171,9 @@ func TestHardDeadlineMarksOpenPositionFailedAndHalts(t *testing.T) {
 	if notifier.alerts != 1 {
 		t.Fatalf("alerts=%d, want 1", notifier.alerts)
 	}
+	if notifier.reports != 1 {
+		t.Fatalf("reports=%d, want daily report before HALT", notifier.reports)
+	}
 }
 
 func TestHoldOvernightCancelsActiveBuyOrders(t *testing.T) {
@@ -195,6 +201,9 @@ func TestHoldOvernightCancelsActiveBuyOrders(t *testing.T) {
 			AccountIDHash: "hash",
 		},
 	}
+	if err := repo.SaveSystemState(ctx, domain.StateMonitorEntryOrders, domain.ModePaper, false, "", "{}"); err != nil {
+		t.Fatal(err)
+	}
 	if err := s.holdOvernight(ctx); err != nil {
 		t.Fatal(err)
 	}
@@ -207,6 +216,47 @@ func TestHoldOvernightCancelsActiveBuyOrders(t *testing.T) {
 	}
 }
 
+func TestNonZeroCommissionQuarantinesInstrumentAndHalts(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	if err := repo.UpsertInstrument(ctx, domain.Instrument{
+		InstrumentUID: "uid",
+		Ticker:        "TRUR",
+		Enabled:       true,
+	}); err != nil {
+		t.Fatal(err)
+	}
+	notifier := &countNotifier{}
+	s := Scheduler{
+		cfg: Config{
+			Mode:                  domain.ModePaper,
+			RequireZeroCommission: true,
+			QuarantineOnNonZero:   true,
+		},
+		svc: Services{
+			Repo:     repo,
+			Risk:     risk.NewManager(repo, risk.ManagerConfig{}),
+			Notifier: notifier,
+		},
+	}
+	if err := s.handleCommission(ctx, "uid", decimal.NewFromFloat(0.01)); err != nil {
+		t.Fatal(err)
+	}
+	if !repo.Halted || repo.State != domain.StateHalted {
+		t.Fatalf("system not halted: state=%s halted=%v", repo.State, repo.Halted)
+	}
+	instruments, err := repo.ListInstruments(ctx, true)
+	if err != nil {
+		t.Fatal(err)
+	}
+	if len(instruments) != 1 || !instruments[0].Quarantine {
+		t.Fatalf("instrument not quarantined: %+v", instruments)
+	}
+	if notifier.alerts != 1 {
+		t.Fatalf("alerts=%d, want 1", notifier.alerts)
+	}
+}
+
 func TestSizeReductionRuleCutsSizerAfterBadExpectedErrors(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()

internal/tinvest/real.go

@@ -251,7 +251,7 @@ func (g *RealGateway) GetPortfolio(ctx context.Context, accountID string) (domai
 	for _, position := range positions {
 		holdings = append(holdings, domain.Holding{
 			InstrumentUID: position.GetInstrumentUid(),
-			QuantityLots:  money.QuotationToDecimal(position.GetQuantity()).IntPart(),
+			QuantityLots:  portfolioQuantityLots(position),
 			AveragePrice:  money.MoneyValueToDecimal(position.GetAveragePositionPrice()),
 			MarketValue:   money.MoneyValueToDecimal(position.GetCurrentPrice()).Mul(money.QuotationToDecimal(position.GetQuantity())),
 		})
@@ -337,6 +337,29 @@ func rubMoneyValueToDecimal(value *pb.MoneyValue) (decimal.Decimal, error) {
 	return money.MoneyValueToDecimal(value), nil
 }
 
+func portfolioQuantityLots(position *pb.PortfolioPosition) int64 {
+	if position == nil {
+		return 0
+	}
+	if lots, ok := portfolioDeprecatedQuantityLots(position); ok {
+		return lots.IntPart()
+	}
+	return money.QuotationToDecimal(position.GetQuantity()).IntPart()
+}
+
+func portfolioDeprecatedQuantityLots(position *pb.PortfolioPosition) (decimal.Decimal, bool) {
+	message := position.ProtoReflect()
+	field := message.Descriptor().Fields().ByName("quantity_lots")
+	if field == nil || !message.Has(field) {
+		return decimal.Zero, false
+	}
+	quotation, ok := message.Get(field).Message().Interface().(*pb.Quotation)
+	if !ok || quotation == nil {
+		return decimal.Zero, false
+	}
+	return money.QuotationToDecimal(quotation), true
+}
+
 func serverTimeFromHeader(header map[string][]string) (time.Time, bool) {
 	for _, key := range []string{"date", "Date"} {
 		values := header[key]