fourth version

README.md

@@ -76,6 +76,7 @@ APP_MODE=backtest go run ./cmd/bot
 | `STRATEGY_ROLLING_SHORT` | количество торговых дней | `60` | рекомендуется `> 0` | Короткое окно статистики overnight-доходности. Больше - стабильнее оценка, но медленнее реакция; меньше - быстрее реакция, но больше шум. |
 | `STRATEGY_ROLLING_LONG` | количество торговых дней | `252` | рекомендуется `>= STRATEGY_ROLLING_SHORT` и `> 0` | Длинное окно для проверки положительного долгосрочного edge и глубины backfill. Больше требует больше истории. |
 | `STRATEGY_EWMA_LAMBDA` | дробь для EWMA | `0.08` | рабочий диапазон `(0, 1]`; вне диапазона EWMA-функция использует `0.08` | Вес новых наблюдений в EWMA. Больше - свежее движение влияет сильнее. |
+| `STRATEGY_ALLOCATION_METHOD` | `equal_weight` | `equal_weight` | сейчас поддерживается только `equal_weight` | Метод распределения капитала между выбранными сигналами. Текущая реализация делит лимит экспозиции поровну между выбранными инструментами. |
 | `STRATEGY_MIN_TSTAT_60` | decimal t-stat | `1.25` | валидации нет; обычно `>= 0` | Минимальная статистическая значимость короткого edge. Выше - меньше входов, ниже - больше входов. |
 | `STRATEGY_MIN_WIN_RATE_60` | доля прибыльных overnight-дней | `0.55` | рекомендуется `0..1` | Минимальная доля положительных overnight-наблюдений. Выше - строже фильтр сигналов. |
 | `STRATEGY_MIN_NET_EDGE_BPS` | bps | `10` | валидации нет; обычно `>= 0` | Минимальный ожидаемый edge после издержек. Выше - меньше, но потенциально качественнее сигналы. |
@@ -146,7 +147,7 @@ APP_MODE=backtest go run ./cmd/bot
 | --- | --- | --- | --- | --- |
 | `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 | 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. |
+| `COMM_FREE_ORDER_COUNT_POLICY` | `submitted` или `cancel_counts` | `submitted` | одно из двух значений | Политика учёта бесплатных заявок: `submitted` считает только отправку новой заявки, `cancel_counts` дополнительно считает успешные отмены перед repost. |
 
 ### BT
 

cmd/backtest/main.go

@@ -130,7 +130,7 @@ func run() error {
 		MaxSpreadBps:           spread,
 		MaxTickBps:             tick,
 		AssumedSpreadBps:       assumed,
-		RequireZeroCommission:  *requireZeroCommission,
+		RequireZeroCommission:  requireZeroCommission,
 		UseMinuteModel:         *useMinuteModel,
 	})
 	result, err := engine.RunWithMinuteCandles(candles, minuteCandles)

internal/app/app.go

@@ -244,6 +244,7 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
 	})
 	execEngine := execution.NewEngine(cfg.App.Mode, cfg.TInvest.AccountID, gateway, repo)
 	execEngine.SetMaxQuoteAge(time.Duration(cfg.Execution.MaxQuoteAgeSec) * time.Second)
+	execEngine.SetFreeOrderCountPolicy(cfg.Commission.FreeOrderCountPolicy)
 	services := scheduler.Services{
 		Repo:          repo,
 		Gateway:       gateway,
@@ -272,6 +273,7 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
 		EntryWindowEnd:         cfg.Execution.EntryWindowEnd,
 		NoNewEntryAfter:        cfg.Execution.NoNewEntryAfter,
 		ExitWatchStart:         cfg.Execution.ExitWatchStart,
+		ExitNotBefore:          cfg.Execution.ExitNotBefore,
 		ExitWindowStart:        cfg.Execution.ExitWindowStart,
 		ExitWindowEnd:          cfg.Execution.ExitWindowEnd,
 		HardExitDeadline:       cfg.Execution.HardExitDeadline,
@@ -287,6 +289,7 @@ func buildScheduler(clock timeutil.Clock, sm statemachine.System, cfg config.Con
 		APIOutageHalt:          time.Duration(cfg.Risk.APIOutageHaltSec) * time.Second,
 		RequireZeroCommission:  cfg.Commission.RequireZeroCommission,
 		QuarantineOnNonZero:    cfg.Commission.QuarantineOnNonZero,
+		FreeOrderCountPolicy:   cfg.Commission.FreeOrderCountPolicy,
 		ReconciliationInterval: 5 * time.Minute,
 		MaxOpenPositions:       minPositive(cfg.Strategy.MaxPositions, cfg.Risk.MaxOpenPositions),
 	}, services)

internal/backtest/config_test.go

@@ -0,0 +1,38 @@
+package backtest
+
+import (
+	"testing"
+
+	"github.com/shopspring/decimal"
+)
+
+func TestRequireZeroCommissionDefaultDoesNotOverrideExplicitFalse(t *testing.T) {
+	defaultEngine := New(Config{})
+	if !defaultEngine.requireZeroCommission() {
+		t.Fatal("default require_zero_commission should be true")
+	}
+	requireZero := false
+	explicitEngine := New(Config{RequireZeroCommission: &requireZero})
+	if explicitEngine.requireZeroCommission() {
+		t.Fatal("explicit require_zero_commission=false was overridden")
+	}
+}
+
+func TestAssumedSpreadUsesFundTypeSpecificDefaults(t *testing.T) {
+	engine := New(Config{
+		AssumedSpreadBps: decimal.NewFromInt(20),
+		InstrumentFundTypes: map[string]string{
+			"mm": "money_market",
+			"eq": "equity",
+		},
+	})
+	if got := engine.assumedSpreadBps("mm"); !got.Equal(decimal.NewFromInt(5)) {
+		t.Fatalf("money market spread=%s, want 5", got)
+	}
+	if got := engine.assumedSpreadBps("eq"); !got.Equal(decimal.NewFromInt(25)) {
+		t.Fatalf("equity spread=%s, want 25", got)
+	}
+	if got := engine.assumedSpreadBps("unknown"); !got.Equal(decimal.NewFromInt(20)) {
+		t.Fatalf("default spread=%s, want 20", got)
+	}
+}

internal/backtest/engine.go

@@ -8,6 +8,7 @@ import (
 	"os"
 	"path/filepath"
 	"sort"
+	"strings"
 	"time"
 
 	"github.com/shopspring/decimal"
@@ -19,35 +20,40 @@ import (
 )
 
 type Config struct {
-	EntrySlippageBps       decimal.Decimal
-	ExitSlippageBps        decimal.Decimal
-	CommissionRoundtripBps decimal.Decimal
-	RiskBufferBps          decimal.Decimal
-	InitialEquity          decimal.Decimal
-	OutputDir              string
-	RollingShort           int
-	RollingLong            int
-	EWMALambda             float64
-	MinTStat60             decimal.Decimal
-	MinWinRate60           decimal.Decimal
-	MinNetEdgeBps          decimal.Decimal
-	MinADVRUB              decimal.Decimal
-	MaxSpreadBps           decimal.Decimal
-	MaxTickBps             decimal.Decimal
-	RequireZeroCommission  bool
-	MaxPositions           int
-	MaxPositionPct         decimal.Decimal
-	MaxTotalExposurePct    decimal.Decimal
-	MaxParticipationRate   decimal.Decimal
-	CashUsageBuffer        decimal.Decimal
-	RiskBudgetPct          decimal.Decimal
-	MinOrderNotionalRUB    decimal.Decimal
-	AssumedSpreadBps       decimal.Decimal
-	AssumedTickBps         decimal.Decimal
-	Lot                    int64
-	UseMinuteModel         bool
-	EntryWindow            TimeWindow
-	ExitWindow             TimeWindow
+	EntrySlippageBps           decimal.Decimal
+	ExitSlippageBps            decimal.Decimal
+	CommissionRoundtripBps     decimal.Decimal
+	RiskBufferBps              decimal.Decimal
+	InitialEquity              decimal.Decimal
+	OutputDir                  string
+	RollingShort               int
+	RollingLong                int
+	EWMALambda                 float64
+	MinTStat60                 decimal.Decimal
+	MinWinRate60               decimal.Decimal
+	MinNetEdgeBps              decimal.Decimal
+	MinADVRUB                  decimal.Decimal
+	MaxSpreadBps               decimal.Decimal
+	MaxSpreadBpsMoneyMarket    decimal.Decimal
+	MaxSpreadBpsBondFunds      decimal.Decimal
+	MaxSpreadBpsEquityFunds    decimal.Decimal
+	MaxTickBps                 decimal.Decimal
+	RequireZeroCommission      *bool
+	MaxPositions               int
+	MaxPositionPct             decimal.Decimal
+	MaxTotalExposurePct        decimal.Decimal
+	MaxParticipationRate       decimal.Decimal
+	CashUsageBuffer            decimal.Decimal
+	RiskBudgetPct              decimal.Decimal
+	MinOrderNotionalRUB        decimal.Decimal
+	AssumedSpreadBps           decimal.Decimal
+	AssumedSpreadBpsByFundType map[string]decimal.Decimal
+	InstrumentFundTypes        map[string]string
+	AssumedTickBps             decimal.Decimal
+	Lot                        int64
+	UseMinuteModel             bool
+	EntryWindow                TimeWindow
+	ExitWindow                 TimeWindow
 }
 
 type TimeWindow struct {
@@ -120,6 +126,15 @@ func (cfg Config) withDefaults() Config {
 	if cfg.MaxSpreadBps.IsZero() {
 		cfg.MaxSpreadBps = decimal.NewFromInt(20)
 	}
+	if cfg.MaxSpreadBpsMoneyMarket.IsZero() {
+		cfg.MaxSpreadBpsMoneyMarket = decimal.NewFromInt(5)
+	}
+	if cfg.MaxSpreadBpsBondFunds.IsZero() {
+		cfg.MaxSpreadBpsBondFunds = decimal.NewFromInt(10)
+	}
+	if cfg.MaxSpreadBpsEquityFunds.IsZero() {
+		cfg.MaxSpreadBpsEquityFunds = decimal.NewFromInt(25)
+	}
 	if cfg.MaxTickBps.IsZero() {
 		cfg.MaxTickBps = decimal.NewFromInt(10)
 	}
@@ -132,8 +147,9 @@ func (cfg Config) withDefaults() Config {
 	if cfg.AssumedTickBps.IsZero() {
 		cfg.AssumedTickBps = cfg.MaxTickBps
 	}
-	if !cfg.RequireZeroCommission && cfg.CommissionRoundtripBps.IsZero() {
-		cfg.RequireZeroCommission = true
+	if cfg.RequireZeroCommission == nil {
+		requireZero := true
+		cfg.RequireZeroCommission = &requireZero
 	}
 	if cfg.MaxPositions == 0 {
 		cfg.MaxPositions = 5
@@ -260,7 +276,7 @@ func (e Engine) RunWithMinuteCandles(candlesByInstrument map[string][]domain.Can
 				Lots:          lots,
 				Notional:      notional,
 				NetPnL:        pnl,
-				SpreadBps:     e.cfg.AssumedSpreadBps,
+				SpreadBps:     c.spreadBps,
 				SlippageBps:   e.cfg.EntrySlippageBps.Add(e.cfg.ExitSlippageBps),
 				OvernightGap:  c.overnightGap,
 				CapacityRUB:   capacity,
@@ -355,6 +371,7 @@ type candidate struct {
 	buy           decimal.Decimal
 	sell          decimal.Decimal
 	netEdge       decimal.Decimal
+	spreadBps     decimal.Decimal
 	adv           decimal.Decimal
 	q05Abs        decimal.Decimal
 	overnightGap  decimal.Decimal
@@ -381,7 +398,8 @@ func (e Engine) evaluateCandidate(instrumentUID string, candles []domain.Candle,
 		return candidate{}, false, nil
 	}
 	rawEdge := decimal.NewFromFloat(short.Mean).Mul(decimal.NewFromInt(10_000))
-	cost := e.cfg.AssumedSpreadBps.
+	spreadBps := e.assumedSpreadBps(instrumentUID)
+	cost := spreadBps.
 		Add(e.cfg.EntrySlippageBps).
 		Add(e.cfg.ExitSlippageBps).
 		Add(e.cfg.CommissionRoundtripBps).
@@ -389,7 +407,7 @@ func (e Engine) evaluateCandidate(instrumentUID string, candles []domain.Candle,
 	netEdge := rawEdge.Sub(cost)
 	adv := features.ADV(history, e.cfg.Lot, 20)
 	switch {
-	case e.cfg.RequireZeroCommission && e.cfg.CommissionRoundtripBps.IsPositive():
+	case e.requireZeroCommission() && e.cfg.CommissionRoundtripBps.IsPositive():
 		return candidate{}, false, nil
 	case !decimal.NewFromFloat(short.Mean).IsPositive() || !decimal.NewFromFloat(long.Mean).IsPositive():
 		return candidate{}, false, nil
@@ -399,7 +417,7 @@ func (e Engine) evaluateCandidate(instrumentUID string, candles []domain.Candle,
 		return candidate{}, false, nil
 	case netEdge.LessThan(e.cfg.MinNetEdgeBps):
 		return candidate{}, false, nil
-	case e.cfg.AssumedSpreadBps.GreaterThan(e.cfg.MaxSpreadBps):
+	case spreadBps.GreaterThan(e.maxSpreadBps(instrumentUID)):
 		return candidate{}, false, nil
 	case e.cfg.AssumedTickBps.GreaterThan(e.cfg.MaxTickBps):
 		return candidate{}, false, nil
@@ -425,6 +443,7 @@ func (e Engine) evaluateCandidate(instrumentUID string, candles []domain.Candle,
 		buy:           buy,
 		sell:          sell,
 		netEdge:       netEdge,
+		spreadBps:     spreadBps,
 		adv:           adv,
 		q05Abs:        q05Abs,
 		overnightGap:  gap,
@@ -432,6 +451,58 @@ func (e Engine) evaluateCandidate(instrumentUID string, candles []domain.Candle,
 	}, true, nil
 }
 
+func (e Engine) requireZeroCommission() bool {
+	return e.cfg.RequireZeroCommission != nil && *e.cfg.RequireZeroCommission
+}
+
+func (e Engine) assumedSpreadBps(instrumentUID string) decimal.Decimal {
+	fundType := normalizedFundType(e.cfg.InstrumentFundTypes[instrumentUID])
+	if !fundType.IsZeroValue {
+		if spread, ok := e.cfg.AssumedSpreadBpsByFundType[fundType.Key]; ok {
+			return spread
+		}
+		return e.maxSpreadBpsForFundType(fundType.Raw)
+	}
+	return e.cfg.AssumedSpreadBps
+}
+
+func (e Engine) maxSpreadBps(instrumentUID string) decimal.Decimal {
+	fundType := normalizedFundType(e.cfg.InstrumentFundTypes[instrumentUID])
+	if fundType.IsZeroValue {
+		return e.cfg.MaxSpreadBps
+	}
+	return e.maxSpreadBpsForFundType(fundType.Raw)
+}
+
+func (e Engine) maxSpreadBpsForFundType(fundType string) decimal.Decimal {
+	switch {
+	case strings.Contains(fundType, "money"):
+		return e.cfg.MaxSpreadBpsMoneyMarket
+	case strings.Contains(fundType, "bond"):
+		return e.cfg.MaxSpreadBpsBondFunds
+	case strings.Contains(fundType, "equity"):
+		return e.cfg.MaxSpreadBpsEquityFunds
+	default:
+		return e.cfg.MaxSpreadBps
+	}
+}
+
+type normalizedType struct {
+	Raw         string
+	Key         string
+	IsZeroValue bool
+}
+
+func normalizedFundType(raw string) normalizedType {
+	raw = strings.ToLower(strings.TrimSpace(raw))
+	if raw == "" {
+		return normalizedType{IsZeroValue: true}
+	}
+	key := strings.ReplaceAll(raw, "-", "_")
+	key = strings.ReplaceAll(key, " ", "_")
+	return normalizedType{Raw: raw, Key: key}
+}
+
 func prepareCandles(candlesByInstrument map[string][]domain.Candle) map[string][]domain.Candle {
 	prepared := make(map[string][]domain.Candle, len(candlesByInstrument))
 	for instrumentUID, candles := range candlesByInstrument {

internal/config/config.go

@@ -68,14 +68,15 @@ type TelegramConfig struct {
 }
 
 type StrategyConfig struct {
-	RollingShort  int             `env:"ROLLING_SHORT" envDefault:"60"`
-	RollingLong   int             `env:"ROLLING_LONG" envDefault:"252"`
-	EWMALambda    float64         `env:"EWMA_LAMBDA" envDefault:"0.08"`
-	MinTStat60    decimal.Decimal `env:"MIN_TSTAT_60" envDefault:"1.25"`
-	MinWinRate60  decimal.Decimal `env:"MIN_WIN_RATE_60" envDefault:"0.55"`
-	MinNetEdgeBps decimal.Decimal `env:"MIN_NET_EDGE_BPS" envDefault:"10"`
-	RiskBufferBps decimal.Decimal `env:"RISK_BUFFER_BPS" envDefault:"5"`
-	MaxPositions  int             `env:"MAX_POSITIONS" envDefault:"5"`
+	RollingShort     int             `env:"ROLLING_SHORT" envDefault:"60"`
+	RollingLong      int             `env:"ROLLING_LONG" envDefault:"252"`
+	EWMALambda       float64         `env:"EWMA_LAMBDA" envDefault:"0.08"`
+	AllocationMethod string          `env:"ALLOCATION_METHOD" envDefault:"equal_weight"`
+	MinTStat60       decimal.Decimal `env:"MIN_TSTAT_60" envDefault:"1.25"`
+	MinWinRate60     decimal.Decimal `env:"MIN_WIN_RATE_60" envDefault:"0.55"`
+	MinNetEdgeBps    decimal.Decimal `env:"MIN_NET_EDGE_BPS" envDefault:"10"`
+	RiskBufferBps    decimal.Decimal `env:"RISK_BUFFER_BPS" envDefault:"5"`
+	MaxPositions     int             `env:"MAX_POSITIONS" envDefault:"5"`
 }
 
 type ExecutionConfig struct {
@@ -203,8 +204,19 @@ func (c *Config) Validate() error {
 	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)
+	if c.Commission.FreeOrderCountPolicy == "" {
+		c.Commission.FreeOrderCountPolicy = "submitted"
+	}
+	switch c.Commission.FreeOrderCountPolicy {
+	case "submitted", "cancel_counts":
+	default:
+		return fmt.Errorf("COMM_FREE_ORDER_COUNT_POLICY must be submitted or cancel_counts, got %q", c.Commission.FreeOrderCountPolicy)
+	}
+	if c.Strategy.AllocationMethod == "" {
+		c.Strategy.AllocationMethod = "equal_weight"
+	}
+	if c.Strategy.AllocationMethod != "equal_weight" {
+		return fmt.Errorf("STRATEGY_ALLOCATION_METHOD must be equal_weight, got %q", c.Strategy.AllocationMethod)
 	}
 	if err := c.validateWindows(); err != nil {
 		return err

internal/config/config_test.go

@@ -19,6 +19,14 @@ func TestValidateRequiresAccountIDForBrokerModes(t *testing.T) {
 	}
 }
 
+func TestValidateAllowsCancelCountsFreeOrderPolicy(t *testing.T) {
+	cfg := minimalBrokerConfig(domain.ModeSandbox)
+	cfg.Commission.FreeOrderCountPolicy = "cancel_counts"
+	if err := cfg.Validate(); err != nil {
+		t.Fatalf("Validate cancel_counts: %v", err)
+	}
+}
+
 func minimalBrokerConfig(mode domain.Mode) Config {
 	return Config{
 		App: AppConfig{
@@ -44,6 +52,7 @@ func minimalBrokerConfig(mode domain.Mode) Config {
 			QuoteDepth:          20,
 			OrderPollIntervalMS: 500,
 		},
+		Strategy: StrategyConfig{AllocationMethod: "equal_weight"},
 		Risk: RiskConfig{
 			APIOutageHaltSec:          180,
 			ReconciliationWindowHours: 72,

internal/execution/engine.go

@@ -17,6 +17,11 @@ import (
 var ErrBrokerOrdersDisabled = errors.New("broker orders are disabled for current mode")
 var ErrEmptyOrderBook = errors.New("order book has no usable bid/ask")
 
+const (
+	FreeOrderPolicySubmitted    = "submitted"
+	FreeOrderPolicyCancelCounts = "cancel_counts"
+)
+
 type Gateway interface {
 	PostLimitOrder(ctx context.Context, accountID, instrumentUID string, side domain.Side, lots int64, price decimal.Decimal, clientOrderID string) (domain.Order, error)
 	CancelOrder(ctx context.Context, accountID, orderID string) error
@@ -24,12 +29,13 @@ type Gateway interface {
 }
 
 type Engine struct {
-	mode        domain.Mode
-	accountID   string
-	gateway     Gateway
-	store       repository.Repository
-	maxQuoteAge time.Duration
-	mu          sync.Map
+	mode                 domain.Mode
+	accountID            string
+	gateway              Gateway
+	store                repository.Repository
+	maxQuoteAge          time.Duration
+	freeOrderCountPolicy string
+	mu                   sync.Map
 }
 
 type MonitorConfig struct {
@@ -44,13 +50,22 @@ type MonitorConfig struct {
 }
 
 func NewEngine(mode domain.Mode, accountID string, gateway Gateway, store repository.Repository) Engine {
-	return Engine{mode: mode, accountID: accountID, gateway: gateway, store: store}
+	return Engine{mode: mode, accountID: accountID, gateway: gateway, store: store, freeOrderCountPolicy: FreeOrderPolicySubmitted}
 }
 
 func (e *Engine) SetMaxQuoteAge(maxQuoteAge time.Duration) {
 	e.maxQuoteAge = maxQuoteAge
 }
 
+func (e *Engine) SetFreeOrderCountPolicy(policy string) {
+	switch policy {
+	case FreeOrderPolicyCancelCounts:
+		e.freeOrderCountPolicy = policy
+	default:
+		e.freeOrderCountPolicy = FreeOrderPolicySubmitted
+	}
+}
+
 func (e *Engine) PlaceEntry(ctx context.Context, accountIDHash string, instrument domain.Instrument, tradeDate time.Time, lots int64, book domain.OrderBook, improveTicks int, attempt int) (domain.Order, error) {
 	if err := e.checkQuoteFresh(book); err != nil {
 		return domain.Order{}, err
@@ -251,7 +266,15 @@ func (e *Engine) Cancel(ctx context.Context, order domain.Order) error {
 		return err
 	}
 	if e.store != nil {
-		return e.store.UpdateOrderStatus(ctx, order.ClientOrderID, domain.OrderStatusCancelled, order.FilledLots, order.RawStateJSON)
+		return e.store.RunInTx(ctx, func(ctx context.Context, repo repository.Repository) error {
+			if err := repo.UpdateOrderStatus(ctx, order.ClientOrderID, domain.OrderStatusCancelled, order.FilledLots, order.RawStateJSON); err != nil {
+				return err
+			}
+			if e.cancelCountsAsFreeOrder() {
+				return repo.IncrementFreeOrders(ctx, order.TradeDate, order.InstrumentUID, 1)
+			}
+			return nil
+		})
 	}
 	return nil
 }
@@ -485,12 +508,21 @@ func (e *Engine) ensureRepostBudget(ctx context.Context, order domain.Order, ins
 	if err != nil {
 		return err
 	}
-	if instrument.FreeOrderLimitPerDay-sent < 1 {
-		return fmt.Errorf("%w: %s remaining=0", risk.ErrFreeOrderBudget, instrument.InstrumentUID)
+	needed := 1
+	if e.cancelCountsAsFreeOrder() {
+		needed = 2
+	}
+	remaining := instrument.FreeOrderLimitPerDay - sent
+	if remaining < needed {
+		return fmt.Errorf("%w: %s remaining=%d needed=%d", risk.ErrFreeOrderBudget, instrument.InstrumentUID, remaining, needed)
 	}
 	return nil
 }
 
+func (e *Engine) cancelCountsAsFreeOrder() bool {
+	return e.freeOrderCountPolicy == FreeOrderPolicyCancelCounts
+}
+
 func (e *Engine) checkQuoteFresh(book domain.OrderBook) error {
 	if e.maxQuoteAge <= 0 {
 		return nil

internal/execution/state_test.go

@@ -96,6 +96,40 @@ func TestPaperPlaceEntryFillsAndCountsSubmittedOrder(t *testing.T) {
 	}
 }
 
+func TestCancelCountsAsFreeOrderWhenPolicyEnabled(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	gateway := tinvest.NewFakeGateway()
+	engine := NewEngine(domain.ModeSandbox, "account", gateway, repo)
+	engine.SetFreeOrderCountPolicy(FreeOrderPolicyCancelCounts)
+	tradeDate := time.Date(2026, 6, 6, 0, 0, 0, 0, time.UTC)
+	order, err := engine.PlaceLimit(ctx, domain.Order{
+		ClientOrderID: "order-1",
+		AccountIDHash: "hash",
+		InstrumentUID: "uid",
+		TradeDate:     tradeDate,
+		Side:          domain.SideBuy,
+		OrderType:     domain.OrderTypeLimit,
+		LimitPrice:    decimal.NewFromInt(100),
+		QuantityLots:  1,
+		Status:        domain.OrderStatusNew,
+		AttemptNo:     1,
+	})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if err := engine.Cancel(ctx, order); err != nil {
+		t.Fatal(err)
+	}
+	sent, err := repo.GetFreeOrdersSent(ctx, tradeDate, "uid")
+	if err != nil {
+		t.Fatal(err)
+	}
+	if sent != 2 {
+		t.Fatalf("free order counter=%d, want submit+cancel", sent)
+	}
+}
+
 func TestPlaceEntryRejectsStaleQuote(t *testing.T) {
 	ctx := context.Background()
 	engine := NewEngine(domain.ModeSandbox, "account", tinvest.NewFakeGateway(), testutil.NewMemoryRepository())

internal/features/pipeline.go

@@ -40,7 +40,8 @@ func NewPipeline(repo repository.Repository, cfg PipelineConfig) Pipeline {
 
 func (p Pipeline) Recompute(ctx context.Context, instrument domain.Instrument, tradeDate time.Time, spread SpreadResult) (domain.FeatureSet, error) {
 	from := tradeDate.AddDate(0, 0, -p.cfg.RollingLong-5)
-	candles, err := p.repo.ListDailyCandles(ctx, instrument.InstrumentUID, from, tradeDate)
+	to := dateOnly(tradeDate).AddDate(0, 0, -1)
+	candles, err := p.repo.ListDailyCandles(ctx, instrument.InstrumentUID, from, to)
 	if err != nil {
 		return domain.FeatureSet{}, err
 	}
@@ -74,8 +75,9 @@ func (p Pipeline) intervalVolume(ctx context.Context, instrument domain.Instrume
 	if lookback <= 0 {
 		lookback = defaultIntervalVolumeLookback
 	}
-	from := window.Start.On(date.AddDate(0, 0, -lookback), loc).UTC()
-	to := window.End.On(date, loc).UTC()
+	toDate := dateOnly(date).AddDate(0, 0, -1)
+	from := window.Start.On(toDate.AddDate(0, 0, -lookback+1), loc).UTC()
+	to := window.End.On(toDate, loc).UTC()
 	candles, err := p.repo.ListMinuteCandles(ctx, instrument.InstrumentUID, from, to)
 	if err != nil {
 		return decimal.Zero, err
@@ -84,6 +86,7 @@ func (p Pipeline) intervalVolume(ctx context.Context, instrument domain.Instrume
 }
 
 func Compute(instrument domain.Instrument, candles []domain.Candle, tradeDate time.Time, spread SpreadResult, cfg PipelineConfig, entryVolume, exitVolume decimal.Decimal) (domain.FeatureSet, error) {
+	candles = historicalDailyCandles(candles, tradeDate)
 	if len(candles) < 2 {
 		return domain.FeatureSet{}, fmt.Errorf("need at least 2 candles, got %d", len(candles))
 	}
@@ -138,6 +141,22 @@ func Compute(instrument domain.Instrument, candles []domain.Candle, tradeDate ti
 	}, nil
 }
 
+func historicalDailyCandles(candles []domain.Candle, tradeDate time.Time) []domain.Candle {
+	tradeDay := dateOnly(tradeDate)
+	out := make([]domain.Candle, 0, len(candles))
+	for _, candle := range candles {
+		if dateOnly(candle.TradeDate).Before(tradeDay) {
+			out = append(out, candle)
+		}
+	}
+	return out
+}
+
+func dateOnly(ts time.Time) time.Time {
+	year, month, day := ts.UTC().Date()
+	return time.Date(year, month, day, 0, 0, 0, 0, time.UTC)
+}
+
 func IntervalVolume(candles []domain.Candle, lot int64) decimal.Decimal {
 	if lot <= 0 {
 		return decimal.Zero

internal/features/pipeline_test.go

@@ -1,12 +1,14 @@
 package features
 
 import (
+	"context"
 	"testing"
 	"time"
 
 	"github.com/shopspring/decimal"
 
 	"overnight-trading-bot/internal/domain"
+	"overnight-trading-bot/internal/testutil"
 	"overnight-trading-bot/internal/timeutil"
 )
 
@@ -74,6 +76,41 @@ func TestAverageIntervalVolumeUsesExecutionWindowsAcrossDays(t *testing.T) {
 	}
 }
 
+func TestRecomputeExcludesTradeDateDailyCandle(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	start := time.Date(2026, 6, 1, 0, 0, 0, 0, time.UTC)
+	var candles []domain.Candle
+	for i := 0; i < 6; i++ {
+		closePrice := decimal.NewFromInt(100)
+		if i == 5 {
+			closePrice = decimal.NewFromInt(100000)
+		}
+		candles = append(candles, domain.Candle{
+			InstrumentUID: "uid",
+			TradeDate:     start.AddDate(0, 0, i),
+			Open:          decimal.NewFromInt(100),
+			Close:         closePrice,
+			VolumeLots:    decimal.NewFromInt(1),
+		})
+	}
+	if err := repo.UpsertDailyCandles(ctx, candles); err != nil {
+		t.Fatal(err)
+	}
+	pipeline := NewPipeline(repo, PipelineConfig{
+		RollingShort: 2,
+		RollingLong:  2,
+		EWMALambda:   0.08,
+	})
+	got, err := pipeline.Recompute(ctx, domain.Instrument{InstrumentUID: "uid", Lot: 1}, start.AddDate(0, 0, 5), SpreadResult{})
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !got.ADV20.Equal(decimal.NewFromInt(100)) {
+		t.Fatalf("ADV20=%s, want tradeDate candle excluded", got.ADV20)
+	}
+}
+
 func mustTOD(raw string) timeutil.TimeOfDay {
 	tod, err := timeutil.ParseTimeOfDay(raw)
 	if err != nil {

internal/logging/logging.go

@@ -1,9 +1,11 @@
 package logging
 
 import (
+	"fmt"
 	"io"
 	"log/slog"
 	"os"
+	"regexp"
 	"strings"
 )
 
@@ -22,7 +24,10 @@ func New(level string, out io.Writer) *slog.Logger {
 	default:
 		slogLevel = slog.LevelInfo
 	}
-	return slog.New(slog.NewJSONHandler(out, &slog.HandlerOptions{Level: slogLevel}))
+	return slog.New(slog.NewJSONHandler(out, &slog.HandlerOptions{
+		Level:       slogLevel,
+		ReplaceAttr: redactAttr,
+	}))
 }
 
 type SDKLogger struct {
@@ -31,18 +36,69 @@ type SDKLogger struct {
 
 func (l SDKLogger) Infof(template string, args ...any) {
 	if l.Logger != nil {
-		l.Logger.Info(template, "args", args)
+		l.Logger.Info(RedactString(template), "args", redactArgs(args))
 	}
 }
 
 func (l SDKLogger) Errorf(template string, args ...any) {
 	if l.Logger != nil {
-		l.Logger.Error(template, "args", args)
+		l.Logger.Error(RedactString(template), "args", redactArgs(args))
 	}
 }
 
 func (l SDKLogger) Fatalf(template string, args ...any) {
 	if l.Logger != nil {
-		l.Logger.Error(template, "args", args)
+		l.Logger.Error(RedactString(template), "args", redactArgs(args))
 	}
 }
+
+var sensitiveStringPatterns = []*regexp.Regexp{
+	regexp.MustCompile(`(?i)((?:account[_-]?id|token)\s*[:=]\s*)("[^"]+"|'[^']+'|[^\s,}]+)`),
+	regexp.MustCompile(`(?i)("(?:accountId|account_id|token)"\s*:\s*)("[^"]*"|null)`),
+}
+
+func redactAttr(_ []string, attr slog.Attr) slog.Attr {
+	if attr.Value.Kind() == slog.KindString {
+		attr.Value = slog.StringValue(RedactString(attr.Value.String()))
+	}
+	return attr
+}
+
+func redactArgs(args []any) []any {
+	out := make([]any, len(args))
+	for i, arg := range args {
+		out[i] = redactAny(arg)
+	}
+	return out
+}
+
+func redactAny(value any) any {
+	switch typed := value.(type) {
+	case string:
+		return RedactString(typed)
+	case []string:
+		out := make([]string, len(typed))
+		for i, item := range typed {
+			out[i] = RedactString(item)
+		}
+		return out
+	case []any:
+		out := make([]any, len(typed))
+		for i, item := range typed {
+			out[i] = redactAny(item)
+		}
+		return out
+	case fmt.Stringer:
+		return RedactString(typed.String())
+	default:
+		return value
+	}
+}
+
+func RedactString(raw string) string {
+	redacted := raw
+	for _, pattern := range sensitiveStringPatterns {
+		redacted = pattern.ReplaceAllString(redacted, `${1}"[REDACTED]"`)
+	}
+	return redacted
+}

internal/reconciliation/engine.go

@@ -5,6 +5,7 @@ import (
 	"encoding/json"
 	"fmt"
 	"strings"
+	"sync"
 	"time"
 
 	"github.com/shopspring/decimal"
@@ -18,6 +19,7 @@ import (
 var defaultCommissionTolerance = decimal.RequireFromString("0.01")
 
 type Engine struct {
+	mu                    *sync.Mutex
 	repo                  repository.Repository
 	gateway               tinvest.Gateway
 	accountID             string
@@ -31,6 +33,7 @@ type Engine struct {
 
 func New(repo repository.Repository, gateway tinvest.Gateway, accountID, accountIDHash string) Engine {
 	return Engine{
+		mu:                  &sync.Mutex{},
 		repo:                repo,
 		gateway:             gateway,
 		accountID:           accountID,
@@ -64,6 +67,10 @@ func (e Engine) WithCommissionPolicy(requireZero, quarantineOnNonZero bool, tole
 }
 
 func (e Engine) Run(ctx context.Context) ([]domain.ReconciliationDiff, error) {
+	if e.mu != nil {
+		e.mu.Lock()
+		defer e.mu.Unlock()
+	}
 	localOrders, err := e.repo.ListActiveOrders(ctx, e.accountIDHash)
 	if err != nil {
 		return nil, err
@@ -150,6 +157,7 @@ func (e Engine) Run(ctx context.Context) ([]domain.ReconciliationDiff, error) {
 			})
 		}
 	}
+	diffs = append(diffs, compareCash(localPositions, portfolio, e.commissionTolerance)...)
 	from := now.Add(-e.window)
 	recentOrders, err := e.repo.ListOrders(ctx, e.accountIDHash, from, now)
 	if err != nil {
@@ -204,6 +212,55 @@ func compareOperations(orders []domain.Order, operations []domain.Operation) []d
 	return compareOperationsWithPolicy(orders, operations, false, defaultCommissionTolerance)
 }
 
+func compareCash(localPositions []domain.Position, portfolio domain.Portfolio, tolerance decimal.Decimal) []domain.ReconciliationDiff {
+	if tolerance.IsNegative() {
+		tolerance = decimal.Zero
+	}
+	expectedCash, ok := expectedCashFromLocalPositions(localPositions, portfolio)
+	if !ok {
+		return nil
+	}
+	diff := money.Abs(expectedCash.Sub(portfolio.Cash))
+	if diff.LessThanOrEqual(tolerance) {
+		return nil
+	}
+	return []domain.ReconciliationDiff{{
+		Kind:     "cash_mismatch",
+		Message:  fmt.Sprintf("expected cash=%s broker cash=%s diff=%s", expectedCash.StringFixed(2), portfolio.Cash.StringFixed(2), diff.StringFixed(2)),
+		Critical: true,
+	}}
+}
+
+func expectedCashFromLocalPositions(localPositions []domain.Position, portfolio domain.Portfolio) (decimal.Decimal, bool) {
+	if !portfolio.Equity.IsPositive() {
+		return decimal.Zero, false
+	}
+	if len(localPositions) == 0 {
+		if len(portfolio.Holdings) != 0 {
+			return decimal.Zero, false
+		}
+		return portfolio.Equity, true
+	}
+	holdingByInstrument := make(map[string]domain.Holding, len(portfolio.Holdings))
+	for _, holding := range portfolio.Holdings {
+		holdingByInstrument[holding.InstrumentUID] = holding
+	}
+	positionMarketValue := decimal.Zero
+	for _, pos := range localPositions {
+		if pos.Lots <= 0 {
+			continue
+		}
+		holding, ok := holdingByInstrument[pos.InstrumentUID]
+		if !ok || holding.QuantityLots <= 0 || !holding.MarketValue.IsPositive() {
+			return decimal.Zero, false
+		}
+		positionMarketValue = positionMarketValue.Add(holding.MarketValue.
+			Mul(decimal.NewFromInt(pos.Lots)).
+			Div(decimal.NewFromInt(holding.QuantityLots)))
+	}
+	return portfolio.Equity.Sub(positionMarketValue), true
+}
+
 func compareOperationsWithPolicy(orders []domain.Order, operations []domain.Operation, requireZeroCommission bool, commissionTolerance decimal.Decimal) []domain.ReconciliationDiff {
 	var diffs []domain.ReconciliationDiff
 	if commissionTolerance.IsNegative() {

internal/reconciliation/engine_test.go

@@ -170,3 +170,37 @@ func TestReconciliationSkipsFreshInFlightLocalOrders(t *testing.T) {
 		}
 	}
 }
+
+func TestReconciliationFindsCashMismatch(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	gateway := tinvest.NewFakeGateway()
+	if err := repo.UpsertPosition(ctx, domain.Position{
+		AccountIDHash: "hash",
+		InstrumentUID: "uid",
+		OpenTradeDate: time.Now().UTC(),
+		Lots:          2,
+		Status:        domain.PositionHoldingOvernight,
+	}); err != nil {
+		t.Fatal(err)
+	}
+	gateway.Portfolio = domain.Portfolio{
+		Equity: decimal.NewFromInt(1000),
+		Cash:   decimal.NewFromInt(700),
+		Holdings: []domain.Holding{{
+			InstrumentUID: "uid",
+			QuantityLots:  2,
+			MarketValue:   decimal.NewFromInt(200),
+		}},
+	}
+	diffs, err := New(repo, gateway, "account", "hash").Run(ctx)
+	if err != nil {
+		t.Fatal(err)
+	}
+	for _, diff := range diffs {
+		if diff.Kind == "cash_mismatch" && diff.Critical {
+			return
+		}
+	}
+	t.Fatalf("missing cash_mismatch in %+v", diffs)
+}

internal/scheduler/scheduler.go

@@ -45,6 +45,7 @@ type Config struct {
 	EntryWindowEnd         timeutil.TimeOfDay
 	NoNewEntryAfter        timeutil.TimeOfDay
 	ExitWatchStart         timeutil.TimeOfDay
+	ExitNotBefore          timeutil.TimeOfDay
 	ExitWindowStart        timeutil.TimeOfDay
 	ExitWindowEnd          timeutil.TimeOfDay
 	HardExitDeadline       timeutil.TimeOfDay
@@ -60,6 +61,7 @@ type Config struct {
 	APIOutageHalt          time.Duration
 	RequireZeroCommission  bool
 	QuarantineOnNonZero    bool
+	FreeOrderCountPolicy   string
 	ReconciliationInterval time.Duration
 	MaxOpenPositions       int
 }
@@ -133,6 +135,13 @@ func (s *Scheduler) Step(ctx context.Context) error {
 		return err
 	}
 	now := s.clock.Now().In(s.cfg.Location)
+	reported, err := s.sendMissedDailyReport(ctx, now)
+	if err != nil {
+		return err
+	}
+	if reported {
+		return nil
+	}
 	phase := s.phase(now)
 	switch phase {
 	case domain.StateWaitExitWindow:
@@ -158,10 +167,14 @@ func (s *Scheduler) Step(ctx context.Context) error {
 
 func (s Scheduler) phase(now time.Time) domain.SystemState {
 	tod := sinceMidnight(now)
+	exitWindowStart := s.cfg.ExitWindowStart.Duration
+	if s.cfg.ExitNotBefore.Duration > exitWindowStart {
+		exitWindowStart = s.cfg.ExitNotBefore.Duration
+	}
 	switch {
-	case tod >= s.cfg.ExitWatchStart.Duration && tod < s.cfg.ExitWindowStart.Duration:
+	case tod >= s.cfg.ExitWatchStart.Duration && tod < exitWindowStart:
 		return domain.StateWaitExitWindow
-	case tod >= s.cfg.ExitWindowStart.Duration && tod < s.cfg.ExitWindowEnd.Duration:
+	case tod >= exitWindowStart && tod < s.cfg.ExitWindowEnd.Duration:
 		return domain.StatePlaceExitOrders
 	case tod >= s.cfg.ExitWindowEnd.Duration && tod < s.cfg.HardExitDeadline.Duration:
 		return domain.StateMonitorExitOrders
@@ -463,7 +476,7 @@ func (s *Scheduler) placeEntryOrders(ctx context.Context, now time.Time) error {
 			}
 			continue
 		}
-		pre, err := s.preTradeCheck(ctx, now, portfolio, projectedOpenPositions, tradingStatus, book.ReceivedAt)
+		pre, err := s.preTradeCheck(ctx, now, sig.InstrumentUID, portfolio, projectedOpenPositions, tradingStatus, book.ReceivedAt)
 		if err != nil {
 			return err
 		}
@@ -585,7 +598,7 @@ func (s *Scheduler) placeExitOrders(ctx context.Context, now time.Time) error {
 		if !ok {
 			return fmt.Errorf("instrument %s is not in registry", pos.InstrumentUID)
 		}
-		if _, err := s.svc.FreeOrders.Check(ctx, exitTradeDate, instrument, s.cfg.MaxExitOrderAttempts); err != nil {
+		if _, err := s.svc.FreeOrders.Check(ctx, exitTradeDate, instrument, s.orderBudgetNeededForAttempts(s.cfg.MaxExitOrderAttempts)); err != nil {
 			if insertErr := s.recordPreTradeReject(ctx, pos.InstrumentUID, err.Error(), `{"reason":"free_order_budget_insufficient"}`); insertErr != nil {
 				return insertErr
 			}
@@ -609,7 +622,7 @@ func (s *Scheduler) placeExitOrders(ctx context.Context, now time.Time) error {
 		if err != nil {
 			return err
 		}
-		pre, err := s.preTradeCheck(ctx, now, portfolio, len(positionsList), tradingStatus, book.ReceivedAt)
+		pre, err := s.preTradeCheck(ctx, now, pos.InstrumentUID, portfolio, len(positionsList), tradingStatus, book.ReceivedAt)
 		if err != nil {
 			return err
 		}
@@ -722,12 +735,47 @@ func (s *Scheduler) reconcileAndReport(ctx context.Context, now time.Time) error
 	if err := s.transitionTo(ctx, domain.StateReconcile); err != nil {
 		return err
 	}
-	if err := s.reconcileCritical(ctx, "reconciliation_critical"); err != nil {
-		return err
+	if s.cfg.Mode.AllowsBrokerOrders() {
+		if err := s.reconcileCritical(ctx, "reconciliation_critical"); err != nil {
+			return err
+		}
 	}
 	return s.sendDailyReport(ctx, now, "ok")
 }
 
+func (s *Scheduler) sendMissedDailyReport(ctx context.Context, now time.Time) (bool, error) {
+	if s.svc.Repo == nil || !s.hasStateMachine() {
+		return false, nil
+	}
+	tod := sinceMidnight(now)
+	if tod < s.cfg.EntrySignalTime.Duration {
+		return false, nil
+	}
+	phase := s.phase(now)
+	if phase == domain.StateReconcile || phase == domain.StateReport {
+		return false, nil
+	}
+	state, halted, _, err := s.svc.Repo.GetSystemState(ctx)
+	if err != nil {
+		return false, err
+	}
+	if halted || state == domain.StateHalted {
+		return false, nil
+	}
+	if state != domain.StateInit && state != domain.StateSleep {
+		return false, nil
+	}
+	tradeDate := tradingDate(now)
+	sent, err := s.svc.Repo.WasDailyReportSent(ctx, tradeDate, s.svc.AccountIDHash)
+	if err != nil {
+		return false, err
+	}
+	if sent {
+		return false, nil
+	}
+	return true, s.reconcileAndReport(ctx, now)
+}
+
 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)
@@ -1081,7 +1129,7 @@ func (s Scheduler) repostPreTradeCheck(ctx context.Context, now time.Time, order
 	if err != nil {
 		return err
 	}
-	pre, err := s.preTradeCheck(ctx, now, portfolio, len(openPositions), tradingStatus, book.ReceivedAt)
+	pre, err := s.preTradeCheck(ctx, now, order.InstrumentUID, portfolio, len(openPositions), tradingStatus, book.ReceivedAt)
 	if err != nil {
 		return err
 	}
@@ -1092,23 +1140,96 @@ func (s Scheduler) repostPreTradeCheck(ctx context.Context, now time.Time, order
 	return nil
 }
 
-func (s Scheduler) preTradeCheck(ctx context.Context, now time.Time, portfolio domain.Portfolio, openPositions int, tradingStatus domain.TradingStatus, quoteReceivedAt time.Time) (risk.PreTradeResult, error) {
+func (s Scheduler) preTradeCheck(ctx context.Context, now time.Time, instrumentUID string, portfolio domain.Portfolio, openPositions int, tradingStatus domain.TradingStatus, quoteReceivedAt time.Time) (risk.PreTradeResult, error) {
 	metrics, err := s.riskMetrics(ctx, now, portfolio)
+	if err != nil {
+		if haltErr := s.halt(ctx, "database_unavailable", fmt.Sprintf("pre-trade risk metrics unavailable: %s", err), instrumentUID); haltErr != nil {
+			return risk.PreTradeResult{}, fmt.Errorf("database_unavailable: %w; halt failed: %v", err, haltErr)
+		}
+		return risk.PreTradeResult{Allowed: false, Reason: "database_unavailable"}, fmt.Errorf("%w: database_unavailable", statemachine.ErrSystemHalted)
+	}
+	unknownOrder, unknownHolding, err := s.unknownBrokerState(ctx, portfolio)
 	if err != nil {
 		return risk.PreTradeResult{}, err
 	}
-	return s.svc.Risk.PreTradeCheck(risk.PreTradeInput{
-		Portfolio:          portfolio,
-		OpenPositions:      openPositions,
-		DailyPnL:           metrics.dailyPnL,
-		WeeklyPnL:          metrics.weeklyPnL,
-		MonthlyDrawdownPct: metrics.monthlyDrawdownPct,
-		AvgSlippageBps10:   metrics.avgSlippageBps10,
-		TradingStatus:      tradingStatus,
-		QuoteReceivedAt:    quoteReceivedAt,
-		Now:                now.UTC(),
-		MarketClose:        s.marketCloseOn(now),
-	}), nil
+	result := s.svc.Risk.PreTradeCheck(risk.PreTradeInput{
+		Portfolio:            portfolio,
+		OpenPositions:        openPositions,
+		DailyPnL:             metrics.dailyPnL,
+		WeeklyPnL:            metrics.weeklyPnL,
+		MonthlyDrawdownPct:   metrics.monthlyDrawdownPct,
+		AvgSlippageBps10:     metrics.avgSlippageBps10,
+		TradingStatus:        tradingStatus,
+		QuoteReceivedAt:      quoteReceivedAt,
+		Now:                  now.UTC(),
+		MarketClose:          s.marketCloseOn(now),
+		UnknownBrokerOrder:   unknownOrder,
+		UnknownBrokerHolding: unknownHolding,
+	})
+	if !result.Allowed && isHardHaltPreTradeReason(result.Reason) {
+		if err := s.halt(ctx, result.Reason, fmt.Sprintf("pre-trade hard limit breached: %s", result.Reason), instrumentUID); err != nil {
+			return result, err
+		}
+		return result, fmt.Errorf("%w: %s", statemachine.ErrSystemHalted, result.Reason)
+	}
+	return result, nil
+}
+
+func (s Scheduler) unknownBrokerState(ctx context.Context, portfolio domain.Portfolio) (bool, bool, error) {
+	if !s.cfg.Mode.AllowsBrokerOrders() {
+		return false, false, nil
+	}
+	localOrders, err := s.svc.Repo.ListActiveOrders(ctx, s.svc.AccountIDHash)
+	if err != nil {
+		return false, false, err
+	}
+	localByBroker := make(map[string]struct{}, len(localOrders))
+	for _, order := range localOrders {
+		if order.BrokerOrderID != "" {
+			localByBroker[order.BrokerOrderID] = struct{}{}
+		}
+	}
+	brokerOrders, err := s.svc.Gateway.GetActiveOrders(ctx, s.svc.AccountID)
+	if err != nil {
+		return false, false, err
+	}
+	for _, brokerOrder := range brokerOrders {
+		if brokerOrder.BrokerOrderID == "" {
+			continue
+		}
+		if _, ok := localByBroker[brokerOrder.BrokerOrderID]; !ok {
+			return true, false, nil
+		}
+	}
+	localPositions, err := s.svc.Repo.ListOpenPositions(ctx, s.svc.AccountIDHash)
+	if err != nil {
+		return false, false, err
+	}
+	localLots := make(map[string]int64, len(localPositions))
+	for _, pos := range localPositions {
+		localLots[pos.InstrumentUID] += pos.Lots
+	}
+	for _, holding := range portfolio.Holdings {
+		if holding.QuantityLots > 0 && localLots[holding.InstrumentUID] == 0 {
+			return false, true, nil
+		}
+	}
+	return false, false, nil
+}
+
+func isHardHaltPreTradeReason(reason string) bool {
+	switch reason {
+	case "database_unavailable",
+		"unknown_broker_order",
+		"unknown_broker_position",
+		"trading_status_unknown_before_order",
+		"max_daily_loss",
+		"max_weekly_loss",
+		"max_monthly_drawdown":
+		return true
+	default:
+		return false
+	}
 }
 
 type preTradeMetrics struct {
@@ -1255,13 +1376,24 @@ func repostAfter(now, deadline time.Time, attempts int, poll time.Duration) time
 }
 
 func (s Scheduler) maxOrderAttemptsPerTrade() int {
-	needed := s.cfg.MaxEntryOrderAttempts + s.cfg.MaxExitOrderAttempts
+	needed := s.orderBudgetNeededForAttempts(s.cfg.MaxEntryOrderAttempts) + s.orderBudgetNeededForAttempts(s.cfg.MaxExitOrderAttempts)
 	if needed <= 0 {
 		return 1
 	}
 	return needed
 }
 
+func (s Scheduler) orderBudgetNeededForAttempts(attempts int) int {
+	if attempts <= 0 {
+		attempts = 1
+	}
+	needed := attempts
+	if s.cfg.FreeOrderCountPolicy == execution.FreeOrderPolicyCancelCounts {
+		needed += attempts - 1
+	}
+	return needed
+}
+
 func isSizingSkipReason(reason string) bool {
 	return reason == "lots_below_one" || reason == "min_order_notional"
 }

internal/scheduler/scheduler_test.go

@@ -2,6 +2,7 @@ package scheduler
 
 import (
 	"context"
+	"errors"
 	"testing"
 	"time"
 
@@ -57,6 +58,33 @@ func TestPhaseUsesMoscowWindows(t *testing.T) {
 	}
 }
 
+func TestPhaseHonorsExitNotBeforeWhenWindowStartsEarlier(t *testing.T) {
+	loc := time.FixedZone("MSK", 3*60*60)
+	s := Scheduler{cfg: Config{
+		Location:         loc,
+		EntrySignalTime:  mustTOD("18:10:00"),
+		ExitWatchStart:   mustTOD("09:50:00"),
+		ExitNotBefore:    mustTOD("10:03:00"),
+		ExitWindowStart:  mustTOD("10:00:00"),
+		ExitWindowEnd:    mustTOD("10:25:00"),
+		HardExitDeadline: mustTOD("10:45:00"),
+	}}
+	at, err := time.Parse(time.RFC3339, "2026-06-06T10:01:00+03:00")
+	if err != nil {
+		t.Fatal(err)
+	}
+	if got := s.phase(at.In(loc)); got != domain.StateWaitExitWindow {
+		t.Fatalf("phase before ExitNotBefore=%s, want WAIT_EXIT_WINDOW", got)
+	}
+	at, err = time.Parse(time.RFC3339, "2026-06-06T10:04:00+03:00")
+	if err != nil {
+		t.Fatal(err)
+	}
+	if got := s.phase(at.In(loc)); got != domain.StatePlaceExitOrders {
+		t.Fatalf("phase after ExitNotBefore=%s, want PLACE_EXIT_ORDERS", got)
+	}
+}
+
 func TestInfrastructureOutageRequiresThreshold(t *testing.T) {
 	gateway := tinvest.NewFakeGateway()
 	gateway.ServerTime = time.Now().UTC().Add(-10 * time.Second)
@@ -260,6 +288,80 @@ func TestNonZeroCommissionQuarantinesInstrumentAndHalts(t *testing.T) {
 	}
 }
 
+func TestPreTradeDailyLossBreachHalts(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	now := time.Date(2026, 6, 8, 18, 20, 0, 0, time.UTC)
+	closedAt := now.Add(-time.Hour)
+	if err := repo.UpsertPosition(ctx, domain.Position{
+		AccountIDHash: "hash",
+		InstrumentUID: "uid",
+		OpenTradeDate: tradingDate(now),
+		Status:        domain.PositionExitFilled,
+		NetPnL:        decimal.NewFromInt(-200),
+		ClosedAt:      &closedAt,
+	}); err != nil {
+		t.Fatal(err)
+	}
+	notifier := &countNotifier{}
+	s := Scheduler{
+		cfg: Config{Mode: domain.ModePaper, Location: time.UTC},
+		svc: Services{
+			Repo:          repo,
+			Risk:          risk.NewManager(repo, risk.ManagerConfig{MaxDailyLossPct: decimal.RequireFromString("0.01")}),
+			Notifier:      notifier,
+			AccountIDHash: "hash",
+		},
+	}
+	_, err := s.preTradeCheck(ctx, now, "uid", domain.Portfolio{
+		Equity: decimal.NewFromInt(10000),
+		Cash:   decimal.NewFromInt(10000),
+	}, 0, domain.TradingStatusNormal, now)
+	if !errors.Is(err, statemachine.ErrSystemHalted) {
+		t.Fatalf("err=%v, want ErrSystemHalted", err)
+	}
+	if !repo.Halted || repo.HaltReason != "pre-trade hard limit breached: max_daily_loss" {
+		t.Fatalf("halted=%v reason=%q", repo.Halted, repo.HaltReason)
+	}
+	if notifier.alerts != 1 {
+		t.Fatalf("alerts=%d, want 1", notifier.alerts)
+	}
+}
+
+func TestStepSendsMissedDailyReportAfterEntrySignalTime(t *testing.T) {
+	ctx := context.Background()
+	repo := testutil.NewMemoryRepository()
+	notifier := &countNotifier{}
+	now := time.Date(2026, 6, 8, 18, 15, 0, 0, time.UTC)
+	s := Scheduler{
+		clock: fixedClock{now: now},
+		cfg: Config{
+			Mode:            domain.ModePaper,
+			Location:        time.UTC,
+			EntrySignalTime: mustTOD("18:10:00"),
+		},
+		sm: statemachine.New(repo, domain.ModePaper),
+		svc: Services{
+			Repo:          repo,
+			Notifier:      notifier,
+			AccountIDHash: "hash",
+		},
+	}
+	if err := s.Step(ctx); err != nil {
+		t.Fatal(err)
+	}
+	if notifier.reports != 1 {
+		t.Fatalf("reports=%d, want catch-up report", notifier.reports)
+	}
+	sent, err := repo.WasDailyReportSent(ctx, now, "hash")
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !sent {
+		t.Fatal("daily report was not marked as sent")
+	}
+}
+
 func TestSizeReductionRuleCutsSizerAfterBadExpectedErrors(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()

internal/statemachine/system.go

@@ -37,6 +37,9 @@ func (s System) Recover(ctx context.Context, reconcile reconciliation.Engine) (d
 	case domain.StatePlaceEntryOrders, domain.StateMonitorEntryOrders,
 		domain.StatePlaceExitOrders, domain.StateMonitorExitOrders,
 		domain.StateHoldOvernight:
+		if !s.mode.AllowsBrokerOrders() {
+			return state, nil
+		}
 		diffs, err := reconcile.Run(ctx)
 		if err != nil {
 			return "", err

internal/statemachine/system_test.go

@@ -80,7 +80,7 @@ func TestCalendarRecoveryAllowsRestartInsideExitWindow(t *testing.T) {
 func TestRecoverFromMonitorEntryHaltsOnCriticalReconciliationDiff(t *testing.T) {
 	ctx := context.Background()
 	repo := testutil.NewMemoryRepository()
-	if err := repo.SaveSystemState(ctx, domain.StateMonitorEntryOrders, domain.ModePaper, false, "", "{}"); err != nil {
+	if err := repo.SaveSystemState(ctx, domain.StateMonitorEntryOrders, domain.ModeSandbox, false, "", "{}"); err != nil {
 		t.Fatal(err)
 	}
 	if err := repo.UpsertOrder(ctx, domain.Order{
@@ -97,7 +97,7 @@ func TestRecoverFromMonitorEntryHaltsOnCriticalReconciliationDiff(t *testing.T)
 	}); err != nil {
 		t.Fatal(err)
 	}
-	system := New(repo, domain.ModePaper)
+	system := New(repo, domain.ModeSandbox)
 	state, err := system.Recover(ctx, reconciliation.New(repo, tinvest.NewFakeGateway(), "account", "hash"))
 	if err == nil {
 		t.Fatal("expected critical reconciliation error")

internal/tinvest/real.go

@@ -15,6 +15,7 @@ import (
 	"github.com/shopspring/decimal"
 	"google.golang.org/protobuf/encoding/protojson"
 	"google.golang.org/protobuf/proto"
+	"google.golang.org/protobuf/reflect/protoreflect"
 
 	"overnight-trading-bot/internal/domain"
 	"overnight-trading-bot/internal/logging"
@@ -407,6 +408,13 @@ func orderFromPostResponse(resp *pb.PostOrderResponse, accountID, clientOrderID
 		return domain.Order{}
 	}
 	now := time.Now().UTC()
+	avgFillPrice := decimal.Zero
+	if resp.GetLotsExecuted() > 0 {
+		avgFillPrice = money.MoneyValueToDecimal(resp.GetExecutedOrderPrice())
+		if !avgFillPrice.IsPositive() {
+			avgFillPrice = limitPrice
+		}
+	}
 	return domain.Order{
 		ClientOrderID: clientOrderID,
 		BrokerOrderID: resp.GetOrderId(),
@@ -417,7 +425,7 @@ func orderFromPostResponse(resp *pb.PostOrderResponse, accountID, clientOrderID
 		LimitPrice:    limitPrice,
 		QuantityLots:  resp.GetLotsRequested(),
 		FilledLots:    resp.GetLotsExecuted(),
-		AvgFillPrice:  limitPrice,
+		AvgFillPrice:  avgFillPrice,
 		Status:        mapOrderStatus(resp.GetExecutionReportStatus()),
 		Commission:    money.MoneyValueToDecimal(resp.GetExecutedCommission()),
 		RawStateJSON:  marshalProto(resp),
@@ -438,6 +446,10 @@ func orderFromState(state *pb.OrderState, accountID string) domain.Order {
 	if state.GetOrderDate() != nil {
 		orderDate = state.GetOrderDate().AsTime().UTC()
 	}
+	avgFillPrice := decimal.Zero
+	if state.GetLotsExecuted() > 0 {
+		avgFillPrice = money.MoneyValueToDecimal(state.GetAveragePositionPrice())
+	}
 	return domain.Order{
 		ClientOrderID: state.GetOrderRequestId(),
 		BrokerOrderID: state.GetOrderId(),
@@ -448,7 +460,7 @@ func orderFromState(state *pb.OrderState, accountID string) domain.Order {
 		LimitPrice:    money.MoneyValueToDecimal(state.GetInitialSecurityPrice()),
 		QuantityLots:  state.GetLotsRequested(),
 		FilledLots:    state.GetLotsExecuted(),
-		AvgFillPrice:  money.MoneyValueToDecimal(state.GetAveragePositionPrice()),
+		AvgFillPrice:  avgFillPrice,
 		Status:        mapOrderStatus(state.GetExecutionReportStatus()),
 		Commission:    money.MoneyValueToDecimal(state.GetExecutedCommission()),
 		RawStateJSON:  marshalProto(state),
@@ -478,10 +490,52 @@ func marshalProto(msg proto.Message) string {
 	if msg == nil {
 		return "{}"
 	}
-	raw, err := protojson.Marshal(msg)
+	sanitized := proto.Clone(msg)
+	clearSensitiveProtoFields(sanitized.ProtoReflect())
+	raw, err := protojson.Marshal(sanitized)
 	if err != nil {
 		fallback, _ := json.Marshal(map[string]string{"marshal_error": err.Error()})
 		return string(fallback)
 	}
 	return string(raw)
 }
+
+func clearSensitiveProtoFields(message protoreflect.Message) {
+	if !message.IsValid() {
+		return
+	}
+	fields := message.Descriptor().Fields()
+	for i := 0; i < fields.Len(); i++ {
+		field := fields.Get(i)
+		if isSensitiveProtoField(field.Name()) {
+			message.Clear(field)
+			continue
+		}
+		value := message.Get(field)
+		switch {
+		case field.IsList():
+			list := value.List()
+			if field.Kind() == protoreflect.MessageKind || field.Kind() == protoreflect.GroupKind {
+				for j := 0; j < list.Len(); j++ {
+					clearSensitiveProtoFields(list.Get(j).Message())
+				}
+			}
+		case field.IsMap():
+			if field.MapValue().Kind() == protoreflect.MessageKind || field.MapValue().Kind() == protoreflect.GroupKind {
+				value.Map().Range(func(_ protoreflect.MapKey, value protoreflect.Value) bool {
+					clearSensitiveProtoFields(value.Message())
+					return true
+				})
+			}
+		case field.Kind() == protoreflect.MessageKind || field.Kind() == protoreflect.GroupKind:
+			if message.Has(field) {
+				clearSensitiveProtoFields(value.Message())
+			}
+		}
+	}
+}
+
+func isSensitiveProtoField(name protoreflect.Name) bool {
+	normalized := strings.ReplaceAll(strings.ToLower(string(name)), "_", "")
+	return normalized == "accountid"
+}

internal/tinvest/real_test.go

@@ -0,0 +1,39 @@
+package tinvest
+
+import (
+	"strings"
+	"testing"
+
+	pb "github.com/russianinvestments/invest-api-go-sdk/proto"
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+)
+
+func TestOrderFromPostResponseZeroFillHasZeroAvgPrice(t *testing.T) {
+	order := orderFromPostResponse(&pb.PostOrderResponse{
+		OrderId:               "broker",
+		ExecutionReportStatus: pb.OrderExecutionReportStatus_EXECUTION_REPORT_STATUS_NEW,
+		LotsRequested:         1,
+		LotsExecuted:          0,
+		ExecutedOrderPrice:    &pb.MoneyValue{Currency: "rub", Units: 100},
+		InstrumentUid:         "uid",
+	}, "account", "client", domain.SideBuy, decimal.NewFromInt(100))
+	if !order.AvgFillPrice.IsZero() {
+		t.Fatalf("avg fill price=%s, want zero for unfilled order", order.AvgFillPrice)
+	}
+}
+
+func TestMarshalProtoRedactsAccountID(t *testing.T) {
+	raw := marshalProto(&pb.OrderTrades{
+		OrderId:       "order",
+		AccountId:     "plain-account-id",
+		InstrumentUid: "uid",
+	})
+	if strings.Contains(raw, "plain-account-id") || strings.Contains(raw, "accountId") || strings.Contains(raw, "account_id") {
+		t.Fatalf("raw proto leaked account id: %s", raw)
+	}
+	if !strings.Contains(raw, "order") {
+		t.Fatalf("sanitizer removed non-sensitive data: %s", raw)
+	}
+}