External strategy protocol v14

Version 14 is a synchronous JSON Lines protocol over child-process standard input and output. Trading Engine sends initialize, ordered event requests, and shutdown. The strategy answers with ready, intents, and stopped. It may answer any request with error. Protocol v13 remains available for scenario contract v15; earlier versions retain their frozen shapes.

Every message repeats strategy_protocol_version: "14" and a positive canonical strategy_sequence. A response must repeat the sequence of its request. Only one request is outstanding. Trading Engine rejects unknown or duplicate fields, invalid canonical values, oversized lines, a wrong version or sequence, unexpected response types, EOF, timeout, and a nonzero process exit.

Intent batches use the scenario v16 typed metric contract. emit_metric.value declares a numeric, string, or boolean value, with optional unit, aggregation, and bounded dimensions.

The event context contains the replay clock, a marked base-currency portfolio, deterministic group exposure snapshots, all working orders, and the latest available bar for each instrument. Every callback emitted for a market slice uses that slice's received_at as now and uses its complete bars and FX vector. The portfolio reports cash, equity, net, long, short, and gross market value plus every attributed cash ledger and configured position. Position quantities and weights reflect applied fills. Weights are truncated toward zero to six decimal places. weights_available is false and all weights are null when equity is zero or negative.

The initialize request identifies scenario contract v16 and includes the exact initial_portfolio snapshot alongside the legacy cash projection. It also carries the complete versioned venue calendars, nested execution configuration, financing policy, and settlement policy, so a strategy can construct DAY orders and reject incompatible execution, financing, or settlement state before replay.

Matching pauses after each strategy callback. The engine applies the response against the exact account and OMS state exposed by that callback before delivering another callback or considering the next eligible order. Later same-slice contexts include the effects of earlier responses. The eligible-order sequence is fixed at the start of matching, so newly submitted orders wait for a later slice. Cancelling an order before its turn leaves its unused slice capacity available to the next eligible order.

Event payloads cover completed market slices with effective-time borrow and cash-rate observations plus explicit settlement failures, fills, order updates, and rejected intents. Portfolio contexts include cash-interest attribution and settled and unsettled cash and position quantities. Response intents use the scenario v16 intent shapes. Market-slice events include lifecycle transitions and the expanded corporate-action catalog, plus causally ordered quote/trade market events. Protocol v14 also carries bounded order-book snapshots and incrementals and advertises the order_book_v1 configuration, including its maximum depth.

External replay requires an empty batch schedule and empty streamed intent batches. The engine records accepted messages in both directions in a deterministic transcript. A response rejected for invalid JSON, fields, version, sequence, EOF, or size is never stored as an accepted exchange. Instead, the partial transcript ends with a rejected_strategy_response diagnostic record. Version 1 rejection diagnostics use the shared diagnostic/v1 contract. The transcript schema narrows that contract to the strategy.protocol and resource.limit codes in the strategy phase. The record includes the structured rejection diagnostic and at most the first 256 raw response bytes encoded as lowercase hexadecimal. observed_bytes counts bytes available when the engine rejected the response, and truncated reports whether the prefix omits observed bytes. The transcript and audit journal retain partial files after failure and finalize only after their respective success checks.

• message.schema.json validates individual requests and responses.
• transcript.schema.json validates accepted exchanges and rejected-response diagnostics.
• fixtures/external.scenario.json is the batch replay fixture.
• fixtures/external.scenario.jsonl is its bounded-memory stream form.
• fixtures/external.strategy.jsonl is the canonical protocol transcript.