{ "schema_version": "local_paper_eod_review_v1", "plan_date": "20260615", "trade_date": "20260616", "generated_at": "2026-06-16T15:05:03", "runtime_status": "PAPER_RUNNING", "quote_source": "public_http_sina:49/49", "trade_mode": "SIMULATION_READY", "allow_new_positions": true, "shadow_mode": false, "account": { "initial_capital": 1000000.0, "cash": 764118.0, "market_value": 212949.0, "total_value": 977067.0, "unrealized_pnl": 15563.99999999999, "unrealized_pnl_pct_of_initial": 1.5563999999999991, "realized_pnl": -38496.99999999999, "realized_pnl_pct_of_initial": -3.849699999999999, "total_pnl": -22933.0, "total_pnl_pct": -2.293299999999998 }, "summary": { "orders": 3, "filled": 2, "shadow_filled": 1, "official_buy_filled": 2, "rejected": 0, "unfilled": 0, "positions": 4, "signals": 47, "risk_exit_signals": 0, "risk_exit_orders": 0, "risk_exit_filled": 0, "risk_exit_blocked_t1": 0, "position_risk_events": 0, "qfq_position_adjustments": 0 }, "position_sizing": { "enabled": true, "active_target_pct": 12.0, "shadow_active_target_pct": 10.0, "watch_target_pct": 5.0, "max_single_position_pct": 20.0, "max_shadow_single_position_pct": 20.0, "max_total_position_pct": 60.0, "max_shadow_total_position_pct": 35.0, "base_max_total_position_pct": 60.0, "base_max_shadow_total_position_pct": 35.0, "dynamic_total_position_sizing_enabled": true, "dynamic_total_cap_regime": "NEUTRAL", "dynamic_total_cap_reason": "盘中确认时间窗未满足，保持中性总仓", "dynamic_total_cap": { "enabled": true, "regime": "NEUTRAL", "reason": "盘中确认时间窗未满足，保持中性总仓", "base_total_position_pct": 60.0, "base_shadow_total_position_pct": 35.0, "effective_total_position_pct": 60.0, "effective_shadow_total_position_pct": 35.0, "defensive_total_position_pct": 30.0, "warm_total_position_pct": 75.0, "hot_total_position_pct": 85.0, "defensive_shadow_total_position_pct": 20.0, "warm_shadow_total_position_pct": 45.0, "hot_shadow_total_position_pct": 55.0, "checks": { "pool_up_ratio": 0.766, "active_up_ratio": 1.0, "active_above_vwap": 5, "active_positive_min": 1, "active_total": 5, "sample_total": 47, "market_gate_passed": false, "market_gate_reason": "after_14:30_no_new_upgrade" } }, "cash_buffer_pct": 5.0 }, "position_risk_config": { "enabled": true, "stop_loss_pct": 3.0, "late_exit_loss_pct": 2.0, "late_exit_time": "14:30", "invalid_exit": true, "ma5_exit": true, "late_weak_exit": true, "qfq_cost_adjustment": true }, "position_risk_events": [], "qfq_position_adjustments": [], "risk_orders_this_tick": [], "positions": [ { "symbol": "SHSE.600353", "name": "旭光电子", "quantity": 1700, "sellable_qty": 1700, "avg_cost": 27.96, "last_price": 34.72, "market_value": 59024.0, "unrealized_pnl": 11491.999999999996, "unrealized_pnl_pct": 24.177396280400565, "updated_at": "2026-06-16T14:55:02", "position_pct_of_total": 6.040936803719704 }, { "symbol": "SHSE.600584", "name": "长电科技", "quantity": 700, "sellable_qty": 0, "avg_cost": 75.81, "last_price": 76.95, "market_value": 53865.0, "unrealized_pnl": 798.0000000000005, "unrealized_pnl_pct": 1.5037593984962516, "updated_at": "2026-06-16T14:55:02", "position_pct_of_total": 5.512927977303502 }, { "symbol": "SZSE.300236", "name": "上海新阳", "quantity": 500, "sellable_qty": 500, "avg_cost": 95.37, "last_price": 100.1, "market_value": 50050.0, "unrealized_pnl": 2364.999999999995, "unrealized_pnl_pct": 4.959630911187984, "updated_at": "2026-06-16T14:55:02", "position_pct_of_total": 5.122473689112415 }, { "symbol": "SHSE.688392", "name": "骄成超声", "quantity": 300, "sellable_qty": 0, "avg_cost": 163.67, "last_price": 166.7, "market_value": 50010.0, "unrealized_pnl": 909.0000000000003, "unrealized_pnl_pct": 1.8512861245188583, "updated_at": "2026-06-16T14:55:02", "position_pct_of_total": 5.118379804046191 } ], "orders": [ { "amount": 43848.0, "base_exec_high": 62.5, "cash_before_order": 866286.0, "chase_ceiling": 67.69, "current_position_value": 0.0, "decision": "conditional_plan", "dynamic_exec_high": 62.7, "energy_floor_hint_yi": 1.0, "entry_risk_pct": 2.7075, "entry_zone_high": null, "entry_zone_low": null, "event_id": "20260615:20260616:SZSE.002156:BREAK_PREV_HIGH:BUY", "exec_high": 62.7, "exec_low": 62.42, "intraday_vwap": 62.4214, "invalid_price": 60.944, "ma5": 60.944, "max_chase_pct": 1.5, "minute_energy": { "absolute_amount_multiple_min": 1.6, "amount_base_hint_yi": 1.0, "amount_floor_yi": 0.5, "amount_yi": 2.9325, "bar_count": 3, "bars": [ { "amount_yi": 1.0989, "close": 62.33, "high": 62.33, "low": 62.33, "open": 62.33, "time": "09:30" }, { "amount_yi": 1.1347, "close": 62.53, "high": 62.53, "low": 62.3, "open": 62.3, "time": "09:31" }, { "amount_yi": 0.6989, "close": 62.64, "high": 62.64, "low": 62.64, "open": 62.64, "time": "09:32" } ], "energy_ratio": null, "min_samples": 3, "passed": true, "prev_amount_yi": 0, "ratio_min": 1.05, "reason": "minute_energy_confirmed", "template_key": "BREAK_PREV_HIGH", "window_min": 5 }, "name": "通富微电", "paper_scope": "conditional_watch", "participation_rate": null, "plan_date": "20260615", "plan_id": "20260615:SZSE.002156:BREAK_PREV_HIGH", "price": 62.64, "price_vs_vwap_pct": 0.3502, "qty": 700, "quote_ask1": 62.64, "quote_ask_qty1": 500, "quote_bid1": 62.63, "quote_bid_qty1": 24200, "quote_high": 62.77, "quote_last": 62.64, "quote_low": 62.22, "quote_open": 62.41, "quote_prev_close": 61.54, "quote_ts": "2026-06-16T09:32:06", "reason": "shadow_paper_fill_at_ask1", "side": "BUY", "sim_reason": "intraday_vwap_anchor_reclaim", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": 172.13, "status": "SHADOW_FILLED", "suggested_position_pct": 6.0, "symbol": "SZSE.002156", "target_amount": 48789.0, "target_position_pct": 5.0, "template_key": "BREAK_PREV_HIGH", "theme": "碳化硅", "trade_date": "20260616", "trigger_price": 61.58, "ts": "2026-06-16T09:32:09", "id": 56 }, { "amount": 53067.0, "base_exec_high": 76.7, "cash_before_order": 866286.0, "chase_ceiling": 81.75, "current_position_value": 0.0, "decision": "active_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": 1.0, "entry_risk_pct": 3.8306, "entry_zone_high": null, "entry_zone_low": null, "event_id": "20260615:20260616:SHSE.600584:BREAK_PREV_HIGH:BUY", "exec_high": 76.7, "exec_low": 74.47, "intraday_vwap": 76.6616, "invalid_price": 72.906, "ma5": 72.906, "max_chase_pct": 3.0, "minute_energy": { "absolute_amount_multiple_min": 1.6, "amount_base_hint_yi": 1.0, "amount_floor_yi": 0.3, "amount_yi": 7.5097, "bar_count": 3, "bars": [ { "amount_yi": 1.865, "close": 76.3, "high": 76.63, "low": 76.3, "open": 76.63, "time": "09:43" }, { "amount_yi": 2.2253, "close": 76.68, "high": 76.68, "low": 76.45, "open": 76.45, "time": "09:44" }, { "amount_yi": 3.4194, "close": 75.81, "high": 76.22, "low": 75.81, "open": 76.22, "time": "09:45" } ], "energy_ratio": 1.2025, "min_samples": 2, "passed": true, "prev_amount_yi": 6.2449, "ratio_min": 1.05, "reason": "minute_energy_confirmed", "template_key": "BREAK_PREV_HIGH", "window_min": 3 }, "name": "长电科技", "paper_scope": "active", "participation_rate": null, "plan_date": "20260615", "plan_id": "20260615:SHSE.600584:BREAK_PREV_HIGH", "price": 75.81, "price_vs_vwap_pct": -1.1109, "qty": 700, "quote_ask1": 75.81, "quote_ask_qty1": 400, "quote_bid1": 75.8, "quote_bid_qty1": 75800, "quote_high": 78.38, "quote_last": 75.81, "quote_low": 75.05, "quote_open": 75.06, "quote_prev_close": 74.32, "quote_ts": "2026-06-16T09:45:56", "reason": "paper_fill_at_ask1", "side": "BUY", "sim_reason": "trigger_touched", "sizing_reason": "position_sized_by_target_pct_entry_risk_reduced", "slippage_bps": 179.94, "status": "FILLED", "suggested_position_pct": 12.0, "symbol": "SHSE.600584", "target_amount": 58502.7, "target_position_pct": 6.0, "template_key": "BREAK_PREV_HIGH", "theme": "玻璃基板", "trade_date": "20260616", "trigger_price": 74.47, "ts": "2026-06-16T09:45:56", "id": 57 }, { "amount": 49100.99999999999, "base_exec_high": 164.93, "cash_before_order": 813219.0, "chase_ceiling": 169.46, "current_position_value": 0.0, "decision": "active_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": null, "entry_risk_pct": 4.8512, "entry_zone_high": 162.02, "entry_zone_low": 156.99, "event_id": "20260615:20260616:SHSE.688392:VWAP_RECLAIM:BUY", "exec_high": 164.93, "exec_low": 162.02, "intraday_vwap": 164.5533, "invalid_price": 155.73, "ma5": 160.566, "max_chase_pct": 3.0, "minute_energy": { "absolute_amount_multiple_min": 1.6, "amount_base_hint_yi": 0.5, "amount_floor_yi": 0.15, "amount_yi": 0.1421, "bar_count": 3, "bars": [ { "amount_yi": 0.0097, "close": 163.06, "high": 163.06, "low": 163.02, "open": 163.02, "time": "10:09" }, { "amount_yi": 0.02, "close": 164.35, "high": 164.35, "low": 163.68, "open": 163.68, "time": "10:10" }, { "amount_yi": 0.1124, "close": 163.67, "high": 164.38, "low": 163.67, "open": 164.38, "time": "10:11" } ], "energy_ratio": 2.1761, "min_samples": 2, "passed": true, "prev_amount_yi": 0.0653, "ratio_min": 1.05, "reason": "minute_energy_accelerating", "template_key": "VWAP_RECLAIM", "window_min": 3 }, "name": "骄成超声", "paper_scope": "active", "participation_rate": null, "plan_date": "20260615", "plan_id": "20260615:SHSE.688392:VWAP_RECLAIM", "price": 163.67, "price_vs_vwap_pct": -0.5368, "qty": 300, "quote_ask1": 163.67, "quote_ask_qty1": 232, "quote_bid1": 163.32, "quote_bid_qty1": 800, "quote_high": 169.3, "quote_last": 163.67, "quote_low": 161.2, "quote_open": 164.5, "quote_prev_close": 164.52, "quote_ts": "2026-06-16T10:11:32", "reason": "paper_fill_at_ask1", "side": "BUY", "sim_reason": "trigger_touched", "sizing_reason": "position_sized_by_target_pct_entry_risk_reduced", "slippage_bps": 221.07, "status": "FILLED", "suggested_position_pct": 12.0, "symbol": "SHSE.688392", "target_amount": 58547.28, "target_position_pct": 6.0, "template_key": "VWAP_RECLAIM", "theme": "复合集流体", "trade_date": "20260616", "trigger_price": 160.13, "ts": "2026-06-16T10:11:35", "id": 58 } ], "best_position": { "symbol": "SHSE.600353", "name": "旭光电子", "quantity": 1700, "sellable_qty": 1700, "avg_cost": 27.96, "last_price": 34.72, "market_value": 59024.0, "unrealized_pnl": 11491.999999999996, "unrealized_pnl_pct": 24.177396280400565, "updated_at": "2026-06-16T14:55:02", "position_pct_of_total": 6.040936803719704 }, "worst_position": { "symbol": "SHSE.600584", "name": "长电科技", "quantity": 700, "sellable_qty": 0, "avg_cost": 75.81, "last_price": 76.95, "market_value": 53865.0, "unrealized_pnl": 798.0000000000005, "unrealized_pnl_pct": 1.5037593984962516, "updated_at": "2026-06-16T14:55:02", "position_pct_of_total": 5.512927977303502 } }