{ "schema_version": "v13_source_eod_review_2", "plan_date": "20260907", "trade_date": "20260908", "source_paths": { "paper_runtime_snapshot": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/reports/trading/paper_runtime_postclose_audit_20260908.json", "postclose_audit": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/reports/trading/paper_runtime_postclose_audit_20260908.json", "execution_decision_snapshot": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/reports/trading/local_paper_execution_snapshot_20260908.json", "legacy_trading_log": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/reports/trading/local_paper_trading_log_20260907.json", "latest_signals": "local_paper_runtime/reports/trading/local_paper_latest_signals.json", "portfolio_state": "local_paper_runtime/reports/trading/local_paper_portfolio_state.json", "trading_log": "local_paper_runtime/reports/trading/local_paper_trading_log_20260907.json", "risk_overlay": 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\"quote_ask1\": 39.69, \"quote_ask_qty1\": 15, \"quote_bid1\": 39.68, \"quote_bid_qty1\": 1, \"quote_high\": 40.0, \"quote_last\": 39.65, \"quote_low\": 38.5, \"quote_open\": 38.88, \"quote_prev_close\": 38.6, \"quote_ts\": \"2026-09-08T09:44:11\", \"reason\": \"paper_fill_at_ask1\", \"side\": \"BUY\", \"sim_reason\": \"trigger_touched\", \"sizing_reason\": \"position_sized_by_target_pct_entry_risk_reduced\", \"slippage_bps\": 176.92, \"status\": \"FILLED\", \"suggested_position_pct\": 5.0, \"symbol\": \"SHSE.603920\", \"target_amount\": 25711.26, \"target_position_pct\": 2.5, \"template_key\": \"SECOND_WAVE_BREAK_VWAP\", \"theme\": \"元件\", \"trade_date\": \"20260908\", \"transaction_cost_total\": 6.19164, \"transaction_costs\": {\"commission\": 5.9535, \"cost_model_version\": \"paper_trading_costs_v1\", \"gross_amount\": 23814.0, \"price\": 39.69, \"quantity\": 600, \"side\": \"BUY\", \"stamp_tax\": 0.0, \"total\": 6.19164, \"transfer_fee\": 0.23814000000000002}, \"trigger_price\": 39.0, \"ts\": \"2026-09-08T09:44:16\"}" } }, { "event_id": "20260907:20260908:SHSE.600183:SECOND_WAVE_BREAK_VWAP:BUY", "ts": "2026-09-08T10:39:46", "symbol": "SHSE.600183", "name": "生益科技", "side": "BUY", "status": "FILLED", "order_kind": "OFFICIAL_BUY", "kind_inferred": true, "qty": 100, "price": 149.79, "amount": 14979.0, "reason": "paper_fill_at_ask1", "realized_pnl_delta": null, "rule_id": null, "sim_reason": "trigger_touched", "trigger_price": 149.25, "raw_status": "FILLED", "raw": { "amount": 14979.0, "base_exec_high": 153.73, "cash_before_order": 1004630.32, "chase_ceiling": 153.73, "cost_model_version": "paper_trading_costs_v1", "current_position_value": 0.0, "decision": "active_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": null, "entry_risk_pct": 3.3514, "entry_zone_high": 151.49, "entry_zone_low": 147.01, "event_id": "20260907:20260908:SHSE.600183:SECOND_WAVE_BREAK_VWAP:BUY", "exec_high": 153.73, "exec_low": 149.25, "gross_amount": 14979.0, "intraday_vwap": 149.0129, "invalid_price": 144.77, "ma5": null, "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": 1.1784, "bar_count": 3, "bars": [ { "amount_yi": 0.366, "close": 150.01, "high": 150.19, "low": 150.01, "open": 150.19, "time": "10:37" }, { "amount_yi": 0.4384, "close": 149.85, "high": 149.85, "low": 149.69, "open": 149.69, "time": "10:38" }, { "amount_yi": 0.374, "close": 149.76, "high": 149.76, "low": 149.5, "open": 149.5, "time": "10:39" } ], "energy_ratio": 1.0886, "min_samples": 2, "passed": true, "prev_amount_yi": 1.0825, "ratio_min": 1.05, "reason": "minute_energy_confirmed", "template_key": "SECOND_WAVE_BREAK_VWAP", "window_min": 3 }, "name": "生益科技", "net_cash_change": -14984.14979, "paper_scope": "active", "participation_rate": null, "plan_date": "20260907", "plan_id": "20260907:SHSE.600183:SECOND_WAVE_BREAK_VWAP", "price": 149.79, "price_vs_vwap_pct": 0.5014, "qty": 100, "quote_ask1": 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\"cash_before_order\": 1004630.32, \"chase_ceiling\": 153.73, \"cost_model_version\": \"paper_trading_costs_v1\", \"current_position_value\": 0.0, \"decision\": \"active_plan\", \"dynamic_exec_high\": null, \"energy_floor_hint_yi\": null, \"entry_risk_pct\": 3.3514, \"entry_zone_high\": 151.49, \"entry_zone_low\": 147.01, \"event_id\": \"20260907:20260908:SHSE.600183:SECOND_WAVE_BREAK_VWAP:BUY\", \"exec_high\": 153.73, \"exec_low\": 149.25, \"gross_amount\": 14979.0, \"intraday_vwap\": 149.0129, \"invalid_price\": 144.77, \"ma5\": null, \"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\": 1.1784, \"bar_count\": 3, \"bars\": [{\"amount_yi\": 0.366, \"close\": 150.01, \"high\": 150.19, \"low\": 150.01, \"open\": 150.19, \"time\": \"10:37\"}, {\"amount_yi\": 0.4384, \"close\": 149.85, \"high\": 149.85, \"low\": 149.69, \"open\": 149.69, \"time\": \"10:38\"}, {\"amount_yi\": 0.374, \"close\": 149.76, \"high\": 149.76, \"low\": 149.5, \"open\": 149.5, \"time\": \"10:39\"}], \"energy_ratio\": 1.0886, \"min_samples\": 2, \"passed\": true, \"prev_amount_yi\": 1.0825, \"ratio_min\": 1.05, \"reason\": \"minute_energy_confirmed\", \"template_key\": \"SECOND_WAVE_BREAK_VWAP\", \"window_min\": 3}, \"name\": \"生益科技\", \"net_cash_change\": -14984.14979, \"paper_scope\": \"active\", \"participation_rate\": null, \"plan_date\": \"20260907\", \"plan_id\": \"20260907:SHSE.600183:SECOND_WAVE_BREAK_VWAP\", \"price\": 149.79, \"price_vs_vwap_pct\": 0.5014, \"qty\": 100, \"quote_ask1\": 149.79, \"quote_ask_qty1\": 9, \"quote_bid1\": 149.75, \"quote_bid_qty1\": 12, \"quote_high\": 151.25, \"quote_last\": 149.76, \"quote_low\": 145.88, \"quote_open\": 149.0, \"quote_prev_close\": 148.15, \"quote_ts\": \"2026-09-08T10:39:43\", \"reason\": \"paper_fill_at_ask1\", \"side\": \"BUY\", \"sim_reason\": \"trigger_touched\", \"sizing_reason\": \"position_sized_by_target_pct_entry_risk_reduced\", \"slippage_bps\": 36.18, \"status\": \"FILLED\", \"suggested_position_pct\": 5.0, \"symbol\": \"SHSE.600183\", \"target_amount\": 12856.3, \"target_position_pct\": 1.25, \"template_key\": \"SECOND_WAVE_BREAK_VWAP\", \"theme\": \"元件\", \"trade_date\": \"20260908\", \"transaction_cost_total\": 5.14979, \"transaction_costs\": {\"commission\": 5.0, \"cost_model_version\": \"paper_trading_costs_v1\", \"gross_amount\": 14979.0, \"price\": 149.79, \"quantity\": 100, \"side\": \"BUY\", \"stamp_tax\": 0.0, \"total\": 5.14979, \"transfer_fee\": 0.14979}, \"trigger_price\": 149.25, \"ts\": \"2026-09-08T10:39:46\"}" } } ], "shadow_observation_summary": { "total": 24, "status_counts": { "OBSERVE": 8, "FILLED": 2, "TOUCHED": 3, "CANCELLED": 10, "NEAR_TRIGGER": 1 }, "actionable_count": 0, "touched_count": 3, "cancelled_count": 10, "near_trigger_count": 1, "observe_count": 8, "chase_ceiling_blocked_count": 3, "invalid_price_broken_count": 10, "sector_divergence": [ { "theme": "元件", "signals": 13, "chase": 2, "invalidation": 2 } ], "top_reasons": [ { "reason": "session_invalidation_latched", "count": 10 }, { "reason": "trigger_touched_but_above_exec_high", "count": 3 }, { "reason": "waiting_trigger", "count": 3 }, { "reason": "already_filled_position_tracking", "count": 2 }, { "reason": "entry_risk_too_wide_over_5pct", "count": 2 }, { "reason": "signal_contract_missing_price_fields", "count": 2 }, { "reason": "minute_energy_amount_too_low", "count": 1 }, { "reason": "near_trigger", "count": 1 } ], "policy_note": "OBSERVE_ONLY 下 actionable 仅为影子候选，不等于实际可执行买入；正式可执行数量以 runtime_gate_funnel.actionable 为准。" }, "shadow_position_lifecycle": [], "intended_but_blocked": [ { "symbol": "SHSE.600601", "rule": "SECOND_WAVE_BREAK_VWAP", "wanted_qty": null, "blocked_by": "entry_risk", "day_return_pct": 3.7223, "reason": "方正科技，entry_risk_too_wide_over_5pct，现价 14.49，触发 14.09，失效 13.67，入场风险 5.72%" }, { "symbol": "SZSE.301132", "rule": "SECOND_WAVE_BREAK_VWAP", "wanted_qty": null, "blocked_by": "entry_risk", "day_return_pct": 3.0244, "reason": "满坤科技，entry_risk_too_wide_over_5pct，现价 42.58，触发 41.58，失效 40.33，入场风险 5.28%" }, { "symbol": "SZSE.300964", "rule": "SECOND_WAVE_BREAK_VWAP", "wanted_qty": null, "blocked_by": "framework_pool_gate", "day_return_pct": 2.5561, "reason": "本川智能，conditional_plan_watch_only，现价 62.59，触发 61.22，失效 59.38" }, { "symbol": "SZSE.300852", "rule": "STRONG_WATCH_CONFIRM", "wanted_qty": null, "blocked_by": "framework_pool_gate", "day_return_pct": 4.9462, "reason": "四会富仕，conditional_plan_watch_only，现价 55.59，触发 53.35，失效 51.75" }, { "symbol": "SZSE.300757", "rule": "STRONG_WATCH_CONFIRM", "wanted_qty": null, "blocked_by": "framework_pool_gate", "day_return_pct": 1.7802, "reason": "罗博特科，conditional_plan_watch_only，现价 643.19，触发 631.99，失效 613.03" } ], "position_risk_events": [ { "symbol": "SHSE.600183", "name": "生益科技", "rule": "position_late_weak", "status": "BLOCKED_T1", "side": "SELL", "qty": 0, "sellable_qty": 0, "last_price": 146.25, "avg_cost": 149.79, "pnl_pct": -2.3633, "threshold": -2.0, "reason": "t1_sellable_qty_insufficient", "source_order_id": 106, "source_event_id": "20260907:20260908:SHSE.600183:SECOND_WAVE_BREAK_VWAP:BUY", "quote_prev_close": null, "reference_price": null, "price_scale_gap_pct": null, "raw_avg_cost": 149.79, "adjusted_avg_cost": null, "qfq_adjustment_factor": null, "qfq_adjustment_source": null, "t1_blocked": true } ], "risk_action_summary": { "event_count": 1, "t1_blocked_count": 1, "triggered_count": 0, "next_session_required": true, "next_session_actions": [ { "symbol": "SHSE.600183", "name": "生益科技", "rule": "position_late_weak", "action": "下一交易日恢复可卖后优先复核失效条件并执行最高优先级风控" } ] }, "shadow_gate_audit": [], "risk_flags": { "coverage": "dated_candidate_coverage", "quality_state": "verified_candidate_coverage", "execution_impact": "normal_candidate_coverage", "new_entry_blocked": false, "missing_reason": null, "latest_available_date": "20260908", "coverage_gap_days": 0, "coverage_gap_alert": false, "shadow_observation_policy": "observe_with_warning", "coverage_audit_path": "reports/audit/20260908_risk_flags_coverage.json", "ingest_path": "reports/audit/20260908_risk_flags_ingest.json", "backfill_state": "complete", "missing_backfill_dates": [], "affected_symbol_count": 1, "supported_flags": [ "ST", "退市风险", "监管", "减持", "质押", "停牌" ], "integrity_warning": null, "note": "轻量风险旗标源；命中后只用于降级/加速风控，不可替代人工确认。", "sources": [ "config/local_risk_flags_20260908.json" ], "items": { "SZSE.002008": { "name": "大族激光", "severity": "medium", "flags": [ { "severity": "medium", "flag_type": "share_pledge", "title": "大族激光：关于股东部分股份解除质押的公告", "source_url": "http://news.10jqka.com.cn/field/sn/20260908/59688517.shtml" } ], "action": "risk_verify_before_entry", "source": "同花顺公告时间线公开接口", "symbol": "SZSE.002008" } } }, "execution_health": { "schema_version": "execution_data_health_v1", "trade_date": "20260908", "plan_date": "20260907", "status": "READY", "hard_block_new_entries": false, "effective_allow_new_positions": true, "effective_trade_mode": "SIMULATION_READY", "block_reason": "", "blockers": [], "soft_restrictions": [ "plan_regime_mismatch_require_execution_reconfirmation" ], "entry_reconfirmation_required": true, "evidence": { "path": "inbox/local_public/20260908/evidence/preopen_execution_evidence_20260908.json", "state": "verified_preopen_runtime" }, "trajectory": { "path": "reports/theme_cleaning/market_trajectory_20260908.json", "state": "verified_full_market_breadth_candidate_regime_proxy", "current_record_state": "verified_full_market_breadth_candidate_regime_proxy", "window_state": "derived_price_sector", "historical_window_has_gaps": false, "regime": "HOT", "regime_alignment": { "plan_regime": "WARM", "execution_regime": "HOT", "plan_regime_known": true, "execution_regime_confirmed": true, "comparison_state": "mismatch", "mismatch": true, "regime_delta": 1, "transition_direction": "improving", "blocking_reasons": [], "note": "计划日 regime 仅作盘前假设，执行日观测不一致（市场较计划改善）；先完成盘前复核，再按当日 Strict Gate 决定是否入场，不因改善自动放行。", "action": "require_preopen_reconfirmation_then_strict_gate" }, "candidate_pool_breadth_alert": { "candidate_pool_up_ratio": 0.6667, "market_up_ratio": 0.5881, "divergence_pct_points": 7.9, "source": "verified_full_market_breadth", "state": "normal", "alert_kind": "none", "alert": false, "selection_review_required": false, "recommended_total_position_cap_pct": null, "action": "候选池与全市场广度未出现需单独处理的极端剪刀差。" }, "preopen_regime_alert": { "schema_version": "preopen_regime_transition_alert_v1", "trade_date": "20260908", "status": "ALERT", "severity": "AMBER", "window": "09:00-09:25", "plan_regime": "WARM", "execution_regime": "HOT", "plan_score": null, "execution_score": 78.7, "score_delta": null, "mismatch": true, "comparison_state": "mismatch", "execution_regime_confirmed": true, "external_level": "LOW", "external_source_path": "reports/external_checks/external_tech_shock_20260908.json", "triggers": [ "plan_regime_WARM_to_execution_HOT" ], "action": "09:00-09:25 重新确认执行日 regime、外部科技冲击和板块承接；确认前只允许观察/持仓风控。", "no_silent_reopen": true } }, "risk_flags": { "path": "config/local_risk_flags_20260908.json", "coverage_audit_path": "reports/audit/20260908_risk_flags_coverage.json", "state": "current", "latest_available_date": "20260908", "coverage_gap_days": 0, "max_allowed_gap_days": 5, "coverage_complete": true, "recovery_action": "当日风险旗标已覆盖，继续执行个股级风险过滤。" }, "daily_report": { "path": "reports/theme_cleaning/browser_dump_20260907_dashboard.cleaned.json", "fallback_to_plan_date": true }, "sector_external_validation": { "status": "UNAVAILABLE", "role": "external_confirmation_only", "can_grant_entry_permission": false, "missing_or_stale_is_bearish": false, "validation_path": null, "crosscheck_path": null, "preopen_overall_state": null, "preopen_summary": {}, "confirmed_sectors": [], "watch_sectors": [], "rotation_candidates_not_in_plan": [], "interval_start": null, "interval_end": null, "interval_provisional": null, "action": "开盘啦证据缺失只记数据质量告警，继续依赖主板块合同，不得判成板块转弱。" }, "plan_contract": { "path": "reports/trade_plan/20260907_active_plan_v2_for_trading.json", "requested_allow_new_positions": true, "requested_trade_mode": "SIMULATION_READY", "effective_allow_new_positions": true, "effective_trade_mode": "SIMULATION_READY", "reconciliation_status": "effective_reconfirmation_required", "entry_reconfirmation_required": true, "soft_restrictions": [ "plan_regime_mismatch_require_execution_reconfirmation" ], "permission_source": "active_plan_contract", "conditional_probe_reconfirmation": { "path": "reports/trading/20260908_conditional_probe_reconfirmation.json", "status": "NOT_APPLICABLE_ACTIVE_PLAN", "candidate_symbols": [ "SZSE.300964", "SHSE.603386", "SZSE.002913" ], "valid": false, "max_official_buys": 1, "max_initial_position_pct": 4.0, "reason": "active execution shortlist is already permitted; conditional candidates remain watch-only and cannot grant additional entry permission" } }, "position_management_policy": "risk_sell_and_position_management_remain_enabled" }, "execution_health_observed": { "schema_version": "execution_data_health_v1", "trade_date": "20260908", "plan_date": "20260907", "status": "READY", "hard_block_new_entries": false, "effective_allow_new_positions": false, "effective_trade_mode": "OBSERVE_ONLY", "block_reason": "", "blockers": [], "soft_restrictions": [ "plan_regime_mismatch_require_execution_reconfirmation" ], "entry_reconfirmation_required": true, "evidence": { "path": "inbox/local_public/20260908/evidence/preopen_execution_evidence_20260908.json", "state": "verified_preopen_runtime" }, "trajectory": { "path": "reports/theme_cleaning/market_trajectory_20260908.json", "state": "verified_full_market_breadth_candidate_regime_proxy", "current_record_state": "verified_full_market_breadth_candidate_regime_proxy", "window_state": "derived_price_sector", "historical_window_has_gaps": false, "regime": "HOT", "regime_alignment": { "plan_regime": "WARM", "execution_regime": "HOT", "plan_regime_known": true, "execution_regime_confirmed": true, "comparison_state": "mismatch", "mismatch": true, "regime_delta": 1, "transition_direction": "improving", "blocking_reasons": [], "note": "计划日 regime 仅作盘前假设，执行日观测不一致（市场较计划改善）；先完成盘前复核，再按当日 Strict Gate 决定是否入场，不因改善自动放行。", "action": "require_preopen_reconfirmation_then_strict_gate" }, "candidate_pool_breadth_alert": { "candidate_pool_up_ratio": 0.6667, "market_up_ratio": 0.5881, "divergence_pct_points": 7.9, "source": "verified_full_market_breadth", "state": "normal", "alert_kind": "none", "alert": false, "selection_review_required": false, "recommended_total_position_cap_pct": null, "action": "候选池与全市场广度未出现需单独处理的极端剪刀差。" }, "preopen_regime_alert": { "schema_version": "preopen_regime_transition_alert_v1", "trade_date": "20260908", "status": "ALERT", "severity": "AMBER", "window": "09:00-09:25", "plan_regime": "WARM", "execution_regime": "HOT", "plan_score": null, "execution_score": 78.7, "score_delta": null, "mismatch": true, "comparison_state": "mismatch", "execution_regime_confirmed": true, "external_level": "LOW", "external_source_path": "reports/external_checks/external_tech_shock_20260908.json", "triggers": [ "plan_regime_WARM_to_execution_HOT" ], "action": "09:00-09:25 重新确认执行日 regime、外部科技冲击和板块承接；确认前只允许观察/持仓风控。", "no_silent_reopen": true } }, "risk_flags": { "path": "config/local_risk_flags_20260908.json", "coverage_audit_path": "reports/audit/20260908_risk_flags_coverage.json", "state": "current", "latest_available_date": "20260908", "coverage_gap_days": 0, "max_allowed_gap_days": 5, "coverage_complete": true, "recovery_action": "当日风险旗标已覆盖，继续执行个股级风险过滤。" }, "daily_report": { "path": "reports/theme_cleaning/browser_dump_20260907_dashboard.cleaned.json", "fallback_to_plan_date": true }, "sector_external_validation": { "status": "UNAVAILABLE", "role": "external_confirmation_only", "can_grant_entry_permission": false, "missing_or_stale_is_bearish": false, "validation_path": null, "crosscheck_path": null, "preopen_overall_state": null, "preopen_summary": {}, "confirmed_sectors": [], "watch_sectors": [], "rotation_candidates_not_in_plan": [], "interval_start": null, "interval_end": null, "interval_provisional": null, "action": "开盘啦证据缺失只记数据质量告警，继续依赖主板块合同，不得判成板块转弱。" }, "plan_contract": { "path": "reports/trade_plan/20260907_active_plan_v2_for_trading.json", "requested_allow_new_positions": true, "requested_trade_mode": "SIMULATION_READY", "effective_allow_new_positions": false, "effective_trade_mode": "OBSERVE_ONLY", "reconciliation_status": "overridden_by_midday_deepseek_overlay", "entry_reconfirmation_required": true, "soft_restrictions": [ "plan_regime_mismatch_require_execution_reconfirmation" ], "permission_source": "active_plan_contract", "conditional_probe_reconfirmation": { "path": "reports/trading/20260908_conditional_probe_reconfirmation.json", "status": "NOT_APPLICABLE_ACTIVE_PLAN", "candidate_symbols": [ "SZSE.300964", "SHSE.603386", "SZSE.002913" ], "valid": false, "max_official_buys": 1, "max_initial_position_pct": 4.0, "reason": "active execution shortlist is already permitted; conditional candidates remain watch-only and cannot grant additional entry permission" } }, "position_management_policy": "risk_sell_and_position_management_remain_enabled", "permission_reconciliation": { "configured_allow_new_positions": true, "configured_trade_mode": "SIMULATION_READY", "effective_allow_new_positions": false, "effective_trade_mode": "OBSERVE_ONLY", "effective_position_cap_pct": 0.0, "reconciliation_status": "overridden_by_midday_deepseek_overlay", "reasons": [ "midday_deepseek_observe_only" ], "premarket_execution_brief_path": "reports/preopen/premarket_execution_brief_20260908.json", "midday_execution_overlay_path": "reports/intraday/midday_execution_overlay_20260908.json" }, "sizing_reason_reconciliation": { "schema_version": "signal_sizing_reason_reconciliation_v1", "legacy_reason": "position_sizing_no_room_or_cash", "reconciled_count": 19, "reason_counts": { "position_sizing_policy_cap_zero": 1, "position_sizing_not_applicable_watch_only": 18 }, "account_cash": 989646.16857, "account_exposure_pct": 3.7248, "effective_position_cap_pct": 0.0, "policy_allows_new_positions": false, "policy": "diagnostic_only_no_order_or_quantity_mutation" } }, "execution_health_reconciliation": { "observed_at_runtime": { "status": "READY", "hard_block_new_entries": false, "blockers": [] }, "recomputed_after_close": { "status": "READY", "hard_block_new_entries": false, "blockers": [], "entry_reconfirmation_required": true }, "policy_changed_after_repair": false, "classification": "historical_runtime_and_recomputed_policy_consistent", "audit_note": "盘中原始轨迹保留为历史事实；修复后的规则仅用于回溯验证和后续交易日，不能倒写为当日已执行。" }, "candidate_pool_coverage_review": { "schema_version": "candidate_pool_coverage_review_v1", "status": "NOT_REQUIRED", "trigger": { "candidate_pool_up_ratio": 0.6667, "market_up_ratio": 0.5881, "divergence_pct_points": 7.9, "source": "verified_full_market_breadth", "state": "normal", "alert_kind": "none", "alert": false, "selection_review_required": false, "recommended_total_position_cap_pct": null, "action": "候选池与全市场广度未出现需单独处理的极端剪刀差。" }, "candidate_theme_count": 6, "candidate_theme_summary": [ { "theme": "元件", "signal_count": 13, "active_count": 5, "average_return_pct": 1.9211, "priced_signal_count": 13 }, { "theme": "TOPCon", "signal_count": 5, "active_count": 0, "average_return_pct": -1.2687, "priced_signal_count": 5 }, { "theme": "AI算力链 / 共封装光学(CPO)", "signal_count": 2, "active_count": 0, "average_return_pct": 0.2382, "priced_signal_count": 2 }, { "theme": "BC电池", "signal_count": 2, "active_count": 0, "average_return_pct": -1.1656, "priced_signal_count": 2 }, { "theme": "HIT电池", "signal_count": 1, "active_count": 0, "average_return_pct": -2.4486, "priced_signal_count": 1 }, { "theme": "共封装光学(CPO) / 半导体链 / PCB概念", "signal_count": 1, "active_count": 0, "average_return_pct": -3.0406, "priced_signal_count": 1 } ], "execution_boundary": { "research_only": true, "can_create_orders": false, "can_change_same_day_permission": false, "can_change_same_day_whitelist": false, "can_change_position_cap": false, "rule": "覆盖缺口只触发下一交易日研究与盘前计划更新；当日仍由既有 Strict Gate、外部冲击和风险规则决定。" }, "research_queue": [] }, "entry_arbitration_review": { "schema_version": "entry_arbitration_review_v1", "status": "REVIEWED", "trace_path": "/Users/tonyyu/sector_wave_agent/reports/trading/local_paper_execution_decision_trace_20260908.jsonl", "no_lookahead": true, "rank_source": "active_plan.execution_rank_or_preopen_priority", "missed_priority_actions": [ { "symbol": "SHSE.600601", "name": "方正科技", "theme": "元件", "execution_rank": 1, "actionable_at": "2026-09-08T09:57:33", "inferred_block": "same_theme_seat_not_open_yet", "prior_fill_symbol": "SHSE.603920" } ], "second_theme_seat_fills": [ { "symbol": "SHSE.600183", "name": "生益科技", "filled_at": "2026-09-08T10:39:46", "energy_ratio": 1.0886, "three_bar_momentum_pct": -0.1667, "candidate_quality_passed": false, "candidate_block_reasons": [ "energy_ratio_below_1_20", "three_bar_momentum_not_positive" ] } ], "candidate_rule": { "energy_ratio_min": 1.2, "three_bar_momentum_min_pct": 0.0, "production_enabled": false, "validation_status": "INSUFFICIENT_SAMPLE", "minimum_required_samples": 5, "observed_samples": 1, "reason": "避免用单日单笔结果直接改动生产阈值；先连续样本外记录第二席位质量。" } }, "gate_funnel_reconciliation": { "status": "CONSISTENT", "trace_path": "/Users/tonyyu/sector_wave_agent/reports/trading/local_paper_execution_decision_trace_20260908.jsonl", "postclose_one_shot_reset_detected": false, "stable_snapshot_at": "2026-09-08T14:54:59", "final_snapshot_at": "2026-09-08T14:54:59", "snapshot_gap_seconds": 31.0, "stable_active_energy_state": { "active_count": 5, "warmup_count": 0, "minute_history_available_count": 3 }, "final_active_energy_state": { "active_count": 5, "warmup_count": 0, "minute_history_available_count": 3 }, "effective_data_quality_state": null, "claim_policy": "When detected, the final one-shot warmup frame is not evidence that minute energy was absent all day; use the stable intraday trace for data-quality review while preserving the final snapshot as raw evidence." }, "intraday_metric_reconciliation": { "schema_version": "intraday_metric_reconciliation_v1", "method": "official_runtime_feed_then_bounded_minute_window_proxy", "scope": "all_signal_rows", "signal_count": 24, "vwap_official_count": 20, "vwap_raw_missing_count": 0, "vwap_recovered_proxy_count": 0, "vwap_proxy_count": 4, "vwap_remaining_missing_count": 0, "vwap_raw_missing_ratio": 0.0, "vwap_proxy_ratio": 0.1667, "vwap_remaining_missing_ratio": 0.0, "official_entry_policy": "official_runtime_feed_required; proxy_only_extended_confirmation" }, "auction": { "used_as_standalone_gate": false, "usage_note": "集合竞价只做板块/个股预确认与早盘择时加权，不单独触发买入。", "preopen_gate_legacy": { 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"runtime_whitelist_contract_v1", "evidence_hash": "9bc5c8c0cb621a70990543487db6bb61fd6054e6c57e47c9f0cdb43eb99963f3", "whitelist_binding": { "symbol": "SHSE.600183", "plan_id": "20260907:SHSE.600183:SECOND_WAVE_BREAK_VWAP", "contract_version": "runtime_whitelist_contract_v1", "evidence_hash": "9bc5c8c0cb621a70990543487db6bb61fd6054e6c57e47c9f0cdb43eb99963f3", "lifecycle_stage": null, "mainline_label": null }, "lifecycle_stage": null, "mainline_label": null } ], "style_code": "MAINLINE_BREAK", "style_label": "主线承接断裂", "entry_policy": "no_official_buy", "official_buy_allowed": false, "official_symbol_whitelist": [], "official_whitelist_contracts": [], "whitelist_contract_required": true, "whitelist_integrity": "NOT_EXECUTABLE", "structural_symbol_whitelist": [], "conditional_probe_symbol_whitelist": [], "position_cap_pct": null, "dominant_theme": "元件", "dominant_theme_share": 0.6002, "external_tech_shock_gate": { "schema_version": "external_tech_shock_gate_v1", "enabled": true, "level": "LOW", "score": 0.0, "raw_score": 0.0, "confidence_penalty": 0.0, "confidence_adjusted_score": 0.0, "label": "外部科技冲击低", "entry_policy": "normal", "tech_new_buy_allowed": true, "earliest_entry_time": "09:35", "position_cap_pct": null, "risk_priority_boost": false, "reasons": [ "no_external_tech_shock_evidence_default_pass" ], "source_status": "ok", "source_quality": "verified_live", "source_confidence": "verified", "missing_gate_fields": [], "critical_data_missing": false, "partial_gate_behavior": "verified_source", "confidence_note": "外部数据完整度正常。", "source_file": "reports/external_checks/external_tech_shock_20260908.json", "source_errors": {}, "source_ths_errors": {}, "source_generated_at": "2026-09-08T09:25:16+08:00" }, "external_tech_shock_level": "LOW", "external_tech_entry_policy": "normal", "signal_contract_total": 24, "signal_quotes_available": true, "signal_quote_coverage": 1.0, "active_contract_total": 5, "active_quote_total": 5, "active_candidates_available": true, "active_quotes_available": true, "active_quote_coverage": 1.0, "quote_diagnostic": "行情覆盖完整" }, "auction_board_confirm_score": 30, "auction_stock_accept_score": 33.33, "auction_liquidity_score": 56.66, "covered_signal_count": 24, "covered_holding_count": 2, "slot_holding_count": 2, "dust_holding_count": 0, "holding_symbols": [ "SHSE.600183", "SHSE.603920" ], "slot_holding_symbols": [ "SHSE.600183", "SHSE.603920" ], "reason": "expired_after_09:45,active_mainline_not_confirmed", "external_gate_reconciliation": { "status": "reconciled", "source_file": "reports/external_checks/external_tech_shock_20260908.json", "source_generated_at": "2026-09-08T09:25:16+08:00", "source_quality": "verified_live", "observed_runtime_gate": { "level": "LOW", "source_status": "ok", "source_quality": "verified_live", "reasons": [ "no_external_tech_shock_evidence_default_pass" ] }, "verified_gate": { "level": "LOW", "score": 0.0, "reasons": [ "no_external_tech_shock_evidence_default_pass" ], "source_quality": "verified_live" }, "korea_market_stress_pct": 0.3308, "korea_market_close_pct": 1.1738, "korea_stress_basis": "kospi_intraday_low_pct", "stress_mismatch": false, "note": "执行时与收盘后核验的韩国压力口径一致；后续统一使用 kospi_intraday_low_pct，收盘涨跌幅单独展示。" } }, "gate_funnel": { "evaluated_count": 3, "passed_count": 0, "policy_blocked_observe_only": 3, "market_gate_blocked": 0, "minute_energy_blocked": 0, "vwap_blocked": 0, "chase_ceiling_blocked": 0, "capital_blocked": 0, "quote_stale_blocked": 0, "data_source": "first_fail_runtime_signals", "degraded_reason": null, "execution_scope": "new_entry_signals_only", "executed_formal_entry_count": 2, "executed_formal_entry_event_ids": [ "20260907:20260908:SHSE.603920:SECOND_WAVE_BREAK_VWAP:BUY", "20260907:20260908:SHSE.600183:SECOND_WAVE_BREAK_VWAP:BUY" ], "unmatched_official_buy_filled": 0, "position_add_filled": 0, "official_buy_filled": 2, "scope_note": "2 个正式新入场已在盘中按当时门控成交；漏斗仅统计收盘仍待评估的合同，不以收盘状态倒推为阻断。 Gate Funnel 仅统计 3 个尚未执行且具备完整价格合同的正式入场信号；另有 19 个条件/观察对象保留在板块复盘，不计入正式阻断。", "diagnostic_counts": { "market_gate_blocked": 0, "minute_energy_blocked": 2, "vwap_blocked": 3, "chase_ceiling_blocked": 0, "capital_blocked": 2, "quote_stale_blocked": 0 }, "diagnostic_counts_scope": "independent_signal_checks_excluding_policy_suppressed_market_gate", "first_fail_counts": { "policy_blocked_observe_only": 3, "market_gate_blocked": 0, "quote_stale_blocked": 0, "minute_energy_blocked": 0, "vwap_blocked": 0, "chase_ceiling_blocked": 0, "capital_blocked": 0, "passed": 0 }, "quote_stale_ratio": 0.0, "minute_energy_warmup_count": 0, "intraday_metrics_missing_count": 0, "intraday_metrics_missing_ratio": 0.0, "intraday_metrics_missing_fields": {}, "intraday_metrics_missing_warn_threshold": 0.15, "intraday_metrics_missing_block_threshold": 0.25, "vwap_official_count": 3, "vwap_proxy_count": 0, "vwap_missing_count": 0, "vwap_proxy_ratio": 0.0, "vwap_quality_state": "official", "vwap_entry_policy": "official_runtime_feed_required; proxy_only_extended_confirmation", "vwap_metrics_scope": "formal_entry_contracts", "observation_total_count": 24, "observation_only_excluded_count": 19, "data_quality_state": "ok" }, "signals_snapshot": { "total": 24, "active_contracts": 5, "conditional_contracts": 19, "active_plan_contracts": 5, "watch_candidate_contracts": 0, "actionable": 0, "shadow_actionable": 0, "actionable_source": "runtime_gate_funnel" }, "external_market_review_reference": { "trade_date": "20260908", "source_path": null, "can_override_market_facts": false, "can_grant_entry": false, "can_seed_research": false, "fact_policy": "外部复盘仅用于主线假设、风险问题和次日研究；数值以同日已验证快照为准。", "status": "NOT_PROVIDED" } }